UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM 10-Q


ý			QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934

For the quarterly period ended ~~June~~September 30, 2022


¨			TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934

Commission file number: 814-01117

GUGGENHEIM CREDIT INCOME FUND

(Exact name of registrant as specified in its charter)


Delaware						47-2039472
(State or other jurisdiction of incorporation or organization)						(I.R.S. Employer Identification No.)
330 Madison Avenue, New York, New York						10017
(Address of principal executive offices)						(Zip Code)

Registrant’s telephone number, including area code: (212) 739-0700

Securities registered pursuant to Section 12(b) of the Act:

Title of Each Class

Trading Symbol(s)

Name of Each Exchange on Which Registered

None

N/A

Indicate by check mark whether the registrant (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the registrant was required to file such reports), and (2) has been subject to such filing requirements for the past 90 days. Yes ý No ¨

Indicate by check mark whether the registrant has submitted electronically every Interactive Data File required to be submitted 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 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 the definitions of "large accelerated filer," "accelerated filer," "smaller reporting company," and "emerging growth company" in Rule 12b-2 of the Exchange Act.

Large accelerated filer

Accelerated filer

Non-accelerated filer

Smaller reporting company

Emerging growth company

If an emerging growth company, indicate by check mark if the registrant has elected not to use the extended transition period for complying with any new or revised financial accounting standards provided pursuant to Section 13(a) of the Exchange Act. ¨

Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of the Exchange Act). Yes ¨ No ý

The registrant had 25,594,125 common shares outstanding as of ~~August 12,~~November 14, 2022.

GUGGENHEIM CREDIT INCOME FUND

INDEX


		Page
PART I. FINANCIAL INFORMATION

Item 1.	Consolidated Financial Statements (Unaudited):	3

	Consolidated Statements of Assets and Liabilities as of September ~~June~~ 30,, 2022 and December 31, 2021	3

	Consolidated Statements of Operations for the three and ~~and si~~xnine months ended ~~June~~September 30,, 2022 and 2021	4

	Consolidated Statements of Changes in Net Assets for the three and ~~and six~~nine months ended ~~June~~Septemb er 3 0 ,30, 2022 and 2021	5

	Consolidated Statements of Cash Flows for the ~~six~~nine months ended JuSeptember ne 30,, 2022 and 2021	7

	Consolidated Schedules of Investments as of ~~June~~September 30,, 2022 and December 31, 2021	8

	Notes to Consolidated Financial Statements (Unaudited)	2019

Item 2.	Management’s Discussion and Analysis of Financial Condition and Results of Operations	3937

Item 3.	Quantitative and Qualitative Disclosures About Market Risk	5351

Item 4.	Controls and Procedures	5452
PART II. OTHER INFORMATION

Item 1.	Legal Proceedings	5452

Item 1A.	Risk Factors	5452

Item 2.	Unregistered Sales of Equity Securities and Use of Proceeds	5553

Item 3.	Defaults Upon Senior Securities	5553

Item 5.	Other Information	5553

Item 6.	Exhibits	5553

Signatures		5654

Exhibit Index		5755

FORWARD-LOOKING STATEMENTS

This Quarterly Report on Form 10-Q, or this Report, including Management'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 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 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 Factors of this Report and in Part I. Item 1A. Risk Factors of our Form 10-K for the fiscal year ended December 31, 2021, that was filed on March 17, 2022. 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 and in Part I. Item 1A. Risk Factors of our Form 10-K for the fiscal year ended December 31, 2021, that was filed on March 17, 2022. 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).

Unless otherwise noted, the terms “we,” “us,” “our,” and the “Master Fund” refer to Guggenheim Credit Income Fund. Other capitalized terms used in this Report have the same meaning as in the 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.

PART I. FINANCIAL INFORMATION

Item 1. Consolidated Financial Statements (Unaudited)

GUGGENHEIM CREDIT INCOME FUND

CONSOLIDATED STATEMENTS OF ASSETS AND LIABILITIES (UNAUDITED)

(in thousands, except share and per share data)


		June 30, 2022		December 31, 2021			September 30, 2022		December 31, 2021
		(Unaudited)		(Audited)			(Unaudited)		(Audited)
Assets	Assets					Assets
Investments at fair value (amortized cost of $97,935 and $125,563, respectively)		$	92,302	$	124,139
Investments at fair value (amortized cost of $79,738 and $125,563, respectively)						Investments at fair value (amortized cost of $79,738 and $125,563, respectively)	$	72,765	$	124,139
Cash and cash equivalents	Cash and cash equivalents	25,190		4,556		Cash and cash equivalents	21,364		4,556
Restricted cash	Restricted cash	—		24,648		Restricted cash	—		24,648

Interest and dividend income receivable	Interest and dividend income receivable	819		936		Interest and dividend income receivable	929		936
Principal receivable	Principal receivable	625		4,747		Principal receivable	3,981		4,747
Receivable from related parties	Receivable from related parties	5		25		Receivable from related parties	8		25

Unrealized appreciation of foreign currency forward contracts						Unrealized appreciation of foreign currency forward contracts	88		—
Prepaid expenses and other assets	Prepaid expenses and other assets	57		192		Prepaid expenses and other assets	78		192
Total assets	Total assets	$	118,998	$	159,243	Total assets	$	99,213	$	159,243

Liabilities	Liabilities					Liabilities

Unrealized depreciation on foreign currency forward contracts	Unrealized depreciation on foreign currency forward contracts	$	1	$	280	Unrealized depreciation on foreign currency forward contracts	$	—	$	280

Accrued management fee	Accrued management fee	368		769		Accrued management fee	306		769

Payable to related parties	Payable to related parties	115		61		Payable to related parties	118		61

Accounts payable, accrued expenses and other liabilities	Accounts payable, accrued expenses and other liabilities	582		853		Accounts payable, accrued expenses and other liabilities	787		853
Total liabilities	Total liabilities	1,066		1,963		Total liabilities	1,211		1,963
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	Net Assets	$	117,932	$	157,280	Net Assets	$	98,002	$	157,280

Components of Net Assets:	Components of Net Assets:					Components of Net Assets:
Common shares, $0.001 par value, 1,000,000,000 shares authorized, 25,594,125 and 25,594,125 shares issued and outstanding at June 30, 2022 and December 31, 2021, respectively		$	26	$	26
Common shares, $0.001 par value, 1,000,000,000 shares authorized, 25,594,125 and 25,594,125 shares issued and outstanding at September 30, 2022 and December 31, 2021, respectively						Common shares, $0.001 par value, 1,000,000,000 shares authorized, 25,594,125 and 25,594,125 shares issued and outstanding at September 30, 2022 and December 31, 2021, respectively	$	26	$	26
Paid-in-capital in excess of par value	Paid-in-capital in excess of par value	132,572		169,019		Paid-in-capital in excess of par value	113,649		169,019
Accumulated loss, net of distributions	Accumulated loss, net of distributions	(14,666)		(11,765)		Accumulated loss, net of distributions	(15,673)		(11,765)
Net assets	Net assets	$	117,932	$	157,280	Net assets	$	98,002	$	157,280
Net asset value per Common Share		$	4.61	$	6.15
Net asset value per Common Share (NAV)						Net asset value per Common Share (NAV)	$	3.83	$	6.15

See Unaudited Notes to Consolidated Financial Statements.

GUGGENHEIM CREDIT INCOME FUND

CONSOLIDATED STATEMENTS OF OPERATIONS (UNAUDITED)

(in thousands, except share and per share data)


		For the Three Months Ended June 30,				For the Six Months Ended June 30,					For the Three Months Ended September 30,				For the Nine Months Ended September 30,
		2022		2021		2022		2021			2022		2021		2022		2021
Investment Income	Investment Income									Investment Income
Interest income	Interest income	$	2,091	$	5,158	$	4,436	$	10,068	Interest income	$	1,909	$	3,545	$	6,345	$	13,613
PIK interest income	PIK interest income	25		53		104		150		PIK interest income	14		120		118		270
Dividend income	Dividend income	—		99		179		111		Dividend income	—		109		179		220
Fee income	Fee income	3		70		555		195		Fee income	2		34		557		229
Total investment income	Total investment income	2,119		5,380		5,274		10,524		Total investment income	1,925		3,808		7,199		14,332
Operating Expenses	Operating Expenses									Operating Expenses
Interest expense and other financing costs	Interest expense and other financing costs	—		778		—		1,728		Interest expense and other financing costs	—		558		—		2,286
Management fee	Management fee	572		1,294		1,220		2,691		Management fee	482		1,066		1,702		3,757

Administrative services	Administrative services	40		50		82		93		Administrative services	40		46		122		139
Custody services	Custody services	22		24		43		48		Custody services	21		22		64		70
Trustees fees	Trustees fees	71		84		141		167		Trustees fees	72		76		213		243
Related party reimbursements	Related party reimbursements	169		84		229		216		Related party reimbursements	119		75		348		291
Professional services fees	Professional services fees	193		205		384		406		Professional services fees	195		206		579		612

Other expenses	Other expenses	73		71		144		139		Other expenses	74		71		218		210

Total expenses	Total expenses	1,140		2,590		2,243		5,488		Total expenses	1,003		2,120		3,246		7,608
Net investment income	Net investment income	979		2,790		3,031		5,036		Net investment income	922		1,688		3,953		6,724
Realized and unrealized gains (losses):	Realized and unrealized gains (losses):									Realized and unrealized gains (losses):
Net realized gains (losses) on:	Net realized gains (losses) on:									Net realized gains (losses) on:
Investments	Investments	834		(1,806)		1,463		(1,352)		Investments	242		(1,462)		1,705		(2,814)
Foreign currency forward contracts	Foreign currency forward contracts	178		(96)		53		(1,120)		Foreign currency forward contracts	167		282		220		(838)
Foreign currency transactions	Foreign currency transactions	(1)		12		(35)		(20)		Foreign currency transactions	(25)		4		(60)		(16)
Net realized gains (losses)	Net realized gains (losses)	1,011		(1,890)		1,481		(2,492)		Net realized gains (losses)	384		(1,176)		1,865		(3,668)
Net change in unrealized appreciation (depreciation) on:	Net change in unrealized appreciation (depreciation) on:									Net change in unrealized appreciation (depreciation) on:
Investments	Investments	(3,928)		8,039		(4,209)		15,358		Investments	(1,340)		1,117		(5,549)		16,475
Foreign currency forward contracts	Foreign currency forward contracts	25		35		279		1,015		Foreign currency forward contracts	89		56		368		1,071
Foreign currency transactions	Foreign currency transactions	(1)		—		(3)		(1)		Foreign currency transactions	(22)		(1)		(25)		(2)
Net change in unrealized appreciation (depreciation)	Net change in unrealized appreciation (depreciation)	(3,904)		8,074		(3,933)		16,372		Net change in unrealized appreciation (depreciation)	(1,273)		1,172		(5,206)		17,544
Net realized and unrealized gains (losses)	Net realized and unrealized gains (losses)	(2,893)		6,184		(2,452)		13,880		Net realized and unrealized gains (losses)	(889)		(4)		(3,341)		13,876
Net increase (decrease) in net assets resulting from operations		$	(1,914)	$	8,974	$	579	$	18,916
Net increase in net assets resulting from operations										Net increase in net assets resulting from operations	$	33	$	1,684	$	612	$	20,600
Per Common Share information:	Per Common Share information:									Per Common Share information:
Net investment income per Common Share outstanding - basic and diluted	Net investment income per Common Share outstanding - basic and diluted	$	0.04	$	0.11	$	0.12	$	0.19	Net investment income per Common Share outstanding - basic and diluted	$	0.04	$	0.07	$	0.15	$	0.26
Earnings (loss) per Common Share outstanding - basic and diluted		$	(0.07)	$	0.35	$	0.02	$	0.73
Earnings per Common Share outstanding - basic and diluted										Earnings per Common Share outstanding - basic and diluted	$	0.00	$	0.07	$	0.02	$	0.80
Weighted average Common Shares outstanding - basic and diluted	Weighted average Common Shares outstanding - basic and diluted	25,594,125		25,594,125		25,594,125		25,867,772		Weighted average Common Shares outstanding - basic and diluted	25,594,125		25,594,125		25,594,125		25,775,554
Distribution per Common Share outstanding	Distribution per Common Share outstanding	$	0.78	$	0.98	$	1.56	$	1.08	Distribution per Common Share outstanding	$	0.78	$	0.98	$	2.34	$	2.06

See Unaudited Notes to Consolidated Financial Statements.

GUGGENHEIM CREDIT INCOME FUND

CONSOLIDATED STATEMENTS OF CHANGES IN NET ASSETS (UNAUDITED)

(in thousands, except share and per share data)


		Common Shares			Paid-in-Capital in Excess of Par Value				Accumulated Earnings (Loss), net of Distributions									Common Shares							Paid-in-Capital in Excess of Par Value			Accumulated Earnings (Loss), net of Distributions
		Shares	Amount								Total				Shares					Amount							Total
Balance at December 31, 2021	Balance at December 31, 2021	25,594,125	$	26			$	169,019			$	(11,765)				$	157,280		Balance at December 31, 2021	25,594,125			$	26				$	169,019	$	(11,765)	$	157,280
Operations:	Operations:															Operations:
Net investment income	Net investment income	—	—		—				2,052				2,052			Net investment income		—			—				—			2,052		2,052
Net realized gains	Net realized gains	—	—		—				470				470			Net realized gains		—			—				—			470		470
Net change in unrealized depreciation	Net change in unrealized depreciation	—	—		—				(29)				(29)			Net change in unrealized depreciation		—			—				—			(29)		(29)
Net increase in net assets resulting from operations	Net increase in net assets resulting from operations	—	—		—				2,493				2,493			Net increase in net assets resulting from operations		—			—				—			2,493		2,493
Shareholder distributions:	Shareholder distributions:															Shareholder distributions:
Distributions from earnings	Distributions from earnings	—	—		—				(2,186)				(2,186)			Distributions from earnings		—			—				—			(2,186)		(2,186)

Distributions representing a return of capital	Distributions representing a return of capital	—	—		(17,778)				—				(17,778)			Distributions representing a return of capital		—			—				(17,778)			—		(17,778)
Net decrease in net assets resulting from shareholder distributions	Net decrease in net assets resulting from shareholder distributions	—	—		(17,778)				(2,186)				(19,964)			Net decrease in net assets resulting from shareholder distributions		—			—				(17,778)			(2,186)		(19,964)

Net increase (decrease) for the period	Net increase (decrease) for the period	—	—		(17,778)				307				(17,471)			Net increase (decrease) for the period		—			—				(17,778)			307		(17,471)
Balance at March 31, 2022	Balance at March 31, 2022	25,594,125	$	26	$	151,241			$	(11,458)			$	139,809		Balance at March 31, 2022		25,594,125			$	26			$	151,241		$	(11,458)	$	139,809
Operations:	Operations:															Operations:
Net investment income	Net investment income	—	—		—				979				979			Net investment income		—			—				—			979		979
Net realized gains	Net realized gains	—	—		—				1,011				1,011			Net realized gains		—			—				—			1,011		1,011
Net change in unrealized depreciation	Net change in unrealized depreciation	—	—		—				(3,904)				(3,904)			Net change in unrealized depreciation		—			—				—			(3,904)		(3,904)
Net decrease in net assets resulting from operations	Net decrease in net assets resulting from operations	—	—		—				(1,914)				(1,914)			Net decrease in net assets resulting from operations		—			—				—			(1,914)		(1,914)
Shareholder distributions:	Shareholder distributions:															Shareholder distributions:
Distributions from earnings	Distributions from earnings	—	—		—				(1,294)				(1,294)			Distributions from earnings		—			—				—			(1,294)		(1,294)

Distributions representing a return of capital	Distributions representing a return of capital	—	—		(18,669)				—				(18,669)			Distributions representing a return of capital		—			—				(18,669)			—		(18,669)
Net decrease in net assets resulting from shareholder distributions	Net decrease in net assets resulting from shareholder distributions	—	—		(18,669)				(1,294)				(19,963)			Net decrease in net assets resulting from shareholder distributions		—			—				(18,669)			(1,294)		(19,963)

Net decrease for the period	Net decrease for the period	—	—		(18,669)				(3,208)				(21,877)			Net decrease for the period		—			—				(18,669)			(3,208)		(21,877)
Balance at June 30, 2022	Balance at June 30, 2022	25,594,125	$	26	$	132,572			$	(14,666)			$	117,932		Balance at June 30, 2022		25,594,125			$	26			$	132,572		$	(14,666)	$	117,932
Operations:																Operations:
Net investment income																Net investment income		—			—				—			922		922
Net realized gains																Net realized gains		—			—				—			384		384
Net change in unrealized depreciation																Net change in unrealized depreciation		—			—				—			(1,273)		(1,273)
Net increase in net assets resulting from operations																Net increase in net assets resulting from operations		—			—				—			33		33
Shareholder distributions:																Shareholder distributions:
Distributions from earnings																Distributions from earnings		—			—				—			(1,040)		(1,040)
Distributions representing a return of capital																Distributions representing a return of capital		—			—				(18,923)			—		(18,923)

Net decrease in net assets resulting from shareholder distributions																Net decrease in net assets resulting from shareholder distributions		—			—				(18,923)			(1,040)		(19,963)

Net decrease for the period																Net decrease for the period		—			—				(18,923)			(1,007)		(19,930)
Balance at September 30, 2022																Balance at September 30, 2022		25,594,125			$	26			$	113,649		$	(15,673)	$	98,002


		Common Shares			Paid-in-Capital in Excess of Par Value				Accumulated Earnings (Loss), net of Distributions									Common Shares							Paid-in-Capital in Excess of Par Value			Accumulated Earnings (Loss), net of Distributions
		Shares	Amount								Total				Shares					Amount							Total
Balance at December 31, 2020	Balance at December 31, 2020	26,272,618	$	26			$	223,462			$	(24,763)				$	198,725		Balance at December 31, 2020	26,272,618			$	26				$	223,462	$	(24,763)	$	198,725
Operations:	Operations:															Operations:
Net investment income	Net investment income	—	—		—				2,246				2,246			Net investment income		—			—				—			2,246		2,246
Net realized losses	Net realized losses	—	—		—				(602)				(602)			Net realized losses		—			—				—			(602)		(602)
Net change in unrealized appreciation	Net change in unrealized appreciation	—	—		—				8,298				8,298			Net change in unrealized appreciation		—			—				—			8,298		8,298
Net increase in net assets resulting from operations	Net increase in net assets resulting from operations	—	—		—				9,942				9,942			Net increase in net assets resulting from operations		—			—				—			9,942		9,942
Shareholder distributions:	Shareholder distributions:															Shareholder distributions:
Distributions from earnings	Distributions from earnings	—	—		—				(2,581)				(2,581)			Distributions from earnings		—			—				—			(2,581)		(2,581)

Net decrease in net assets resulting from shareholder distributions	Net decrease in net assets resulting from shareholder distributions	—	—		—				(2,581)				(2,581)			Net decrease in net assets resulting from shareholder distributions		—			—				—			(2,581)		(2,581)
Capital share transactions:	Capital share transactions:															Capital share transactions:

Repurchase of Common Shares	Repurchase of Common Shares	(678,493)	—		(5,278)				—				(5,278)			Repurchase of Common Shares		(678,493)			—				(5,278)			—		(5,278)

Net decrease in net assets resulting from capital share transactions	Net decrease in net assets resulting from capital share transactions	(678,493)	—		(5,278)				—				(5,278)			Net decrease in net assets resulting from capital share transactions		(678,493)			—				(5,278)			—		(5,278)
Net increase (decrease) for the period	Net increase (decrease) for the period	(678,493)	—		(5,278)				7,361				2,083			Net increase (decrease) for the period		(678,493)			—				(5,278)			7,361		2,083
Balance at March 31, 2021	Balance at March 31, 2021	25,594,125	$	26	$	218,184			$	(17,402)			$	200,808		Balance at March 31, 2021		25,594,125			$	26			$	218,184		$	(17,402)	$	200,808
Operations:	Operations:															Operations:
Net investment income	Net investment income	—	—		—				2,790				2,790			Net investment income		—			—				—			2,790		2,790
Net realized losses	Net realized losses	—	—		—				(1,890)				(1,890)			Net realized losses		—			—				—			(1,890)		(1,890)
Net change in unrealized appreciation	Net change in unrealized appreciation	—	—		—				8,074				8,074			Net change in unrealized appreciation		—			—				—			8,074		8,074
Net increase in net assets resulting from operations	Net increase in net assets resulting from operations	—	—		—				8,974				8,974			Net increase in net assets resulting from operations		—			—				—			8,974		8,974
Shareholder distributions:	Shareholder distributions:															Shareholder distributions:
Distributions from earnings	Distributions from earnings	—	—		—				(3,233)				(3,233)			Distributions from earnings		—			—				—			(3,233)		(3,233)
Distributions representing a return of capital	Distributions representing a return of capital	—	—		(21,850)				—				(21,850)			Distributions representing a return of capital		—			—				(21,850)			—		(21,850)
Net decrease in net assets resulting from shareholder distributions	Net decrease in net assets resulting from shareholder distributions	—	—		(21,850)				(3,233)				(25,083)			Net decrease in net assets resulting from shareholder distributions		—			—				(21,850)			(3,233)		(25,083)

Net increase (decrease) for the period	Net increase (decrease) for the period	—	—		(21,850)				5,741				(16,109)			Net increase (decrease) for the period		—			—				(21,850)			5,741		(16,109)
Balance at June 30, 2021	Balance at June 30, 2021	25,594,125	$	26	$	196,334			$	(11,661)			$	184,699		Balance at June 30, 2021		25,594,125			$	26			$	196,334		$	(11,661)	$	184,699
Operations:																Operations:
Net investment income																Net investment income		—			—				—			1,688		1,688
Net realized losses																Net realized losses		—			—				—			(1,176)		(1,176)
Net change in unrealized appreciation																Net change in unrealized appreciation		—			—				—			1,172		1,172
Net increase in net assets resulting from operations																Net increase in net assets resulting from operations		—			—				—			1,684		1,684
Shareholder distributions:																Shareholder distributions:
Distributions from earnings																Distributions from earnings		—			—				—			(1,399)		(1,399)
Distributions representing a return of capital																Distributions representing a return of capital		—			—				(23,684)			—		(23,684)
Net decrease in net assets resulting from shareholder distributions																Net decrease in net assets resulting from shareholder distributions		—			—				(23,684)			(1,399)		(25,083)

Net increase (decrease) for the period																Net increase (decrease) for the period		—			—				(23,684)			285		(23,399)
Balance at September 30, 2021																Balance at September 30, 2021		25,594,125			$	26			$	172,650		$	(11,376)	$	161,300

See Unaudited Notes to Consolidated Financial Statements.

GUGGENHEIM CREDIT INCOME FUND

CONSOLIDATED STATEMENTS OF CASH FLOWS (UNAUDITED)

(in thousands)
For the Six Months Ended June 30,
2022 2021
Operating activities
Net increase in net assets resulting from operations $ 579 $ 18,916
Adjustments to reconcile net increase (decrease) in net assets resulting from operations to net cash provided by operating activities:
Capitalized paid-in-kind income (189) (171)
Amortization of premium/accretion of discount, net (261) (493)
Proceeds from sales of investments 8,024 30,824
Proceeds from paydowns on investments 23,160 72,569
Net receipt of settlement of derivatives 583 825
Net payment of settlement of derivatives (530) (1,945)
Net realized (gains) losses on derivatives (53) 1,120
Purchases of investments (1,643) (2,443)
Net realized (gains) losses on investments (1,463) 1,352
Net change in unrealized (appreciation) depreciation on investments 4,209 (15,358)
Net change in unrealized appreciation on foreign currency forward contracts (279) (1,015)
Amortization of deferred financing costs — 189
(Increase) decrease in operating assets:
Interest and dividend income receivable 117 576
Principal receivable 4,122 (4,505)
Receivable from related parties 20 25
Prepaid expenses and other assets 135 133
Increase (decrease) in operating liabilities:
Accrued management fee (401) (100)
Payable to related parties 54 (62)
Collateral payable for foreign currency forward contracts — 260
Accounts payable, accrued expenses and other liabilities (271) 40
Net cash provided by operating activities 35,913 100,737
Financing activities
Repurchase of Common Shares — (5,278)
Credit facility repayments — (50,000)
Distributions paid (39,927) (27,664)
Net cash used in financing activities (39,927) (82,942)
Net increase (decrease) in cash, cash equivalents and restricted cash (4,014) 17,795
Cash, cash equivalents and restricted cash, beginning of period 29,204 34,919
Cash, cash equivalents and restricted cash, end of period $ 25,190 $ 52,714
Reconciliation of cash, cash equivalents and restricted cash
Cash and cash equivalents 25,190 7,784
Restricted cash — 44,930
Total cash, cash equivalents and restricted cash $ 25,190 $ 52,714
Supplemental disclosure of cash flow information and non-cash financing activities:
Cash paid for interest $ — $ 1,521


	For the Nine Months Ended September 30,
	2022		2021
Operating activities
Net increase in net assets resulting from operations	$	612	$	20,600
Adjustments to reconcile net increase in net assets resulting from operations to net cash provided by operating activities:
Capitalized paid-in-kind income	(203)		(336)
Amortization of premium/accretion of discount, net	(331)		(725)
Proceeds from sales of investments	19,211		56,819
Proceeds from paydowns on investments	31,237		91,828
Net receipt of settlement of derivatives	864		1,214
Net payment of settlement of derivatives	(644)		(2,052)
Net realized (gains) losses on derivatives	(220)		838
Purchases of investments	(2,384)		(3,888)
Net realized (gains) losses on investments	(1,705)		2,814
Net change in unrealized (appreciation) depreciation on investments	5,549		(16,475)
Net change in unrealized appreciation on foreign currency forward contracts	(368)		(1,071)
Amortization of deferred financing costs	—		284
(Increase) decrease in operating assets:
Interest and dividend income receivable	7		855
Principal receivable	766		(7,243)
Receivable from related parties	17		17
Prepaid expenses and other assets	114		119
Increase (decrease) in operating liabilities:

Accrued management fee	(463)		163

Payable to related parties	57		(70)
Collateral payable for foreign currency forward contracts	—		325


Accounts payable, accrued expenses and other liabilities	(66)		157
Net cash provided by operating activities	52,050		144,173
Financing activities

Repurchase of Common Shares	—		(5,278)

Credit facility repayments	—		(75,000)

Distributions paid	(59,890)		(52,747)
Net cash used in financing activities	(59,890)		(133,025)
Net increase (decrease) in cash, cash equivalents and restricted cash	(7,840)		11,148
Cash, cash equivalents and restricted cash, beginning of period	29,204		34,919
Cash, cash equivalents and restricted cash, end of period	$	21,364	$	46,067
Reconciliation of cash, cash equivalents and restricted cash
Cash and cash equivalents	21,364		33,037
Restricted cash	—		13,030

Total cash, cash equivalents and restricted cash	$	21,364	$	46,067
Supplemental disclosure of cash flow information and non-cash financing activities:
Cash paid for interest	$	—	$	1,983

See Unaudited Notes to Consolidated Financial Statements.

GUGGENHEIM CREDIT INCOME FUND

CONSOLIDATED SCHEDULE OF INVESTMENTS (UNAUDITED)


June 30, 2022 (in thousands)
September 30, 2022 (in thousands)															September 30, 2022 (in thousands)
Portfolio Company (1) (2) (3)	Portfolio Company (1) (2) (3)	Footnotes	Investment	Spread Above Reference Rate (4)	Interest Rate (4) (5)	Maturity Date	Principal / Par Amount / Shares (6)		Amortized Cost (7) (8)		Fair Value		% of Net Assets		Portfolio Company (1) (2) (3)	Footnotes	Investment	Spread Above Reference Rate (4)	Interest Rate (4) (5)	Maturity Date	Principal / Par Amount / Shares (6)		Amortized Cost (7) (8)		Fair Value		% of Net Assets

INVESTMENTS	INVESTMENTS														INVESTMENTS
Debt investments - 76.4%
Debt investments - 73.1%															Debt investments - 73.1%
Automotive	Automotive														Automotive
Accuride Corporation	Accuride Corporation	(13)	Senior Secured Loans - First Lien	L+5.25%	7.50%	11/17/2023	$	4,116	$	4,076	$	3,641	3.1	%	Accuride Corporation		Senior Secured Loans - First Lien	L+5.25%	8.92%	11/17/2023	$	4,106	$	4,075	$	3,568	3.6	%
Wesco Group	Wesco Group	(13)(15)	Senior Secured Loans - First Lien	L+4.25%	5.25%	6/14/2024	1,214		1,209		1,193		1.0	%	Wesco Group	(14)	Senior Secured Loans - First Lien	L+4.25%	5.25%	6/14/2024	1,211		1,207		1,211		1.2	%
Total Automotive	Total Automotive								5,285		4,834		4.1	%	Total Automotive								5,282		4,779		4.8	%

Beverage, Food & Tobacco	Beverage, Food & Tobacco														Beverage, Food & Tobacco
Checkers Holdings Inc	Checkers Holdings Inc	(13)	Senior Secured Loans - First Lien	L+4.25%	5.83%	4/25/2024	1,116		719		993		0.8	%	Checkers Holdings Inc		Senior Secured Loans - First Lien	L+4.25%	7.32%	4/25/2024	1,113		715		949		1.0	%
Total Beverage, Food & Tobacco	Total Beverage, Food & Tobacco								719		993		0.8	%	Total Beverage, Food & Tobacco								715		949		1.0	%
Capital Equipment
Cleaver Brooks, Inc.		(13)	Senior Secured Bonds	N/A	7.88%	3/1/2023	2,000		2,000		1,860		1.6	%
Total Capital Equipment									2,000		1,860		1.6	%
Chemicals, Plastics & Rubber	Chemicals, Plastics & Rubber														Chemicals, Plastics & Rubber
Aceto Chemicals	Aceto Chemicals	(13)(15)	Senior Secured Loans - First Lien	L+5.50%	7.07%	4/29/2025	5,044		5,026		4,981		4.2	%	Aceto Chemicals	(14)	Senior Secured Loans - First Lien	L+5.50%	8.57%	4/29/2025	5,031		5,015		4,960		5.1	%
Aceto Chemicals (Revolver)	Aceto Chemicals (Revolver)	(9)(13)(15)	Senior Secured Loans - First Lien	L+5.50%	7.07%	4/29/2025	229		178		181		0.3	%	Aceto Chemicals (Revolver)	(14)	Senior Secured Loans - First Lien	L+5.50%	8.57%	4/29/2025	800		183		186		0.2	%
									5,204		5,162		4.5	%									5,198		5,146		5.3	%

Drew Marine Group Inc.	Drew Marine Group Inc.	(13)(15)	Senior Secured Loans - First Lien	L+4.25%	6.50%	6/26/2026	970		961		950		0.8	%	Drew Marine Group Inc.	(14)	Senior Secured Loans - First Lien	L+4.25%	7.92%	6/26/2026	968		959		945		1.0	%
Total Chemicals, Plastics & Rubber	Total Chemicals, Plastics & Rubber								6,165		6,112		5.3	%	Total Chemicals, Plastics & Rubber								6,157		6,091		6.3	%

Consumer Goods: Non-Durable	Consumer Goods: Non-Durable														Consumer Goods: Non-Durable
Galls LLC	Galls LLC	(13)(14)(15)	Senior Secured Loans - First Lien	L+6.75%	7.99%	1/31/2025	3,709		3,696		3,579		3.0	%	Galls LLC	(13)(14)	Senior Secured Loans - First Lien	L+7.25%	9.56%	1/31/2025	3,704		3,692		3,611		3.7	%
Galls LLC (Delayed Draw B)	Galls LLC (Delayed Draw B)	(13)(14)(15)	Senior Secured Loans - First Lien	L+6.75%	8.49%	1/31/2025	544		542		525		0.5	%	Galls LLC (Delayed Draw B)	(13)(14)	Senior Secured Loans - First Lien	L+7.25%	10.06%	1/31/2025	543		541		530		0.5	%
Galls LLC (Revolver)	Galls LLC (Revolver)	(9)(13)(15)	Senior Secured Loans - First Lien	L+6.75%	8.14%	1/31/2024	372		348		351		0.3	%	Galls LLC (Revolver)	(9)(14)	Senior Secured Loans - First Lien	L+6.75%	9.69%	1/31/2024	528		507		510		0.5	%
									4,586		4,455		3.8	%									4,740		4,651		4.7	%

Pure Fishing, Inc.	Pure Fishing, Inc.	(13)	Senior Secured Loans - First Lien	L+4.50%	6.17%	12/19/2025	3,919		3,631		3,360		2.8	%	Pure Fishing, Inc.		Senior Secured Loans - First Lien	L+4.50%	7.62%	12/19/2025	3,909		3,643		3,240		3.3	%
Total Consumer Goods: Non-Durable	Total Consumer Goods: Non-Durable								8,217		7,815		6.6	%	Total Consumer Goods: Non-Durable								8,383		7,891		8.0	%
Containers, Packaging & Glass	Containers, Packaging & Glass														Containers, Packaging & Glass
Bioplan USA, Inc.	Bioplan USA, Inc.	(13)(14)(15)	Senior Secured Loans - First Lien	L+7.75%	9.25%	12/22/2023	4,864		4,536		3,989		3.4	%	Bioplan USA, Inc.	(13)	Senior Secured Loans - First Lien	L+7.75%	11.92%	12/22/2023	4,858		4,583		3,911		4.0	%
Husky Injection Molding Systems Ltd.		CN(10)(11)(13)	Senior Secured Loans - First Lien	L+3.00%	5.88%	3/28/2025	1,929		1,861		1,776		1.5	%

Total Containers, Packaging & Glass	Total Containers, Packaging & Glass								6,397		5,765		4.9	%	Total Containers, Packaging & Glass								4,583		3,911		4.0	%
Energy: Oil & Gas	Energy: Oil & Gas														Energy: Oil & Gas
Basic Energy Services Inc	Basic Energy Services Inc	(13)(15)(18)	Senior Secured Bonds	N/A	N/A	10/15/2023	4,475		1,619		179		0.2	%	Basic Energy Services Inc	(14)(17)	Senior Secured Bonds	N/A	N/A	10/15/2023	4,291		1,520		118		0.1	%

Permian Production Partners															Permian Production Partners	(13)(14)	Senior Secured Loans - First Lien	L+8.00%	11.12%	11/23/2025	408		239		408		0.4	%
Total Energy: Oil & Gas															Total Energy: Oil & Gas								1,759		526		0.5	%
Healthcare & Pharmaceuticals															Healthcare & Pharmaceuticals
Alegeus Technology LLC															Alegeus Technology LLC	(14)	Senior Secured Loans - First Lien	L+8.25%	10.95%	9/5/2024	8,000		7,986		7,784		7.9	%
Total Healthcare & Pharmaceuticals															Total Healthcare & Pharmaceuticals								7,986		7,784		7.9	%
Hotel, Gaming & Leisure															Hotel, Gaming & Leisure

GUGGENHEIM CREDIT INCOME FUND

CONSOLIDATED SCHEDULE OF INVESTMENTS (UNAUDITED)


June 30, 2022 (in thousands)
September 30, 2022 (in thousands)													September 30, 2022 (in thousands)
Portfolio Company (1) (2) (3)	Portfolio Company (1) (2) (3)	Footnotes	Investment	Spread Above Reference Rate (4)	Interest Rate (4) (5)	Maturity Date	Principal / Par Amount / Shares (6)		Amortized Cost (7) (8)	Fair Value	% of Net Assets		Portfolio Company (1) (2) (3)	Footnotes	Investment	Spread Above Reference Rate (4)	Interest Rate (4) (5)	Maturity Date	Principal / Par Amount / Shares (6)	Amortized Cost (7) (8)	Fair Value	% of Net Assets

Permian Production Partners		(13)(14)	Senior Secured Loans - First Lien	L+8.00%	9.67%	11/23/2025	406		230	406	0.3	%
Total Energy: Oil & Gas									1,849	585	0.5	%
Healthcare & Pharmaceuticals
Alegeus Technology LLC		(13)(15)	Senior Secured Loans - First Lien	L+8.25%	10.95%	9/5/2024	8,000		7,984	7,658	6.5	%
Total Healthcare & Pharmaceuticals									7,984	7,658	6.5	%
Hotel, Gaming & Leisure
ASM Global	ASM Global	(13)	Senior Secured Loans - First Lien	L+2.50%	4.17%	1/23/2025	2,299		2,297	2,161	1.8	%	ASM Global		Senior Secured Loans - First Lien	L+2.50%	5.62%	1/23/2025	2,293	2,291	2,193	2.2	%
Total Hotel, Gaming & Leisure	Total Hotel, Gaming & Leisure								2,297	2,161	1.8	%	Total Hotel, Gaming & Leisure							2,291	2,193	2.2	%
Metals & Mining	Metals & Mining												Metals & Mining
Polyvision Corp.	Polyvision Corp.	(13)(14)(15)	Senior Secured Loans - First Lien	L+7.50%	8.50%	2/21/2026	3,563		3,528	3,471	3.0	%	Polyvision Corp.	(13)(14)	Senior Secured Loans - First Lien	L+7.50%	11.07%	2/21/2026	3,559	3,524	3,462	3.6	%
Polyvision Corp.	Polyvision Corp.	(13)(14)(15)	Senior Secured Loans - First Lien	L+7.50%	8.50%	2/21/2026	1,004		994	978	0.8	%	Polyvision Corp.	(13)(14)	Senior Secured Loans - First Lien	L+7.50%	11.07%	2/21/2026	1,002	992	975	1.0	%
Polyvision Corp. (Delayed Draw)	Polyvision Corp. (Delayed Draw)	(13)(14)(15)	Senior Secured Loans - First Lien	L+7.00%	8.18%	2/21/2026	138		138	134	0.1	%	Polyvision Corp. (Delayed Draw)	(13)(14)	Senior Secured Loans - First Lien	L+7.00%	10.38%	2/21/2026	138	138	134	0.1	%
Polyvision Corp. (Revolver)	Polyvision Corp. (Revolver)	(9)(13)(14)(15)	Senior Secured Loans - First Lien	L+7.50%	8.91%	8/21/2025	837		767	797	0.7	%	Polyvision Corp. (Revolver)	(9)(13)(14)	Senior Secured Loans - First Lien	L+7.50%	11.12%	8/21/2025	839	767	800	0.8	%
Total Metals & Mining	Total Metals & Mining								5,427	5,380	4.6	%	Total Metals & Mining							5,421	5,371	5.5	%
Retail	Retail												Retail
Blue Nile, Inc.		(13)	Senior Secured Loans - First Lien	L+7.00%	8.46%	2/17/2023	4,650		4,631	4,497	3.8	%

Save-a-Lot	Save-a-Lot	(13)	Senior Secured Loans - First Lien	L+7.00%	8.00%	3/12/2024	969		885	882	0.7	%	Save-a-Lot		Senior Secured Loans - First Lien	L+7.00%	8.00%	3/12/2024	962	879	836	0.9	%
Save-a-Lot	Save-a-Lot	(13)	Senior Secured Loans - First Lien	N/A	N/A	4/1/2024	126		126	115	0.1	%	Save-a-Lot		Senior Secured Loans - First Lien	N/A	N/A	4/1/2024	125	125	109	0.1	%
Save-a-Lot	Save-a-Lot	(13)(14)	Senior Secured Loans - Second Lien	L+10.75%	11.75%	10/01/24	1,260		1,823	774	0.7	%	Save-a-Lot	(13)	Senior Secured Loans - Second Lien	L+10.75%	11.75%	10/1/2024	1,260	1,759	895	0.9	%
									2,834	1,771	1.5	%
Total Retail	Total Retail								7,465	6,268	5.3	%	Total Retail							2,763	1,840	1.9	%
Services: Business	Services: Business												Services: Business
Alexander Mann Solutions (GBP Term Loan)		UK(10)(11)(13)	Senior Secured Loans - First Lien	N+5.03%	5.21%	6/16/2025	£	2,060	2,592	2,421	2.1	%
Alexander Mann Solutions (USD Term Loan)		UK(10)(11)(13)	Senior Secured Loans - First Lien	L+5.00%	5.16%	6/16/2025	890		866	859	0.7	%
Alexander Mann Solutions (Revolver)		UK(9)(10)(11)(13)(15)(17)	Senior Secured Loans - First Lien	N/A	N/A	12/16/2024	—		(25)	(20)	—	%
									3,433	3,260	2.8	%

HealthChannels, Inc.	HealthChannels, Inc.	(13)	Senior Secured Loans - First Lien	L+4.50%	5.56%	4/3/2025	2,711		2,682	2,322	2.0	%	HealthChannels, Inc.		Senior Secured Loans - First Lien	L+4.50%	7.62%	4/3/2025	1,913	1,895	1,616	1.6	%

Hersha Hospitality Management	Hersha Hospitality Management	(13)(15)	Senior Secured Loans - First Lien	S+6.00%	7.00%	3/2/2026	4,789		4,705	4,648	3.9	%	Hersha Hospitality Management	(14)	Senior Secured Loans - First Lien	S+6.00%	8.93%	3/2/2026	4,777	4,693	4,698	4.8	%

PSI Services LLC (Revolver)													PSI Services LLC (Revolver)	(9)(14)	Senior Secured Loans - First Lien	L+5.75%	8.56%	10/4/2025	298	298	275	0.3	%
PSI Services LLC (Delayed Draw)													PSI Services LLC (Delayed Draw)	(14)	Senior Secured Loans - First Lien	L+5.75%	8.56%	10/4/2026	176	176	163	0.2	%
PSI Services LLC (Delayed Draw)													PSI Services LLC (Delayed Draw)	(14)	Senior Secured Loans - First Lien	L+5.75%	8.56%	10/4/2026	417	417	387	0.4	%
PSI Services LLC													PSI Services LLC	(14)	Senior Secured Loans - First Lien	L+5.75%	8.56%	10/16/2026	2,787	2,754	2,587	2.6	%
																				3,645	3,412	3.5	%

YAK Access, LLC													YAK Access, LLC	(14)	Senior Secured Loans - Second Lien	L+10.00%	13.64%	7/10/2026	5,000	4,793	1,550	1.6	%
Total Services: Business													Total Services: Business							15,026	11,276	11.5	%
Technology													Technology
Allvue Systems (Revolver)													Allvue Systems (Revolver)	(9)(14)	Senior Secured Loans - First Lien	L+4.25%	6.33%	9/6/2024	89	77	82	0.1	%
Allvue Systems (Term Loan)													Allvue Systems (Term Loan)	(14)	Senior Secured Loans - First Lien	L+4.25%	6.33%	9/4/2026	845	842	798	0.8	%
																				919	880	0.9	%

Apptio, Inc.													Apptio, Inc.	(14)	Senior Secured Loans - First Lien	L+6.00%	9.94%	1/10/2025	4,900	4,870	4,880	5.0	%

GUGGENHEIM CREDIT INCOME FUND

CONSOLIDATED SCHEDULE OF INVESTMENTS (UNAUDITED)


June 30, 2022 (in thousands)
September 30, 2022 (in thousands)												September 30, 2022 (in thousands)
Portfolio Company (1) (2) (3)	Portfolio Company (1) (2) (3)	Footnotes	Investment	Spread Above Reference Rate (4)	Interest Rate (4) (5)	Maturity Date	Principal / Par Amount / Shares (6)	Amortized Cost (7) (8)	Fair Value	% of Net Assets		Portfolio Company (1) (2) (3)	Footnotes	Investment	Spread Above Reference Rate (4)	Interest Rate (4) (5)	Maturity Date	Principal / Par Amount / Shares (6)	Amortized Cost (7) (8)		Fair Value		% of Net Assets

PSI Services LLC (Revolver)		(9)(13)(15)	Senior Secured Loans - First Lien	L+5.75%	6.99%	10/4/2025	298	298	278	0.2	%
PSI Services LLC (Delayed Draw)		(13)(15)	Senior Secured Loans - First Lien	L+5.75%	6.99%	10/4/2026	176	176	164	0.1	%
PSI Services LLC (Delayed Draw)		(13)(15)	Senior Secured Loans - First Lien	L+5.75%	6.99%	10/4/2026	418	418	388	0.3	%
PSI Services LLC		(13)(15)	Senior Secured Loans - First Lien	L+5.75%	6.99%	10/16/2026	2,794	2,761	2,595	2.2	%
								3,653	3,425	2.8	%

YAK Access, LLC		(13)	Senior Secured Loans - Second Lien	L+10.00%	12.18%	7/10/2026	5,000	4,781	2,697	2.3	%
Total Services: Business								19,254	16,352	13.8	%
Technology
Allvue Systems (Revolver)		(9)(13)(15)	Senior Secured Loans - First Lien	L+4.25%	6.33%	9/6/2024	37	24	30	—	%
Allvue Systems (Term Loan)		(13)(15)	Senior Secured Loans - First Lien	L+4.25%	6.33%	9/4/2026	847	845	800	0.7	%
								869	830	0.7	%

Apptio, Inc.		(13)(15)	Senior Secured Loans - First Lien	L+6.00%	7.25%	1/10/2025	4,900	4,868	4,877	4.1	%
Apptio, Inc. (Revolver)	Apptio, Inc. (Revolver)	(9)(13)(15)	Senior Secured Loans - First Lien	L+6.00%	7.25%	12/3/2024	131	113	114	0.1	%	Apptio, Inc. (Revolver)	(9)(14)	Senior Secured Loans - First Lien	L+6.00%	9.94%	12/3/2024	131	110		115		0.1	%
								4,981	4,991	4.2	%								4,980		4,995		5.1	%

Datix Bidco Limited	Datix Bidco Limited	(13)(15)	Senior Secured Loans - First Lien	S+4.50%	6.01%	4/28/2025	1,931	1,913	1,899	1.6	%	Datix Bidco Limited	(14)	Senior Secured Loans - First Lien	S+4.50%	6.01%	4/28/2025	1,931	1,915		1,884		1.9	%
Datix Bidco Limited	Datix Bidco Limited	(13)(15)	Senior Secured Loans - Second Lien	S+7.75%	9.26%	4/27/2026	462	456	452	0.4	%	Datix Bidco Limited	(14)	Senior Secured Loans - Second Lien	S+7.75%	9.26%	4/27/2026	462	457		452		0.5	%
Datix Bidco Limited	Datix Bidco Limited	(13)(15)	Senior Secured Loans - First Lien	S+4.50%	6.01%	4/28/2025	3,048	3,026	2,998	2.5	%	Datix Bidco Limited	(14)	Senior Secured Loans - First Lien	S+4.50%	6.01%	4/28/2025	3,048	3,028		2,974		3.0	%
Datix Bidco Limited	Datix Bidco Limited	(13)(15)	Senior Secured Loans - Second Lien	S+7.75%	9.26%	4/27/2026	4,696	4,657	4,600	3.9	%	Datix Bidco Limited	(14)	Senior Secured Loans - Second Lien	S+7.75%	9.26%	4/27/2026	4,696	4,659		4,600		4.7	%
								10,052	9,949	8.4	%								10,059		9,910		10.1	%

Wide Orbit, Inc. (Revolver)	Wide Orbit, Inc. (Revolver)	(9)(13)(15)(17)	Senior Secured Loans - First Lien	N/A	N/A	7/8/2025	—	—	(22)	—	%	Wide Orbit, Inc. (Revolver)	(9)(14)(16)	Senior Secured Loans - First Lien	N/A	N/A	7/8/2025	—	—		(20)		—	%
Wide Orbit, Inc.		(13)(15)	Senior Secured Loans - First Lien	L+8.50%	9.75%	7/8/2025	3,079	3,057	3,057	2.6	%
								3,057	3,035	2.6	%

Wind River Systems	Wind River Systems	(13)(15)	Senior Secured Loans - First Lien	L+6.25%	7.25%	06/24/24	1,249	1,238	1,247	1.1	%	Wind River Systems	(14)	Senior Secured Loans - First Lien	L+6.25%	7.25%	6/24/2024	1,231	1,221		1,227		1.3	%

Total Technology	Total Technology							20,197	20,052	17.0	%	Total Technology							17,179		16,992		17.4	%
Telecommunications	Telecommunications											Telecommunications
Firstlight Fiber	Firstlight Fiber	(13)	Senior Secured Loans - First Lien	L+3.50%	4.56%	7/23/2025	2,174	2,168	2,041	1.7	%	Firstlight Fiber		Senior Secured Loans - First Lien	L+3.50%	6.02%	7/23/2025	2,169	2,163		2,048		2.1	%
Total Telecommunications												Total Telecommunications							2,163		2,048		2.1	%
Total Debt Investments												Total Debt Investments							$	79,708	$	71,651	73.1	%
Equity investments - 1.1%												Equity investments - 1.1%

Energy: Oil & Gas												Energy: Oil & Gas
Permian Production Partners												Permian Production Partners	(14)	Equity/Other	N/A	N/A		203,022	—		166		0.2	%
Total Energy: Oil & Gas												Total Energy: Oil & Gas							—		166		0.2	%
Retail												Retail
Save-a-Lot												Save-a-Lot		Equity/Other	N/A	N/A		53,097	—		35		—	%
Total Retail												Total Retail							—		35		—	%

Technology												Technology
Wolfhound Parent Inc. (Warrants)												Wolfhound Parent Inc. (Warrants)	(14)(15)	Equity/Other	N/A	N/A		1,975	30		805		0.8	%
Wide Orbit (Warrants)												Wide Orbit (Warrants)	(14)	Equity/Other	N/A	N/A		96,480	—		108		0.1	%
Total Technology												Total Technology							30		913		0.9	%
Total Equity Investments												Total Equity Investments							$	30	$	1,114	1.1	%

Total Investments - 74.2%												Total Investments - 74.2%							$	79,738	$	72,765	74.2	%

GUGGENHEIM CREDIT INCOME FUND

CONSOLIDATED SCHEDULE OF INVESTMENTS (UNAUDITED)

June 30, 2022 (in thousands)
Portfolio Company (1) (2) (3)
Footnotes Investment
Spread
Above
Reference
Rate (4)
Interest
Rate (4) (5)
Maturity Date
Principal / Par Amount / Shares (6)
Amortized Cost (7) (8)
Fair Value % of Net Assets
Firstlight Fiber (13) Senior Secured Loans - Second Lien L+7.50% 8.53% 7/23/2026 2,500 2,481 2,269 1.9 %
Total Telecommunications 4,649 4,310 3.6 %
Total Debt Investments $ 97,905 $ 90,145 76.4 %
Equity investments - 1.9%
Energy: Oil & Gas
Permian Production Partners (13)(15) Equity/Other N/A N/A 203,022 — 166 0.2 %
Total Energy: Oil & Gas — 166 0.2 %
Retail
Save-a-Lot (13) Equity/Other N/A N/A 53,097 — 35 — %
Total Retail — 35 — %
Technology
Onyx CenterSource (13)(15) Equity/Other N/A N/A 952,410 — 476 0.4 %
Wolfhound Parent Inc. (Warrants) (13)(15)(16) Equity/Other N/A N/A 1,975 30 1,372 1.2 %
Wide Orbit (Warrants) (13)(15) Equity/Other N/A N/A 96,480 — 108 0.1 %
Total Technology 30 1,956 1.7 %
Total Equity Investments $ 30 $ 2,157 1.9 %
Total Investments - 78.3% $ 97,935 $ 92,302 78.3 %
June 30, 2022 (in thousands)
Derivative Counterparty Settlement Date Amount Purchased Amount Sold
Amortized Cost (7) (8)
Fair Value % of Net Assets
Foreign Currency Forward Contracts
JPMorgan Chase Bank 7/15/2022 $ 2,745 £ 2,255 — $ (1) — %
$ (1) — %


September 30, 2022 (in thousands)
Derivative Counterparty	Settlement Date	Amount Purchased		Amount Sold		Amortized Cost (7) (8)	Fair Value		% of Net Assets
Foreign Currency Forward Contracts
JPMorgan Chase Bank	10/17/2022	£	16	$	18	—	$	—	—	%
JPMorgan Chase Bank	10/17/2022	$	2,824	£	2,450	—	$	88	0.1	%
							$	88	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 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.

~~GUGGENHEIM CREDIT INCOME FUND~~

~~CONSOLIDATED SCHEDULE OF INVESTMENTS (UNAUDITED)~~

(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"), Secured Overnight Financing Rate ("SOFR") (denoted as "S"), Sterling Overnight Index Average ("SONIA") (denoted as "N") 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 ~~June~~September 30, 2022, LIBO rates ranged between ~~1.79%~~3.14% for 1-month LIBOR to ~~2.94%~~4.23% for 6-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 ~~June~~September 30, 2022.

(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 ~~June~~September 30, 2022, the aggregate gross unrealized appreciation for all securities, including foreign currency forward contracts, in which there was an excess of value over tax cost was ~~$2.6~~$1.6 million; the aggregate gross unrealized depreciation for all securities, including foreign currency forward contracts, in which there was an excess of tax cost over value was ~~$9.2~~$9.8 million; the net unrealized depreciation was ~~$6.6~~$8.2 million; the aggregate cost of securities for Federal income tax purposes was ~~$98.9~~$81.0 million.

(9)The investment is either a delayed draw loan or a revolving credit facility whereby some or all of the investment commitment is undrawn as of ~~June~~September 30, 2022 (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 ~~June~~September 30, 2022, qualifying assets represented ~~95.8%~~100.0% 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 ~~June~~September 30, 2022.

(13)~~The investment position, or a portion thereof, was not pledged as collateral supporting the amounts outstanding under our credit facility as of June 30, 2022 (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.

GUGGENHEIM CREDIT INCOME FUND

CONSOLIDATED SCHEDULE OF INVESTMENTS (UNAUDITED)

Coupon Rate

PIK Component

Cash Component

PIK Option

Bioplan USA, Inc.

L+7.75%

0.50

L+7.25%

The Portfolio Company may elect PIK up to 0.50%.

Galls LLC

L+~~6.75%~~7.25%

0.50

L+~~6.25%~~6.75%

The Portfolio Company may elect PIK up to 0.50%.

Galls LLC

L+~~6.75%~~7.25%

0.50

L+~~6.25%~~6.75%

The Portfolio Company may elect PIK up to 0.50%.

Polyvision Corp.

L+7.50%

1.00

L+6.50%

The Portfolio Company may elect PIK up to 1.00%.

Polyvision Corp.

L+7.50%

1.00

L+6.50%

The Portfolio Company may elect PIK up to 1.00%.

Polyvision Corp.

L+7.00%

0.50

L+6.50%

The Portfolio Company may elect PIK up to 0.50%.

Polyvision Corp.

L+7.50%

1.00

L+6.50%

The Portfolio Company may elect PIK up to 1.00%.

Save-A-Lot

L+10.75%

10.75

L+0.00%

The Portfolio Company may elect PIK up to 10.75%.

Permian Production Partners

L+8.00%

2.00

L+6.00%

The Portfolio Company may elect PIK up to 2.00%.

~~(15)~~(14) Investments value was determined using significant unobservable inputs (see Note 2. Significant Accounting Policies).

~~(16)~~(15)Non-income producing security.

~~GUGGENHEIM CREDIT INCOME FUND~~

~~CONSOLIDATED SCHEDULE OF INVESTMENTS (UNAUDITED)~~

~~(17)~~(16)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)~~(17)Investment was on non-accrual status as of ~~June~~September 30, 2022, meaning that the Master Fund has ceased recognizing interest income on these investments. As of ~~June~~September 30, 2022, debt investments on non-accrual status represented ~~1.7%~~1.9% and 0.2% of total investments on an amortized cost basis and fair value basis, respectively.

Abbreviations:

CN = Canada; UK = United Kingdom

See Unaudited Notes to Consolidated Financial Statements.

1312

GUGGENHEIM CREDIT INCOME FUND

CONSOLIDATED SCHEDULE OF INVESTMENTS (UNAUDITED)


December 31, 2021 (in thousands)
Portfolio Company (1) (2) (3)	Footnotes	Investment	Spread Above Reference Rate (4)	Interest Rate (4) (5)	Maturity Date	Principal / Par Amount / Shares (6)		Amortized Cost (7) (8)		Fair Value		% of Net Assets

INVESTMENTS
Debt investments - 78.2%
Automotive
Accuride Corporation		Senior Secured Loans - First Lien	L+5.25%	6.25%	11/17/2023	$	4,511	$	4,457	$	4,368	2.8	%
EnTrans International, LLC	(13)	Senior Secured Loans - First Lien	L+6.00%	6.08%	11/1/2024	6,916		6,105		6,542		4.2	%
Wesco Group	(15)	Senior Secured Loans - First Lien	L+4.25%	5.25%	6/14/2024	1,217		1,210		1,214		0.8	%
Total Automotive								11,772		12,124		7.8	%
Banking, Finance, Insurance & Real Estate
Gladman Developments Ltd.	UK(10)(11)(14)(15)	Senior Secured Loans - First Lien	G+9.50%	9.62%	8/16/2024	£	2,086	2,637		2,772		1.8	%
Total Banking, Finance, Insurance & Real Estate								2,637		2,772		1.8	%
Beverage, Food & Tobacco
Checkers Holdings Inc	(13)	Senior Secured Loans - First Lien	L+4.25%	5.25%	4/25/2024	1,122		721		965		0.6	%
Total Beverage, Food & Tobacco								721		965		0.6	%
Capital Equipment
Cleaver Brooks, Inc.		Senior Secured Bonds	N/A	7.88%	3/1/2023	2,000		2,000		1,955		1.2	%
Total Capital Equipment								2,000		1,955		1.2	%
Chemicals, Plastics & Rubber
Aceto Chemicals	(15)	Senior Secured Loans - First Lien	L+5.50%	6.50%	4/29/2025	5,070		5,049		5,051		3.2	%
Aceto Chemicals (Revolver)	(9)(13)(15)(17)	Senior Secured Loans - First Lien	N/A	N/A	4/29/2025	—		(59)		(55)		—	%
								4,990		4,996		3.2	%

Drew Marine Group Inc.	(15)	Senior Secured Loans - First Lien	L+4.25%	4.47%	6/26/2026	975		965		966		0.6	%

Seal For Life Industries US LLC (Revolver)	(9)(11)(13)(15)	Senior Secured Loans - First Lien	L+7.00%	8.00%	7/24/2024	238		193		197		0.1	%
Seal For Life Industries US LLC	(11)(15)	Senior Secured Loans - First Lien	L+7.00%	8.00%	7/23/2025	6,850		6,732		6,787		4.3	%
								6,925		6,984		4.4	%
Total Chemicals, Plastics & Rubber								12,880		12,946		8.2	%










Consumer Goods: Non-Durable
Galls LLC	(14)(15)	Senior Secured Loans - First Lien	L+6.75%	7.75%	1/31/2025	3,718		3,702		3,588		2.3	%
Galls LLC (Delayed Draw B)	(14)(15)	Senior Secured Loans - First Lien	L+6.75%	7.75%	1/31/2025	545		543		526		0.3	%
Galls LLC (Revolver)	(9)(13)(15)	Senior Secured Loans - First Lien	L+5.75%	7.75%	1/31/2024	344		313		317		0.2	%
								4,558		4,431		2.8	%

Pure Fishing, Inc.	(13)	Senior Secured Loans - First Lien	L+4.50%	4.60%	12/19/2025	3,939		3,609		3,830		2.4	%
Total Consumer Goods: Non-Durable								8,167		8,261		5.2	%
Containers, Packaging & Glass

1413

GUGGENHEIM CREDIT INCOME FUND

CONSOLIDATED SCHEDULE OF INVESTMENTS (UNAUDITED)


December 31, 2021 (in thousands)
Portfolio Company (1) (2) (3)	Footnotes	Investment	Spread Above Reference Rate (4)	Interest Rate (4) (5)	Maturity Date	Principal / Par Amount / Shares (6)		Amortized Cost (7) (8)	Fair Value	% of Net Assets
Bioplan USA, Inc.	(14)	Senior Secured Loans - First Lien	L+7.75%	8.75%	12/22/2023	4,876		4,451	4,635	3.0	%
Husky Injection Molding Systems Ltd.	CN(10)(11)	Senior Secured Loans - First Lien	L+3.00%	3.35%	3/28/2025	1,940		1,859	1,911	1.2	%

Total Containers, Packaging & Glass								6,310	6,546	4.2	%
Energy: Oil & Gas
Basic Energy Services Inc	(13)(18)	Senior Secured Bonds	N/A	N/A	10/15/2023	4,475		2,041	313	0.2	%


Permian Production Partners	(13)(14)(15)	Senior Secured Loans - First Lien	L+8.00%	9.00%	11/23/2025	750		390	693	0.4	%
Total Energy: Oil & Gas								2,431	1,006	0.6	%
Healthcare & Pharmaceuticals
Alegeus Technologies LLC	(15)	Senior Secured Loans - First Lien	L+8.25%	9.25%	9/5/2024	8,000		7,974	7,844	5.0	%
Total Healthcare & Pharmaceuticals								7,974	7,844	5.0	%
Hotel, Gaming & Leisure
ASM Global		Senior Secured Loans - First Lien	L+2.50%	2.62%	1/23/2025	2,311		2,309	2,252	1.4	%
Total Hotel, Gaming & Leisure								2,309	2,252	1.4	%
Metals & Mining
Polyvision Corp.	(14)(15)	Senior Secured Loans - First Lien	L+7.50%	8.50%	2/21/2026	3,564		3,529	3,457	2.2	%
Polyvision Corp.	(14)(15)	Senior Secured Loans - First Lien	L+7.50%	8.50%	2/21/2026	1,004		994	974	0.6	%
Polyvision Corp. (Delayed Draw)	(14)(15)	Senior Secured Loans - First Lien	L+7.50%	8.50%	2/21/2026	138		138	134	0.1	%
Polyvision Corp. (Revolver)	(9)(13)(14)(15)	Senior Secured Loans - First Lien	L+7.50%	8.50%	8/21/2025	739		669	693	0.4	%
Total Metals & Mining								5,330	5,258	3.3	%
Retail
Blue Nile, Inc.		Senior Secured Loans - First Lien	L+6.50%	7.50%	2/17/2023	4,650		4,618	4,555	2.9	%

Save-a-Lot	(13)(14)(15)	Senior Secured Loans - First Lien	L+7.00%	8.00%	3/12/2024	973		887	995	0.6	%
Save-a-Lot	(13)(14)	Senior Secured Loans - Second Lien	L+10.75%	11.75%	10/1/2024	1,227		1,912	1,056	0.7	%
								2,799	2,051	1.3	%
Total Retail								7,417	6,606	4.2	%
Services: Business
Alexander Mann Solutions (GBP Term Loan)	UK(10)(11)(13)	Senior Secured Loans - First Lien	G+5.00%	5.17%	6/16/2025	£	2,060	2,589	2,697	1.7	%
Alexander Mann Solutions (USD Term Loan)	UK(10)(11)(13)	Senior Secured Loans - First Lien	L+5.00%	5.16%	6/16/2025	890		862	862	0.5	%
Alexander Mann Solutions (Revolver)	UK(9)(10)(11)(13)(15)(17)	Senior Secured Loans - First Lien	N/A	N/A	12/16/2024	—		(27)	(27)	—	%
								3,424	3,532	2.2	%

HealthChannels, Inc.		Senior Secured Loans - First Lien	L+4.50%	4.60%	4/3/2025	2,725		2,692	2,504	1.6	%

1514

GUGGENHEIM CREDIT INCOME FUND

CONSOLIDATED SCHEDULE OF INVESTMENTS (UNAUDITED)


December 31, 2021 (in thousands)
Portfolio Company (1) (2) (3)	Footnotes	Investment	Spread Above Reference Rate (4)	Interest Rate (4) (5)	Maturity Date	Principal / Par Amount / Shares (6)		Amortized Cost (7) (8)	Fair Value	% of Net Assets
Hersha Hospitality Management	(15)	Senior Secured Loans - First Lien	L+4.75%	5.75%	3/2/2026	4,728		4,645	4,634	2.9	%
Hersha Hospitality Management (Delayed Draw)	(9)(15)	Senior Secured Loans - First Lien	L+4.75%	5.75%	3/2/2026	86		62	62	—	%
								4,707	4,696	2.9	%

PSI Services LLC (Revolver)	(9)(13)(15)	Senior Secured Loans - First Lien	L+5.75%	6.75%	10/4/2025	298		298	275	0.2	%
PSI Services LLC (Delayed Draw)	(15)	Senior Secured Loans - First Lien	N/A	N/A	10/4/2026	177		177	169	0.1	%
PSI Services LLC	(15)	Senior Secured Loans - First Lien	L+5.75%	6.75%	10/4/2026	420		420	402	0.3	%
PSI Services LLC	(15)	Senior Secured Loans - First Lien	L+5.75%	6.75%	10/16/2026	2,808		2,775	2,682	1.7	%
								3,670	3,528	2.3	%


YAK Access, LLC		Senior Secured Loans - Second Lien	L+10.00%	10.13%	7/10/2026	5,000		4,762	3,350	2.1	%
Total Services: Business								19,255	17,610	11.1	%
Technology
Allvue Systems (Revolver)	(9)(13)(15)	Senior Secured Loans - First Lien	L+4.25%	4.43%	9/6/2024	129		116	122	0.1	%
Allvue Systems (Term Loan)	(15)	Senior Secured Loans - First Lien	L+4.25%	4.43%	9/4/2026	851		849	844	0.5	%
								965	966	0.6	%

Apptio, Inc.	(15)	Senior Secured Loans - First Lien	L+7.25%	8.25%	1/10/2025	4,900		4,861	4,873	3.1	%
Apptio, Inc. (Revolver)	(9)(13)(15)	Senior Secured Loans - First Lien	L+7.25%	8.25%	12/3/2024	131		109	110	0.1	%
								4,970	4,983	3.2	%

Causeway Technologies	UK(10)(11)(15)	Senior Secured Loans - First Lien	G+6.25%	6.31%	6/8/2024	£	2,638	3,365	3,570	2.3	%
Causeway Technologies	UK(10)(11)(15)	Senior Secured Loans - First Lien	G+7.00%	7.03%	6/8/2024	£	338	426	914	0.6	%
								3,791	4,484	2.9	%

Datix Bidco Limited	(15)	Senior Secured Loans - First Lien	L+4.00%	4.18%	4/28/2025	1,931		1,910	1,922	1.2	%
Datix Bidco Limited	(15)	Senior Secured Loans - Second Lien	L+7.75%	7.93%	4/27/2026	462		456	459	0.3	%
Datix Bidco Limited	(15)	Senior Secured Loans - First Lien	L+4.00%	4.18%	4/28/2025	3,048		3,022	3,034	2.0	%
Datix Bidco Limited	(15)	Senior Secured Loans - Second Lien	L+7.75%	7.93%	4/27/2026	4,696		4,652	4,669	3.0	%
								10,040	10,084	6.5	%

1615

GUGGENHEIM CREDIT INCOME FUND

CONSOLIDATED SCHEDULE OF INVESTMENTS (UNAUDITED)


December 31, 2021 (in thousands)
Portfolio Company (1) (2) (3)	Footnotes	Investment	Spread Above Reference Rate (4)	Interest Rate (4) (5)	Maturity Date	Principal / Par Amount / Shares (6)	Amortized Cost (7) (8)		Fair Value		% of Net Assets
Ministry Brands	(15)	Senior Secured Loans - First Lien	L+4.00%	5.00%	12/2/2022	934	932		925		0.6	%
Ministry Brands (Delayed Draw)	(15)	Senior Secured Loans - First Lien	L+4.00%	5.00%	12/2/2022	497	496		492		0.3	%
Ministry Brands (Delayed Draw)	(15)	Senior Secured Loans - First Lien	L+4.00%	5.00%	12/2/2022	180	180		178		0.1	%
							1,608		1,595		1.0	%

Wide Orbit, Inc.	(15)	Senior Secured Loans - First Lien	L+8.50%	9.75%	7/8/2025	3,097	3,072		3,072		2.0	%
Wide Orbit, Inc. (Revolver)	(9)(13)(15)(17)	Senior Secured Loans - First Lien	N/A	N/A	7/8/2025	—	—		(26)		—	%
							3,072		3,046		2.0	%

Wind River Systems	(15)	Senior Secured Loans - First Lien	L+6.75%	7.75%	6/24/2024	1,284	1,270		1,276		0.8	%
Total Technology							25,716		26,434		17.0	%
Telecommunications
Firstlight Fiber		Senior Secured Loans - First Lien	L+3.50%	3.58%	7/23/2025	2,186	2,179		2,164		1.4	%
Firstlight Fiber	(15)	Senior Secured Loans - Second Lien	L+7.50%	7.58%	7/23/2026	2,500	2,481		2,431		1.5	%
Total Telecommunications							4,660		4,595		2.9	%
Utilities: Electric
BHI Energy	(15)	Senior Secured Loans - Second Lien	L+8.75%	9.75%	2/28/2025	6,000	5,938		5,895		3.7	%
Total Utilities: Electric							5,938		5,895		3.7	%
Total Debt Investments							$	125,517	$	123,069	78.2	%

Equity investments - 0.7%
Beverage, Food & Tobacco
Chef's Holdings Inc.	(13)(15)(16)	Equity and Other	N/A	N/A		128	$	16	$	6	—	%
Total Beverage, Food & Tobacco							16		6		—	%
Energy: Oil & Gas
Permian Production Partners	(13)(15)	Equity and Other	N/A	N/A		203,022	—		243		0.2	%
Total Energy: Oil & Gas							—		243		0.2	%
Retail
Save-a-Lot	(13)	Equity and Other	N/A	N/A		53,097	—		173		0.1	%
Total Retail							—		173		0.1	%

Technology
Onyx CenterSource	(13)(15)	Equity and Other	N/A	N/A		952,410	—		476		0.3	%
Wolfhound Parent Inc. (Warrants)	(13)(15)(16)	Equity and Other	N/A	N/A		1,975	30		51		—	%

1716

GUGGENHEIM CREDIT INCOME FUND

CONSOLIDATED SCHEDULE OF INVESTMENTS (UNAUDITED)


December 31, 2021 (in thousands)
Portfolio Company (1) (2) (3)	Footnotes	Investment	Spread Above Reference Rate (4)	Interest Rate (4) (5)	Maturity Date	Principal / Par Amount / Shares (6)	Amortized Cost (7) (8)		Fair Value		% of Net Assets
Wide Orbit (Warrants)	(13)(15)	Equity and Other	N/A	N/A		96,480	—		121		0.1	%
Total Technology							30		648		0.4	%
Total Equity Investments							$	46	$	1,070	0.7	%

Total Investments - 78.9%							$	125,563	$	124,139	78.9	%


December 31, 2021 (in thousands)
Derivative Counterparty	Settlement Date	Amount Purchased		Amount Sold		Amortized Cost (7) (8)	Fair Value		% of Net Assets
Foreign Currency Forward Contracts
JPMorgan Chase Bank	1/14/2022	$	1,189	€	1,055	—	$	(12)	—	%
JPMorgan Chase Bank	1/14/2022	$	11,387	£	8,609	—	$	(268)	(0.2)	%

							$	(280)	(0.2)	%

_______________________

(1)Security may be an obligation of one or more entities affiliated with the named portfolio company.

(2)All debt and equity investments are income producing unless otherwise noted.

(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"), Sterling Overnight Index Average Rate ("SONIA") (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, 2021, LIBO rates ranged between 0.10% for 1-month LIBOR to 0.34% for 6-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, 2021.

(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, 2021, 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 $3.7 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 $6.2 million; the net unrealized depreciation was $(2.5) million; the aggregate cost of securities for Federal income tax purposes was $126.4 million.

(9)The investment is either a delayed draw loan or a revolving credit facility whereby some or all of the investment commitment is undrawn as of December 31, 2021 (see Note 8. Commitments and Contingencies).

1817

GUGGENHEIM CREDIT INCOME FUND

CONSOLIDATED SCHEDULE OF INVESTMENTS (UNAUDITED)

(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, 2021, qualifying assets represented 87.6% 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, 2021.

(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, 2021; (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 Rate

PIK Component

Cash Component

PIK Option

Bioplan USA, Inc.

L+7.75%

0.50

L+7.25%

The Portfolio Company may elect PIK up to 0.50%.

Galls LLC

L+6.75%

0.50

L+6.25%

The Portfolio Company may elect PIK up to 0.50%.

Galls LLC

L+6.75%

0.50

L+6.25%

The Portfolio Company may elect PIK up to 0.50%.

Gladman Developments Ltd.

G+9.50%

2.75

G+6.75%

The Portfolio Company may elect PIK up to 2.75%.

Permian Production Partners

L+8.00%

2.00

L+6.00%

The Portfolio Company may elect PIK up to 2.00%.

Polyvision Corp.

L+7.50%

1.00

L+6.50%

The Portfolio Company may elect PIK up to 1.00%.

Polyvision Corp.

L+7.50%

1.00

L+6.50%

The Portfolio Company may elect PIK up to 1.00%.

Polyvision Corp. (Delayed Draw)

L+7.50%

1.00

L+6.50%

The Portfolio Company may elect PIK up to 1.00%.

Polyvision Corp. (Revolver)

L+7.50%

1.00

L+6.50%

The Portfolio Company may elect PIK up to 1.00%.

Save-A-Lot

L+7.00%

7.00

L+0.00%

The Portfolio Company may elect PIK up to 7.00%.

Save-A-Lot

L+10.75%

10.75

L+0.00%

The Portfolio Company may elect 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 December 31, 2021, meaning that the Master Fund has ceased recognizing interest income on these investments. As of December 31, 2021, debt investments on non-accrual status represented 1.6% and 0.3% of total investments on an amortized cost basis and fair value basis, respectively.

Abbreviations:

CN = Canada; UK = United Kingdom

See Unaudited Notes to Consolidated Financial Statements.

1918

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 (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 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. The Master Fund serves as the master fund in a master fund/feeder fund structure. The Master Fund issues its shares ("Shares" or "Common Shares") to one or more affiliated feeder funds in a continuous series of private placement transactions.

In accordance with the offering documents and the intention of Guggenheim Credit Income Fund 2016 T ("GCIF 2016T") and Guggenheim Credit Income Fund 2019 ("GCIF 2019") (together, the "Feeder Funds") to provide substantial shareholder liquidity on or before December 31, 2022 and December 31, 2026 respectively, on March 30, 2021, the Boards of Trustees of the Master Fund and the Feeder Funds approved respective Plans of Liquidation for each Company (each, a “Liquidation Plan"). In accordance with the Liquidation Plans, the Master Fund will begin to effect a liquidation of its portfolio, with the intention of liquidating substantially all of its assets through liquidating distributions on or before December 31, 2022. The Feeder Funds intend to, in turn, make quarterly liquidating distributions to their shareholders with the proceeds received from the Master Fund, and will seek to distribute substantially all of their assets on or before December 31, 2022. It is intended that these distributions will be substantially composed of return of capital and will decrease the net asset value of the Master Fund and the Feeder Funds.

In accordance with the Liquidation Plan, the Master Fund and the Feeder Funds will remain registered as a BDC and intend to maintain their qualifications, as regulated investment company ("RIC") under Subchapter M of the Internal Revenue Code of 1986, as amended (the "Code").

Guggenheim Partners Investment Management, LLC ("Guggenheim" or the "Advisor") 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.

As of ~~June~~September 30, 2022, ~~the Master Fund had one wholly-owned subsidiary,~~ Hamilton Finance LLC ("Hamilton"), a previous, wholly-owned, special purpose financing subsidiary ~~organized for~~of the ~~purpose of arranging secured debt financing, entering into credit agreements and borrowing money to invest in portfolio companies.~~Master Fund was dissolved.

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, prior to September 30, 2022, the Master Fund consolidated the results of its wholly-owned subsidiary in its consolidated financial statements. All intercompany balances and transactions have been eliminated.

2019

Notes to Consolidated Financial Statements (Unaudited)

Use of Estimates

The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect (i) the reported amounts of assets and liabilities at the date of the financial statements, (ii) the reported amounts of income and expenses during the reported period and (iii) disclosure of contingent assets and liabilities at the date of the financial statements. Actual results could differ materially from those estimates under different assumptions and conditions.

Cash and Cash Equivalents

Cash consists of demand deposits held at a major U.S. financial institution and the amount recorded on the consolidated statements of assets and liabilities exceeds the Federal Deposit Insurance Corporation insured limit. Management believes the credit risk related to its demand deposits is minimal.

Cash equivalents include short-term, highly liquid instruments with an original maturity of three months or less. As of ~~June~~September 30, 2022, the Master Fund's cash equivalents of ~~$25.2~~$21.4 million were held in a U.S. Bank money market deposit account. The U.S. Bank money market deposit account is considered a Level 1 security within the fair value hierarchy. Cash and cash equivalents, at times, may exceed federal insured limits.

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.~~None

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.

~~Notes to Consolidated Financial Statements (Unaudited)~~

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.

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 Trustees"), 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~~review process on a quarterly basis and any other time when a decision regarding the fair value of the portfolio investments is required.

The U.S. Securities and Exchange Commission (the “SEC”) adopted Rule 2a-5 under the 1940 Act (“Rule 2a-5”) which establishes requirements for determining fair value in good faith and became effective September 8, 2022. Rule 2a-5 also defines when “readily available market quotations” for purposes of the 1940 Act and establishes requirements for determining whether a fund must fair value a security in good faith. Pursuant to Rule 2a-5, the Board has designated the Advisor as the valuation designee to perform fair valuation determinations for the Master Fund with respect to all Fund investments and/or other assets.

The 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 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.

2221

Notes to Consolidated Financial Statements (Unaudited)

Security Transactions and Realized/Unrealized Gains or Losses

Investments purchased on a secondary market basis are recorded on the trade date. Loan originations are recorded on the funding date. All investments sold are derecognized on the trade date. The Master Fund measures realized gains or losses from the repayment or sale of investments using the specific lot identification method. Realized gains or losses are measured by the difference between (i) the net proceeds from the repayment or sale, inclusive of any prepayment premiums and (ii) the amortized cost basis of the investment without regard to unrealized appreciation or depreciation previously recognized and include investments charged off during the period, net of recoveries. Unrealized appreciation or depreciation primarily measures the change in investment values, including the reversal of previously recorded unrealized appreciation or depreciation when gains or losses are realized. The amortized cost basis of investments includes (i) the original cost, net of original issue discount and loan origination fees, if any, and (ii) adjustments for the accretion/amortization of market discounts and premiums. The Master Fund reports changes in fair value of investments as net change in unrealized appreciation (depreciation) on investments in the consolidated statements of operations.

Interest Income

Interest income is recorded on an accrual basis and includes amortization of premiums to par value and accretion of discounts to par value. Discounts and premiums to par value on securities purchased are accreted/amortized into interest income over the life of the respective security using the effective interest method, or straight-line method, as applicable. Loan origination, closing and other fees received by the Master Fund directly or indirectly from borrowers in connection with the closing of investments are accreted over the contractual life of the debt investment as interest income based on the effective interest method.

Certain of the Master Fund’s investments in debt securities may contain a contractual payment-in-kind ("PIK") interest provision. The PIK provisions generally feature the obligation, or the option, at each interest payment date of making interest payments in (i) cash, (ii) additional securities or (iii) a combination of cash and additional securities. PIK interest, computed at the contractual rate specified in the investment’s credit agreement, is accrued as interest income and recorded as interest receivable up to the interest payment date. On the interest payment date, the Master Fund will capitalize the accrued interest receivable attributable to PIK as additional principal due from the borrower. When additional PIK securities are received on the interest payment date, they typically have the same terms, including maturity dates and interest rates, as the original securities issued. PIK interest generally becomes due on the investment'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 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.

2322

Notes to Consolidated Financial Statements (Unaudited)

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. Foreign 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 on the consolidated statements of operations.

Foreign Currency Translation, Transactions and Gains (Losses)

Foreign currency amounts are translated into U.S. dollars on the following basis: (i) at the exchange rate on the last business day of the reporting period for the fair value of investment securities, other assets and liabilities; and (ii) at the prevailing exchange rate on the respective recording dates for the purchase and sale of investment securities, income, expenses, gains and losses.

Net assets and fair values are presented based on the applicable foreign exchange rates described above and the Master Fund does not isolate that portion of the results of operations resulting from changes in foreign exchange rates on investments from the fluctuations arising from changes in fair values of investments held; therefore, fluctuations related to foreign exchange rate conversions are included with the net realized gains (losses) and unrealized appreciation (depreciation) on investments.

Net realized gains or losses on foreign currency transactions arise from sales of foreign currency, currency gains or losses realized between the trade and settlement dates on securities transactions and the difference between the amounts of dividends, interest and foreign withholding taxes recorded by the Master Fund and the U.S. dollar equivalent of the amounts actually received or paid by the Master Fund.

Unrealized appreciation (depreciation) from foreign currency translation for foreign currency forward contracts is included in net change in unrealized appreciation (depreciation) on foreign currency forward contracts in the consolidated statements of operations and is included in accumulated earnings (loss), net of distributions on the consolidated statements of assets and liabilities.

Investment Advisory Fees

The Master Fund incurs investment advisory fees including: (i) a base management 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, 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) 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 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.

2423

Notes to Consolidated Financial Statements (Unaudited)

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 on the consolidated statements of operations over the life of the borrowings.

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.

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 RIC under 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.

The Master Fund follows ASC 740, Income Taxes (“ASC 740”). ASC 740 provides guidance for how uncertain tax positions should be recognized, measured, presented and disclosed in the 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 ~~June~~September 30, 2022, open U.S. Federal and state income tax years include the tax years ended December 31, 2018 through December 31, 2021. 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.

Note 3. Investments

The following table presents the composition of the investment portfolio at amortized cost and fair value as of ~~June~~September 30, 2022 and December 31, 2021, respectively, with corresponding percentages of total investments at fair value:

2524

Notes to Consolidated Financial Statements (Unaudited)


		June 30, 2022						December 31, 2021							September 30, 2022						December 31, 2021
		Amortized Cost		Fair Value		Percentage of Investments at Fair Value		Amortized Cost		Fair Value		Percentage of Investments at Fair Value			Amortized Cost		Fair Value		Percentage of Investments at Fair Value		Amortized Cost		Fair Value		Percentage of Investments at Fair Value
Senior secured loans - first lien	Senior secured loans - first lien	$	80,088	$	77,314	83.8	%	$	101,275	$	102,941	82.9	%	Senior secured loans - first lien	$	66,520	$	64,036	88.0	%	$	101,275	$	102,941	82.9	%
Senior secured loans - second lien	Senior secured loans - second lien	14,198		10,792		11.7		20,201		17,860		14.4		Senior secured loans - second lien	11,668		7,497		10.3		20,201		17,860		14.4
Senior secured bonds	Senior secured bonds	3,619		2,039		2.2		4,041		2,268		1.8		Senior secured bonds	1,520		118		0.2		4,041		2,268		1.8

Total senior debt	Total senior debt	$	97,905	$	90,145	97.7	%	$	125,517	$	123,069	99.1	%	Total senior debt	$	79,708	$	71,651	98.5	%	$	125,517	$	123,069	99.1	%

Equity and other	Equity and other	30		2,157		2.3		46		1,070		0.9		Equity and other	30		1,114		1.5		46		1,070		0.9
Total investments	Total investments	$	97,935	$	92,302	100.0	%	$	125,563	$	124,139	100.0	%	Total investments	$	79,738	$	72,765	100.0	%	$	125,563	$	124,139	100.0	%

The following table presents the composition of the investment portfolio by industry classifications at amortized cost and fair value as of ~~June~~September 30, 2022 and December 31, 2021, respectively, with corresponding percentages of total investments at fair value:


		June 30, 2022						December 31, 2021							September 30, 2022						December 31, 2021
Industry Classification	Industry Classification	Amortized Cost		Fair Value		Percentage of Investments at Fair Value		Amortized Cost		Fair Value		Percentage of Investments at Fair Value		Industry Classification	Amortized Cost		Fair Value		Percentage of Investments at Fair Value		Amortized Cost		Fair Value		Percentage of Investments at Fair Value
Technology	Technology	$	20,227	$	22,008	23.8	%	$	25,746	$	27,082	21.8	%	Technology	$	17,209	$	17,905	24.5	%	$	25,746	$	27,082	21.8	%
Services: Business	Services: Business	19,254		16,352		17.8		19,255		17,610		14.2		Services: Business	15,026		11,276		15.5		19,255		17,610		14.2
Consumer Goods: Non-Durable	Consumer Goods: Non-Durable	8,217		7,815		8.5		8,167		8,261		6.7		Consumer Goods: Non-Durable	8,383		7,891		10.8		8,167		8,261		6.7
Healthcare & Pharmaceuticals	Healthcare & Pharmaceuticals	7,984		7,658		8.3		7,974		7,844		6.3		Healthcare & Pharmaceuticals	7,986		7,784		10.7		7,974		7,844		6.3
Retail		7,465		6,303		6.8		7,417		6,779		5.5
Chemicals, Plastics & Rubber	Chemicals, Plastics & Rubber	6,165		6,112		6.6		12,880		12,946		10.4		Chemicals, Plastics & Rubber	6,157		6,091		8.4		12,880		12,946		10.4
Containers, Packaging & Glass		6,397		5,765		6.2		6,310		6,546		5.3
Metals & Mining	Metals & Mining	5,427		5,380		5.8		5,330		5,258		4.2		Metals & Mining	5,421		5,371		7.4		5,330		5,258		4.2
Automotive	Automotive	5,285		4,834		5.3		11,772		12,124		9.8		Automotive	5,282		4,779		6.6		11,772		12,124		9.8
Containers, Packaging & Glass														Containers, Packaging & Glass	4,583		3,911		5.4		6,310		6,546		5.3
Hotel, Gaming & Leisure														Hotel, Gaming & Leisure	2,291		2,193		3.0		2,309		2,252		1.8
Telecommunications	Telecommunications	4,649		4,310		4.7		4,660		4,595		3.7		Telecommunications	2,163		2,048		2.8		4,660		4,595		3.7
Hotel, Gaming & Leisure		2,297		2,161		2.3		2,309		2,252		1.8
Capital Equipment		2,000		1,860		2.0		2,000		1,955		1.6
Retail														Retail	2,763		1,875		2.6		7,417		6,779		5.5
Beverage, Food & Tobacco	Beverage, Food & Tobacco	719		993		1.1		2,431		1,249		1.0		Beverage, Food & Tobacco	715		949		1.3		2,431		1,249		1.0
Energy: Oil & Gas	Energy: Oil & Gas	1,849		751		0.8		737		971		0.8		Energy: Oil & Gas	1,759		692		1.0		737		971		0.8
Capital Equipment														Capital Equipment	—		—		—		2,000		1,955		1.6
Utilities: Electric	Utilities: Electric	—		—		—		5,938		5,895		4.7		Utilities: Electric	—		—		—		5,938		5,895		4.7
Banking, Finance, Insurance & Real Estate	Banking, Finance, Insurance & Real Estate	—		—		—		2,637		2,772		2.2		Banking, Finance, Insurance & Real Estate	—		—		—		2,637		2,772		2.2

Total investments	Total investments	$	97,935	$	92,302	100.0	%	$	125,563	$	124,139	100.0	%	Total investments	$	79,738	$	72,765	100.0	%	$	125,563	$	124,139	100.0	%

The following table presents the geographic dispersion of the investment portfolio as a percentage of total investments at fair value as of ~~June~~September 30, 2022 and December 31, 2021:


Geographic Dispersion	Geographic Dispersion	June 30, 2022		December 31, 2021		Geographic Dispersion	September 30, 2022		December 31, 2021
United States of America	United States of America	94.6	%	89.8	%	United States of America	100.0	%	89.8	%
United Kingdom	United Kingdom	3.5		8.7		United Kingdom	—		8.7
Canada	Canada	1.9		1.5		Canada	—		1.5

Total investments	Total investments	100.0	%	100.0	%	Total investments	100.0	%	100.0	%

2625

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 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.

The following tables present the Master Fund's open foreign currency forward contracts as of ~~June~~September 30, 2022 and December 31, 2021:


June 30, 2022
September 30, 2022													September 30, 2022
Foreign Currency	Foreign Currency	Settlement Date	Statement Location	Counterparty	Amount Transacted		Notional Value at Settlement		Notional Value at Period End		Fair Value		Foreign Currency	Settlement Date	Statement Location	Counterparty	Amount Transacted		Notional Value at Settlement		Notional Value at Period End		Fair Value
GBP	GBP	July 15, 2022	Unrealized depreciation on foreign currency forward contracts	JPMorgan Chase Bank, N.A.	£	2,255	$	2,745	$	2,746	$	(1)	GBP	October 17, 2022	Unrealized appreciation on foreign currency forward contracts	JPMorgan Chase Bank, N.A.	£	2,450	$	2,824	$	2,736	$	88

USD													USD	October 17, 2022	Unrealized depreciation on foreign currency forward contracts	JPMorgan Chase Bank, N.A.	£	18	18		18		—
Total	Total						$	2,745	$	2,746	$	(1)	Total						$	2,842	$	2,754	$	88


December 31, 2021
Foreign Currency	Settlement Date	Statement Location	Counterparty	Amount Transacted		Notional Value at Settlement		Notional Value at Period End		Fair Value
EUR	January 14, 2022	Unrealized depreciation on foreign currency forward contracts	JPMorgan Chase Bank, N.A.	€	1,055	$	1,189	$	1,201	$	(12)
GBP	January 14, 2022	Unrealized depreciation on foreign currency forward contracts	JPMorgan Chase Bank, N.A.	£	8,609	11,387		11,655		(268)
Total						$	12,576	$	12,856	$	(280)

The following table presents the net realized and unrealized gains and losses on derivative instruments recorded by the Master Fund for the three and ~~six~~nine months ended ~~June~~September 30, 2022 and ~~June~~September 30, 2021:


			For the Three Months Ended June 30,				For the Six Months Ended June 30,						For the Three Months Ended September 30,				For the Nine Months Ended September 30,
		Statement Location	2022		2021		2022		2021			Statement Location	2022		2021		2022		2021
Net realized losses
Net realized gains (losses)											Net realized gains (losses)
Foreign currency forward contracts	Foreign currency forward contracts	Net realized gains (losses) on foreign currency forward contracts	$	178	$	(96)	$	53	$	(1,120)	Foreign currency forward contracts	Net realized gains (losses) on foreign currency forward contracts	$	167	$	282	$	220	$	(838)
Net change in unrealized appreciation	Net change in unrealized appreciation										Net change in unrealized appreciation
Foreign currency forward contracts	Foreign currency forward contracts	Net change in unrealized appreciation on foreign currency forward contracts	25		35		279		1,015		Foreign currency forward contracts	Net change in unrealized appreciation on foreign currency forward contracts	89		56		368		1,071
Net realized and unrealized gains (losses) on foreign currency forward contracts			$	203	$	(61)	$	332	$	(105)
Net realized and unrealized gains on foreign currency forward contracts											Net realized and unrealized gains on foreign currency forward contracts		$	256	$	338	$	588	$	233

Notes to Consolidated Financial Statements (Unaudited)

For derivatives traded under an International Swaps and Derivatives Association Master Agreement ("ISDA Master Agreement"), the collateral requirements are typically calculated by netting the mark-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 statements of assets and liabilities as collateral 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.

~~Notes to Consolidated Financial Statements (Unaudited)~~

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 ~~June~~September 30, 2022 and December 31, 2021:


As of	As of	Counterparty	Gross Derivative Assets in Statement of Assets and Liabilities		Gross Derivative Liabilities in Statement of Assets and Liabilities		Collateral Pledged (Received)		Net position of Derivative Assets, Liabilities and Pledged Collateral		As of	Counterparty	Gross Derivative Assets in Statement of Assets and Liabilities		Gross Derivative Liabilities in Statement of Assets and Liabilities		Collateral Pledged (Received)		Net position of Derivative Assets, Liabilities and Pledged Collateral
June 30, 2022		JP Morgan Chase Bank, N.A.	$	—	$	(1)	$	—	$	(1)
September 30, 2022											September 30, 2022	JP Morgan Chase Bank, N.A.	$	88	$	—	$	—	$	88
December 31, 2021	December 31, 2021	JP Morgan Chase Bank, N.A.	$	—	$	(280)	$	—	$	(280)	December 31, 2021	JP Morgan Chase Bank, N.A.	$	—	$	(280)	$	—	$	(280)

Note 5. Fair Value of Financial Instruments

The following tables present the segmentation of the investment portfolio at fair value, as of ~~June~~September 30, 2022 and December 31, 2021, according to the fair value hierarchy as described in Note 2. Significant Accounting Policies:


		June 30, 2022													September 30, 2022
		Level 1			Level 2			Level 3			Total				Level 1			Level 2			Level 3			Total
Investments	Investments													Investments
Senior secured loans - first lien	Senior secured loans - first lien	$	—		$	25,474		$	51,840		$	77,314		Senior secured loans - first lien	$	—		$	18,470		$	45,566		$	64,036
Senior secured loans - second lien	Senior secured loans - second lien	—			5,740			5,052			10,792			Senior secured loans - second lien	—			895			6,602			7,497
Senior secured bonds	Senior secured bonds	—			1,860			179			2,039			Senior secured bonds	—			—			118			118

Total senior debt	Total senior debt	$	—		$	33,074		$	57,071		$	90,145		Total senior debt	$	—		$	19,365		$	52,286		$	71,651

Equity and other	Equity and other	—			35			2,122			2,157			Equity and other	—			35			1,079			1,114
Total investments	Total investments	$	—		$	33,109		$	59,193		$	92,302		Total investments	$	—		$	19,400		$	53,365		$	72,765
Percentage	Percentage	0.0		%	35.9		%	64.1		%	100.0		%	Percentage	0.0		%	26.7		%	73.3		%	100.0		%
Derivative Instruments	Derivative Instruments													Derivative Instruments

Foreign currency forward contracts	Foreign currency forward contracts	$	—		$	(1)		$	—		$	(1)		Foreign currency forward contracts	$	—		$	88		$	—		$	88


	December 31, 2021
	Level 1			Level 2			Level 3			Total
Investments
Senior secured loans - first lien	$	—		$	38,280		$	64,661		$	102,941
Senior secured loans - second lien	—			3,350			14,510			17,860
Senior secured bonds	—			2,268			—			2,268

Total senior debt	$	—		$	43,898		$	79,171		$	123,069

Equity and other	—			173			897			1,070
Total investments	$	—		$	44,071		$	80,068		$	124,139
Percentage	0.0		%	35.5		%	64.5		%	100.0		%
Derivative Instruments

Foreign currency forward contracts	$	—		$	(280)		$	—		$	(280)

Notes to Consolidated Financial Statements (Unaudited)

Significant Level 3 Unobservable Inputs

The following tables present quantitative information related to the significant Level 3 unobservable inputs associated with the determination of fair value for certain investments as of ~~June~~September 30, 2022 and December 31, 2021:

~~Notes to Consolidated Financial Statements (Unaudited)~~

June 30, 2022

September 30, 2022

Asset Category

Fair Value

Valuation Techniques (1)

Unobservable Inputs (2)

Weighted Average Input Value

Range (3)

Impact to Valuation from an Increase in Input (4)

Asset Category

Fair Value

Valuation Techniques (1)

Unobservable Inputs (2)

Weighted Average Input Value

Range (3)

Impact to Valuation from an Increase in Input (4)

Senior Secured Loans - First Lien

47,851

Yield analysis

Yield

9.44%

5.84% - 12.81%

Decrease

Senior Secured Loans - First Lien

45,158

Yield analysis

Yield

10.72%

0% - 13.61%

Decrease

Senior Secured Loans - Second Lien

5,052

Yield analysis

Yield

9.00%

Decrease

Senior Secured Loans - Second Lien

5,052

Yield analysis

Yield

10.00%

Decrease

Equity/Other

476

Transacted value

Potential Transaction

50.00%

Increase

Equity/Other

166

Market comparable

Cash Flow Multiple

Increase

166

Market comparable

Cash Flow Multiple

Increase

Market comparable

Oil production multiple (5)

28043x

Increase

Market comparable

Oil production multiple (5)

28043x

Increase

Market comparable

Oil reserve multiple (6)

12.3x

Increase

Market comparable

Oil reserve multiple (6)

12.3x

Increase

805

Market comparable

EBITDA multiple

10.1x

Increase

1,372

Market comparable

EBITDA multiple

10.1x

Increase

Market comparable

Discount Rate

25.00%

Decrease

Market comparable

Discount Rate

25.00%

Decrease

108

Discounted cash flow

EBITDA multiple

10.6x

Increase

108

Discounted cash flow

EBITDA multiple

10.6x

Increase

Discounted cash flow

Discount Rate

20.00%

Decrease

Discounted cash flow

Discount Rate

20.00%

Decrease

Total

55,025

Total

51,289

_______________

(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 ~~June~~September 30, 2022, the Master Fund had investments of this nature measured at fair value totaling ~~$4.2~~$2.1 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)Oil production multiple is valued based on thousand barrels of oil equivalent per day (MBOE/d).

(6)Oil reserve multiple is valued based on million barrels of oil equivalent (MMBOE).

2928

Notes to Consolidated Financial Statements (Unaudited)

December 31, 2021

Asset Category

Fair Value

Valuation Techniques (1)

Unobservable Inputs (2)

Weighted Average Input Value

Range (3)

Impact to Valuation from an Increase in Input (4)

Senior Secured Loans - First Lien

61,459

Yield analysis

Yield

7.30%

4.49% - 12.89%

Decrease

914

Transacted value

Potential Transaction

200.00

Increase

Discounted cash flow

EBITDA multiple

11.0x

Increase

Senior Secured Loans - Second Lien

11,023

Yield analysis

Yield

8.97%

8.25% - 9.60%

Decrease

Equity/Other

476

Transacted value

Potential Transaction

50.00%

Increase

243

Market comparable

Cash Flow Multiple

3.0x

Increase

Market comparable

Oil production multiple (5)

22301x

Increase

Market comparable

Oil reserve multiple (6)

10.1x

Increase

Market comparable

EBITDA multiple

21.5x

Increase

Market comparable

Discount Rate

25.00%

Decrease

Discounted cash flow

Discount Rate

25.00%

Decrease

Discounted cash flow

Terminal EBITDA Multiple

5.8x

Increase

121

Discounted cash flow

EBITDA multiple

10.6x

Increase

Discounted cash flow

Discount Rate

20.00%

Decrease

Total

74,293

_______________

(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, 2021, the Master Fund had investments of this nature measured at fair value totaling $5.8 million.

(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.

3029

Notes to Consolidated Financial Statements (Unaudited)

The following tables present a roll-forward of the fair value changes for all investments for which the Master Fund determines fair value using Level 3 unobservable inputs for the three and ~~six~~nine months ended ~~June~~September 30, 2022 and ~~June~~September 30, 2021:


		For the Three Months Ended June 30, 2022						For the Three Months Ended September 30, 2022
		Senior Secured Loans - First Lien		Senior Secured Loans - Second Lien		Senior Secured Bonds			Equity and Other		Total			Senior Secured Loans - First Lien		Senior Secured Loans - Second Lien		Senior Secured Bonds		Equity and Other		Total
Balance as of April 1, 2022		$	48,893	$	13,438	$	—		$	2,322	$	64,653
Balance as of July 1, 2022													Balance as of July 1, 2022	$	51,840	$	5,052	$	179	$	2,122	$	59,193
Additions (1)	Additions (1)	424		—		—			—		424		Additions (1)	750		—		—		—		750
Sales and repayments (2)	Sales and repayments (2)	(603)		(6,000)		(306)			—		(6,909)		Sales and repayments (2)	(3,639)		—		(104)		(952)		(4,695)
Net realized gains (3)	Net realized gains (3)	14		55		—			—		69		Net realized gains (3)	28		—		5		952		985
Net change in unrealized appreciation (depreciation) on investments (4)	Net change in unrealized appreciation (depreciation) on investments (4)	(935)		(33)		395			(200)		(773)		Net change in unrealized appreciation (depreciation) on investments (4)	144		(1,161)		38		(1,043)		(2,022)
Net discount accretion	Net discount accretion	73		5		—			—		78		Net discount accretion	26		14		—		—		40

Transfers into Level 3 (5)	Transfers into Level 3 (5)	4,487		—		90			—		4,577		Transfers into Level 3 (5)	406		2,697		—		—		3,103
Transfers out of Level 3 (6)	Transfers out of Level 3 (6)	(513)		(2,413)		—			—		(2,926)		Transfers out of Level 3 (6)	(3,989)		—		—		—		(3,989)
Fair value balance as of June 30, 2022		$	51,840	$	5,052	$	179		$	2,122	$	59,193
Change in net unrealized appreciation (depreciation) on investments held as of June 30, 2022		$	(935)	$	(81)	$	395		$	(200)	$	(821)
Fair value balance as of September 30, 2022													Fair value balance as of September 30, 2022	$	45,566	$	6,602	$	118	$	1,079	$	53,365
Change in net unrealized appreciation (depreciation) on investments held as of September 30, 2022													Change in net unrealized appreciation (depreciation) on investments held as of September 30, 2022	$	182	$	(1,161)	$	38	$	(566)	$	(1,507)


		For the Six Months Ended June 30, 2022						For the Nine Months Ended September 30, 2022
		Senior Secured Loans - First Lien		Senior Secured Loans - Second Lien		Senior Secured Bonds			Equity and Other		Total			Senior Secured Loans - First Lien		Senior Secured Loans - Second Lien		Senior Secured Bonds		Equity and Other		Total
Balance as of January 1, 2022	Balance as of January 1, 2022	$	64,661	$	14,510	$	—		$	897	$	80,068	Balance as of January 1, 2022	$	64,661	$	14,510	$	—	$	897	$	80,068
Additions (1)	Additions (1)	1,648		—		—			—		1,648		Additions (1)	2,399		—		—		—		2,399
Sales and repayments (2)	Sales and repayments (2)	(17,251)		(6,000)		(306)			(2)		(23,559)		Sales and repayments (2)	(20,889)		(6,000)		(410)		(954)		(28,253)
Net realized gains (losses) (3)		649		55		—			(14)		690
Net realized gains (3)													Net realized gains (3)	677		55		5		938		1,675
Net change in unrealized appreciation (depreciation) on investments (4)	Net change in unrealized appreciation (depreciation) on investments (4)	(1,965)		(59)		395			1,241		(388)		Net change in unrealized appreciation (depreciation) on investments (4)	(1,822)		(1,219)		433		198		(2,410)
Net discount accretion	Net discount accretion	124		14		—			—		138		Net discount accretion	149		27		—		—		176
Restructuring		—		—		—			—		—

Transfers into Level 3 (5)	Transfers into Level 3 (5)	4,487		—		90			—		4,577		Transfers into Level 3 (5)	4,893		2,697		90		—		7,680
Transfers out of Level 3 (6)	Transfers out of Level 3 (6)	(513)		(3,468)		—			—		(3,981)		Transfers out of Level 3 (6)	(4,502)		(3,468)		—		—		(7,970)
Fair value balance as of June 30, 2022		$	51,840	$	5,052	$	179		$	2,122	$	59,193
Change in net unrealized appreciation (depreciation) on investments held as of June 30, 2022		$	(1,214)	$	(82)	$	287		$	1,230	$	221
Fair value balance as of September 30, 2022													Fair value balance as of September 30, 2022	$	45,566	$	6,602	$	118	$	1,079	$	53,365
Change in net unrealized appreciation (depreciation) on investments held as of September 30, 2022													Change in net unrealized appreciation (depreciation) on investments held as of September 30, 2022	$	(432)	$	(1,916)	$	325	$	677	$	(1,346)

_______________

(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 ~~(loss)~~ 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 ~~six~~nine months ended ~~June~~September 30, 2022, 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 ~~six~~nine months ended ~~June~~September 30, 2022, 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.

3130

Notes to Consolidated Financial Statements (Unaudited)


		For the Three Months Ended June 30, 2021						For the Three Months Ended September 30, 2021
		Senior Secured Loans - First Lien		Senior Secured Loans - Second Lien		Senior Secured Bonds			Equity and Other		Total			Senior Secured Loans - First Lien		Senior Secured Loans - Second Lien		Senior Secured Bonds		Equity and Other		Total
Balance as of April 1, 2021		$	135,445	$	20,619	$	—		$	1,258	$	157,322
Balance as of July 1, 2021													Balance as of July 1, 2021	$	101,937	$	19,841	$	153	$	1,869	$	123,800
Additions (1)	Additions (1)	632		1		153			—		786		Additions (1)	637		—		935		—		1,572
Sales and repayments (2)	Sales and repayments (2)	(40,803)		—		—			(4)		(40,807)		Sales and repayments (2)	(22,295)		(3,000)		(174)		(1,174)		(26,643)
Net realized gains (losses) (3)	Net realized gains (losses) (3)	(1,854)		—		—			4		(1,850)		Net realized gains (losses) (3)	268		20		17		(1,834)		(1,529)
Net change in unrealized appreciation on investments (4)		6,213		200		—			611		7,024
Net change in unrealized appreciation (depreciation) on investments (4)													Net change in unrealized appreciation (depreciation) on investments (4)	(46)		55		49		2,026		2,084
Net discount accretion	Net discount accretion	90		11		—			—		101		Net discount accretion	68		11		—		—		79

Transfers into Level 3 (5)	Transfers into Level 3 (5)	3,178		—		—			—		3,178		Transfers into Level 3 (5)	3,156		—		—		—		3,156
Transfers out of Level 3 (6)	Transfers out of Level 3 (6)	(964)		(990)		—			—		(1,954)		Transfers out of Level 3 (6)	—		—		—		—		—
Fair value balance as of June 30, 2021		$	101,937	$	19,841	$	153		$	1,869	$	123,800
Change in net unrealized appreciation on investments held as of June 30, 2021		$	1,186	$	199	$	—		$	614	$	1,999
Fair value balance as of September 30, 2021													Fair value balance as of September 30, 2021	$	83,725	$	16,927	$	980	$	887	$	102,519
Change in net unrealized appreciation (depreciation) on investments held as of September 30, 2021													Change in net unrealized appreciation (depreciation) on investments held as of September 30, 2021	$	25	$	(1)	$	49	$	(38)	$	35


		For the Six Months Ended June 30, 2021										For the Nine Months Ended September 30, 2021
		Senior Secured Loans - First Lien		Senior Secured Loans - Second Lien		Senior Secured Bonds		Senior Unsecured Debt		Equity and Other			Total			Senior Secured Loans - First Lien		Senior Secured Loans - Second Lien		Senior Secured Bonds		Senior Unsecured Debt		Equity and Other		Total
Balance as of January 1, 2021	Balance as of January 1, 2021	$	167,513	$	19,622	$	—	$	2,128	$	2,205		$	191,468	Balance as of January 1, 2021	$	167,513	$	19,622	$	—	$	2,128	$	2,205	$	191,468
Additions (1)	Additions (1)	2,368		32		153		—		—			2,553		Additions (1)	3,005		32		1,088		—		—		4,125
Sales and repayments (2)	Sales and repayments (2)	(75,043)		—		—		(2,118)		(1,654)			(78,815)		Sales and repayments (2)	(97,338)		(3,000)		(174)		(2,118)		(2,828)		(105,458)
Net realized gains (losses) (3)	Net realized gains (losses) (3)	(563)		—		—		21		(789)			(1,331)		Net realized gains (losses) (3)	(295)		20		17		21		(2,623)		(2,860)
Net change in unrealized appreciation (depreciation) on investments (4)	Net change in unrealized appreciation (depreciation) on investments (4)	5,497		285		—		(29)		2,107			7,860		Net change in unrealized appreciation (depreciation) on investments (4)	5,451		340		49		(29)		4,133		9,944
Net discount accretion	Net discount accretion	204		(38)		—		(2)		—			164		Net discount accretion	272		(27)		—		(2)		—		243

Transfers into Level 3 (5)	Transfers into Level 3 (5)	8,164		2,700		—		—		—			10,864		Transfers into Level 3 (5)	11,320		2,700		—		—		—		14,020
Transfers out of Level 3 (6)	Transfers out of Level 3 (6)	(6,203)		(2,760)		—		—		—			(8,963)		Transfers out of Level 3 (6)	(6,203)		(2,760)		—		—		—		(8,963)
Fair value balance as of June 30, 2021		$	101,937	$	19,841	$	153	$	—	$	1,869		$	123,800
Change in net unrealized appreciation on investments held as of June 30, 2021		$	1,502	$	233	$	—	$	—	$	1,735		$	3,470
Fair value balance as of September 30, 2021															Fair value balance as of September 30, 2021	$	83,725	$	16,927	$	980	$	—	$	887	$	102,519
Change in net unrealized appreciation on investments held as of September 30, 2021															Change in net unrealized appreciation on investments held as of September 30, 2021	$	1,996	$	11	$	49	$	—	$	1,755	$	3,811

_______________

(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 ~~six~~nine months ended ~~June~~September 30, 2021, 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 ~~six~~nine months ended ~~June~~September 30, 2021, 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.

Note 6. Related Party Agreements and Transactions

The Master Fund is affiliated with Guggenheim Credit Income Fund 2016 T ("GCIF 2016T") and Guggenheim Credit Income Fund 2019 ("GCIF 2019") (together, the "Feeder Funds"). The membership of the Boards of Trustees for the Master Fund, GCIF 2016T and GCIF 2019 are identical. The Feeder Funds have invested, and/or intend to invest, substantially all of the proceeds from their public offerings of common shares in the acquisition of the Master Fund's Common Shares.

One of the Master Fund's executive officers, Brian Binder, Senior Vice President, serves as an executive officer of Guggenheim. All of the Master Fund's executive officers also serve as executive officers of the Feeder Funds.

3231

Notes to Consolidated Financial Statements (Unaudited)

Guggenheim and/or its affiliates 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, as more fully discussed below.

Investment Advisory Agreements and Compensation of the Advisor

The Master Fund is party to an Investment Advisory Agreement with Guggenheim, 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 Fees: The management 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.

Performance-based Incentive Fee: The performance-based incentive fee consists of two parts: (i) an incentive fee on income and (ii) an incentive fee on capital gains.

(i)The incentive fee on income is paid quarterly, if earned; it is computed as the sum of (A) 100% of quarterly pre-incentive fee net investment income in excess of 1.875% of average adjusted capital up to a limit of 2.344% of average adjusted capital, and (B) 20% of pre-incentive fee net investment income in excess of 2.344% of average adjusted capital.

(ii)The incentive fee on capital gains is paid annually, if earned; it is equal to 20% of realized capital gains on a cumulative basis from inception, net of (A) all realized capital losses and unrealized depreciation on a cumulative basis from inception, and (B) the aggregate amount, if any, of previously paid incentive fees on capital gains.

All fees are computed in accordance with a detailed fee calculation methodology as approved by the Board of Trustees.

The Investment Advisory Agreement may be terminated at any time, without the payment of any penalty: (i) by the Master Fund upon 60 days' written notice to Guggenheim, or (ii) by Guggenheim upon not less than 120 days' written notice to the Master Fund. In the event that the Investment Advisory Agreement is terminated by Guggenheim, and if the Independent Trustees elect to continue the Master Fund, then Guggenheim shall pay all direct expenses incurred by the Master Fund as a result of Guggenheim'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.

Administrative Services Agreement

The Master Fund entered into an administrative services agreement with Guggenheim (the "Administrative Services Agreement") whereby Guggenheim agreed to provide administrative services to the Master Fund, including office facilities and equipment, and clerical, bookkeeping and record-keeping services. More specifically, Guggenheim, serving as the administrator (the "Administrator"), performs and oversees 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 SEC. In addition, the Administrator assists in determining net asset value, overseeing the preparation and filing of tax returns, overseeing 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 reimburses the Administrator for the allocable portion of overhead and other expenses incurred by the Administrator in performing its obligations under the Administrative Services Agreement. To the extent that the Administrator outsources any of its functions, the Master Fund may pay the fees associated with such functions on a direct basis, without incremental profit to the Administrator.

3332

Notes to Consolidated Financial Statements (Unaudited)

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, 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 for 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.

Dealer Manager Agreement

The Master fund is party to a dealer manager agreement, as amended (the "Dealer Manager Agreement") with Guggenheim Funds Distributors, LLC ("GFD") 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 2019's public offerings of common shares and (ii) the public offering of common shares for future feeder funds affiliated with the Master Fund. The 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 calendar days' written notice to the other party.

Capital Structuring Fees and Administrative Agency Fees

Guggenheim and 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.

Summary of Related Party Transactions

The following table presents the related party fees, expenses and transactions for the three and ~~six~~nine months ended ~~June~~September 30, 2022 and ~~June~~September 30, 2021:


Related Party (1) (2)	Related Party (1) (2)		For the Three Months Ended June 30,				For the Six Months Ended June 30,				Related Party (1) (2)		For the Three Months Ended September 30,				For the Nine Months Ended September 30,
		Source Agreement & Description	2022		2021		2022		2021			Source Agreement & Description	2022		2021		2022		2021
		Expenses:										Expenses:

Guggenheim	Guggenheim	Investment Advisory Agreement - management fee	$	572	$	1,294	$	1,220	$	2,691	Guggenheim	Investment Advisory Agreement - management fee	$	482	$	1,066	$	1,702	$	3,757

Guggenheim	Guggenheim	Administrative Services Agreement - expense reimbursement	169		84		229		216		Guggenheim	Administrative Services Agreement - expense reimbursement	119		75		348		291
		Income:										Income:
Guggenheim	Guggenheim	Share on capital structuring fees and administrative agency fees	3		4		6		11		Guggenheim	Share on capital structuring fees and administrative agency fees	2		8		8		20

_______________

(1)Related party transactions not included in 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. In accordance with the Liquidation Plan, the Master Fund’s share repurchase program has been suspended effective March 31, 2021.

(2)As of ~~June~~September 30, 2022 and ~~June~~September 30, 2021, 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 respective period.

Co-Investment Transactions Exemptive Relief

The Master Fund was granted an SEC exemptive order which grants the Master Fund exemptive relief permitting the Master Fund, subject to the satisfaction of specific conditions and requirements, to co-invest in privately negotiated investment transactions with certain affiliates of Guggenheim.

Indemnification

The Investment Advisory Agreement and Administrative Services Agreement provide certain indemnifications to Guggenheim, its directors, officers, persons associated with Guggenheim and its 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 ~~June~~September 30, 2022 and December 31, 2021, management believes that the risk of incurring any losses for such indemnifications is remote.

3433

Notes to Consolidated Financial Statements (Unaudited)

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. During the period ending June 30, 2022, the Hamilton Credit Facility provided for (i) average borrowings in an aggregate principal amount of $0.0 million on a committed basis, (ii) a revolving feature on all amounts above the minimum utilization amount, (iii) an interest rate of 3-month LIBOR +2.50%, (iv) a draw-down term which ended November 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 (vii) unused commitment fees payable 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.

On November 29, 2021, Hamilton repaid in full all outstanding amounts due in connection with, and terminated all commitments under, the Hamilton Credit Facility.

~~Hamilton's borrowings as~~ As of ~~December 31, 2021 were as follows:~~

Hamilton Credit Facility - Borrowing Summary
As of Principal Amount Committed Principal Amount Outstanding
Carrying Value (1)
Interest Rate (2)
Maturity Date Maturity Term
December 31, 2021 $ — $ — $ — 2.62 % 12/29/22 1.0 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 June~~September 30, 2022, and December 31, 2021) 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.~~

~~There are no borrowings outstanding as of June 30, 2022.~~was dissolved.

The components of the Master Fund's interest expense and other financing costs for three and ~~six~~nine months ended ~~June~~September 30, 2022 and ~~June~~September 30, 2021 were as follows:


		For the Three Months Ended June 30,						For the Six Months Ended June 30,							For the Three Months Ended September 30,						For the Nine Months Ended September 30,
		2022			2021			2022			2021				2022			2021			2022			2021
Stated interest expense	Stated interest expense	$	—		$	642		$	—		$	1,449		Stated interest expense	$	—		$	435		$	—		$	1,884
Unused/undrawn fees	Unused/undrawn fees	—			41			—			90			Unused/undrawn fees	—			28			—			118
Amortization of deferred financing costs	Amortization of deferred financing costs	—			95			—			189			Amortization of deferred financing costs	—			95			—			284
Total interest expense and other financing costs	Total interest expense and other financing costs	$	—		$	778		$	—		$	1,728		Total interest expense and other financing costs	$	—		$	558		$	—		$	2,286
Average borrowings	Average borrowings	$	—		$	95,000		$	—		$	106,768		Average borrowings	$	—		$	64,783		$	—		$	92,619

Weighted average interest rate (1)	Weighted average interest rate (1)	—		%	2.84		%	—		%	2.87		%	Weighted average interest rate (1)	—		%	2.79		%	—		%	2.85		%
Amortized financing costs	Amortized financing costs	—		%	0.39		%	—		%	0.35		%	Amortized financing costs	—		%	0.58		%	—		%	0.40		%
Total borrowing cost	Total borrowing cost	—		%	3.23		%	—		%	3.22		%	Total borrowing cost	—		%	3.37		%	—		%	3.25		%

_______________

(1)Calculated as the amount of the stated interest expense and undrawn or unused fees divided by the average borrowings during the reporting period.

~~Notes to Consolidated Financial Statements (Unaudited)~~

Note 8. Commitments and Contingencies

The amounts associated with unfunded commitments to provide funds to portfolio companies are not recorded in the Master Fund’s consolidated statements of assets and liabilities. Since these commitments and the associated amounts may expire without being drawn upon, the total commitment amount does not necessarily represent a future cash requirement. As of ~~June~~September 30, 2022 and December 31, 2021, the Master Fund’s unfunded commitments consisted of the following:


		Total Unfunded Commitments							Total Unfunded Commitments
Category / Portfolio Company (1)	Category / Portfolio Company (1)	June 30, 2022			December 31, 2021			Category / Portfolio Company (1)	September 30, 2022			December 31, 2021
Aceto Chemical (Revolver)	Aceto Chemical (Revolver)	$	571		$	800		Aceto Chemical (Revolver)	$	—		$	800

Alexander Mann Solutions (Revolver) (2)	Alexander Mann Solutions (Revolver) (2)	446			446			Alexander Mann Solutions (Revolver) (2)	—			446
Allvue Systems (Revolver)	Allvue Systems (Revolver)	95			3			Allvue Systems (Revolver)	42			3
Apptio, Inc. (Revolver)	Apptio, Inc. (Revolver)	196			196			Apptio, Inc. (Revolver)	196			196

Galls LLC (Revolver)	Galls LLC (Revolver)	240			268			Galls LLC (Revolver)	83			268

Hersha Hospitality Management (Delayed Draw)	Hersha Hospitality Management (Delayed Draw)	—			1,106			Hersha Hospitality Management (Delayed Draw)	—			1,106

Polyvision Corp. (Revolver)	Polyvision Corp. (Revolver)	92			189			Polyvision Corp. (Revolver)	90			189

PSI Services LLC (Revolver)	PSI Services LLC (Revolver)	—		(3)	—		(3)	PSI Services LLC (Revolver)	—		(3)	—		(3)
Seal For Life Industries US LLC (Revolver)	Seal For Life Industries US LLC (Revolver)	—			412			Seal For Life Industries US LLC (Revolver)	—			412

Wide Orbit (Revolver)	Wide Orbit (Revolver)	293			293			Wide Orbit (Revolver)	293			293
Total Unfunded Commitments	Total Unfunded Commitments	$	1,933		$	3,713		Total Unfunded Commitments	$	704		$	3,713

_______________

(1)May pertain to commitments to one or more entities affiliated with the named portfolio company.

Notes to Consolidated Financial Statements (Unaudited)

(2)This commitment is in foreign currency and has been converted to USD using the ~~June~~September 30, 2022 and December 31, 2021 exchange rates, respectively.

(3)Amount is less than $1,000.

~~Notes to Consolidated Financial Statements (Unaudited)~~

Note 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 ~~six~~nine months ended ~~June~~September 30, 2022 and ~~June~~September 30, 2021:


		For the Six Months Ended June 30,							For the Nine Months Ended September 30,
		2022			2021				2022			2021
PER COMMON SHARE OPERATING PERFORMANCE	PER COMMON SHARE OPERATING PERFORMANCE							PER COMMON SHARE OPERATING PERFORMANCE
Net asset value, beginning of period	Net asset value, beginning of period	$	6.15		$	7.56		Net asset value, beginning of period	$	6.15		$	7.56
Net investment income (1)	Net investment income (1)	0.12			0.19			Net investment income (1)	0.15			0.26
Net realized gains (losses) (1)	Net realized gains (losses) (1)	0.05			(0.10)			Net realized gains (losses) (1)	0.07			(0.14)
Net change in unrealized appreciation (depreciation) (2)	Net change in unrealized appreciation (depreciation) (2)	(0.15)			0.65			Net change in unrealized appreciation (depreciation) (2)	(0.20)			0.68
Net increase resulting from operations	Net increase resulting from operations	0.02			0.74			Net increase resulting from operations	0.02			0.80
Distributions to Common Shareholders (3)	Distributions to Common Shareholders (3)							Distributions to Common Shareholders (3)
Distributions from net investment income	Distributions from net investment income	(0.14)			(0.23)			Distributions from net investment income	(0.18)			(0.28)

Distribution representing return of capital	Distribution representing return of capital	(1.42)			(0.85)			Distribution representing return of capital	(2.16)			(1.78)
Net decrease resulting from distributions	Net decrease resulting from distributions	(1.56)			(1.08)			Net decrease resulting from distributions	(2.34)			(2.06)
Net asset value, end of period	Net asset value, end of period	$	4.61		$	7.22		Net asset value, end of period	$	3.83		$	6.30

INVESTMENT RETURNS	INVESTMENT RETURNS							INVESTMENT RETURNS
Total investment return (4)	Total investment return (4)	0.03		%	9.73		%	Total investment return (4)	(0.05)		%	10.77		%

RATIOS/SUPPLEMENTAL DATA	RATIOS/SUPPLEMENTAL DATA							RATIOS/SUPPLEMENTAL DATA
Net assets, end of period	Net assets, end of period	$	117,932		$	184,699		Net assets, end of period	$	98,002		$	161,300
Average net assets (5)	Average net assets (5)	$	139,057		$	200,252		Average net assets (5)	$	128,787		$	190,912
Common Shares outstanding, end of period	Common Shares outstanding, end of period	25,594,125			25,594,125			Common Shares outstanding, end of period	25,594,125			25,594,125
Weighted average Common Shares outstanding	Weighted average Common Shares outstanding	25,594,125			25,867,772			Weighted average Common Shares outstanding	25,594,125			25,775,554

Ratios-to-average net assets: (5)	Ratios-to-average net assets: (5)							Ratios-to-average net assets: (5)

Total expenses	Total expenses	1.61		%	2.74		%	Total expenses	2.52		%	3.99		%
Net investment income	Net investment income	2.18		%	2.52		%	Net investment income	3.07		%	3.52		%

Average outstanding borrowings (5)	Average outstanding borrowings (5)	$	—		$	106,768		Average outstanding borrowings (5)	$	—		$	92,619
Portfolio turnover rate (5) (6)	Portfolio turnover rate (5) (6)	1.50		%	1.00		%	Portfolio turnover rate (5) (6)	2.40		%	1.70		%
Asset coverage ratio (7)	Asset coverage ratio (7)	—			3.31			Asset coverage ratio (7)	—			3.93

_______________

(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 ~~June~~September 30, 2022, the Master Fund estimated distributions to be composed mostly of return of capital. The final determination of the tax character of distributions will not be made until we file our tax return.

3735

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.

(5)The computation of average net assets, average outstanding borrowings and average value of portfolio securities during the period is based on averaging the amount on the first day of the first month of the period and the last day of each month during the period.

(6)Portfolio turnover is calculated as the lesser of (i) purchases of portfolio securities or (ii) the aggregate total of sales of portfolio securities plus any 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.

Note 10. Distributions

The following table summarizes the distributions that the Master Fund declared on its Common Shares during the ~~six~~nine months ended ~~June~~September 30, 2022 and ~~June~~September 30, 2021:


Record Date	Record Date	Payment Date	Distribution Per Common Share at Record Date		Distribution Per Common Share at Payment Date		Cash Distribution		Record Date	Payment Date	Distribution Per Common Share at Record Date		Distribution Per Common Share at Payment Date		Cash Distribution
For Calendar Year 2022	For Calendar Year 2022								For Calendar Year 2022
February 1	February 1	February 3	$	0.78000	$	0.78000	$	19,964	February 1	February 3	$	0.78000	$	0.78000	$	19,964
May 18	May 18	May 20	0.78000		0.78000		19,963		May 18	May 20	0.78000		0.78000		19,963

August 22									August 22	August 24	0.78000		0.78000		19,963

					$	1.56000	$	39,927					$	2.34000	$	59,890
For Calendar Year 2021	For Calendar Year 2021								For Calendar Year 2021
January 4	January 4	January 6	$	0.03069	$	0.03069	$	807	January 4	January 6	$	0.03069	$	0.03069	$	807
February 2	February 2	February 4	0.03376		0.03376		887		February 2	February 4	0.03376		0.03376		887
March 1	March 1	March 2	0.03376		0.03376		887		March 1	March 2	0.03376		0.03376		887
June 1	June 1	June 3	0.98000		0.98000		25,083		June 1	June 3	0.98000		0.98000		25,083
August 2									August 2	August 4	0.98000		0.98000		25,083
					$	1.07821	$	27,664					$	2.05821	$	52,747

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 ordinary scope of business that require adjustment to, or disclosure in, the consolidated financial statements except for the one below.

On ~~August 9,~~October 25, 2022 the Board of Trustees approved the ~~Master~~Feeder Fund’s liquidating distribution of $0.78 per share of common shares. The distribution will be recorded on ~~August 22,~~October 28, 2022 and paid in cash to the investors on ~~August 24,~~October 31, 2022.

3836

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 consolidated financial statements and related notes thereto appearing elsewhere in this Report. Capitalized terms used in this Item 2 have the same meaning as in the accompanying consolidated financial statements presented in Part I. Item 1. Consolidated Financial Statements (Unaudited), unless otherwise defined herein.

Overview

We are a specialty finance investment company focused 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 business development company ("BDC") under the Investment Company Act of 1940, as amended (the "1940 Act"). We are externally managed by Guggenheim, which is responsible for sourcing potential investments, conducting due diligence on prospective investments, analyzing investment opportunities, structuring investments, determining the securities and other assets that we will purchase, retain or sell, and monitoring our portfolio on an ongoing basis.

We serve as the master fund in a master/feeder fund structure in that one or more feeder funds (each, a “Feeder Fund”), each a separate closed-end management investment company that has adopted our investment objectives and strategies, invests substantially all of its equity capital in our common shares (“Shares” or "Common Shares"). Presently, our shareholders are the two initial shareholders and two Feeder Funds.

We conduct private offerings (each a “Private Offering”) of our Shares to the Feeder Funds in reliance on exemptions from the registration requirements of the Securities Act. While we expect to continuously offer our Shares and have an indefinite life, each Feeder Fund features a specific period for the offering of its Common Shares, and each Feeder Fund has a specified finite term.

Beginning with the taxable year ended December 31, 2015, we have elected to be treated for federal income tax purposes as a RIC under Subchapter M of the Internal Revenue Code of 1986, as amended (the "Code").

Plan of Liquidation

In accordance with the offering documents and the intention of Guggenheim Credit Income Fund 2016 T ("GCIF 2016T") and Guggenheim Credit Income Fund 2019 ("GCIF 2019") (together, the "Feeder Funds") to provide substantial shareholder liquidity on or before December 31, 2022 and December 31, 2026 respectively, on March 30, 2021, the Boards of Trustees of the Master Fund and the Feeder Funds approved respective Plans of Liquidation for each Company (each, a “Liquidation Plan"). In accordance with the Liquidation Plans, the Master Fund began to effect a liquidation of its portfolio, with the intention of liquidating substantially all of its assets through liquidating distributions on or before December 31, 2022. The Feeder Funds have and intend to, in turn, make ~~quarterly~~ liquidating distributions to their shareholders with the proceeds received from the Master Fund, and will seek to distribute substantially all of their assets on or before December 31, 2022. It is intended that these distributions will be substantially composed of return of capital and will decrease the net asset value of the Master Fund and the Feeder Funds. For all Funds, as of November 14, 2022, almost 70% of the December 31, 2020 NAV has been paid to shareholders in the form of liquidating distributions. While it is still the intention to continue to payout liquidating distributions before December 31, 2022, in light of recent market volatility, we may not prudently be able to liquidate the entire portfolio by December 31, 2022 and may continue to operate as a BDC and pay liquidating distributions into 2023.

The table below is intended to highlight some relevant metrics associated with the Plans of Liquidation ($ in thousands).

Noted Information GCIF (Master Fund) GCIF 2016 T GCIF 2019
Cumulative Liquidating Distributions declared per share through August 12, 2022 $ 4.50 $ 4.74 $ 12.93
Number of Portfolio Companies at beginning of Year 34 — —
Number of Portfolio Companies at end of Period 27 — —
YTD Portfolio sales and repayments ($ in thousands) $ 31,184 $ — $ —
Cumulative Liquidating Distributions Declared through August 12, 2022 ($ in thousands) $ (115,174) $ (77,249) $ (22,450)
Percentage of December 31, 2020 NAV Declared through August 12, 2022 59.50 % 59.40 % 57.00 %
Net Assets at beginning of Year ($ in thousands) $ 157,280 $ 106,886 $ 32,183
Net Assets at end of Period ($ in thousands) $ 117,932 $ 79,259 $ 24,220
Net asset value per share at end of period $ 4.61 $ 4.86 $ 13.95


Noted Information	GCIF (Master Fund)			GCIF 2016 T			GCIF 2019
Cumulative Liquidating Distributions declared per share through November 14, 2022	$	5.28		$	5.56		$	15.20
Number of Portfolio Companies at beginning of Year	34			—			—
Number of Portfolio Companies at end of Period	22			—			—
YTD Portfolio sales and repayments ($ in thousands)	$	50,448		$	—		$	—
Cumulative Liquidating Distributions Declared through November 14, 2022 ($ in thousands)	$	(135,137)		$	(77,249)		$	(22,450)

Percentage of December 31, 2020 NAV Declared through November 14, 2022	69.80		%	69.70		%	67.00		%
Net Assets at beginning of Year ($ in thousands)	$	157,280		$	106,886		$	32,183
Net Assets at end of Period ($ in thousands)	$	98,002		$	65,763		$	20,186
Net asset value per share at end of period	$	3.83		$	4.04		$	11.63

In accordance with the Liquidation Plan, the Master Fund and the Feeder Funds will remain registered as a BDC and intend to maintain their qualifications as RICs under Subchapter M of the Code.

Investment Objectives and Investment Strategy

Our investment objectives are to provide our shareholders with current income, capital preservation, and, to a lesser extent, long-term capital appreciation. There can be no assurances that any of these investment objectives will be achieved.

Prior to the Board's approval of the Liquidation Plan, our investment strategy was 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 focused on the following investment types that may be available within the capital structure of portfolio companies:

•Senior Debt. Senior debt investments generally take a security interest in the available assets of the portfolio company, including equity interests in any of its subsidiaries. The senior debt classification includes senior secured first lien loans, senior secured second lien loans, senior secured bonds, and senior unsecured debt. In some circumstances, the secured lien could be subordinated to the claims of other creditors. While there is no specific collateral associated with senior unsecured debt, such positions are senior in payment priority over subordinated debt investments.

•Subordinated Debt. Subordinated debt investments are subordinated to senior debt and are generally unsecured. These investments are generally structured with interest-only payments throughout the life of the security with the principal due at maturity.

•Equity Investments. Preferred and/or common equity investments may be acquired alongside senior and subordinated debt investment activities or through the exercising of warrants or options attached to debt investments. Income is generated primarily through regular or inconstant dividends and realized gains on dispositions of such investments.

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 in a borrower’s capital structure and have repayment priority over other parts of a borrower’s capital structure (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. Our portfolio is more heavily weighted towards floating-rate investments, whose interest 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., 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, 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 by Guggenheim and are not generally available to the broader investment market. These investments may include both debt and equity investment components.

•Syndicated Transactions: This channel primarily includes investments in broadly syndicated loans and high yield bonds, typically originated and arranged by investment intermediaries other than Guggenheim. These investments may be purchased at the original syndication or in the secondary through various trading markets.

We may continue to borrow money from time to time within the borrowing 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 finance 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 interest 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 a 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 management 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 ~~June~~September 30, 2022 and December 31, 2021 and (ii) for the ~~six~~nine months ended ~~June~~September 30, 2022 and ~~June~~September 30, 2021:


		As of					As of
		June 30, 2022		December 31, 2021			September 30, 2022		December 31, 2021
Total assets	Total assets	$	118,998	$	159,243	Total assets	$	99,213	$	159,243
Adjusted total assets (total assets net of payable for investments purchased)	Adjusted total assets (total assets net of payable for investments purchased)	$	118,998	$	159,243	Adjusted total assets (total assets net of payable for investments purchased)	$	99,213	$	159,243
Investments in portfolio companies, at fair value	Investments in portfolio companies, at fair value	$	92,302	$	124,139	Investments in portfolio companies, at fair value	$	72,765	$	124,139

Net assets	Net assets	$	117,932	$	157,280	Net assets	$	98,002	$	157,280
Net asset value per Common Share	Net asset value per Common Share	$	4.61	$	6.15	Net asset value per Common Share	$	3.83	$	6.15


		For the Six Months Ended June 30,					For the Nine Months Ended September 30,
		2022		2021			2022		2021
Average net assets	Average net assets	$	139,057	$	200,252	Average net assets	$	128,787	$	190,912
Average borrowings	Average borrowings	$	—	$	106,768	Average borrowings	$	—	$	92,619
Cost of investments purchased	Cost of investments purchased	$	1,643	$	2,443	Cost of investments purchased	$	2,384	$	3,888
Sales of investments	Sales of investments	$	8,024	$	30,824	Sales of investments	$	19,211	$	56,819
Principal payments	Principal payments	$	23,160	$	72,569	Principal payments	$	31,237	$	91,828
Net investment income	Net investment income	$	3,031	$	5,036	Net investment income	$	3,953	$	6,724
Net realized gains (losses)	Net realized gains (losses)	$	1,481	$	(2,492)	Net realized gains (losses)	$	1,865	$	(3,668)
Net change in unrealized appreciation (depreciation)	Net change in unrealized appreciation (depreciation)	$	(3,933)	$	16,372	Net change in unrealized appreciation (depreciation)	$	(5,206)	$	17,544
Net increase in net assets resulting from operations	Net increase in net assets resulting from operations	$	579	$	18,916	Net increase in net assets resulting from operations	$	612	$	20,600
Total distributions to shareholders	Total distributions to shareholders	$	39,927	$	27,664	Total distributions to shareholders	$	59,890	$	52,747
Net investment income per Common Share - basic and diluted	Net investment income per Common Share - basic and diluted	$	0.12	$	0.19	Net investment income per Common Share - basic and diluted	$	0.15	$	0.26
Earnings per Common Share - basic and diluted	Earnings per Common Share - basic and diluted	$	0.02	$	0.73	Earnings per Common Share - basic and diluted	$	0.02	$	0.80
Distributions per Common Share	Distributions per Common Share	$	1.56	$	1.08	Distributions per Common Share	$	2.34	$	2.06

Portfolio and Investment Activity for the Three and ~~Six~~Nine Months Ended ~~June~~September 30, 2022

The following table presents our new investment commitments for the three and ~~six~~nine months ended ~~June~~September 30, 2022:

For the Three Months Ended June 30, 2022 For the Six Months Ended June 30, 2022
Investment activity segmented by access channel: Amount Percentage Amount Percentage
Direct originations $ — — % $ 127 100.0 %
Syndicated transactions — — % — — %
Total investment commitments entered during the period $ — — % $ 127 100.0 %


	For the Three Months Ended September 30, 2022				For the Nine Months Ended September 30, 2022
Investment activity segmented by access channel:	Amount		Percentage		Amount		Percentage
Direct originations	$	—	—	%	$	127	100.0	%
Syndicated transactions	—		—	%	—		—	%
Total investment commitments entered during the period	$	—	—	%	$	127	100.0	%

The following table presents our portfolio company activity for the three and ~~six~~nine months ended ~~June~~September 30, 2022:


		For the Three Months Ended June 30, 2022	For the Six Months Ended June 30, 2022		For the Three Months Ended September 30, 2022	For the Nine Months Ended September 30, 2022
Portfolio companies at beginning of period	Portfolio companies at beginning of period	29	34	Portfolio companies at beginning of period	27	34
Number of added portfolio companies	Number of added portfolio companies	—	—	Number of added portfolio companies	—	—
Number of exited portfolio companies	Number of exited portfolio companies	(2)	(7)	Number of exited portfolio companies	(5)	(12)
Portfolio companies at period end	Portfolio companies at period end	27	27	Portfolio companies at period end	22	22

Number of debt investments at period end	Number of debt investments at period end	48	48	Number of debt investments at period end	40	40
Number of equity/other investments at period end	Number of equity/other investments at period end	5	5	Number of equity/other investments at period end	4	4

The following table presents a roll-forward of all investment purchase, sale and repayment activity and changes in fair value, within our investment portfolio throughout for the ~~six~~nine months ended ~~June~~September 30, 2022:


		Balance as of January 1, 2022		Purchases		Sales and Repayments		Other Changes in Fair Value (1)		Balance as of June 30, 2022			Balance as of January 1, 2022		Purchases		Sales and Repayments		Other Changes in Fair Value (1)		Balance as of September 30, 2022
Senior secured loans - first lien	Senior secured loans - first lien	$	102,941	$	1,643	$	(24,761)	$	(2,509)	$	77,314	Senior secured loans - first lien	$	102,941	$	2,384	$	(38,700)	$	(2,589)	$	64,036
Senior secured loans - second lien	Senior secured loans - second lien	17,860		—		(6,000)		(1,068)		10,792		Senior secured loans - second lien	17,860		—		(8,269)		(2,094)		7,497
Senior secured bonds	Senior secured bonds	2,268		—		(421)		192		2,039		Senior secured bonds	2,268		—		(2,525)		375		118

Total senior debt	Total senior debt	$	123,069	$	1,643	$	(31,182)	$	(3,385)	$	90,145	Total senior debt	$	123,069	$	2,384	$	(49,494)	$	(4,308)	$	71,651
Equity and other	Equity and other	1,070		—		(2)		1,089		2,157		Equity and other	1,070		—		(954)		998		1,114
Total	Total	$	124,139	$	1,643	$	(31,184)	$	(2,296)	$	92,302	Total	$	124,139	$	2,384	$	(50,448)	$	(3,310)	$	72,765

_______________

(1)Other changes in fair value includes changes resulting from realized and unrealized gains and losses, amortization/accretion, increases from PIK income and restructurings.

4341

The following table presents selected information regarding our investment portfolio as of ~~June~~September 30, 2022 and December 31, 2021:


		As of					As of
		June 30, 2022		December 31, 2021			September 30, 2022		December 31, 2021

Weighted average purchase price of debt investments (1)	Weighted average purchase price of debt investments (1)	94.6	%	94.7	%	Weighted average purchase price of debt investments (1)	93.6	%	94.7	%
Weighted average duration of debt investments (2)	Weighted average duration of debt investments (2)	0.1	years	0.7	years	Weighted average duration of debt investments (2)	0.02	years	0.7	years
Debt investments on non-accrual status as a percentage of amortized cost of total debt investments	Debt investments on non-accrual status as a percentage of amortized cost of total debt investments	1.7	%	1.6	%	Debt investments on non-accrual status as a percentage of amortized cost of total debt investments	1.9	%	1.6	%
Debt investments on non-accrual status as a percentage of fair value of total debt investments	Debt investments on non-accrual status as a percentage of fair value of total debt investments	0.2	%	0.3	%	Debt investments on non-accrual status as a percentage of fair value of total debt investments	0.2	%	0.3	%
Number of debt investments on non-accrual status	Number of debt investments on non-accrual status	1		1		Number of debt investments on non-accrual status	1		1

Floating interest rate debt investments:	Floating interest rate debt investments:					Floating interest rate debt investments:
Percent of debt portfolio (3)	Percent of debt portfolio (3)	97.7	%	98.2	%	Percent of debt portfolio (3)	99.8	%	98.2	%
Percent of floating rate debt investments with interest rate floors (3)	Percent of floating rate debt investments with interest rate floors (3)	97.6	%	98.2	%	Percent of floating rate debt investments with interest rate floors (3)	99.7	%	98.2	%
Weighted average interest rate floor	Weighted average interest rate floor	1.5	%	0.8	%	Weighted average interest rate floor	2.9	%	0.8	%
Weighted average coupon spread to base interest rate	Weighted average coupon spread to base interest rate	608	bps	617	bps	Weighted average coupon spread to base interest rate	598	bps	617	bps
3-month LIBOR	3-month LIBOR	229	bps	21	bps	3-month LIBOR	375	bps	21	bps

Fixed interest rate debt investments:	Fixed interest rate debt investments:					Fixed interest rate debt investments:
Percent of debt portfolio (3)	Percent of debt portfolio (3)	2.3	%	1.8	%	Percent of debt portfolio (3)	0.2	%	1.8	%
Weighted average coupon rate	Weighted average coupon rate	7.2	%	6.8	%	Weighted average coupon rate	—	%	6.8	%
Weighted average years to maturity	Weighted average years to maturity	0.7	years	1.2	years	Weighted average years to maturity	1.0	years	1.2	years

Weighted average effective yields	Weighted average effective yields					Weighted average effective yields
Senior secured loans - first lien (4)	Senior secured loans - first lien (4)	8.7	%	8.0	%	Senior secured loans - first lien (4)	10.4	%	8.0	%
Senior secured loans - second lien (4)	Senior secured loans - second lien (4)	8.8	%	8.1	%	Senior secured loans - second lien (4)	9.4	%	8.1	%
Senior secured bonds (4)	Senior secured bonds (4)	4.3	%	3.9	%	Senior secured bonds (4)	—	%	3.9	%

Total debt investments (4)	Total debt investments (4)	8.5	%	7.9	%	Total debt investments (4)	10.1	%	7.9	%
Total investments (5)	Total investments (5)	8.5	%	7.9	%	Total investments (5)	10.1	%	7.9	%

_______________

(1)Percent is calculated as a percentage of the par value of debt investments.

(2)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.

(3)Percent is calculated as a percentage of the fair value of total debt investments.

(4)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.

(5)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.

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 ~~1.79%~~3.14% for the 1 Month LIBOR to ~~2.94%~~4.23% for the 6 Month LIBOR on ~~June~~September 30, 2022. 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%).

4442

The following table presents the maturity schedule of our debt investments, excluding unfunded commitments, based on their principal amount as of ~~June~~September 30, 2022 and December 31, 2021:


		June 30, 2022				December 31, 2021					September 30, 2022				December 31, 2021
Maturity Year	Maturity Year	Principal Amount		Percentage of Portfolio		Principal Amount		Percentage of Portfolio		Maturity Year	Principal Amount		Percentage of Portfolio		Principal Amount		Percentage of Portfolio

2022	2022	$	—	—	%	$	1,611	1.2	%	2022	$	—	—	%	$	1,611	1.2	%
2023	2023	20,106		19.6		20,513		15.6		2023	13,255		15.7		20,513		15.6
2024	2024	14,473		14.1		28,066		21.4		2024	14,650		17.3		28,066		21.4
2025	2025	40,611		39.6		53,603		40.9		2025	31,785		37.6		53,603		40.9
2026	2026	27,357		26.7		27,409		20.9		2026	24,825		29.4		27,409		20.9

Total	Total	$	102,547	100.0	%	$	131,202	100.0	%	Total	$	84,515	100.0	%	$	131,202	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..

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. We expect our portfolio companies and, by extension, our operating results to continue 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 ~~June~~September 30, 2022, we were in compliance with our asset coverage requirements under the 1940 Act. Any breach of these requirements may adversely affect our access to sufficient debt and equity capital.

4543

Results of Operations

Operating results for the three and ~~six~~nine months ended ~~June~~September 30, 2022 and ~~June~~September 30, 2021 were as follows:


		For the Three Months Ended June 30,				For the Six Months Ended June 30,					For the Three Months Ended September 30,				For the Nine Months Ended September 30,
		2022		2021		2022		2021			2022		2021		2022		2021
Total investment income	Total investment income	$	2,119	$	5,380	$	5,274	$	10,524	Total investment income	$	1,925	$	3,808	$	7,199	$	14,332
Total expenses	Total expenses	1,140		2,590		2,243		5,488		Total expenses	1,003		2,120		3,246		7,608
Net investment income	Net investment income	979		2,790		3,031		5,036		Net investment income	922		1,688		3,953		6,724
Net realized gains (losses)	Net realized gains (losses)	1,011		(1,890)		1,481		(2,492)		Net realized gains (losses)	384		(1,176)		1,865		(3,668)
Net change in unrealized appreciation (depreciation)	Net change in unrealized appreciation (depreciation)	(3,904)		8,074		(3,933)		16,372		Net change in unrealized appreciation (depreciation)	(1,273)		1,172		(5,206)		17,544
Net increase (decrease) in net assets resulting from operations		$	(1,914)	$	8,974	$	579	$	18,916
Net increase in net assets resulting from operations										Net increase in net assets resulting from operations	$	33	$	1,684	$	612	$	20,600

Investment Income

Interest and dividend income consisted of the following components for the three and ~~six~~nine months ended ~~June~~September 30, 2022 and ~~June~~September 30, 2021:


		For the Three Months Ended June 30,						For the Six Months Ended June 30,							For the Three Months Ended September 30,						For the Nine Months Ended September 30,
		2022			2021			2022			2021				2022			2021			2022			2021
Interest income on debt securities:	Interest income on debt securities:													Interest income on debt securities:
Cash interest	Cash interest	$	1,990		$	4,918		$	4,176		$	9,575		Cash interest	$	1,839		$	3,313		$	6,014		$	12,888
PIK interest	PIK interest	25			53			104			150			PIK interest	14			120			118			270
Net accretion/amortization of discounts/premiums	Net accretion/amortization of discounts/premiums	101			240			261			493			Net accretion/amortization of discounts/premiums	70			232			331			725
Total interest on debt securities	Total interest on debt securities	2,116			5,211			4,541			10,218			Total interest on debt securities	1,923			3,665			6,463			13,883
PIK dividend	PIK dividend	—			99			179			111			PIK dividend	—			109			179			220
Total interest and dividend income	Total interest and dividend income	$	2,116		$	5,310		$	4,720		$	10,329		Total interest and dividend income	$	1,923		$	3,774		$	6,642		$	14,103
Average Investments at cost	Average Investments at cost	$	98,425		$	209,399		$	104,684		$	240,995		Average Investments at cost	$	80,183		$	165,939		$	96,517		$	215,976
Average Income Generating Investments at cost (1)	Average Income Generating Investments at cost (1)	$	96,496		$	204,175		$	102,643		$	228,490		Average Income Generating Investments at cost (1)	$	78,449		$	163,722		$	94,578		$	206,901
Income return (2)	Income return (2)	2.19		%	2.60		%	4.60		%	4.52		%	Income return (2)	2.46		%	2.31		%	7.03		%	6.82		%

_______________

(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 interest and dividend income was mainly driven by the decrease in the size of our income generating investments. As of ~~June~~September 30, 2022 and ~~June~~September 30, 2021, yield on debt investments at cost was ~~8.5%~~10.1% and ~~7.7%~~8.1%, respectively. PIK dividend pertains to dividends on preferred stock investments.

Our fee income is comprised of the following fee classifications and is considered non-recurring income for the three and ~~six~~nine months ended ~~June~~September 30, 2022 and ~~June~~September 30, 2021:


		For the Three Months Ended June 30,				For the Six Months Ended June 30,					For the Three Months Ended September 30,				For the Nine Months Ended September 30,
		2022		2021		2022		2021			2022		2021		2022		2021

Administrative agency fees	Administrative agency fees	$	3	$	3	$	6	$	11	Administrative agency fees	$	2	$	8	$	8	$	20
Amendment fees and other	Amendment fees and other	—		67		549		184		Amendment fees and other	—		26		549		209

Total fee income	Total fee income	$	3	$	70	$	555	$	195	Total fee income	$	2	$	34	$	557	$	229

4644

Operating Expenses

Our operating expenses can be categorized into fixed operating expenses, variable operating expenses and performance-dependent expenses. Fixed operating expenses are generally static period over period. Variable expenses are calculated based on fund metrics such as total assets, net assets or total borrowings. Performance-dependent expenses fluctuate independent of our size.

The table below shows a breakdown of our operating expenses for the three and ~~six~~nine months ended ~~June~~September 30, 2022 and ~~June~~September 30, 2021:


		For the Three Months Ended June 30,				For the Six Months Ended June 30,					For the Three Months Ended September 30,				For the Nine Months Ended September 30,
		2022		2021		2022		2021			2022		2021		2022		2021
Fixed operating expenses:	Fixed operating expenses:									Fixed operating expenses:
Related party reimbursements (1)	Related party reimbursements (1)	$	169	$	84	$	229	$	216	Related party reimbursements (1)	$	119	$	75	$	348	$	291
Trustees fees	Trustees fees	71		84		141		167		Trustees fees	72		76		213		243
Professional services fees (2)	Professional services fees (2)	193		205		384		406		Professional services fees (2)	195		206		579		612
Other expenses	Other expenses	73		71		144		139		Other expenses	74		71		218		210
Total fixed operating expenses	Total fixed operating expenses	506		444		898		928		Total fixed operating expenses	460		428		1,358		1,356

Variable operating expenses:	Variable operating expenses:									Variable operating expenses:
Interest expense (3)	Interest expense (3)	—		778		—		1,728		Interest expense (3)	—		558		—		2,286
Administrative services (4)	Administrative services (4)	40		50		82		93		Administrative services (4)	40		46		122		139
Management fee	Management fee	572		1,294		1,220		2,691		Management fee	482		1,066		1,702		3,757
Custody services	Custody services	22		24		43		48		Custody services	21		22		64		70
Total variable operating expenses	Total variable operating expenses	634		2,146		1,345		4,560		Total variable operating expenses	543		1,692		1,888		6,252

Performance-dependent expenses:	Performance-dependent expenses:									Performance-dependent expenses:
Performance-based incentive fee (before fee waiver)	Performance-based incentive fee (before fee waiver)	—		—		—		—		Performance-based incentive fee (before fee waiver)	—		—		—		—
Total performance-dependent expenses	Total performance-dependent expenses	—		—		—		—		Total performance-dependent expenses	—		—		—		—

Total expenses before incentive fee waiver and advisor transition costs reimbursement	Total expenses before incentive fee waiver and advisor transition costs reimbursement	$	1,140	$	2,590	$	2,243	$	5,488	Total expenses before incentive fee waiver and advisor transition costs reimbursement	$	1,003	$	2,120	$	3,246	$	7,608

_______________

(1)Related party reimbursementsincreased due to an increase in resource allocation to the Master Fund.

(2)Professional services fees includes the expenses for third party service providers such as internal and independent auditors, tax return preparer and tax consultant, third-party investment valuers, and fund legal counsel.

(3)The composition of our interest expense for the three and ~~six~~nine months ended ~~June~~September 30, 2022 and ~~June~~September 30, 2021 is reported in Note 7. Borrowings.

(4)Administrative services fees include the expenses for third party service providers such as fund accountant, fund sub-administrator, and independent pricing vendors.

The decrease in total expenses for the three months ended ~~June~~September 30, 2022 compared to the three months ended ~~June~~September 30, 2021 was primarily due to the decrease in interest expense associated with the Hamilton Credit Facility full repayment, and the decrease in management fee resulting from a decrease in total assets. For the three months ended ~~June~~September 30, 2022 and ~~June~~September 30, 2021, total borrowing costs were —% and ~~3.23%~~3.37%, respectively. For the three months ended ~~June~~September 30, 2022 and ~~June~~September 30, 2021 average borrowings for the period were $— and ~~$95,000,~~$64,783, respectively.

The decrease in total expenses for the ~~six~~nine months ended ~~June~~September 30, 2022 compared to the ~~six~~nine months ended ~~June~~September 30, 2021 was primarily due to the decrease in interest expense associated with the Hamilton Credit Facility resulting from a decrease in interest rates and average borrowings. For the ~~six~~nine months ended ~~June~~September 30, 2022 and ~~June~~September 30, 2021, total borrowing costs were —% and ~~3.22%~~3.25%, respectively. For the ~~six~~nine months ended ~~June~~September 30, 2022 and ~~June~~September 30, 2021, average borrowings for the period were $— and ~~$106,768,~~$92,619, respectively.

4745

Net Realized Gains (Losses)

For the three months ended ~~June~~September 30, 2022, we had dispositions and principal repayments of ~~$13.9~~$19.2 million, resulting in net realized gains of ~~$0.8~~$0.2 million. For the ~~six~~nine months ended ~~June~~September 30, 2022, we had dispositions and principal repayments of ~~$31.2~~$50.4 million, resulting in net realized gains of ~~$1.5~~$1.7 million. For the three and ~~six~~nine months ended ~~June~~September 30, 2022, we had realized gains from our foreign currency forward contracts of $0.2 million and ~~$53 thousand,~~$0.2 million, respectively, primarily due the movement of the U.S. dollar against the British pound.

For the three months ended ~~June~~September 30, 2021, we had dispositions and principal repayments of ~~$62.6 million, resulting in net realized losses of $(1.8) million. For the six months ended June 30, 2021, we had dispositions and principal repayments of $103.4~~$45.2 million, resulting in net realized losses of $(1.4) million. For the nine months ended September 30, 2021, we had dispositions and principal repayments of $148.6 million, resulting in net realized losses of $(2.8) million. For the three and ~~six~~nine months ended ~~June~~September 30, 2021, we had realized ~~losses~~gains (losses) from our foreign currency forward contracts of ~~$(96.0) thousand~~$0.3 million and ~~$(1.1)~~$(0.8) million, respectively, primarily due the movement of the U.S. dollar against the British pound.

For the three and ~~six~~nine months ended ~~June~~September 30, 2022 and ~~June~~September 30, 2021, the components of total realized gains (losses) were comprised of the following:


		For the Three Months Ended June 30,				For the Six Months Ended June 30,					For the Three Months Ended September 30,				For the Nine Months Ended September 30,
		2022		2021		2022		2021			2022		2021		2022		2021
Investments	Investments	$	834	$	(1,806)	$	1,463	$	(1,352)	Investments	$	242	$	(1,462)	$	1,705	$	(2,814)
Foreign currency forward contracts	Foreign currency forward contracts	178		(96)		53		(1,120)		Foreign currency forward contracts	167		282		220		(838)
Foreign currency transactions	Foreign currency transactions	(1)		12		(35)		(20)		Foreign currency transactions	(25)		4		(60)		(16)
Net realized gains (losses)	Net realized gains (losses)	$	1,011	$	(1,890)	$	1,481	$	(2,492)	Net realized gains (losses)	$	384	$	(1,176)	$	1,865	$	(3,668)

Changes in Unrealized Appreciation (Depreciation)

For the three and ~~six~~nine months ended ~~June~~September 30, 2022 and ~~June~~September 30, 2021, the components of total net change in unrealized appreciation (depreciation) were comprised of the following:


		For the Three Months Ended June 30,				For the Six Months Ended June 30,					For the Three Months Ended September 30,				For the Nine Months Ended September 30,
		2022		2021		2022		2021			2022		2021		2022		2021
Investments	Investments	$	(3,928)	$	8,039	$	(4,209)	$	15,358	Investments	$	(1,340)	$	1,117	$	(5,549)	$	16,475
Foreign currency forward contracts	Foreign currency forward contracts	25		35		279		1,015		Foreign currency forward contracts	89		56		368		1,071
Foreign currency transactions	Foreign currency transactions	(1)		—		(3)		(1)		Foreign currency transactions	(22)		(1)		(25)		(2)
Net change in unrealized appreciation (depreciation)	Net change in unrealized appreciation (depreciation)	$	(3,904)	$	8,074	$	(3,933)	$	16,372	Net change in unrealized appreciation (depreciation)	$	(1,273)	$	1,172	$	(5,206)	$	17,544

For the three and ~~six~~nine months ended ~~June~~September 30, 2022 and ~~June~~September 30, 2021, the components of total net change 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:


		For the Three Months Ended June 30,				For the Six Months Ended June 30,					For the Three Months Ended September 30,				For the Nine Months Ended September 30,
		2022		2021		2022		2021			2022		2021		2022		2021
Unrealized appreciation on all investments (1)	Unrealized appreciation on all investments (1)	$	474	$	9,477	$	2,281	$	19,378	Unrealized appreciation on all investments (1)	$	1,389	$	3,496	$	3,670	$	22,874
Unrealized depreciation on all investments (1)	Unrealized depreciation on all investments (1)	(4,402)		(1,438)		(6,490)		(4,020)		Unrealized depreciation on all investments (1)	(2,729)		(2,379)		(9,219)		(6,399)
Total net change in unrealized appreciation (depreciation) on all investments	Total net change in unrealized appreciation (depreciation) on all investments	$	(3,928)	$	8,039	$	(4,209)	$	15,358	Total net change in unrealized appreciation (depreciation) on all investments	$	(1,340)	$	1,117	$	(5,549)	$	16,475

Unrealized appreciation on Level 3 investments only (1)	Unrealized appreciation on Level 3 investments only (1)	$	474	$	7,441	$	2,046	$	10,570	Unrealized appreciation on Level 3 investments only (1)	$	297	$	2,776	$	2,343	$	13,346
Unrealized depreciation on Level 3 investments only (1)	Unrealized depreciation on Level 3 investments only (1)	(1,248)		(416)		(2,435)		(2,710)		Unrealized depreciation on Level 3 investments only (1)	(2,319)		(692)		(4,753)		(3,402)
Total net change in unrealized appreciation on Level 3 investments only		$	(774)	$	7,025	$	(389)	$	7,860
Total net change in unrealized (depreciation) appreciation on Level 3 investments only										Total net change in unrealized (depreciation) appreciation on Level 3 investments only	$	(2,022)	$	2,084	$	(2,410)	$	9,944

_______________

(1)Amounts are net of any reclassification of realized gains or losses on investments.

Annual Investment Returns and Total Returns Since Commencement

Our initial investors, who each invested at $9.00 per share, have seen a cumulative ~~41.02%~~40.91% increase in the value of their investment, or an annualized return of ~~4.66%~~4.50%, assuming reinvestment of distributions.

The table below presents returns for our shareholders for the ~~six~~nine months ended ~~June~~September 30, 2022 and ~~June~~September 30, 2021, and the period from commencement to ~~June~~September 30, 2022. 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)
			For the Six Months Ended June 30,				Since Commencement						For the Nine Months Ended September 30,				Since Commencement
Company	Company	Date Operations Commenced (2)	2022		2021		Cumulative		Annualized		Company	Date Operations Commenced (2)	2022		2021		Cumulative		Annualized
Guggenheim Credit Income Fund	Guggenheim Credit Income Fund	12/19/2014	0.03	%	9.73	%	41.02	%	4.66	%	Guggenheim Credit Income Fund	12/19/2014	(0.05)	%	10.77	%	40.91	%	4.50	%

___________________

(1)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 that we sold our initial Common Shares.

Off-Balance Sheet Arrangements

Unfunded Commitments

Unfunded commitments to provide funds to portfolio companies are not recorded on 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 ~~June~~September 30, 2022, we had~~eight~~ ~~unfunded~~ six unfunded commitments ~~totali~~ng ~~$1.9~~totaling $0.7 million as compared to ten unfunded commitments totaling $3.7 million as of December 31, 2021. SeeSee 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.

Financial Condition, Liquidity and Capital Resources

Our primary sources of cash and cash equivalents may include: (i) the sale of our Shares to affiliated feeder funds, (ii) 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.

Our primary uses of cash and cash equivalents 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 share repurchase program.

Liquidity

Operating liquidity is our ability to meet our short term liquidity needs. The following table presents our operating liquidity position as of ~~June~~September 30, 2022 and December 31, 2021:


		As of					As of
		June 30, 2022		December 31, 2021			September 30, 2022		December 31, 2021
Cash and cash equivalents	Cash and cash equivalents	$	25,190	$	4,556	Cash and cash equivalents	$	21,364	$	4,556
Restricted cash (1)	Restricted cash (1)	—		24,648		Restricted cash (1)	—		24,648

Principal receivable	Principal receivable	625		4,747		Principal receivable	3,981		4,747
Unfunded investment commitments	Unfunded investment commitments	(1,933)		(3,713)		Unfunded investment commitments	(704)		(3,713)

Other net working capital (2)	Other net working capital (2)	(241)		(722)		Other net working capital (2)	(274)		(722)
Total operational liquidity	Total operational liquidity	$	23,641	$	29,516	Total operational liquidity	$	24,367	$	29,516

_______________

(1)Restricted cash ~~consists~~consisted of 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).

(2)Other net working capital is the sum of collateral deposits/payable for foreign currency forward contracts, interest and dividend income receivable and receivable from related parties less accrued management fee, payable to related parties, distributions payable, and accounts payable, accrued expenses and other liabilities.

Capital Resources

We may from time to time enter into additional credit facilities and borrowing arrangements to increase the amount of our borrowings as our equity capital foundation increases. Accordingly, we cannot predict with certainty what terms any such financing would have or the costs we would incur in connection with any such financing arrangements. We are currently required to maintain a minimum asset coverage ratio (total assets-to-senior securities) of 200% under the 1940 Act.

The table below summarizes certain financing obligations and Feeder Fund liquidity targets that are expected to have an impact on our liquidity and cash flow in specified future interval periods:

June 30, 2022
Total < 1 year 1-3 years 3-5 years > 5 years
Financings-Hamilton Credit Facility:
Debt - principal repayment $ — $ — $ — $ — $ —
Interest on borrowings (1) (2)
— — — — —
Undrawn fees — — — — —
Unused commitment fee (1)
— — — — —
Total - Financings $ — $ — $ — $ — $ —
Liquidation of Feeder Funds' Investments:
GCIF 2016T (3)
$ 78,616 $ 78,616 $ — $ — $ —
GCIF 2019 (3)
23,253 — — 23,253 —
Total Liquidation of Feeder Funds' Investments $ 101,869 $ 78,616 $ — $ 23,253 $ —


	September 30, 2022
Liquidation of Feeder Funds' Investments:
GCIF 2016T (1)	$	65,329	$	65,329	$	—	$	—	$	—
GCIF 2019 (1)	19,323		—		—		19,323		—
Total Liquidation of Feeder Funds' Investments	$	84,652	$	65,329	$	—	$	19,323	$	—

_______________

~~(1)~~Interest on borrowings and unused commitment fees are based on the amount drawn on the Hamilton Credit Facility as of June 30, 2022 and consideration of (i) contractual minimum utilization commitments and (ii) the maximum commitment amount. Incremental borrowings after June 30, 2022 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.

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~~(3)~~(1)The Feeder Fund investment liquidity amounts are based on the net asset value of each Feeder Fund's ownership interest in the Master Fund as of ~~June~~September 30, 2022. In accordance with the Liquidation Plans, the Master Fund will begin to effect a liquidation of its portfolio, with the intention of liquidating substantially all of its assets through liquidating distributions to the Feeder Funds on or before December 31, 2022. The Feeder Funds intend to, in turn, make liquidating distributions to their own shareholders with the proceeds received from the Master Fund, and will seek to distribute substantially all of their respective assets on or before December 31, 2022.

As of ~~June~~September 30, 2022, GCIF 2016T owned 66.7% of our outstanding Common Shares and GCIF 2019 owned 19.7% of our outstanding Common Shares. The two initial investors accounted for the remaining 13.6% of our outstanding Common Shares.

Critical Accounting Policies

Valuation of Investments

Our investments consist primarily of investments in senior and subordinated debt of private middle market U.S. companies and are presented in our consolidated financial statements at fair value. See Note 3. Investments for more information on our investments. As described more fully in Note 2. Significant Accounting Policies and Note 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 in Note 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.

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 ~~June~~September 30, 2022 and December 31, 2021:


		As of							As of
		June 30, 2022			December 31, 2021				September 30, 2022			December 31, 2021
Investments classified as Level 3 fair value	Investments classified as Level 3 fair value	$	59,193		$	80,068		Investments classified as Level 3 fair value	$	53,365		$	80,068
Total investments at fair value	Total investments at fair value	$	92,302		$	124,139		Total investments at fair value	$	72,765		$	124,139
Total assets	Total assets	$	118,998		$	159,243		Total assets	$	99,213		$	159,243
Percentage of investment portfolio classified as Level 3 fair value	Percentage of investment portfolio classified as Level 3 fair value	64.1		%	64.5		%	Percentage of investment portfolio classified as Level 3 fair value	73.3		%	64.5		%
Percentage of total assets classified as Level 3 fair value	Percentage of total assets classified as Level 3 fair value	49.7		%	50.3		%	Percentage of total assets classified as Level 3 fair value	53.8		%	50.3		%

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The ranges of unobservable inputs used in the fair value measurement of our investments classified as Level 3 fair valued as of ~~June~~September 30, 2022 and December 31, 2021 are presented in Note 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 on 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, management and performance-based incentive fees would also be impacted. The table below outlines the impact on our results of a 5% increase in the fair value of our Level 3 investments for the periods ended ~~June~~September 30, 2022 and ~~June~~September 30, 2021:


		June 30, 2022		June 30, 2021			September 30, 2022		September 30, 2021
Fair Value of Level 3 Investments at Period End	Fair Value of Level 3 Investments at Period End	$	59,193	$	123,800	Fair Value of Level 3 Investments at Period End	$	53,365	$	102,519
Fair Value Assuming a 5% Increase in Value	Fair Value Assuming a 5% Increase in Value	62,153		129,990		Fair Value Assuming a 5% Increase in Value	56,033		107,645

Increase in unrealized appreciation	Increase in unrealized appreciation	2,960		6,190		Increase in unrealized appreciation	2,668		5,126
(Increase) in management fees (1)	(Increase) in management fees (1)	(26)		(54)		(Increase) in management fees (1)	(35)		(67)
(Increase) in performance based incentive fee (2)	(Increase) in performance based incentive fee (2)	(592)		(1,238)		(Increase) in performance based incentive fee (2)	(534)		(1,025)
Increase in net assets resulting from operations	Increase in net assets resulting from operations	$	2,342	$	4,898	Increase in net assets resulting from operations	$	2,099	$	4,034

Weighted average Common Shares outstanding (basic and diluted)	Weighted average Common Shares outstanding (basic and diluted)	25,594,125		25,867,772		Weighted average Common Shares outstanding (basic and diluted)	25,594,125		25,775,554
Common Shares outstanding at the end of the Period	Common Shares outstanding at the end of the Period	25,594,125		25,594,125		Common Shares outstanding at the end of the Period	25,594,125		25,594,125

Increase in earnings per Common Share	Increase in earnings per Common Share	$	0.09	$	0.19	Increase in earnings per Common Share	$	0.08	$	0.16
Increase in net asset value per Common Share	Increase in net asset value per Common Share	$	0.09	$	0.19	Increase in net asset value per Common Share	$	0.08	$	0.16

_______________

(1)Increases in management fees for the periods ended ~~June~~September 30, 2022 and ~~June~~September 30, 2021 represent only 3nine months' worth of the change to the Master Fund's management fees.

(2)Increase in performance-based incentive fee is calculated as 20% of the increase in unrealized appreciation.

Investment Advisory Fees

See Note 2. Significant Accounting Policies.

Recent Accounting Standards

See Note 2. Significant Accounting Policies.

Contractual Obligations

We have entered into certain agreements under which we have material future commitments.

The Master Fund is a party to an Investment Advisory Agreement with Guggenheim, pursuant to which the Master Fund agreed to pay Guggenheim an investment advisory fee. See Note 6. Related Party Agreements and Transactions for a more detailed description of the Investment Advisory Agreement. If the 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. On June 29, 2018, the Hamilton Credit facility was amended to extend the 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. On November 29, 2021, Hamilton repaid in full all outstanding amounts due in connection with, and terminated all commitments under, the Hamilton Credit Facility. See Note 7. Borrowings.

5250

Related Party Transactions

We have entered into agreements with Guggenheim whereby we agreed to pay certain fees to, and reimburse certain expenses, of Guggenheim for investment advisory services and investment-related and administrative costs incurred on our behalf. See Note 6. Related Party Agreements and Transactions for a discussion of related party transactions, investment advisory fees and reimbursement of administrative services expenses.

Organization and Offering Expenses and Reimbursement Arrangements with Guggenheim

Reimbursement for Guggenheim Administrative Services Expenses

Guggenheim has provided administrative services to the Master Fund since September 11, 2017. We 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 Guggenheim for rent, depreciation, utilities, capital equipment or other administrative items allocated to controlling persons of Guggenheim.

Co-Investment Transactions Exemptive Relief

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 ~~June~~September 30, 2022, ~~97.7%~~99.8% of our debt investments ~~(95.5%~~(98.3% of our total investments), or ~~$88.1~~$71.5 million measured at fair value, are subject to floating interest rates. Our sole credit facility is also subject to changes in its 3-Month LIBOR base interest rate. A rise in the general level of interest rates can be expected to lead to (i) higher interest income from our floating rate debt investments and (ii) value declines for fixed interest rate investments we may hold. Since a majority of our investments consist 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-based incentive fees as described in Note 6. Related Party Agreements and Transactions.

The following table presents the approximate annualized increase (decrease) in (i) interest income from our investment portfolio, (ii) interest expense associated with our floating rate credit facility and (iii) the 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 as of ~~June~~September 30, 2022.


Basis Points (bps) Increase	Basis Points (bps) Increase	Annualized Interest Income Increase (Decrease)	Annualized Interest Expense Increase (Decrease)	Annualized Net Increase (Decrease)	Net Increase (Decrease) per Share	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	+50 bps	370	—	370	0.01	+50 bps	340	—	340	0.01
+100 bps	+100 bps	798	—	798	0.03	+100 bps	717	—	717	0.03
+150 bps	+150 bps	1,266	—	1,266	0.05	+150 bps	1,116	—	1,116	0.04
+200 bps	+200 bps	1,747	—	1,747	0.07	+200 bps	1,517	—	1,517	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.

5351

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 Officer and 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 Officer and 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 ~~June~~September 30, 2022, have concluded that our disclosure controls and procedures, as defined in Rule 13a-15(e) under the Exchange Act, were effective as of ~~June~~September 30, 2022 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 ~~August 12,~~November 14, 2022, ~~neither~~ we ~~nor our subsidiary,~~ were not subject to any material legal proceedings, nor, to our knowledge, is any material legal proceeding threatened against us or our subsidiary.

From time to time, we ~~our subsidiary,~~ or Guggenheim 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.

In addition to the other information set forth in this Report, you should carefully consider the factors discussed in Part I, “Item 1A. Risk Factors” in our annual report on Form 10-K for the fiscal year ended December 31, 2021, which could materially affect our business, financial condition and/or operating results. The risks described in our annual report on Form 10-K are not the only risks we face. Additional risks and uncertainties are not currently known to us or that we currently deem to be immaterial also may materially adversely affect our business, financial condition and/or operating results. During the ~~six~~nine months ended ~~June~~September 30, 2022, other than as set forth below, there have been no material changes from the risk factors set forth in our annual report on Form 10-K for the year ended December 31, 2021.

Inflation may adversely affect the business, results of operations and financial condition of our portfolio companies.

Certain of our portfolio companies may be impacted by inflation. If such portfolio companies are unable pass any increases in their costs along to their customers, it could adversely affect their results and their ability to impacting their ability to pay interest and principal on our loans. In addition, any projected future decreases in our portfolio companies’ operating results due to inflation could adversely impact the fair value of those investments. Any decreases in the fair value of our investments could result in future unrealized losses and therefore reduce our net assets resulting from operations.

5452

The Company is currently operating in a period of capital markets disruption, significant volatility and economic uncertainty.

The global capital markets are experiencing a period of disruption and instability resulting in increasing spreads between the yields realized on riskier debt securities and those realized on risk-free securities, lack of liquidity in parts of the debt capital markets, significant write-offs in the financial services sector and the re-pricing of credit risk in the broadly syndicated market. Highly disruptive market conditions have resulted in increasing volatility and illiquidity in the global credit, debt and equity markets generally. The duration and ultimate effect of such market conditions cannot be accurately forecasted. Extreme uncertainty regarding economic markets is resulting in declines in the market values of potential investments and declines in the market values of investments after they are made or acquired by the Company and affecting the potential for liquidity events involving such investments or portfolio companies. During periods of market disruption, portfolio companies may be more likely to seek to draw on unfunded commitments the Company has made, and the risk of being unable to fund such commitments is heightened during such periods. Applicable accounting standards require the Company to determine the fair value of its investments as the amount that would be received in an orderly transaction between market participants at the measurement date. While most of the Company’s investments are not publicly traded, as part of the Company’s valuation process the Company considers a number of measures, including comparison to publicly traded securities. As a result, volatility in the public capital markets can adversely affect the Company’s investment valuations.

Various social and political tensions around the world may contribute to increased market volatility, may have long-term effects on the worldwide financial markets and may cause further economic uncertainties worldwide. In particular, the consequences of the conflict between Russia and Ukraine, including international sanctions, the potential impact on inflation and increased disruption to supply chains may impact portfolio companies. Such consequences also may increase the Company’s funding cost or limit its access to the capital markets.

A prolonged period of market illiquidity may cause the Company to reduce the volume of loans and debt securities originated and/or fund and adversely affect the value of the Company’s portfolio investments, which could have a material and adverse effect on the Company’s business, financial condition, results of operations and cash flows.

Item 2. Unregistered Sales of Equity Securities and Use of Proceeds.

(a) None.

(b) Not applicable.

(c) The Master Fund had implemented a share repurchase program, whereby it conducts tender offers each calendar quarter. In accordance with the Liquidation Plan, the Master Fund’s share repurchase program has been suspended effective March 30, 2021.

Item 3. Defaults Upon Senior Securities.

(a) None.

(b) Not applicable.

Item 5. Other Information.

None.

Item 6. Exhibits.

The exhibits required by this item are set forth in the Exhibit Index attached hereto and are filed or incorporated as part of this Report.

5553

SIGNATURES

Pursuant to the requirements of section 13 or 15(d) of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.


			Guggenheim Credit Income Fund

Date:	~~August 12,~~November 14, 2022	By:	/s/ Matthew S. Bloom
			MATTHEW S. BLOOM
			Chief Executive Officer
			(Principal Executive Officer)

Date:	~~August 12,~~November 14, 2022	By:	/s/ ~~Michael Guss~~James Howley
			~~MICHAEL GUSS~~JAMES HOWLEY
			Chief Financial Officer
			(Principal Financial Officer)

5654

EXHIBIT INDEX

The following exhibits are filed or incorporated as part of this 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 (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 Guggenheim 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 Guggenheim 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						Amendment No 1. to Administrative Services Agreement by and between the Registrant, Guggenheim Credit Income Fund, and Guggenheim Partners Investment Management, LLC. (Incorporated by reference to Exhibit 10.7 filed with the Registrants Form 10-K (File No. 814-01117) as filed on March 12, 2019.)

10.8						Second Amended and Restated Dealer Manager Agreement by and among the Registrant, Guggenheim Credit Income Fund 2016 T and Carey Financial, LLC. (Incorporated by reference to Exhibit 10.4 filed with Guggenheim 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 Guggenheim 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 June 29, 2018, by and among Hamilton Finance LLC, as borrower, 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. (Incorporated by reference to Exhibit 10.1 filed with Form 8-K on July 6, 2018.)

5755


14.1						Code of Ethics of the Registrant. (Incorporated by reference to Exhibit 14.1 filed with Guggenheim Credit Income Fund Form 10-Q (File No. 814-01117) filed on November 16, 2020.)

14.2						Code of Ethics of Guggenheim Partners Investment Management, LLC. (Incorporated by reference to Exhibit 14.1 filed with Guggenheim Credit Income Fund Form 10-Q (File No. 814-01117) filed on November 16, 2020.)

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.)

5856


	Hamilton Credit Facility - Borrowing Summary
As of	Principal Amount Committed		Principal Amount Outstanding		Carrying Value (1)		Interest Rate (2)		Maturity Date	Maturity Term

December 31, 2021	$	—	$	—	$	—	2.62	%	12/29/22	1.0	years


	June 30, 2022
	Total		< 1 year		1-3 years		3-5 years		> 5 years
Financings-Hamilton Credit Facility:
Debt - principal repayment	$	—	$	—	$	—	$	—	$	—
Interest on borrowings (1) (2)	—		—		—		—		—
Undrawn fees	—		—		—		—		—
Unused commitment fee (1)	—		—		—		—		—
Total - Financings	$	—	$	—	$	—	$	—	$	—

Liquidation of Feeder Funds' Investments:
GCIF 2016T (3)	$	78,616	$	78,616	$	—	$	—	$	—
GCIF 2019 (3)	23,253		—		—		23,253		—
Total Liquidation of Feeder Funds' Investments	$	101,869	$	78,616	$	—	$	23,253	$	—