GUGGENHEIM CREDIT INCOME FUND - FORM 10-Q - August 12, 2021

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UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549 
FORM 10-Q
ýQUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934
For the quarterly period ended June 30, 2021
OR
¨TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934
Commission file number: 814-01117
gciflogoa31.jpg
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 ClassTrading Symbol(s)Name of Each Exchange on Which Registered
NoneN/AN/A

Indicate by check mark whether the registrant (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the registrant was required to file such reports), and (2) has been subject to such filing requirements for the past 90 days.  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
ý
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 10, 2021.



GUGGENHEIM CREDIT INCOME FUND
INDEX
  Page
PART I. FINANCIAL INFORMATION
Item 1.
Item 2.
Item 3.
Item 4.
PART II. OTHER INFORMATION
Item 1.
Item 1A.
Item 2.
Item 3.
Item 5.
Item 6.


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, 2020, that was filed on March 17, 2021. 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, 2020, that was filed on March 17, 2021. 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.
2

PART I. FINANCIAL INFORMATION
Item 1. Consolidated Financial Statements (Unaudited)
GUGGENHEIM CREDIT INCOME FUND
CONSOLIDATED STATEMENTS OF ASSETS AND LIABILITIES (UNAUDITED)
(in thousands, except share and per share data)
June 30, 2021December 31, 2020
Assets
Investments at fair value (amortized cost of $206,902 and $308,540, respectively)$205,669 $291,949 
Cash 7,784 10,058 
Restricted cash44,930 24,341 
Collateral deposits for foreign currency forward contracts— 520 
Interest and dividend income receivable1,306 1,882 
Principal receivable5,444 939 
Receivable from related parties14 39 
Unrealized appreciation of foreign currency forward contracts247 — 
Prepaid expenses and other assets66 199 
Total assets$265,460 $329,927 
Liabilities
Credit facility payable, net of financing costs$79,432 $129,243 
Unrealized depreciation on foreign currency forward contracts— 768 
Accrued management fee408 508 
Payable to related parties83 145 
Collateral payable for foreign currency forward contracts260 — 
Accounts payable, accrued expenses and other liabilities578 538 
Total liabilities80,761 131,202 
Commitments and contingencies (Note 8. Commitments and Contingencies)
Net Assets$184,699 $198,725 
Components of Net Assets:
Common shares, $0.001 par value, 1,000,000,000 shares authorized, 25,594,125 and 26,272,618 shares issued and outstanding at June 30, 2021 and December 31, 2020, respectively$26 $26 
Paid-in-capital in excess of par value196,334 223,462 
Accumulated loss, net of distributions(11,661)(24,763)
Net assets$184,699 $198,725 
Net asset value per Common Share$7.22 $7.56 
See Unaudited Notes to Consolidated Financial Statements.

3

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,
2021202020212020
Investment Income
Interest income$5,158 $6,762 $10,068 $14,330 
PIK interest income53 197 150 291 
Dividend income99 203 111 456 
Fee income70 34 195 232 
Total investment income5,380 7,196 10,524 15,309 
Operating Expenses
Interest expense and other financing costs778 1,447 1,728 3,304 
Management fee1,294 1,524 2,691 3,161 
Administrative services50 44 93 93 
Custody services24 24 48 49 
Trustees fees84 80 167 174 
Related party reimbursements84 154 216 348 
Professional services fees205 217 406 433 
Other expenses71 91 139 133 
Total expenses2,590 3,581 5,488 7,695 
Net investment income2,790 3,615 5,036 7,614 
Realized and unrealized gains (losses):
Net realized gains (losses) on:
Investments(1,806)(2,339)(1,352)(635)
Foreign currency forward contracts(96)42 (1,120)1,051 
Foreign currency transactions12 4 (20)161 
Net realized gains (losses)(1,890)(2,293)(2,492)577 
Net change in unrealized appreciation (depreciation) on:
Investments8,039 16,008 15,358 (21,128)
Foreign currency forward contracts35 17 1,015 495 
Foreign currency transactions— — (1)(1)
Net change in unrealized appreciation (depreciation)8,074 16,025 16,372 (20,634)
Net realized and unrealized gains (losses)6,184 13,732 13,880 (20,057)
Net increase (decrease) in net assets resulting from operations$8,974 $17,347 $18,916 $(12,443)
Per Common Share information:
Net investment income per Common Share outstanding - basic and diluted$0.11 $0.13 $0.19 $0.28 
Earnings (loss) per Common Share - basic and diluted $0.35 $0.64 $0.73 $(0.46)
Weighted average Common Shares outstanding - basic and diluted25,594,125 27,040,652 25,867,772 27,274,171 
Distribution per Common Share$0.98 $0.13 $1.08 $0.28 

See Unaudited Notes to Consolidated Financial Statements.
4

GUGGENHEIM CREDIT INCOME FUND
CONSOLIDATED STATEMENTS OF CHANGES IN NET ASSETS (UNAUDITED)
 (in thousands, except share and per share data)
Common SharesPaid-in-Capital in Excess of Par ValueAccumulated Earnings (Loss), net of Distributions
SharesAmountTotal
Balance at December 31, 202026,272,618 $26 $223,462 $(24,763)$198,725 
Operations:
Net investment income— — — 2,246 2,246 
Net realized losses— — — (602)(602)
Net change in unrealized appreciation— — — 8,298 8,298 
Net increase in net assets resulting from operations— — — 9,942 9,942 
Shareholder distributions:
Distributions from earnings— — — (2,581)(2,581)
Net decrease in net assets resulting from shareholder distributions— — — (2,581)(2,581)
Capital share transactions:
Repurchase of Common Shares(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(678,493)— (5,278)7,361 2,083 
Balance at March 31, 202125,594,125 $26 $218,184 $(17,402)$200,808 
Operations:
Net investment income— — — 2,790 2,790 
Net realized losses— — — (1,890)(1,890)
Net change in unrealized appreciation— — — 8,074 8,074 
Net increase in net assets resulting from operations— — — 8,974 8,974 
Shareholder distributions:
Distributions from earnings— — — (3,233)(3,233)
Distributions representing a return of capital— — (21,850)— (21,850)
Net decrease in net assets resulting from shareholder distributions— — (21,850)(3,233)(25,083)
Net decrease for the period— — (21,850)5,741 (16,109)
Balance at June 30, 202125,594,125 $26 $196,334 $(11,661)$184,699 
5

Common SharesPaid-in-Capital in Excess of Par ValueAccumulated Earnings (Loss), net of Distributions
SharesAmountTotal
Balance at December 31, 201927,157,534 $27 $229,996 $(18,826)$211,197 
Operations:
Net investment income— — — 3,999 3,999 
Net realized gains— — — 2,870 2,870 
Net change in unrealized depreciation— — — (36,659)(36,659)
Net decrease in net assets resulting from operations— — — (29,790)(29,790)
Shareholder distributions:
Distributions from earnings— — — (4,066)(4,066)
Net decrease in net assets resulting from shareholder distributions— — — (4,066)(4,066)
Capital share transactions:
Issuance of Common Shares639,552 1 

4,999 — 5,000 
Repurchase of Common Shares(718,264)(1)(5,494)— (5,495)
Net decrease in net assets resulting from capital share transactions(78,712)— (495)— (495)
Net decrease for the period(78,712)— (495)(33,856)(34,351)
Balance at March 31, 202027,078,822 $27 $229,501 $(52,682)$176,846 
Operations:
Net investment income— — — 3,615 3,615 
Net realized losses— — — (2,293)(2,293)
Net change in unrealized appreciation— — — 16,025 16,025 
Net increase in net assets resulting from operations— — — 17,347 17,347 
Shareholder distributions:
Distributions from earnings— — — (3,624)(3,624)
Net decrease in net assets resulting from shareholder distributions— — — (3,624)(3,624)
Capital share transactions:
Repurchase of Common Shares(267,193)— 
(1)
(1,838)— (1,838)
Net decrease in net assets resulting from capital share transactions(267,193)— (1,838)— (1,838)
Net increase (decrease) for the period(267,193)— (1,838)13,723 11,885 
Balance at June 30, 202026,811,629 $27 $227,663 $(38,959)$188,731 
_______________________
(1)Amount is less than $1,000

See Unaudited Notes to Consolidated Financial Statements.
6

GUGGENHEIM CREDIT INCOME FUND
CONSOLIDATED STATEMENTS OF CASH FLOWS (UNAUDITED)
(in thousands)
For the Six Months Ended June 30,
20212020
Operating activities
Net increase (decrease) in net assets resulting from operations$18,916 $(12,443)
Adjustments to reconcile net increase (decrease) in net assets resulting from operations to net cash provided by operating activities:
Capitalized paid-in-kind income(171)(459)
Amortization of premium/accretion of discount, net(493)(682)
Proceeds from sales of investments30,824 13,011 
Proceeds from paydowns on investments72,569 68,731 
Net receipt of settlement of derivatives825 3,308 
Net payment of settlement of derivatives(1,945)(2,257)
Net realized (gains) losses on derivatives1,120 (1,051)
Purchases of investments(2,443)(54,062)
Net realized losses on investments1,352 635 
Net change in unrealized (appreciation) depreciation on investments(15,358)21,128 
Net change in unrealized appreciation on foreign currency forward contracts(1,015)(495)
Amortization of deferred financing costs189 190 
(Increase) decrease in operating assets:
Interest and dividend income receivable576 379 
Principal receivable(4,505)(3,656)
Receivable from related parties25 15 
Prepaid expenses and other assets133 125 
Increase (decrease) in operating liabilities:
Payable for investments purchased— 1,359 
Accrued management fee(100)(69)
Payable to related parties(62)(40)
Collateral payable for foreign currency forward contracts260 40 
Accounts payable, accrued expenses and other liabilities40 (178)
Net cash provided by operating activities100,737 33,529 
Financing activities
Issuance of Common Shares— 5,000 
Repurchase of Common Shares(5,278)(7,333)
Credit facility repayments(50,000)(15,000)
Distributions paid (27,664)(6,504)
Net cash used in financing activities(82,942)(23,837)
Net increase in restricted and unrestricted cash17,795 9,692 
Restricted and unrestricted cash, beginning of period34,919 8,966 
Restricted and unrestricted cash, end of period$52,714 $18,658 
Reconciliation of restricted and unrestricted cash
Cash7,784 6,893 
Restricted cash44,930 11,765 
Total restricted and unrestricted cash$52,714 $18,658 
Supplemental disclosure of cash flow information and non-cash financing activities:
Cash paid for interest$1,521 $3,179 
See Unaudited Notes to Consolidated Financial Statements.
7
GUGGENHEIM CREDIT INCOME FUND
CONSOLIDATED SCHEDULE OF INVESTMENTS (UNAUDITED)
June 30, 2021 (in thousands)
Portfolio Company (1) (2) (3)
FootnotesInvestment
Spread
Above
Reference
Rate (4)
Interest
Rate (4) (5)
Maturity Date
Principal / Par Amount / Shares (6)
Amortized Cost (7) (8)
Fair Value% of Net Assets
INVESTMENTS
Debt investments - 110.3%
Automotive
Accuride CorporationSenior Secured Loans - First LienL+5.25%6.25%11/17/202311,460 $11,286 $11,024 6.0 %
American Tire Distributors Inc.Senior Secured Loans - First LienL+7.50%8.50%8/30/20242,925 2,709 2,932 1.6 %
EnTrans International, LLC(13)Senior Secured Loans - First LienL+6.00%6.09%11/1/20247,126 6,173 6,725 3.6 %
Wesco Group(15)Senior Secured Loans - First LienL+4.50%5.25%6/14/20241,217 1,209 1,214 0.7 %
Total Automotive21,377 21,895 11.9 %
Banking, Finance, Insurance & Real Estate
Gladman Developments Ltd.UK(10)(11)(14)(15)Senior Secured Loans - First LienG+9.50%9.58%8/16/2024£2,164 2,725 2,894 1.6 %
Gladman Developments Ltd. (Delayed Draw)UK(10)(11)(13)(14)(15)Senior Secured Loans - First LienG+9.50%9.58%8/16/2024£428 556 572 0.2 %
Total Banking, Finance, Insurance & Real Estate3,281 3,466 1.8 %
Beverage, Food & Tobacco
Checkers Holdings Inc(13)Senior Secured Loans - First LienL+4.25%5.25%4/25/20241,128 724 1,065 0.6 %
Topps Company(15)Senior Secured Loans - First LienL+5.25%6.50%10/2/20224,913 4,888 4,902 2.7 %
Total Beverage, Food & Tobacco5,612 5,967 3.3 %
Capital Equipment
Cleaver Brooks, Inc.Senior Secured BondsN/A7.88%3/1/20232,000 2,000 1,980 1.1 %
Total Capital Equipment2,000 1,980 1.1 %
Chemicals, Plastics & Rubber
Aceto Chemicals(15)Senior Secured Loans - First LienL+5.50%6.50%4/29/20255,096 5,072 5,074 2.7 %
Aceto Chemicals (Revolver)(9)(13)(15)(17)Senior Secured Loans - First LienN/AN/A4/29/2025— (67)(64)— %
5,005 5,010 2.7 %
Drew Marine Group Inc.(15)Senior Secured Loans - First LienL+4.25%4.35%6/26/2026980 969 970 0.5 %
Seal For Life Industries US LLC (Revolver)(9)(11)(13)(15)Senior Secured Loans - First LienL+7.00%8.00%7/24/2024217 163 167 0.1 %
Seal For Life Industries US LLC(11)(15)Senior Secured Loans - First LienL+6.00%8.00%7/23/20256,886 6,767 6,812 3.7 %
6,930 6,979 3.8 %
Total Chemicals, Plastics & Rubber12,904 12,959 7.0 %
Construction & Building
GAL Manufacturing(15)Senior Secured Loans - First LienL+4.25%5.25%6/26/20235,303 5,269 5,286 2.8 %
GAL Manufacturing(15)Senior Secured Loans - Second LienL+8.25%9.25%6/26/20246,000 5,937 5,897 3.2 %
8
GUGGENHEIM CREDIT INCOME FUND
CONSOLIDATED SCHEDULE OF INVESTMENTS (UNAUDITED)
June 30, 2021 (in thousands)
Portfolio Company (1) (2) (3)
FootnotesInvestment
Spread
Above
Reference
Rate (4)
Interest
Rate (4) (5)
Maturity Date
Principal / Par Amount / Shares (6)
Amortized Cost (7) (8)
Fair Value% of Net Assets
GAL Manufacturing (Revolver)(9)(13)(15)Senior Secured Loans - First LienL+4.25%4.35%6/24/202297 86 87 — %
11,292 11,270 6.0 %
Springs Window Fashions, LLCSenior Secured Loans - First LienL+4.25%6.05%6/15/2025866 860 868 0.5 %
Springs Window Fashions, LLCSenior Secured Loans - Second LienL+8.50%8.59%6/15/20261,588 1,531 1,597 0.9 %
2,391 2,465 1.4 %
Total Construction & Building13,683 13,735 7.4 %
Consumer Goods: Non-Durable
Galls LLC(14)(15)Senior Secured Loans - First LienL+6.75%7.75%1/31/20253,728 3,709 3,694 2.0 %
Galls LLC (Delayed Draw B)(14)(15)Senior Secured Loans - First LienL+6.75%7.75%1/31/2025547 544 542 0.3 %
Galls LLC (Revolver)(9)(13)(15)Senior Secured Loans - First LienL+6.25%7.75%1/31/2024593 555 558 0.3 %
4,808 4,794 2.6 %
Pure Fishing, Inc.(13)Senior Secured Loans - First LienL+4.50%4.60%12/19/20253,959 3,585 3,907 2.1 %
Total Consumer Goods: Non-Durable8,393 8,701 4.7 %
Consumer Goods: Durable
PlayPower, Inc.Senior Secured Loans - First LienL+5.50%5.60%4/29/20261,181 1,173 1,177 0.6 %
Total Consumer Goods: Durable1,173 1,177 0.6 %
Containers, Packaging & Glass
Bioplan USA, Inc.(14)Senior Secured Loans - First LienL+7.25%8.75%12/22/20234,888 4,368 4,551 2.5 %
Husky Injection Molding Systems Ltd.CN(10)(11)Senior Secured Loans - First LienL+3.00%3.36%3/28/20251,950 1,857 1,920 1.0 %
Pelican Products IncSenior Secured Loans - First LienL+3.50%4.50%5/1/20253,948 3,459 3,928 2.1 %
Resource Label Group LLC(15)Senior Secured Loans - First LienL+4.50%5.50%5/26/20233,325 3,313 3,325 1.8 %
Resource Label Group LLC(15)Senior Secured Loans - Second LienL+8.50%9.50%11/26/20233,000 2,980 2,925 1.6 %
6,293 6,250 3.4 %
Total Containers, Packaging & Glass15,977 16,649 9.0 %
Energy: Oil & Gas
Basic Energy Services Inc(13)(18)Senior Secured BondsN/AN/A10/15/20234,475 2,171 850 0.5 %
Basic Energy Services Inc(13)(14)(15)Senior Secured BondsN/A11.00%5/15/2021170 153 153 0.1 %
Penn Virginia(11)Senior Secured Loans - First LienL+8.25%9.25%9/30/20242,189 2,147 2,165 1.2 %
Permian Production Partners(13)(14)(15)Senior Secured Loans - First LienL+8.00%9.00%11/23/2025808 390 728 0.3 %
Total Energy: Oil & Gas4,861 3,896 2.1 %
Healthcare & Pharmaceuticals
9
GUGGENHEIM CREDIT INCOME FUND
CONSOLIDATED SCHEDULE OF INVESTMENTS (UNAUDITED)
June 30, 2021 (in thousands)
Portfolio Company (1) (2) (3)
FootnotesInvestment
Spread
Above
Reference
Rate (4)
Interest
Rate (4) (5)
Maturity Date
Principal / Par Amount / Shares (6)
Amortized Cost (7) (8)
Fair Value% of Net Assets
Alegeus Technologies LLC(15)Senior Secured Loans - First LienL+8.25%9.25%9/5/20248,000 7,970 7,818 4.2 %
Total Healthcare & Pharmaceuticals7,970 7,818 4.2 %
Hotel, Gaming & Leisure
ASM GlobalSenior Secured Loans - First LienL+2.50%2.59%1/23/20252,323 2,320 2,254 1.2 %
Golden Nugget(13)Senior Secured Loans - First LienL+12.00%13.00%10/4/202311 11 13 — %
Total Hotel, Gaming & Leisure2,331 2,267 1.2 %
Media: Advertising, Printing & Publishing
Houghton Mifflin Harcourt Publishers, Inc.(11)Senior Secured Loans - First LienL+6.25%7.25%11/19/202432 30 32 — %
McGraw-Hill Global Education HoldingsSenior Secured Loans - First LienL+4.75%5.75%11/1/20241,631 1,615 1,636 0.9 %
McGraw-Hill Global Education Holdings(13)Senior Secured BondsN/A8.00%11/30/20241,259 1,214 1,289 0.7 %
2,829 2,925 1.6 %
Trader Interactive(15)Senior Secured Loans - First LienL+6.00%7.00%6/15/20247,988 7,961 7,930 4.3 %
Trader Interactive (Revolver)(9)(13)(15)(17)Senior Secured Loans - First LienN/AN/A6/15/2023— (18)(17)— %
7,943 7,913 4.3 %
Total Media: Advertising, Printing & Publishing10,802 10,870 5.9 %
Metals & Mining
Polyvision Corp.(14)(15)Senior Secured Loans - First LienL+7.50%8.50%2/21/20263,564 3,528 3,403 1.8 %
Polyvision Corp.(14)(15)Senior Secured Loans - First LienL+7.50%8.50%2/21/20261,004 994 959 0.5 %
Polyvision Corp. (Delayed Draw)(14)(15)Senior Secured Loans - First LienL+7.50%8.50%2/21/2026138 138 132 0.1 %
Polyvision Corp. (Revolver)(9)(13)(14)(15)Senior Secured Loans - First LienL+7.50%8.50%8/21/2025690 620 637 0.3 %
Total Metals & Mining5,280 5,131 2.7 %
Retail
Blue Nile, Inc.Senior Secured Loans - First LienL+6.50%7.50%2/17/20239,600 9,507 9,040 4.9 %
Save-a-Lot(13)(14)Senior Secured Loans - First LienL+8.00%8.00%3/12/2024939 853 991 0.5 %
Save-a-Lot(13)(14)Senior Secured Loans - Second LienL+11.75%11.75%10/1/20241,162 1,973 1,032 0.6 %
2,826 2,023 1.1 %
Total Retail12,333 11,063 6.0 %
Services: Business
Alexander Mann Solutions (GBP Term Loan)UK(10)(11)(13)Senior Secured Loans - First LienG+5.00%5.34%6/16/2025£2,060 2,579 2,751 1.5 %
10
GUGGENHEIM CREDIT INCOME FUND
CONSOLIDATED SCHEDULE OF INVESTMENTS (UNAUDITED)
June 30, 2021 (in thousands)
Portfolio Company (1) (2) (3)
FootnotesInvestment
Spread
Above
Reference
Rate (4)
Interest
Rate (4) (5)
Maturity Date
Principal / Par Amount / Shares (6)
Amortized Cost (7) (8)
Fair Value% of Net Assets
Alexander Mann Solutions (USD Term Loan)UK(10)(11)(13)Senior Secured Loans - First LienL+5.00%6.65%6/16/2025890 859 865 0.5 %
Alexander Mann Solutions (Revolver)UK(9)(10)(11)(13)(15)(17)Senior Secured Loans - First LienN/AN/A12/16/2024— (31)(32)— %
3,407 3,584 2.0 %
Cast & Crew PayrollSenior Secured Loans - First LienL+3.75%3.85%1/16/20262,8752,512 2,864 1.6 %
HealthChannels, Inc.Senior Secured Loans - First LienL+4.50%4.61%4/3/20252,7772,739 2,684 1.5 %
Hersha Hospitality Management(15)Senior Secured Loans - First LienL+4.75%5.75%3/2/20264,5224,437 4,069 2.2 %
Hersha Hospitality Management (Delayed Draw)(9)(15)Senior Secured Loans - First LienL+4.75%5.75%3/2/2026218 190 76 — %
4,627 4,145 2.2 %
PSI Services LLC (Revolver)(9)(13)(15)Senior Secured Loans - First LienL+5.75%6.75%10/4/2025250249 222 0.1 %
PSI Services LLC (Delayed Draw)(9)(15)(17)Senior Secured Loans - First LienN/AN/A10/4/2026— — (2)— %
PSI Services LLC(15)Senior Secured Loans - First LienL+5.75%6.75%10/4/2026423423 419 0.2 %
PSI Services LLC(15)Senior Secured Loans - First LienL+5.75%6.75%10/16/20262,8232,789 2,798 1.5 %
3,461 3,437 1.8 %
SLR Consulting(11)(15)Senior Secured Loans - First LienL+4.00%4.20%6/23/20251,5881,562 1,554 0.9 %
SLR Consulting (Delayed Draw)(11)(15)Senior Secured Loans - First LienL+4.00%5.50%5/23/2025494 512 513 0.3 %
2,074 2,067 1.2 %
Teneo Holdings LLCSenior Secured Loans - First LienL+5.25%6.25%7/12/20253,0692,958 3,046 1.6 %
YAK Access, LLCSenior Secured Loans - Second LienL+10.00%10.19%7/10/20265,0004,742 4,125 2.2 %
Total Services: Business26,520 25,952 14.1 %
Technology
Acquia Inc. (Term Loan)(13)(15)Senior Secured Loans - First LienL+7.00%8.00%10/31/20251,789 1,754 1,773 1.0 %
Acquia Inc. (Revolver)(9)(13)(15)(17)Senior Secured Loans - First LienL+7.00%8.00%10/31/202517 13 (2)— %
1,767 1,771 1.0 %
Allvue Systems (Revolver)(9)(13)(15)(17)Senior Secured Loans - First LienN/AN/A9/6/2024— (13)(8)— %
11
GUGGENHEIM CREDIT INCOME FUND
CONSOLIDATED SCHEDULE OF INVESTMENTS (UNAUDITED)
June 30, 2021 (in thousands)
Portfolio Company (1) (2) (3)
FootnotesInvestment
Spread
Above
Reference
Rate (4)
Interest
Rate (4) (5)
Maturity Date
Principal / Par Amount / Shares (6)
Amortized Cost (7) (8)
Fair Value% of Net Assets
Allvue Systems (Term Loan)(15)Senior Secured Loans - First LienL+4.00%4.10%9/4/2026855853 848 0.5 %
840 840 0.5 %
Apptio, Inc.(15)Senior Secured Loans - First LienL+7.25%8.25%1/10/20254,9004,855 4,868 2.6 %
Apptio, Inc. (Revolver)(9)(13)(15)Senior Secured Loans - First LienL+7.25%8.25%12/3/2024131 106 107 0.1 %
4,961 4,975 2.7 %
Causeway TechnologiesUK(10)(11)(15)Senior Secured Loans - First LienG+6.25%6.33%6/8/2024£2,638 3,359 3,649 2.0 %
Causeway TechnologiesUK(10)(11)(15)Senior Secured Loans - First LienG+6.25%7.03%6/8/2024£338 426 934 0.5 %
3,785 4,583 2.5 %
Datix Bidco Limited(15)Senior Secured Loans - First LienL+4.50%4.74%4/28/20251,931 1,908 1,920 1.0 %
Datix Bidco Limited(15)Senior Secured Loans - Second LienL+7.75%7.99%4/27/2026462 455 459 0.2 %
Datix Bidco Limited(15)Senior Secured Loans - First LienL+4.50%4.60%4/28/20253,048 3,019 3,032 1.7 %
Datix Bidco Limited(15)Senior Secured Loans - Second LienL+7.75%7.60%4/27/20264,696 4,647 4,665 2.5 %
10,029 10,076 5.4 %
Kerridge Commercial Systems (USD Term Loan)UK(10)(11)(14)(15)Senior Secured Loans - First LienL+6.25%6.75%1/22/2024637 628 634 0.3 %
Kerridge Commercial Systems (GBP Term Loan)UK(10)(11)(14)(15)Senior Secured Loans - First LienG+6.25%6.75%1/22/2024£530 735 730 0.4 %
Kerridge Commercial Systems (Euro Delayed Draw)UK(10)(11)(14)(15)Senior Secured Loans - First LienE+6.25%6.75%1/22/2024€97 118 115 0.1 %
Kerridge Commercial Systems (GBP Delayed Draw)UK(10)(11)(14)(15)Senior Secured Loans - First LienG+6.25%6.75%1/22/2024£326 424 449 0.2 %
Kerridge Commercial Systems (Bidco) Limited(11)(14)(15)Senior Secured Loans - First LienL+6.25%6.75%1/22/20242,211 2,178 2,201 1.2 %
Kerridge Commercial Systems (Bidco) LimitedUK(10)(11)(14)(15)Senior Secured Loans - First LienE+6.25%6.75%3/6/2026€289 317 341 0.2 %
Kerridge Commercial Systems (Bidco) LimitedUK(10)(11)(15)Senior Secured Loans - First LienE+6.25%6.75%1/22/2024€661 706 780 0.4 %
5,106 5,250 2.8 %
Ministry Brands(15)Senior Secured Loans - First LienL+4.00%5.00%12/2/2022939 936 933 0.5 %
Ministry Brands (Delayed Draw)(15)Senior Secured Loans - First LienL+4.00%5.00%12/2/2022499 499 496 0.3 %
12
GUGGENHEIM CREDIT INCOME FUND
CONSOLIDATED SCHEDULE OF INVESTMENTS (UNAUDITED)
June 30, 2021 (in thousands)
Portfolio Company (1) (2) (3)
FootnotesInvestment
Spread
Above
Reference
Rate (4)
Interest
Rate (4) (5)
Maturity Date
Principal / Par Amount / Shares (6)
Amortized Cost (7) (8)
Fair Value% of Net Assets
Ministry Brands (Delayed Draw)(15)Senior Secured Loans - First LienL+4.00%5.00%12/2/2022181 181 180 0.1 %
1,616 1,609 0.9 %
Wide Orbit, Inc.(15)Senior Secured Loans - First LienL+8.50%9.75%7/8/20253,670 3,636 3,636 2.0 %
Wide Orbit, Inc. (Revolver)(9)(13)(15)(17)Senior Secured Loans - First LienN/AN/A7/8/2025— — (29)— %
3,636 3,607 2.0 %
Wind River Systems(15)Senior Secured Loans - First LienL+6.75%7.75%6/24/20241,320 1,303 1,309 0.7 %
Total Technology33,043 34,020 18.5 %
Telecommunications
Firstlight FiberSenior Secured Loans - First LienL+3.50%3.59%7/23/20252,197 2,189 2,183 1.2 %
Firstlight FiberSenior Secured Loans - Second LienL+7.50%7.59%7/23/20262,500 2,479 2,375 1.3 %
Toal Telecommunications4,668 4,558 2.5 %
Utilities: Electric
BHI Energy(15)Senior Secured Loans - Second LienL+8.75%9.75%2/28/20256,000 5,930 5,895 3.2 %
Total Utilities: Electric5,930 5,895 3.2 %
Utilities: Oil & Gas
SeaPort(15)Senior Secured Loans - First LienL+5.50%5.60%10/31/20255,831 5,710 5,801 3.1 %
Total Utilities: Oil & Gas5,710 5,801 3.1 %
Total Debt Investments$203,848 $203,800 110.3 %
Equity investments - 1.0%
Beverage, Food & Tobacco
Chef's Holdings Inc.(13)(15)(16)Equity and OtherN/AN/A128 $16 $7 — %
Total Beverage, Food & Tobacco16 7 — %
Energy: Oil & Gas
Maverick Natural Resources, LLC (Common Equity)(15)(16)Equity and OtherN/AN/A4,625 2,777 613 0.4 %
Permian Production Partners(13)(15)Equity and OtherN/AN/A203,022 — 258 0.1 %
Total Energy: Oil & Gas2,777 871 0.5 %
Retail
Save-a-Lot(13)(15)Equity and OtherN/AN/A53,097 — 372 0.2 %
Total Retail— 372 0.2 %
13
GUGGENHEIM CREDIT INCOME FUND
CONSOLIDATED SCHEDULE OF INVESTMENTS (UNAUDITED)
June 30, 2021 (in thousands)
Portfolio Company (1) (2) (3)
FootnotesInvestment
Spread
Above
Reference
Rate (4)
Interest
Rate (4) (5)
Maturity Date
Principal / Par Amount / Shares (6)
Amortized Cost (7) (8)
Fair Value% of Net Assets
Technology
Onyx CenterSource(13)(15)Equity and OtherN/AN/A952,410 — 238 0.1 %
Velocity Holdings US (Class A Units)(13)(15)(16)Equity and OtherN/AN/A231 231 330 0.2 %
Wolfhound Parent Inc. (Warrants)(13)(15)(16)Equity and OtherN/AN/A1,975 30 51 — %
Total Technology261 619 0.3 %
Total Equity Investments$3,054 $1,869 1.0 %
Total Investments - 111.3%$206,902 $205,669 111.3 %
June 30, 2021 (in thousands)
Derivative CounterpartySettlement DateAmount PurchasedAmount Sold
Amortized Cost (7) (8)
Fair Value% of Net Assets
Foreign Currency Forward Contracts
JPMorgan Chase Bank7/16/2021$1,319 €1,087 — $29 — %
JPMorgan Chase Bank7/16/2021$12,286 £8,723 — $219 0.1 %
JPMorgan Chase Bank7/16/2021£47 $66 — $(1)— %
$247 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.
(4)The periodic interest rate for all floating rate loans is indexed to London Interbank Offered Rate ("LIBOR" or "LIBO rate") (denoted as "L"), Euro Interbank Offered Rate ("EURIBOR") (denoted as "E"), British Pound Sterling LIBOR ("GBP LIBOR") (denoted as "G") or Prime Rate (denoted as "P"). Pursuant to the terms of the underlying credit agreements, the base interest rates typically reset annually, semi-annually, quarterly or monthly at the borrower's option. The borrower may also elect to have multiple interest reset periods for each loan. For each of these floating rate loans, the Consolidated Schedule of Investments presents the applicable margin over LIBOR, EURIBOR, GBP LIBOR or Prime based on each respective credit agreement. As of June 30, 2021, LIBO rates ranged between 0.10% for 1-month LIBOR to 0.15% for 3-month LIBOR.
(5)For portfolio companies with multiple interest rate contracts under a single credit agreement, the interest rate shown is a weighted average current interest rate in effect at June 30, 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.
14
GUGGENHEIM CREDIT INCOME FUND
CONSOLIDATED SCHEDULE OF INVESTMENTS (UNAUDITED)
(8)As of June 30, 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 $6.2 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 $8.7 million; the net unrealized depreciation was $2.5 million; the aggregate cost of securities for Federal income tax purposes was $208.4 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 June 30, 2021 (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 30, 2021, qualifying assets represented 89% 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 30, 2021.
(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, 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 RatePIK ComponentCash ComponentPIK Option
Basic Energy Services Inc11.00 %11.00 %— The Portfolio Company may elect PIK up to 11.00%.
Bioplan USA, Inc.L+7.25%0.50 %L+6.75%The Portfolio Company may elect PIK up to 0.50%.
Galls LLCL+6.75%0.50 %L+6.25%The Portfolio Company may elect PIK up to 0.50%.
Galls LLC (Delayed Draw)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%.
Gladman Developments Ltd. (Delayed Draw)G+9.50%2.75 %G+6.75%The Portfolio Company may elect PIK up to 2.75%.
Kerridge Commercial Systems (GBP Term Loan)G+6.25%1.74 %G+4.51%The Portfolio Company has elected to exercise PIK Toggle option of 25% of applicable all-in rate.
Kerridge Commercial Systems (USD Term Loan)L+6.25%1.83 %L+4.42%The Portfolio Company has elected to exercise PIK Toggle option of 25% of applicable all-in rate.
Kerridge Commercial Systems (GBP Delayed Draw)G+6.25%1.74 %G+4.51%The Portfolio Company has elected to exercise PIK Toggle option of 25% of applicable all-in rate.
Kerridge Commercial Systems (Euro Delayed Draw)E+6.25%1.69 %E+4.56%The Portfolio Company has elected to exercise PIK Toggle option of 25% of applicable all-in rate.
Kerridge Commercial Systems (Bidco) LimitedE+6.25%1.69 %E+4.56%The Portfolio Company has elected to exercise PIK Toggle option of 25% of applicable all-in rate.
Kerridge Commercial Systems (Bidco) LimitedL+6.25%1.83 %L+4.42%The Portfolio Company has elected to exercise PIK Toggle option of 25% of applicable all-in rate.
Permian Production PartnersL+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-LotL+8.00%7.00 %L+1.00%The Portfolio Company may elect PIK up to 7.00%.
Save-A-LotL+11.75%10.75 %L+1.00%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.
15
GUGGENHEIM CREDIT INCOME FUND
CONSOLIDATED SCHEDULE OF INVESTMENTS (UNAUDITED)
(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 June 30, 2021, meaning that the Master Fund has ceased recognizing interest income on these investments. As of June 30, 2021, debt investments on non-accrual status represented 1.0% and 0.4% of total investments on an amortized cost basis and fair value basis, respectively.
Abbreviations:
CN = Canada; UK = United Kingdom; IT = Italy; IR=Ireland

See Unaudited Notes to Consolidated Financial Statements.
16
GUGGENHEIM CREDIT INCOME FUND
CONSOLIDATED SCHEDULE OF INVESTMENTS (UNAUDITED)
December 31, 2020 (in thousands)
Portfolio Company (1) (2) (3)
FootnotesInvestment
Spread
Above
Reference
Rate (4)
Interest
Rate (4) (5)
Maturity Date
Principal / Par Amount / Shares (6)
Amortized Cost (7) (8)
Fair Value% of Net Assets
INVESTMENTS
Debt investments - 145.8%
Aerospace & Defense
Arcline FM Holdings LLC(15)Senior Secured Loans - First LienL+6.00%7.00%1/21/20254,331 $4,242 $4,259 2.1 %
Arcline FM Holdings LLC (Revolver)(9)(13)(15)Senior Secured Loans - First LienL+6.00%7.00%1/21/2025145 91 101 0.1 %
Total Aerospace & Defense4,333 4,360 2.2 %
Automotive
Accuride CorporationSenior Secured Loans - First LienL+5.25%6.25%11/17/202311,520 11,311 10,480 5.3 %
American Tire Distributors Inc.Senior Secured Loans - First LienL+7.50%8.50%8/30/20242,940 2,695 2,820 1.4 %
BBB IndustriesSenior Secured Loans - First LienL+4.50%4.65%8/1/20251,955 1,942 1,896 1.0 %
EnTrans International, LLC(13)Senior Secured Loans - First LienL+6.00%6.15%11/1/20247,336 6,244 7,079 3.5 %
Mavis Tire Express Services Corp. (Revolver)(9)(13)(15)(17)Senior Secured Loans - First LienN/AN/A3/20/2023— (13)(12)— %
Mavis Tire Express Services Corp. (Delayed Draw)Senior Secured Loans - First LienL+3.25%3.50%3/20/20253,605 3,594 3,550 1.8 %
3,581 3,538 1.8 %
Wesco Group(15)Senior Secured Loans - First LienL+4.25%5.25%6/14/20241,235 1,225 1,231 0.6 %
Total Automotive26,998 27,044 13.6 %
Banking, Finance, Insurance & Real Estate
Gladman Developments Ltd.UK(10)(11)(14)(15)Senior Secured Loans - First LienG+9.50%9.57%8/16/2024£2,470 3,107 3,266 1.7 %
Gladman Developments Ltd. (Delayed Draw)UK(9)(10)(11)(13)(14)(15)Senior Secured Loans - First LienG+9.50%9.55%8/16/2024£645 828 828 0.4 %
3,935 4,094 2.1 %
Hunt Companies, Inc.(11)Senior Secured BondsN/A6.25%2/15/20262,000 2,000 2,050 1.0 %
JZ Capital Partners Ltd.UK(10)(11)(15)Senior Secured Loans - First LienL+5.75%6.75%6/14/202171 71 71 — %
Total Banking, Finance, Insurance & Real Estate6,006 6,215 3.1 %
Beverage, Food & Tobacco
Addo Foods GroupUK(10)(11)(14)(15)Senior Secured Loans - First LienG+8.00%9.00%4/19/2024£9,995 12,283 13,668 6.9 %
Blue Ribbon LLCSenior Secured Loans - First LienL+4.00%5.00%11/15/20212,762 2,365 2,618 1.3 %
Checkers Holdings Inc(13)Senior Secured Loans - First LienL+4.25%5.25%4/25/20241,133 728 958 0.5 %
CTI Foods Holdings Co., LLC (First Out)(14)(15)Senior Secured Loans - First LienL+7.00%8.00%5/3/20241,987 1,987 1,570 0.8 %
17
GUGGENHEIM CREDIT INCOME FUND
CONSOLIDATED SCHEDULE OF INVESTMENTS (UNAUDITED)
December 31, 2020 (in thousands)
Portfolio Company (1) (2) (3)
FootnotesInvestment
Spread
Above
Reference
Rate (4)
Interest
Rate (4) (5)
Maturity Date
Principal / Par Amount / Shares (6)
Amortized Cost (7) (8)
Fair Value% of Net Assets
CTI Foods Holdings Co., LLC (Last Out)(13)(14)(15)Senior Secured Loans - First LienL+9.00%10.00%5/3/2024798 798 574 0.3 %
2,785 2,144 1.1 %
Topps Company(15)Senior Secured Loans - First LienL+5.25%6.50%10/2/20224,938 4,913 4,923 2.5 %
US Foods Inc.(11)(13)(15)Senior Secured Loans - First LienL+3.25%4.25%4/24/20252,944 2,738 2,914 1.5 %
Total Beverage, Food & Tobacco25,812 27,225 13.8 %
Capital Equipment
Cleaver Brooks, Inc.Senior Secured BondsN/A7.88%3/1/20232,000 2,000 1,975 1.0 %
Total Capital Equipment2,000 1,975 1.0 %
Chemicals, Plastics & Rubber
Aceto Chemicals(15)Senior Secured Loans - First LienL+5.50%6.50%4/29/20255,122 5,095 5,097 2.6 %
Aceto Chemicals (Revolver)(9)(13)(15)Senior Secured Loans - First LienL+5.50%6.50%4/29/2025160 85 88 — %
5,180 5,185 2.6 %
Drew Marine Group Inc.(15)Senior Secured Loans - First LienL+4.00%4.25%6/26/2026985 973 974 0.5 %
Ilpea Parent, Inc.IT(10)(11)(15)Senior Secured Loans - First LienL+4.75%5.75%3/2/20235,299 5,267 5,239 2.6 %
Seal For Life Industries US LLC (Revolver)(9)(11)(13)(15)Senior Secured Loans - First LienL+6.00%7.00%7/24/2024217 156 159 0.1 %
Seal For Life Industries US LLC(11)(15)Senior Secured Loans - First LienL+6.00%8.00%7/23/20256,921 6,801 6,838 3.4 %
6,957 6,997 3.5 %
Total Chemicals, Plastics & Rubber18,377 18,395 9.2 %
Construction & Building
GAL Manufacturing(15)Senior Secured Loans - First LienL+4.25%5.25%6/26/20235,372 5,329 5,351 2.6 %
GAL Manufacturing(15)Senior Secured Loans - Second LienL+8.25%9.25%6/26/20246,000 5,929 5,882 3.0 %
GAL Manufacturing (Revolver)(9)(13)(15)Senior Secured Loans - First LienL+4.25%4.40%6/24/2022124 108 108 0.1 %
11,366 11,341 5.7 %
Springs Window Fashions, LLCSenior Secured Loans - First LienL+4.25%6.05%6/15/2025870 864 866 0.4 %
Springs Window Fashions, LLCSenior Secured Loans - Second LienL+8.50%8.65%6/15/20261,588 1,527 1,522 0.8 %
2,391 2,388 1.2 %
Total Construction & Building13,757 13,729 6.9 %
Consumer Goods: Non-Durable
Diamond (BC) B.V.(15)Senior Secured Loans - First LienL+5.00%6.00%9/6/20243,990 3,891 3,995 2.0 %
18
GUGGENHEIM CREDIT INCOME FUND
CONSOLIDATED SCHEDULE OF INVESTMENTS (UNAUDITED)
December 31, 2020 (in thousands)
Portfolio Company (1) (2) (3)
FootnotesInvestment
Spread
Above
Reference
Rate (4)
Interest
Rate (4) (5)
Maturity Date
Principal / Par Amount / Shares (6)
Amortized Cost (7) (8)
Fair Value% of Net Assets
Galls LLC(14)(15)Senior Secured Loans - First LienL+6.75%7.75%1/31/20253,737 3,715 3,699 1.9 %
Galls LLC (Delayed Draw B)(14)(15)Senior Secured Loans - First LienL+6.75%7.75%1/31/2025548 544 542 0.3 %
Galls LLC (Revolver)(9)(13)(15)Senior Secured Loans - First LienL+6.25%7.67%1/31/2024292 247 251 0.1 %
4,506 4,492 2.3 %
Pure Fishing, Inc.(13)Senior Secured Loans - First LienL+4.50%4.65%12/19/20253,980 3,562 3,852 1.9 %
Total Consumer Goods: Non-Durable11,959 12,339 6.2 %
Consumer Goods: Durable
PlayPower, Inc.Senior Secured Loans - First LienL+5.50%5.74%4/29/20261,243 1,233 1,193 0.6 %
Total Consumer Goods: Durable1,233 1,193 0.6 %
Containers, Packaging & Glass
Bioplan USA, Inc.Senior Secured Loans - First LienL+4.75%5.75%9/23/20214,901 4,809 3,014 1.5 %
Husky Injection Molding Systems Ltd.CN(10)(11)Senior Secured Loans - First LienL+3.00%3.36%3/28/20251,960 1,856 1,916 1.0 %
Pelican Products IncSenior Secured Loans - First LienL+3.50%4.50%5/31/20253,968 3,477 3,899 2.0 %
Resource Label Group LLCSenior Secured Loans - First LienL+4.50%5.50%5/26/20233,385 3,370 3,199 1.6 %
Resource Label Group LLCSenior Secured Loans - Second LienL+8.50%9.50%11/26/20233,000 2,976 2,700 1.3 %
6,346 5,899 2.9 %
Total Containers, Packaging & Glass16,488 14,728 7.4 %
Energy: Oil & Gas
Basic Energy Services Inc(13)(18)Senior Secured BondsN/AN/A10/15/20234,475 2,171 806 0.4 %
Penn Virginia(11)(15)Senior Secured Loans - Second LienL+7.00%8.00%9/29/20223,000 2,973 1,770 0.9 %
Permian Production Partners(13)(14)Senior Secured Loans - First LienL+8.00%9.00%11/23/20251,337 608 334 0.1 %
Total Energy: Oil & Gas5,752 2,910 1.4 %
Healthcare & Pharmaceuticals
Alegeus Technologies LLC(15)Senior Secured Loans - First LienL+8.25%9.25%9/5/20248,000 7,965 7,975 4.0 %
Total Healthcare & Pharmaceuticals7,965 7,975 4.0 %
Hotel, Gaming & Leisure
ASM GlobalSenior Secured Loans - First LienL+2.50%2.65%1/23/20252,334 2,332 2,208 1.1 %
Golden Nugget(13)Senior Secured Loans - First LienL+12.00%13.00%10/4/202311 11 13 — %
Playtika Holding(11)Senior Secured Loans - First LienL+6.00%7.00%12/31/2024966 946 973 0.5 %
Total Hotel, Gaming & Leisure3,289 3,194 1.6 %
Media: Advertising, Printing & Publishing
Boats Group(15)Senior Secured Loans - First LienL+5.75%6.75%5/17/20245,664 5,613 5,664 2.8 %
19
GUGGENHEIM CREDIT INCOME FUND
CONSOLIDATED SCHEDULE OF INVESTMENTS (UNAUDITED)
December 31, 2020 (in thousands)
Portfolio Company (1) (2) (3)
FootnotesInvestment
Spread
Above
Reference
Rate (4)
Interest
Rate (4) (5)
Maturity Date
Principal / Par Amount / Shares (6)
Amortized Cost (7) (8)
Fair Value% of Net Assets
Boats Group (Revolver)(9)(13)(15)(17)Senior Secured Loans - First LienN/AN/A9/12/2022— (37)(26)— %
5,576 5,638 2.8 %
Houghton Mifflin Harcourt Publishers, Inc.(11)Senior Secured Loans - First LienL+6.25%7.25%11/19/20242,375 2,280 2,296 1.2 %
McGraw-Hill Global Education HoldingsSenior Secured Loans - First LienL+4.00%5.00%5/4/20221,870 1,863 1,829 0.9 %
McGraw-Hill Global Education Holdings(14)(15)Senior Unsecured DebtN/A11.75%4/20/20222,118 2,099 2,128 1.1 %
McGraw-Hill Global Education Holdings(13)Senior Unsecured DebtN/A7.88%5/15/20241,259 1,230 1,221 0.6 %
5,192 5,178 2.6 %
Trader Interactive(15)Senior Secured Loans - First LienL+6.25%7.50%6/15/20248,030 7,997 7,729 3.9 %
Trader Interactive (Revolver)(9)(13)(15)Senior Secured Loans - First LienN/A7.50%6/15/2023104 82 83 — %
8,079 7,812 3.9 %
Total Media: Advertising, Printing & Publishing21,127 20,924 10.5 %
Metals & Mining
Polyvision Corp.(15)Senior Secured Loans - First LienL+6.50%7.50%2/21/20263,567 3,532 3,407 1.7 %
Polyvision Corp.(15)Senior Secured Loans - First LienL+6.50%7.50%2/21/20261,005 995 960 0.5 %
Polyvision Corp. (Delayed Draw)(9)(15)Senior Secured Loans - First LienL+6.50%7.50%2/21/2026138 138 117 0.1 %
Polyvision Corp. (Revolver)(9)(13)(15)Senior Secured Loans - First LienL+6.50%7.50%8/21/2025409 339 350 0.1 %
Total Metals & Mining5,004 4,834 2.4 %
Retail
Belk, Inc.Senior Secured Loans - First LienL+6.75%7.75%7/31/20251,027 956 368 0.2 %
Blue Nile, Inc.Senior Secured Loans - First LienL+6.50%7.50%2/17/20239,900 9,777 7,268 3.7 %
Pet Holdings ULCCN(10)(11)(15)Senior Secured Loans - First LienL+5.50%6.50%7/5/20224,295 4,275 4,091 2.1 %
Pet Holdings ULC (Delayed Draw)CN(10)(11)(15)Senior Secured Loans - First LienL+5.50%6.50%7/5/2022484 484 461 0.2 %
4,759 4,552 2.3 %
Save-a-Lot(13)(14)Senior Secured Loans - First LienL+8.00%8.00%3/12/2024907 821 908 0.5 %
Save-a-Lot(13)(14)(15)Senior Secured Loans - Second LienL+11.75%11.75%10/1/20241,102 2,036 969 0.5 %
2,857 1,877 1.0 %
Total Retail18,349 14,065 7.2 %
Services: Business
20
GUGGENHEIM CREDIT INCOME FUND
CONSOLIDATED SCHEDULE OF INVESTMENTS (UNAUDITED)
December 31, 2020 (in thousands)
Portfolio Company (1) (2) (3)
FootnotesInvestment
Spread
Above
Reference
Rate (4)
Interest
Rate (4) (5)
Maturity Date
Principal / Par Amount / Shares (6)
Amortized Cost (7) (8)
Fair Value% of Net Assets
24-7 IntouchCN(10)(11)Senior Secured Loans - First LienL+4.75%4.90%8/25/20253,910 3,711 3,744 1.9 %
Alexander Mann Solutions (GBP Term Loan)UK(10)(11)(13)Senior Secured Loans - First LienG+5.25%5.09%6/16/2025£2,060 2,568 2,579 1.3 %
Alexander Mann Solutions (USD Term Loan)UK(10)(11)(13)Senior Secured Loans - First LienL+5.25%6.65%6/16/2025890 856 807 0.4 %
Alexander Mann Solutions (Revolver)UK(9)(10)(11)(13)(15)(17)Senior Secured Loans - First LienN/AN/A12/16/2024— (36)(40)— %
3,388 3,346 1.7 %
Cast & Crew PayrollSenior Secured Loans - First LienL+3.75%3.90%1/16/20262,8902,525 2,829 1.4 %
HealthChannels, Inc.Senior Secured Loans - First LienL+4.50%4.65%4/3/20252,8282,784 2,707 1.4 %
Hersha Hospitality Management(15)Senior Secured Loans - First LienL+4.75%5.75%3/2/20264,3734,288 3,936 2.0 %
Hersha Hospitality Management (Delayed Draw)(9)(15)(17)Senior Secured Loans - First LienN/AN/A3/2/2026— (32)(159)(0.1)%
4,256 3,777 1.9 %
PSI Services LLC(9)(13)(15)Senior Secured Loans - First LienL+5.75%6.75%10/4/2025104104 74 — %
PSI Services LLC(9)(15)Senior Secured Loans - First LienN/AN/A10/4/2026— — — — %
PSI Services LLC(15)Senior Secured Loans - First LienL+5.75%6.75%10/4/2026425425 424 0.2 %
PSI Services LLC(15)Senior Secured Loans - First LienL+5.75%6.75%10/16/20262,8372,803 2,834 1.4 %
3,332 3,332 1.6 %
SLR Consulting(11)(15)Senior Secured Loans - First LienL+4.00%4.98%6/23/20251,5881,559 1,558 0.8 %
SLR Consulting (Delayed Draw)(11)(15)Senior Secured Loans - First LienL+4.00%5.50%5/23/2025494 512 513 0.3 %
2,071 2,071 1.1 %
Teneo Holdings LLCSenior Secured Loans - First LienL+5.25%6.25%7/12/20253,9503,792 3,922 2.0 %
YAK Access, LLCSenior Secured Loans - Second LienL+10.00%10.22%7/10/20265,0004,724 3,563 1.8 %
Total Services: Business30,583 29,291 14.8 %
Technology
Acquia Inc.(13)(15)Senior Secured Loans - First LienL+7.00%8.00%10/31/20251,789 1,754 1,772 0.9 %
Acquia Inc.(9)(13)(15)(17)Senior Secured Loans - First LienN/AN/A10/31/2025— (4)(21)— %
1,750 1,751 0.9 %
Advicent Solutions(14)(15)(18)Senior Secured Loans - First LienN/AN/A2/28/20227,418 7,374 4,537 2.3 %
Advicent Solutions(9)(13)(14)(15)Senior Secured Loans - First LienP+5.25%8.50%2/28/202214 14 12 — %
21
GUGGENHEIM CREDIT INCOME FUND
CONSOLIDATED SCHEDULE OF INVESTMENTS (UNAUDITED)
December 31, 2020 (in thousands)
Portfolio Company (1) (2) (3)
FootnotesInvestment
Spread
Above
Reference
Rate (4)
Interest
Rate (4) (5)
Maturity Date
Principal / Par Amount / Shares (6)
Amortized Cost (7) (8)
Fair Value% of Net Assets
Advicent Solutions(14)(15)Senior Secured Loans - First LienL+3.50%4.50%2/28/20221,653 1,645 1,645 0.8 %
9,033 6,194 3.1 %
Allvue Systems (Revolver)(9)(13)(15)(17)Senior Secured Loans - First LienN/AN/A9/6/2024— (13)(9)— %
Allvue Systems (Term Loan)(15)Senior Secured Loans - First LienL+4.00%4.15%9/4/2026860858 852 0.4 %
845 843 0.4 %
Apptio, Inc.(15)Senior Secured Loans - First LienL+7.25%8.25%1/10/20254,9004,850 4,864 2.4 %
Apptio, Inc. (Revolver)(9)(13)(15)(17)Senior Secured Loans - First LienN/AN/A12/3/2024— (28)(27)— %
4,822 4,837 2.4 %
Causeway TechnologiesUK(10)(11)(15)Senior Secured Loans - First LienG+6.25%6.31%6/8/2024£2,638 3,353 3,572 1.8 %
Causeway TechnologiesUK(10)(11)(15)Senior Secured Loans - First LienG+6.25%7.12%6/8/2024£338 426 799 0.4 %
3,779 4,371 2.2 %
Cologix HoldingsSenior Secured Loans - First LienL+3.75%4.75%3/20/20242,000 1,946 1,988 1.0 %
Datix Bidco Limited(15)Senior Secured Loans - First LienL+4.50%4.74%4/28/20251,931 1,905 1,919 1.0 %
Datix Bidco Limited(15)Senior Secured Loans - Second LienL+7.75%8.61%4/27/2026462 455 458 0.2 %
Datix Bidco Limited(15)Senior Secured Loans - First LienL+4.50%4.74%4/28/20253,048 3,015 3,029 1.5 %
Datix Bidco Limited(15)Senior Secured Loans - Second LienL+7.75%7.99%4/27/20264,696 4,642 4,663 2.3 %
10,017 10,069 5.0 %
Kerridge Commercial Systems (USD Term Loan)UK(10)(11)(14)(15)Senior Secured Loans - First LienL+6.25%6.75%1/22/2024637 627 633 0.3 %
Kerridge Commercial Systems (GBP Term Loan)UK(10)(11)(14)(15)Senior Secured Loans - First LienG+6.25%6.75%1/22/2024£530 734 721 0.4 %
Kerridge Commercial Systems (Euro Delayed Draw)UK(10)(11)(14)(15)Senior Secured Loans - First LienE+6.25%6.75%1/22/2024€97 118 118 0.1 %
Kerridge Commercial Systems (GBP Delayed Draw)UK(10)(11)(14)(15)Senior Secured Loans - First LienG+6.25%6.75%1/22/2024£326 424 444 0.2 %
Kerridge Commercial Systems (Bidco) Limited(11)(14)(15)Senior Secured Loans - First LienL+6.25%6.75%1/22/20242,211 2,178 2,200 1.1 %
Kerridge Commercial Systems (Bidco) LimitedUK(10)(11)(14)(15)Senior Secured Loans - First LienE+6.25%6.75%1/25/2024€289 317 351 0.2 %
22
GUGGENHEIM CREDIT INCOME FUND
CONSOLIDATED SCHEDULE OF INVESTMENTS (UNAUDITED)
December 31, 2020 (in thousands)
Portfolio Company (1) (2) (3)
FootnotesInvestment
Spread
Above
Reference
Rate (4)
Interest
Rate (4) (5)
Maturity Date
Principal / Par Amount / Shares (6)
Amortized Cost (7) (8)
Fair Value% of Net Assets
Kerridge Commercial Systems (Bidco) LimitedUK(10)(11)(15)Senior Secured Loans - First LienE+6.25%6.75%1/22/2024661 706 803 0.4 %
5,104 5,270 2.7 %
Lytx, Inc.(9)(15)(16)Senior Secured Loans - First LienL+6.00%7.00%2/27/2026509 489 483 0.2 %
Lytx, Inc.(15)(16)Senior Secured Loans - First LienL+6.00%7.00%2/27/20265,859 5,762 5,783 2.9 %
6,251 6,266 3.1 %
Ministry Brands(15)Senior Secured Loans - First LienL+4.00%5.00%12/2/2022944 940 897 0.5 %
Ministry Brands (Delayed Draw)(15)Senior Secured Loans - First LienL+4.00%5.00%12/2/2022502 501 477 0.2 %
Ministry Brands (Delayed Draw)(15)Senior Secured Loans - First LienL+4.00%5.00%12/2/2022182 182 173 0.1 %
1,623 1,547 0.8 %
Onyx CenterSource(15)(18)Senior Secured Loans - First LienN/AN/A12/20/20216,616 6,609 4,623 2.3 %
Onyx CenterSource (Revolver)(13)(15)Senior Secured Loans - First LienL+6.75%7.25%12/20/2021329 321 230 0.1 %
6,930 4,853 2.4 %
Velocity Holdings US(15)Senior Secured Loans - First LienL+7.00%8.00%12/12/20235,372 5,303 5,307 2.7 %
Velocity Holdings US(15)Senior Secured Loans - First LienL+7.00%7.24%12/12/20231,134 1,110 1,120 0.6 %
Velocity Holdings US (Revolver)(9)(13)(15)Senior Secured Loans - First LienL+7.00%8.00%12/12/2022162 136 139 0.1 %
6,549 6,566 3.4 %
Wide Orbit, Inc.(15)Senior Secured Loans - First LienL+8.50%9.75%7/8/20253,689 3,650 3,650 1.8 %
Wide Orbit, Inc. (Revolver)(9)(13)(15)(17)Senior Secured Loans - First LienN/AN/A7/8/2025— — (33)— %
3,650 3,617 1.8 %
Wind River Systems(15)Senior Secured Loans - First LienL+6.75%7.75%6/24/20245,365 5,286 5,314 2.7 %
Total Technology67,585 63,486 31.9 %
Telecommunications
Firstlight FiberSenior Secured Loans - First LienL+3.50%3.65%7/23/20252,208 2,200 2,155 1.1 %
Firstlight FiberSenior Secured Loans - Second LienL+7.50%7.65%7/23/20262,500 2,478 2,275 1.1 %
4,678 4,430 2.2 %
Total Telecommunications4,678 4,430 2.2 %
Transportation: Consumer
Delta Airlines(11)Senior Secured Loans - First LienL+4.75%5.75%5/31/2023100 97 101 0.1 %
Total Transportation: Consumer97 101 0.1 %
Utilities: Electric
23
GUGGENHEIM CREDIT INCOME FUND
CONSOLIDATED SCHEDULE OF INVESTMENTS (UNAUDITED)
December 31, 2020 (in thousands)
Portfolio Company (1) (2) (3)
FootnotesInvestment
Spread
Above
Reference
Rate (4)
Interest
Rate (4) (5)
Maturity Date
Principal / Par Amount / Shares (6)
Amortized Cost (7) (8)
Fair Value% of Net Assets
BHI Energy(15)Senior Secured Loans - Second LienL+8.75%9.75%2/28/20256,000 5,922 5,880 3.0 %
Total Utilities: Electric5,922 5,880 3.0 %
Utilities: Oil & Gas
SeaPort(15)Senior Secured Loans - First LienL+5.50%5.65%10/31/20255,861 5,729 5,451 2.7 %
Total Utilities: Oil & Gas5,729 5,451 2.7 %
Total Debt Investments$303,043 $289,744 145.8 %
Equity investments - 1.1%
Beverage, Food & Tobacco
Chef's Holdings Inc.(13)(15)(16)Equity and OtherN/AN/A19,540 $2,459 $1,252 0.6 %
Total Beverage, Food & Tobacco2,459 1,252 0.6 %
Energy: Oil & Gas
Maverick Natural Resources, LLC (Common Equity)(15)(16)Equity and OtherN/AN/A4,625 2,777 591 0.3 %
Permian Production Partners(13)(15)Equity and OtherN/AN/A203,022 — — — %
Total Energy: Oil & Gas2,777 591 0.3 %
Retail
Save-a-Lot(13)(15)Equity and OtherN/AN/A53,097 — — — %
Total Retail— — — %
Technology
Velocity Holdings US (Class A Units)(13)(15)(16)Equity and OtherN/AN/A231 231 332 0.2 %
Wolfhound Parent Inc. (Warrants)(13)(15)(16)Equity and OtherN/AN/A1,975 30 30 — %
Total Technology261 362 0.2 %
Total Equity Investments$5,497 $2,205 1.1 %
Total Investments - 146.9%$308,540 $291,949 146.9 %
December 31, 2020 (in thousands)
Derivative CounterpartySettlement DateAmount PurchasedAmount Sold
Amortized Cost (7) (8)
Fair Value% of Net Assets
Foreign Currency Forward Contracts
JPMorgan Chase Bank1/15/2021$1,291 €1,063 — $(8)— %
JPMorgan Chase Bank1/15/2021$25,682 £19,334 — $(760)(0.4)%
$(768)(0.4)%
_______________________
(1)Security may be an obligation of one or more entities affiliated with the named portfolio company.
24
GUGGENHEIM CREDIT INCOME FUND
CONSOLIDATED SCHEDULE OF INVESTMENTS (UNAUDITED)
(2)All debt and equity investments are income producing unless otherwise noted.
(3)All investments are non-controlled/non-affiliated investments as defined by the Investment Company Act of 1940 (the "1940 Act"). The provisions of the 1940 Act classify investments based on the level of control that we maintain in a particular portfolio company. As defined in the 1940 Act, a company is generally presumed to be “non-controlled” when we own 25% or less of the portfolio company’s voting securities and “controlled” when we own more than 25% of the portfolio company’s voting securities. The provisions of the 1940 Act also classify investments further based on the level of ownership that we maintain in a particular portfolio company. As defined in the 1940 Act, a company is generally deemed as “non-affiliated” when we own less than 5% of a portfolio company’s voting securities and “affiliated” when we own 5% or more of a portfolio company’s voting securities.
(4)The periodic interest rate for all floating rate loans is indexed to London Interbank Offered Rate ("LIBOR" or "LIBO rate") (denoted as "L"), Euro Interbank Offered Rate ("EURIBOR") (denoted as "E"), British Pound Sterling LIBOR ("GBP LIBOR") (denoted as "G") or Prime Rate (denoted as "P"). Pursuant to the terms of the underlying credit agreements, the base interest rates typically reset annually, semi-annually, quarterly or monthly at the borrower's option. The borrower may also elect to have multiple interest reset periods for each loan. For each of these floating rate loans, the Consolidated Schedule of Investments presents the applicable margin over LIBOR, EURIBOR, GBP LIBOR or Prime based on each respective credit agreement. As of December 31, 2020, LIBO rates ranged between 0.14% for 1-month LIBOR to 0.24% for 3-month LIBOR.
(5)For portfolio companies with multiple interest rate contracts under a single credit agreement, the interest rate shown is a weighted average current interest rate in effect at December 31, 2020.
(6)Unless noted otherwise, the principal amount (par amount) for all debt securities is denominated in U.S. dollars. Equity investments are recorded as number of shares owned.
(7)Cost represents amortized cost, inclusive of any capitalized paid-in-kind income ("PIK"), for debt securities, and cost plus capitalized PIK, if any, for preferred stock.
(8)As of December 31, 2020, the aggregate gross unrealized appreciation for all securities, including foreign currency forward contracts, in which there was an excess of value over tax cost was $6.0 million; the aggregate gross unrealized depreciation for all securities, including foreign currency forward contracts, in which there was an excess of tax cost over value was $25.0 million; the net unrealized depreciation was $19.0 million; the aggregate cost of securities for Federal income tax purposes was $308.5 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, 2020 (see Note 8. Commitments and Contingencies).
(10)A portfolio company domiciled in a foreign country. The regulatory jurisdiction of security issuance may be a different country than the domicile of the portfolio company.
(11)The investment is not a qualifying asset as defined in Section 55(a) of the 1940 Act. As of December 31, 2020, qualifying assets represented 80% of total assets. Under the 1940 Act we may not acquire any non-qualifying assets unless, at the time the acquisition is made, qualifying assets represent at least 70% of our total assets.
(12)Investment position or portion thereof unsettled as of December 31, 2020.
(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, 2020; (see Note 7. Borrowings).
(14)The underlying credit agreement or indenture contains a PIK provision, whereby the issuer has either the option or the obligation to make interest payments with the issuance of additional securities. The interest rate in the schedule represents the current interest rate in effect for these investments.
25
GUGGENHEIM CREDIT INCOME FUND
CONSOLIDATED SCHEDULE OF INVESTMENTS (UNAUDITED)
Coupon RatePIK ComponentCash ComponentPIK Option
Addo Foods GroupG+8.00%0.75 %G+7.25%The Portfolio Company may elect PIK up to 0.75%.
Advicent Solutions (Revolver)P+5.25%0.75 %P+4.50%The Portfolio Company may elect PIK up to 0.75%.
Advicent SolutionsL+3.50%0.75 %L+2.75%The Portfolio Company may elect PIK up to 0.75%.
CTI Foods Holdings Co., LLC (First Out)L+7.00%3.00 %L+4.00%The Portfolio Company may elect PIK up to 3.00%.
CTI Foods Holdings Co., LLC (Last Out)L+9.00%6.00 %L+3.00%The Portfolio Company may elect PIK up to 6.00%.
Four Springs Capital Trust16.50 %16.50 %— %The Portfolio Company may elect PIK up to 16.50%.
Galls LLCL+6.75%0.50 %L+6.25%The Portfolio Company may elect PIK up to 6.75%.
Galls LLC (Delayed Draw)L+6.75%0.50 %L+6.25%The Portfolio Company may elect PIK up to 6.75%.
Gladman Developments Ltd.G+9.50%2.75 %G+6.75%The Portfolio Company may elect PIK up to 2.75%.
Gladman Developments Ltd. (Delayed Draw)G+9.50%2.75 %G+6.75%The Portfolio Company may elect PIK up to 2.75%.
Kerridge Commercial Systems (GBP Term Loan)G+6.25%1.74 %G+4.51%The Portfolio Company has elected to exercise PIK Toggle option of 25% of applicable all-in rate.
Kerridge Commercial Systems (USD Term Loan)L+6.25%1.83 %L+4.42%The Portfolio Company has elected to exercise PIK Toggle option of 25% of applicable all-in rate.
Kerridge Commercial Systems (GBP Delayed Draw)G+6.25%1.74 %G+4.51%The Portfolio Company has elected to exercise PIK Toggle option of 25% of applicable all-in rate.
Kerridge Commercial Systems (Euro Delayed Draw)E+6.25%1.69 %E+4.56%The Portfolio Company has elected to exercise PIK Toggle option of 25% of applicable all-in rate.
Kerridge Commercial Systems (Bidco) LimitedL+6.25%1.83 %L+4.42%The Portfolio Company has elected to exercise PIK Toggle option of 25% of applicable all-in rate.
Kerridge Commercial Systems (Bidco) LimitedE+6.25%1.69 %E+4.56%The Portfolio Company has elected to exercise PIK Toggle option of 25% of applicable all-in rate.
McGraw-Hill Global Education Holdings11.75 %11.75 %— %The Portfolio Company may elect partial PIK up to 50% of the interest of the period or full PIK of 11.75%.
Permian Production PartnersL+8.00%2.00 %L+6.00%The Portfolio Company may elect PIK up to 2.00%.
Save-a-LotL+8.00%7.00 %L+1.00%The Portfolio Company may elect to PIK up to 6.00%.
Save-a-LotL+11.75%10.75 %L+1.00%The Portfolio Company may elect to PIK up to 10.75%.
(15)Investments value was determined using significant unobservable inputs (see Note 2. Significant Accounting Policies).
(16)Non-income producing security.
(17)The negative fair value is the result of the unfunded commitment being valued below par. The negative amortized cost is the result of the capitalized discount being greater than the principal amount outstanding on the loan.
(18)Investment was on non-accrual status as of December 31, 2020, meaning that the Master Fund has ceased recognizing interest income on these investments. As of December 31, 2020, debt investments on non-accrual status represented 5.2% and 3.4% of total investments on an amortized cost basis and fair value basis, respectively.
Abbreviations:
CN = Canada; UK = United Kingdom; IT = Italy; IR=Ireland

See Unaudited Notes to Consolidated Financial Statements.
26

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 30, 2021, the Master Fund had one wholly-owned subsidiary, Hamilton Finance LLC ("Hamilton"), a special purpose financing subsidiary organized for the purpose of arranging secured debt financing, entering into credit agreements and borrowing money to invest in portfolio companies.
Note 2. Significant Accounting Policies
Basis of Presentation
Management has determined that the Master Fund meets the definition of an investment company and adheres to the accounting and reporting guidance in the Financial Accounting Standards Board ("FASB") Accounting Standards Codification ("ASC") Topic 946 — Financial Services — Investment Companies ("ASC 946").
The Master Fund's interim consolidated financial statements have been prepared pursuant to the requirements for reporting on Form 10-Q and the disclosure requirements as stipulated in Articles 6 and 10 of Regulation S-X, and therefore do not necessarily include all information and notes necessary for a fair statement of financial position and results of operations in accordance with accounting principles generally accepted in the U.S. ("GAAP"). In the opinion of management, the unaudited consolidated financial information for the interim period presented in this Report reflects all normal and recurring adjustments necessary for a fair statement of financial position and results from operations. Operating results for interim periods are not necessarily indicative of operating results for an entire year.
Principles of Consolidation
As provided under ASC 946, the Master Fund will generally not consolidate its investment in a company other than an investment in an investment company or an operating company whose business consists of providing substantially all of its services to the benefit of the Master Fund. Accordingly, the Master Fund consolidated the results of its wholly-owned subsidiary in its consolidated financial statements. All intercompany balances and transactions have been eliminated.
27
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
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.
Restricted Cash
Restricted cash consists of cash collateral that has been pledged to cover obligations of the Master Fund according to its derivative contracts and demand deposits held at a major U.S. financial institution on behalf of Hamilton. Hamilton may be restricted in the distribution of cash to the Master Fund, as governed by the terms of the Hamilton Credit Facility (see Note 7. Borrowings). Management believes the credit risk related to its demand deposits is minimal.
Valuation of Investments
The Master Fund measures the value of its investments in accordance with ASC Topic 820 — Fair Value Measurement (“ASC 820”), issued by the FASB. Fair value is the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. Market participants are defined as buyers and sellers in the principal or most advantageous market (which may be a hypothetical market) that are independent, knowledgeable and willing and able to transact. In accordance with ASC 820, the Master Fund considers its principal market to be the market that has the greatest volume and level of activity.
ASC 820 defines hierarchical levels directly related to the amount of subjectivity associated with the inputs used to determine fair values of assets and liabilities. The hierarchical levels and types of inputs used to measure fair value for each level are described as follows:
Level 1 - Quoted prices are available in active markets for identical investments as of the reporting date. Publicly listed equities and debt securities, publicly listed derivatives, money market/short-term investment funds and foreign currency are generally included in Level 1. The Master Fund does not adjust the quoted price for these investments.
Level 2 - Valuation inputs are other than quoted prices in active markets, which are either directly or indirectly observable as of the reporting date, and fair value is determined through the use of models or other valuation methodologies. In certain cases, debt and equity securities are valued on the basis of prices from orderly transactions for similar investments in active markets between market participants and provided by reputable dealers or independent pricing services. In determining the value of a particular investment, independent pricing services may use certain information with respect to transactions in such investments, quotations from multiple dealers or brokers, pricing matrices, market transactions in comparable investments and various relationships between investments. Investments generally included in this category are corporate bonds and loans.
Level 3 - Valuation inputs are unobservable for the investment and include situations where there is little, if any, market activity for the investment. The inputs into the determination of fair value require significant judgment or estimation. Investments generally included in this category are illiquid corporate bonds and loans and preferred stock investments that lack observable market pricing.
In certain cases, the inputs used to measure fair value may fall within different levels of the fair value hierarchy. In such cases, an investment’s level within the fair value hierarchy is based on the lowest level of input that is significant to the fair value measurement. Depending on the relative liquidity in the markets for certain investments, the Master Fund may transfer assets to Level 3 if it determines that observable quoted prices, obtained directly or indirectly, are severely limited, or not available, or otherwise not reliable. The Master Fund’s assessment of the significance of a particular input to the fair value measurement requires judgment, and the consideration of factors specific to the investment.
28
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 process on a quarterly basis and any other time when a decision regarding the fair value of the portfolio investments is required.
The valuation techniques used by the Master Fund for the assets that are classified as Level 3 in the fair value hierarchy are described below.
Senior Debt and Subordinated Debt: Senior debt and subordinated debt investments are valued at initial transaction price and are subsequently valued using (i) market data for similar instruments (e.g., recent transactions or indicative broker quotes), and/or (ii) valuation models. Valuation models may be based on investment yield analysis and discounted cash flow techniques, where the key inputs include risk-adjusted discount rates and required rates of return, based on the analysis of similar debt investments issued by similar issuers.
Equity/Other Investments: Equity/other investments are valued at initial transaction price and are subsequently valued using valuation models in the absence of readily observable market prices. Valuation models are generally based on (i) market and income (discounted cash flow) approaches, in which various internal and external factors are considered, and (ii) earnings before interest, taxes, depreciation and amortization ("EBITDA") multiples analysis. Factors include key financial inputs and recent public and private transactions for comparable investments. Key inputs used for the discounted cash flow approach include the weighted average cost of capital and investment terminal values derived from EBITDA multiples. An illiquidity discount may be applied where appropriate.
The Master Fund utilizes several valuation techniques that use unobservable pricing inputs and assumptions in determining the fair value of its Level 3 investments. The valuation techniques, as well as the key unobservable inputs that have a significant impact on the Master Fund’s investments classified and valued as Level 3 in the valuation hierarchy, are described in Note 5. Fair Value of Financial Instruments. The unobservable inputs and assumptions may differ by asset and in the application of the Master Fund’s valuation methodologies. The reported fair value estimates could vary materially if the Master Fund had chosen to incorporate different unobservable pricing inputs and assumptions.
The determination of fair value involves subjective judgments and estimates. Due to the inherent uncertainty of determining the fair value of portfolio investments that do not have a readily available market value, the fair value of investments may differ materially from the values that would have been determined had a readily available market value existed for such investments. Further, such investments are generally less liquid than publicly traded securities. If the Master Fund was required to liquidate a portfolio investment that does not have a readily available market value in a forced or liquidation sale, the Master Fund could realize significantly less value than the value recorded by the Master Fund.
Security Transactions and Realized/Unrealized Gains or Losses
Investments purchased on a secondary market basis are recorded on the trade date. Loan originations are recorded on the funding date. All investments sold are derecognized on the trade date. The Master Fund measures realized gains or losses from the repayment or sale of investments using the specific lot identification method. Realized gains or losses are measured by the difference between (i) the net proceeds from the repayment or sale, inclusive of any prepayment premiums and (ii) the amortized cost basis of the investment without regard to unrealized appreciation or depreciation previously recognized and include investments charged off during the period, net of recoveries. Unrealized appreciation or depreciation primarily measures the change in investment values, including the reversal of previously recorded unrealized appreciation or depreciation when gains or losses are realized. The amortized cost basis of investments includes (i) the original cost, net of original issue discount and loan origination fees, if any, and (ii) adjustments for the accretion/amortization of market discounts and premiums. The Master Fund reports changes in fair value of investments as net change in unrealized appreciation (depreciation) on investments in the consolidated statements of operations.
29
Notes to Consolidated Financial Statements (Unaudited)
Interest Income
Interest income is recorded on an accrual basis and includes amortization of premiums to par value and accretion of discounts to par value. Discounts and premiums to par value on securities purchased are accreted/amortized into interest income over the life of the respective security using the effective interest method, 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.
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.
30
Notes to Consolidated Financial Statements (Unaudited)
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.
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.
31
Notes to Consolidated Financial Statements (Unaudited)
Federal Income Taxes
Beginning with its tax year ended December 31, 2015, the Master Fund has elected to be treated for federal income tax purposes, and thereafter intends to maintain its qualification, as a 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 30, 2021, open U.S. Federal and state income tax years include the tax years ended December 31, 2017 through December 31, 2020. 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.
32
Notes to Consolidated Financial Statements (Unaudited)
Note 3. Investments
The following table presents the composition of the investment portfolio at amortized cost and fair value as of June 30, 2021 and December 31, 2020, respectively, with corresponding percentages of total investments at fair value:
June 30, 2021December 31, 2020
Amortized CostFair ValuePercentage of Investments at Fair ValueAmortized CostFair ValuePercentage of Investments at Fair Value
Senior secured loans - first lien$167,636 $170,558 82.9 %$259,881 $251,882 86.2 %
Senior secured loans - second lien30,674 28,970 14.1 33,662 29,682 10.2 
Senior secured bonds5,538 4,272 2.1 6,171 4,831 1.7 
Senior unsecured debt— — — 3,329 3,349 1.1 
Total senior debt$203,848 $203,800 99.1 %$303,043 $289,744 99.2 %
Equity and other3,054 1,869 0.9 5,497 2,205 0.8 
Total investments$206,902 $205,669 100.0 %$308,540 $291,949 100.0 %
The following table presents the composition of the investment portfolio by industry classifications at amortized cost and fair value as of June 30, 2021 and December 31, 2020, respectively, with corresponding percentages of total investments at fair value:
June 30, 2021December 31, 2020
Industry ClassificationAmortized Cost
Fair Value		Percentage of Investments at Fair ValueAmortized Cost
Fair Value		Percentage of Investments at Fair Value
Technology$33,304 $34,639 16.8 %$67,846 $63,848 21.9 %
Services: Business26,520 25,952 12.6 30,583 29,291 10.0 
Automotive21,377 21,895 10.6 26,998 27,044 9.3 
Containers, Packaging & Glass15,977 16,649 8.1 16,488 14,728 5.0 
Construction & Building13,683 13,735 6.7 13,757 13,729 4.7 
Chemicals, Plastics & Rubber12,904 12,959 6.3 18,377 18,395 6.3 
Retail12,333 11,435 5.6 18,349 14,065 4.8 
Media: Advertising, Printing & Publishing10,802 10,870 5.3 21,127 20,924 7.2 
Consumer Goods: Non-Durable8,393 8,701 4.2 11,959 12,339 4.2 
Healthcare & Pharmaceuticals7,970 7,818 3.8 7,965 7,975 2.7 
Beverage, Food & Tobacco5,628 5,974 2.9 28,271 28,477 9.8 
Utilities: Electric5,930 5,895 2.9 5,922 5,880 2.0 
Utilities: Oil & Gas5,710 5,801 2.8 5,729 5,451 1.9 
Metals & Mining5,280 5,131 2.5 5,004 4,834 1.7 
Energy: Oil & Gas7,638 4,767 2.3 8,529 3,501 1.2 
Telecommunications4,668 4,558 2.2 4,678 4,430 1.5 
Banking, Finance, Insurance & Real Estate (1)
3,281 3,466 1.7 6,006 6,215 2.1 
Hotel, Gaming & Leisure2,331 2,267 1.1 3,289 3,194 1.1 
Capital Equipment2,000 1,980 1.0 2,000 1,975 0.7 
Consumer Goods: Durable1,173 1,177 0.6 1,233 1,193 0.4 
Aerospace & Defense— — — 4,333 4,360 1.5 
Transportation: Consumer— — — 97 101 — 
Total investments$206,902 $205,669 100.0 %$308,540 $291,949 100.0 %
33
Notes to Consolidated Financial Statements (Unaudited)
______________
(1)Portfolio companies included in this classification may include insurance brokers that are not classified as insurance companies.
The following table presents the geographic dispersion of the investment portfolio as a percentage of total investments at fair value as of June 30, 2021 and December 31, 2020.
Geographic DispersionJune 30, 2021December 31, 2020
United States of America92.0 %84.9 %
United Kingdom7.0 9.8 
Canada1.0 3.5 
Italy— 1.8 
   Total investments100.0 %100.0 %
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 30, 2021 and December 31, 2020:
June 30, 2021
Foreign CurrencySettlement DateStatement LocationCounterpartyAmount TransactedNotional Value at SettlementNotional Value at Period EndFair Value
EURJuly 16, 2021Unrealized appreciation on foreign currency forward contractsJPMorgan Chase Bank, N.A.€1,087 $1,319 $1,290 $29 
GBPJuly 16, 2021Unrealized appreciation on foreign currency forward contractsJPMorgan Chase Bank, N.A.£8,723 12,286 12,067 219 
GBPJuly 16, 2021Unrealized depreciation on foreign currency forward contractsJPMorgan Chase Bank, N.A.£47 65 66 (1)
Total$13,670 $13,423 $247 
December 31, 2020
Foreign CurrencySettlement DateStatement LocationCounterpartyAmount TransactedNotional Value at SettlementNotional Value at Period EndFair Value
EURJanuary 15, 2021Unrealized depreciation on foreign currency forward contractsJPMorgan Chase Bank, N.A.€1,063 $1,291 $1,299 $(8)
GBPJanuary 15, 2021Unrealized depreciation on foreign currency forward contractsJPMorgan Chase Bank, N.A.£19,334 25,682 26,442 (760)
Total$26,973 $27,741 $(768)
34
Notes to Consolidated Financial Statements (Unaudited)
The following table presents the net realized and unrealized gains and losses on derivative instruments recorded by the Master Fund for the three and six months ended June 30, 2021 and June 30, 2020:
For the Three Months Ended June 30,For the Six Months Ended June 30,
Statement Location2021202020212020
Net realized gains (losses)
Foreign currency forward contractsNet realized gains (losses) on foreign currency forward contracts$(96)$42 $(1,120)$1,051 
Net change in unrealized appreciation (depreciation)
Foreign currency forward contractsNet change in unrealized appreciation on foreign currency forward contracts35 17 1,015 495 
Net realized and unrealized gains (losses) on foreign currency forward contracts$(61)$59 $(105)$1,546 
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.
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 30, 2021 and December 31, 2020:
As ofCounterpartyGross Derivative Assets in Statement of Assets and LiabilitiesGross Derivative Liabilities in Statement of Assets and LiabilitiesCollateral Pledged (Received)Net position of Derivative Assets, Liabilities and Pledged Collateral
June 30, 2021JP Morgan Chase Bank, N.A.$247 $— $(260)$(13)
December 31, 2020JP Morgan Chase Bank, N.A.$— $(768)$520 $(248)
Note 5. Fair Value of Financial Instruments
The following tables present the segmentation of the investment portfolio at fair value, as of June 30, 2021 and December 31, 2020, according to the fair value hierarchy as described in Note 2. Significant Accounting Policies:
June 30, 2021
Level 1Level 2Level 3Total
Investments
Senior secured loans - first lien $— $68,621$101,937$170,558
Senior secured loans - second lien— 9,12919,84128,970
Senior secured bonds— 4,1191534,272
Senior unsecured debt— ———
Total senior debt$— $81,869$121,931$203,800
Equity and other— — 1,8691,869
Total investments$— $81,869$123,800$205,669
Percentage0.0 %39.8 %60.2 %100.0 %
Derivative Instruments
Foreign currency forward contracts$— $247 $— $247 
35
Notes to Consolidated Financial Statements (Unaudited)
December 31, 2020
Level 1Level 2Level 3Total
Investments
Senior secured loans - first lien $—$84,369$167,513$251,882
Senior secured loans - second lien—10,06019,62229,682
Senior secured bonds—4,831—4,831
Senior unsecured debt—1,2212,1283,349
Total senior debt$—$100,481$189,263$289,744
Equity and other——2,2052,205
Total investments$—$100,481$191,468$291,949
Percentage0.0 %34.4 %65.6 %100.0 %
Derivative Instruments
Foreign currency forward contracts$— $(768)$—$(768)
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 30, 2021 and December 31, 2020:
June 30, 2021
Asset CategoryFair
Value
Valuation Techniques (1)
Unobservable Inputs (2)
Weighted Average
Range (3)
Impact to Valuation from an Increase in Input (4)
Senior secured loans - first lien$90,268 Yield analysisYield6.82%4.13% - 13.00%Decrease
$934 Transacted valuePotential transaction200.00200.00Increase
Discounted cash flowEBITDA multiple11.8x11.8xIncrease
Senior secured loans - second lien$16,916 Yield analysisYield8.90%8.07% - 9.46%Decrease
Equity and other$238 Transacted valuePotential transaction0.250.25Increase
$51 Market comparableEBITDA multiple17.9x17.9xIncrease
Market comparableDiscount rate25.0%25.0%Increase
$870 Market comparableCash Flow Multiple4x4xIncrease
Market comparable
Oil production multiple (7)
23532.7x23532x - 23533xIncrease
Market comparable
Oil reserve multiple (7)
9.7x9.7xIncrease
$338 Discounted cash flowEBITDA multiple18x18xIncrease
Discounted cash flowDiscount Rate17.50%17.50%Decrease
Discounted cash flowPerpetuity Growth Rate8.00%8.00%Increase
Discounted cash flowTerminal EBITDA Multiple5.8x - 13x12.8xIncrease
Senior Secured Bonds$153 Transacted valueCost 90.0090.00Increase
Total$109,768 
_______________
(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%.
36
Notes to Consolidated Financial Statements (Unaudited)
(2)The Master Fund generally uses prices provided by an independent pricing service, or directly from an independent broker, which are non-binding indicative prices on or near the valuation date as the primary basis for the fair valuation determinations for quoted senior secured bonds and loans. Since these prices are non-binding, they may not be indicative of fair value. Each quoted price is evaluated by Guggenheim in conjunction with additional information compiled by it, including financial performance, recent business developments and various other factors. Investments with fair values determined in this manner were not included in the table above. As of June 30, 2021, the Master Fund had investments of this nature measured at fair value totaling $14.0 million.
(3)A range is not provided when there is only one investment within the classification or multiple investments that have the same unobservable input; weighted average amounts are based on the estimated fair values.
(4)This column represents the directional change in the fair value of the Level 3 investments that would result from an increase to the corresponding unobservable input. A decrease to the unobservable input would have the opposite effect. Significant changes in these inputs in isolation could result in significantly higher or lower fair value measurements.
(5)Investments may be valued at cost for a period of time after acquisition as the best indicator of fair value.
(6)Oil production multiple is valued based on thousand barrels of oil equivalent per day (MBOE/d).
(7)Oil reserve multiple is valued based on million barrels of oil equivalent (MMBOE).
December 31, 2020
Asset CategoryFair
Value
Valuation Techniques (1)
Unobservable Inputs (2)
Weighted Average
Range (3)
Impact to Valuation from an Increase in Input (4)
Senior secured loans - first lien$131,980 Yield analysisYield6.99%4.2% - 13.74%Decrease
$1,645 Transacted valueCost99.5099.50Increase
$4,537 Transacted valueBid52.5052.50Increase
$5,422 Discounted cash flowDiscount Rate11.63%6.49% - 17.5%Decrease
$230 Discounted cash flowEBITDA multiple14.1x11.2x - 14.9xIncrease
Discounted cash flowPerpetuity Growth Rate(10.00)%(10.00)%Increase
Discounted cash flowTerminal EBITDA Multiple7.2x7.2xIncrease
Senior secured loans - second lien$16,883 Yield analysisYield9.00%8.17% - 9.57%Decrease
Senior unsecured debt$2,128 Transacted valueProceeds from refinancing agreement100.50100.50Increase
Equity and other$30 Transacted value
Cost (5)
15.3615.36Increase
$591 Market comparableCash Flow Multiple2.5x2.5xIncrease
Market comparable
Oil production multiple (6)
11301x11301xIncrease
Market comparable
Oil reserve multiple (7)
4.5x4.5xIncrease
$1,252 Discounted cash flowDiscount Rate23.00%23.00%Decrease
$332 Discounted cash flowEBITDA multiple18x18xIncrease
Discounted cash flowPerpetuity Growth Rate8.00%8.00%Increase
Discounted cash flowTerminal EBITDA Multiple8.3x4.7x - 13xIncrease
Total$165,030 
_______________
(1)For the investments that have more than one valuation technique, the Master Fund may rely on the stated techniques individually or in the aggregate based on a weight ascribed to each valuation technique, ranging from 0% to 100%.
(2)The Master Fund generally uses prices provided by an independent pricing service, or directly from an independent broker, which are non-binding indicative prices on or near the valuation date as the primary basis for the fair valuation determinations for quoted senior secured bonds and loans. Since these prices are non-binding, they may not be indicative of fair value. Each quoted price is evaluated by Guggenheim in conjunction with additional information compiled by it, including financial performance, recent business developments and various other factors. Investments with fair values determined in this manner were not included in the table above. As of December 31, 2020, the Master Fund had investments of this nature measured at fair value totaling $26.4 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.
37
Notes to Consolidated Financial Statements (Unaudited)
(4)This column represents the directional change in the fair value of the Level 3 investments that would result from an increase to the corresponding unobservable input. A decrease to the unobservable input would have the opposite effect. Significant changes in these inputs in isolation could result in significantly higher or lower fair value measurements.
(5)Investments may be valued at cost for a period of time after acquisition as the best indicator of fair value.
(6)Oil production multiple is valued based on thousand barrels of oil equivalent per day (MBOE/d).
(7)Oil reserve multiple is valued based on million barrels of oil equivalent (MMBOE).
In addition to the Level 3 valuation methodologies and unobservable inputs noted above, the Master Fund, in accordance with its valuation policy, may also use other valuation techniques and methodologies when determining the fair value estimates for its investments.
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 months ended June 30, 2021 and June 30, 2020:
For the Three Months Ended June 30, 2021
Senior Secured Loans - First LienSenior Secured Loans - Second LienSenior Secured BondsEquity and OtherTotal
Balance as of April 1, 2021$135,445 $20,619 $— $1,258 $157,322 
Additions (1)
632 1 153 — 786 
Sales and repayments (2)
(40,803)— — (4)(40,807)
Net realized gains (losses) (3)
(1,854)— — 4 (1,850)
Net change in unrealized appreciation (depreciation) on investments (4)
6,213 200 — 611 7,024 
Net discount accretion90 11 — — 101 
Transfers into Level 3 (5)
3,178 — — — 3,178 
Transfers out of Level 3 (6)
(964)(990)— — (1,954)
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 
For the Six Months Ended June 30, 2021
Senior Secured Loans - First LienSenior Secured Loans - Second LienSenior Secured BondsSenior Unsecured DebtEquity and OtherTotal
Balance as of January 1, 2021$167,513 $19,622 $— $2,128 $2,205 $191,468 
Additions (1)
2,368 32 153 — — 2,553 
Sales and repayments (2)
(75,043)— — (2,118)(1,654)(78,815)
Net realized gains (losses) (3)
(563)— — 21 (789)(1,331)
Net change in unrealized appreciation (depreciation) on investments (4)
5,497 285 — (29)2,107 7,860 
Net discount accretion204 (38)— (2)— 164 
Transfers into Level 3 (5)
8,164 2,700 — — — 10,864 
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 
_______________
(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 months ended June 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.
38
Notes to Consolidated Financial Statements (Unaudited)
(6)For the three and six months ended June 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.
For the Three Months Ended June 30, 2020
Senior Secured Loans - First LienSenior Secured Loans - Second LienSenior Unsecured DebtEquity and OtherTotal
Balance as of April 1, 2020$196,161 $27,177 $16,858 $7,599 $247,795 
Additions (1)
5,502 2,166 — 203 7,871 
Sales and repayments (2)
(6,320)— (15,354)— (21,674)
Net realized gains (losses) (3)
(770)— 465 — (305)
Net change in unrealized appreciation (depreciation) on investments (4)
6,926 (1,089)(478)(181)5,178 
Net discount accretion171 (46)7 — 132 
Transfers into Level 3 (5)
9,609 3,340 — — 12,949 
Transfers out of Level 3 (6)
(12,822)(3,950)— — (16,772)
Fair value balance as of June 30, 2020$198,457 $27,598 $1,498 $7,621 $235,174 
Change in net unrealized appreciation (depreciation) on investments held as of June 30, 2020$6,176 $(1,090)$(219)$(181)$4,686 
For the Six Months Ended June 30, 2020
Senior Secured Loans - First LienSenior Secured Loans - Second LienSenior Unsecured DebtEquity and OtherTotal
Balance as of January 1, 2020$187,974 $42,287 $16,798 $13,014 $260,073 
Additions (1)
36,506 2,166 — 401 39,073 
Sales and repayments (2)
(21,937)(19,881)(15,354)(3,375)(60,547)
Net realized gains (losses) (3)
(379)425 465 417 928 
Net change in unrealized depreciation on investments (4)
(9,789)(3,650)(427)(2,836)(16,702)
Net discount accretion335 (29)16 — 322 
Transfers into Level 3 (5)
30,108 10,230 — — 40,338 
Transfers out of Level 3 (6)
(24,361)(3,950)— — (28,311)
Fair value balance as of June 30, 2020$198,457 $27,598 $1,498 $7,621 $235,174 
Change in net unrealized depreciation on investments held as of June 30, 2020$(8,703)$(1,639)$(379)$(2,410)$(13,131)
_______________
(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 months ended June 30, 2020, investments were transferred from Level 2 to Level 3 as valuation coverage was reduced to one independent pricing service without any corroborating recent trade.
(6)For the three and six months ended June 30, 2020, investments were transferred from Level 3 to Level 2 as valuation coverage was initiated by more than one independent pricing services or by one independent pricing service with a corroborating recent trade.
Financial Instruments Disclosed, But Not Carried at Fair Value
The fair value of the credit facility payable, which would have been categorized as Level 3 within the fair value hierarchy as of June 30, 2021, approximates its carrying value.
39
Notes to Consolidated Financial Statements (Unaudited)
Note 6. Related Party Agreements and Transactions
The Master Fund is affiliated with Guggenheim Credit Income Fund 2016 T ("GCIF 2016T") and Guggenheim Credit Income Fund 2019 ("GCIF 2019") (together, the "Feeder Funds"). The membership of the Boards of Trustees for the Master Fund, GCIF 2016T and GCIF 2019 are identical. The Feeder Funds have invested, and/or intend to invest, substantially all of the proceeds from their public offerings of common shares in the acquisition of the Master Fund's Common Shares.
Two of the Master Fund’s executive officers, Kevin Robinson, Senior Vice President and Brian Binder, Senior Vice President, serve as executive officers of Guggenheim. All of the Master Fund's executive officers also serve as executive officers of the Feeder Funds.
Guggenheim and/or its affiliates 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.
40
Notes to Consolidated Financial Statements (Unaudited)
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.
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 months ended June 30, 2021 and June 30, 2020 :
Related Party (1) (2)
For the Three Months Ended June 30,For the Six Months Ended June 30,
Source Agreement & Description2021202020212020
Expenses:
GuggenheimInvestment Advisory Agreement - management fee$1,294 $1,524 $2,691 $3,161 
GuggenheimAdministrative Services Agreement - expense reimbursement84 154 216 348 
Income:
GuggenheimShare on capital structuring fees and administrative agency fees4 9 11 16 
_______________
(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.
41
Notes to Consolidated Financial Statements (Unaudited)
(2)As of June 30, 2021 and June 30, 2020, the Master Fund had accumulated net realized capital losses and net unrealized depreciation and therefore, Guggenheim did not earn any performance-based incentive fee during the period.
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 30, 2021, management believes that the risk of incurring any losses for such indemnifications is remote.
Note 7. Borrowings
Hamilton Credit Facility
On December 17, 2015, Hamilton initially entered into a senior-secured term loan, as amended (the “Hamilton Credit Facility”) with JPMorgan Chase Bank, National Association ("JPM"), as administrative agent, each of the lenders from time to time party thereto, and U.S. Bank National Association, as collateral agent, collateral administrator and securities intermediary. As of June 30, 2021, the Hamilton Credit Facility provided for (i) borrowings in an aggregate principal amount of $93.3 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 ends December 29, 2021, (v) a stated maturity date of December 29, 2022, (vi) undrawn fees payable during the draw-down term of 250 basis points on all undrawn amounts below the minimum utilization amount and (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.
Pursuant to the Liquidation Plan, the Master Fund will begin to pay down the Hamilton Credit Facility in a proportionate manner as to maintain prudent leverage while liquidating the portfolio and making liquidating distributions.
Hamilton's borrowings as of June 30, 2021 and December 31, 2020 were as follows:
Hamilton Credit Facility - Borrowing Summary
As ofPrincipal Amount CommittedPrincipal Amount Outstanding
Carrying Value (1)
Interest Rate (2)
Maturity DateMaturity Term
June 30, 2021$93,333 $80,000 $79,432 2.62 %12/29/221.5 years
December 31, 2020$151,667 $130,000 $129,243 2.73 %12/29/222.0 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 30, 2021 and December 31, 2020) 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.
42
Notes to Consolidated Financial Statements (Unaudited)
The components of the Master Fund's interest expense and other financing costs for the three and six months ended June 30, 2021 and June 30, 2020 were as follows:
For the Three Months Ended June 30,For the Six Months Ended June 30,
2021202020212020
Stated interest expense$642 $1,312 $1,449 $3,040 
Unused/undrawn fees41 40 90 74 
Amortization of deferred financing costs95 95 189 190 
Total interest expense and other financing costs$778 $1,447 $1,728 $3,304 
Average borrowings$95,000 $159,242 $106,768 $160,478 
Weighted average interest rate (1)
2.84 %3.36 %2.87 %3.84 %
Amortized financing costs0.39 %0.24 %0.35 %0.23 %
Total borrowing cost3.23 %3.60 %3.22 %4.07 %
_______________
(1)Calculated as the amount of the stated interest expense and undrawn or unused fees divided by the average borrowings during the reporting period.
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 30, 2021 and December 31, 2020, the Master Fund’s unfunded commitments consisted of the following:
Total Unfunded Commitments
Category / Portfolio Company (1)
June 30, 2021December 31, 2020
Aceto Chemical (Revolver)$800 $640 
Acquia Inc. (Revolver)194 211 
Advicent Solutions (Revolver)— 339 
Alexander Mann Solutions (Revolver) (2)
446 446 
Allvue Systems (Revolver) 132 132 
Apptio, Inc. (Revolver)196 326 
Arcline FM Holdings LLC (Revolver)— 291 
Boats Group (Revolver)— 1,000 
GAL Manufacturing (Revolver)336 309 
Galls LLC (Revolver)19 318 
Gladman Developments Ltd. (Delayed Draw) (2)
— 706 
Hersha Hospitality Management (Delayed Draw)1,204 1,594 
Lytx, Inc. (Delayed Draw) — 1,540 
Mavis Tire Express Services Corp. (Revolver)— 217 
Polyvision Corp. (Delayed Draw) — 325 
Polyvision Corp. (Revolver) 239 520 
PSI Services LLC (Delayed Draw)239 239 
PSI Services LLC (Revolver)48 195 
Seal For Life Industries US LLC (Revolver) 433 433 
Trader Interactive (Revolver)346 242 
Velocity Holdings US (Revolver)— 300 
Wide Orbit (Revolver) 293 293 
Total Unfunded Commitments$4,925 $10,616 
43
Notes to Consolidated Financial Statements (Unaudited)
_______________
(1)May pertain to commitments to one or more entities affiliated with the named portfolio company.
(2)This commitment is in foreign currency and has been converted to USD using the June 30, 2021 and December 31, 2020 exchange rates, respectively.
Indemnification
In the normal course of business, the Master Fund enters into contracts and agreements that contain a variety of representations and warranties that provide general indemnifications. The Master Fund's maximum exposure under these arrangements is unknown, as these involve future claims that may be made against the Master Fund but that have not occurred. The Master Fund expects the risk of any future obligations under these indemnifications to be remote.
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 months ended June 30, 2021 and June 30, 2020:
For the Six Months Ended June 30,
20212020
PER COMMON SHARE OPERATING PERFORMANCE
Net asset value, beginning of period$7.56 $7.78 
Net investment income (1)
0.19 0.28 
Net realized gains (losses) (1)
(0.10)0.02 
Net change in unrealized appreciation (depreciation) (2)
0.65 (0.76)
Net increase (decrease) resulting from operations0.74 (0.46)
Distributions to Common Shareholders (3)
Distributions from net investment income (0.23)(0.28)
Distributions representing return of capital(0.85)— 
Net decrease resulting from distributions(1.08)(0.28)
Net asset value, end of period$7.22 $7.04 
INVESTMENT RETURNS
Total investment return (4)
9.73 %(5.83)%
RATIOS/SUPPLEMENTAL DATA
Net assets, end of period$184,699 $188,731 
Average net assets (5)
$200,252 $196,940 
Common Shares outstanding, end of period25,594,125 26,811,629 
Weighted average Common Shares outstanding25,867,772 27,274,171 
Ratios-to-average net assets: (5)
Total expenses2.74 %3.91 %
Net investment income2.52 %3.87 %
Average outstanding borrowings (5)
$106,768 $160,478 
Portfolio turnover rate (5) (6)
1.0 %16 %
Asset coverage ratio (7)
3.31 2.20 
_______________
(1)The per Common Share data was derived by using the weighted average Common Shares outstanding during the period presented.
44
Notes to Consolidated Financial Statements (Unaudited)
(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 30, 2021, 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.
(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.
45
Notes to Consolidated Financial Statements (Unaudited)
Note 10. Distributions
The following table summarizes the distributions that the Master Fund declared on its Common Shares during the six months ended June 30, 2021 and June 30, 2020:
Record DatePayment DateDistribution Per Common Share at Record DateDistribution Per Common Share at Payment DateCash Distribution
For Calendar Year 2021
January 4January 6$0.03069 $0.03069 $807 
February 2February 40.03376 0.03376 887 
March 1March 20.03376 0.03376 887 
June 1June 30.98000 0.98000 25,083 
$1.07821 $27,664 
For Calendar Year 2020
January 2, 6, 13, 20January 22$0.01100 $0.04400 $1,195 
January 27, February 3, 10, 17February 190.01100 0.04400 1,217 
February 24, March 2, 9, 14, 23March 250.01000 0.05000 1,383 
March 30, April 6, 13, 20April 220.01000 0.04000 1,084 
April 27, May 4, 11, 18 ,25, June 1June 20.01000 0.06000 1,625 
June 8, 15, 22, 29July 20.01100 0.04400 1,186 
$0.28200 $7,690 
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.
46

Item 2. Management's Discussion and Analysis of Financial Condition and Results of Operations.
(amounts in thousands, except share and per share data, percentages and as otherwise indicated; for example, with the word “million” or otherwise)
The information contained in this Item 2 should be read in conjunction with our unaudited consolidated financial statements and related notes thereto appearing elsewhere in this Report. 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 BDC under 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 have elected to be treated for federal income tax purposes as a RIC under Subchapter M of 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.
The table below is intended to highlight some relevant metrics associated with the Plans of Liquidation ($ in thousands).

Noted InformationGCIF (Master Fund)GCIF 2016 TGCIF 2019
Number of Portfolio Companies at beginning of Year75 — — 
Number of Portfolio Companies at end of Period54 — — 
YTD Portfolio sales and repayments$103,393 $— $— 
YTD Liquidating Distributions Paid$(27,664)$(18,878)$(5,588)
YTD paydown of Hamilton Credit Facility$(50,000)$— $— 
YTD Percentage of December 31, 2020 NAV Distributed14.26 %14.50 %14.14 %
Net Assets at beginning of Year$198,725 $131,758 $40,956 
Net Assets at end of period$184,699 $124,372 $37,372 
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.
47

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.
48

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.
49

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 30, 2021 and December 31, 2020 and (ii) for the six months ended June 30, 2021 and June 30, 2020:
As of
June 30, 2021December 31, 2020
Total assets$265,460 $329,927 
Adjusted total assets (total assets net of payable for investments purchased)$265,460 $329,927 
Investments in portfolio companies, at fair value$205,669 $291,949 
Borrowings$80,000 $130,000 
Net assets$184,699 $198,725 
Net asset value per Common Share$7.22 $7.56 
Leverage ratio (borrowings/adjusted total assets)30.1 %39.4 %
For the Six Months Ended June 30,
20212020
Average net assets$200,252 $196,940 
Average borrowings$106,768 $160,478 
Cost of investments purchased$2,443 $54,062 
Sales of investments$30,824 $13,011 
Principal payments$72,569 $68,731 
Net investment income$5,036 $7,614 
Net realized gains (losses)$(2,492)$577 
Net change in unrealized appreciation (depreciation)$16,372 $(20,634)
Net increase (decrease) in net assets resulting from operations$18,916 $(12,443)
Total distributions to shareholders$27,664 $7,690 
Net investment income per Common Share - basic and diluted$0.19 $0.28 
Earnings (loss) per Common Share - basic and diluted$0.73 $(0.46)
Distributions per Common Share$1.08 $0.28 
Portfolio and Investment Activity for the Three and Six Months Ended June 30, 2021
The following table presents our new investment commitments for the three and six months ended June 30, 2021:
For the Three Months Ended June 30, 2021For the Six Months Ended June 30, 2021
Investment activity segmented by access channel:
Amount
Percentage
Amount
Percentage
Direct originations
$— — %$— — %
Syndicated transactions
151 100.0 %248 100.0 %
Total investment commitments entered during the period
$151 100.0 %$248 100.0 %
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The following table presents our portfolio company activity for the three and six months ended June 30, 2021:
For the Three Months Ended June 30, 2021For the Six Months Ended June 30, 2021
Portfolio companies at beginning of period
67 75 
Number of added portfolio companies
— — 
Number of exited portfolio companies
(13)(21)
Portfolio companies at period end
54 54 
Number of debt investments at period end
92 92 
Number of equity/other investments at period end
7 7 
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 months ended June 30, 2021:
Balance as of January 1, 2021PurchasesSales and Repayments
Other Changes in Fair Value (1)
Balance as of June 30, 2021
Senior secured loans - first lien$251,882 $2,290 $(96,776)$13,162 $170,558 
Senior secured loans - second lien29,682 — (783)71 28,970 
Senior secured bonds4,831 153 (854)142 4,272 
Senior unsecured debt3,349 — (3,326)(23)— 
Total senior debt$289,744 $2,443 $(101,739)$13,352 $203,800 
Equity and other2,205 — (1,654)1,318 1,869 
Total$291,949 $2,443 $(103,393)$14,670 $205,669 
_______________
(1)Other changes in fair value includes changes resulting from realized and unrealized gains and losses, amortization/accretion, increases from PIK income and restructurings.
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The following table presents selected information regarding our investment portfolio as of June 30, 2021 and December 31, 2020:
As of
June 30, 2021December 31, 2020
Weighted average purchase price of debt investments (1)
95.5 %95.9 %
Weighted average duration of debt investments (2)
1.2 years1.4 years
Debt investments on non-accrual status as a percentage of amortized cost of total debt investments1.0 %5.2 %
Debt investments on non-accrual status as a percentage of fair value of total debt investments0.4 %3.4 %
Number of debt investments on non-accrual status1 3 
Floating interest rate debt investments:
Percent of debt portfolio (3)
98.0 %97.2 %
Percent of floating rate debt investments with interest rate floors (3)
63.3 %70.2 %
Weighted average interest rate floor1.0 %1.0 %
Weighted average coupon spread to base interest rate599 bps588bps
3-month LIBOR15 bps24 bps
Fixed interest rate debt investments:
Percent of debt portfolio (3)
2.0 %2.8 %
Weighted average coupon rate6.3 %7.7 %
Weighted average years to maturity2.3years2.9years
Weighted average effective yields
Senior secured loans - first lien (4)
7.7 %7.7 %
Senior secured loans - second lien (4)
8.5 %8.5 %
Senior secured bonds (4)
4.9 %4.6 %
Senior unsecured debt (4)
— %11.1 %
Total debt investments (4)
7.7 %7.8 %
Total investments (5)
7.6 %7.7 %
_______________
(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 0.10% for the 1 Month LIBOR to 0.16% for the 6 Month LIBOR on June 30, 2021. 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%).
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The following table presents the maturity schedule of our debt investments, excluding unfunded commitments, based on their principal amount as of June 30, 2021 and December 31, 2020:
June 30, 2021December 31, 2020
Maturity YearPrincipal AmountPercentage of PortfolioPrincipal AmountPercentage of Portfolio
2021$170 0.1 %$14,678 4.7 %
20226,629 3.1 27,704 8.8 
202344,063 20.8 51,672 16.5 
202455,768 26.3 86,959 27.8 
202571,916 34.0 91,209 29.1 
202633,154 15.7 40,937 13.1 
Total$211,700 100.0 %$313,159 100.0 %
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 30, 2021, we were in compliance with our asset coverage requirements under the 1940 Act, as well as, all financial covenants within its credit facilities as of June 30, 2021. Any breach of these requirements may adversely affect our access to sufficient debt and equity capital.
The decrease in accumulated unrealized depreciation as of June 30, 2021 as compared to accumulated unrealized depreciation as of December 31, 2020 is the result of partial recovery of the economy from the negative economic impact caused by COVID-19 pandemic.
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Results of Operations
Operating results for the three and six months ended June 30, 2021 and June 30, 2020, were as follows:
For the Three Months Ended June 30,For the Six Months Ended June 30,
2021202020212020
Total investment income
$5,380 $7,196 $10,524 $15,309 
Total expenses2,590 3,581 5,488 7,695 
Net investment income2,790 3,615 5,036 7,614 
Net realized gains (losses)(1,890)(2,293)(2,492)577 
Net change in unrealized appreciation (depreciation)8,074 16,025 16,372 (20,634)
Net increase (decrease) in net assets resulting from operations$8,974 $17,347 $18,916 $(12,443)
Investment Income
Interest and dividend income consisted of the following components for the three and six months ended June 30, 2021 and June 30, 2020:
For the Three Months Ended June 30,For the Six Months Ended June 30,
2021202020212020
Interest income on debt securities:
    Cash interest
$4,918 $6,471 $9,575 $13,648 
    PIK interest
53 197 150 291 
Net accretion/amortization of discounts/premiums
240 291 493 682 
Total interest on debt securities
5,211 6,959 10,218 14,621 
PIK dividend
99 203 111 456 
Total interest and dividend income
$5,310 $7,162 $10,329 $15,077 
Average Investments at cost
$209,399 $352,008 $240,995 $358,911 
Average Income Generating Investments at cost (1)
$204,175 $342,209 $228,490 $342,764 
Income return (2)
2.60 %2.10 %4.52 %4.40 %
_______________
(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 and decrease in the yield on our portfolio of investments. As of June 30, 2021 and June 30, 2020, yield on debt investments at cost was 7.7% and 7.7% 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 months ended June 30, 2021 and June 30, 2020 :
For the Three Months Ended June 30,For the Six Months Ended June 30,
2021202020212020
Administrative agency fees$3 $9 $11 $16 
Amendment fees and other67 25 184 216 
Total fee income$70 $34 $195 $232 


54

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 months ended June 30, 2021 and June 30, 2020:
For the Three Months Ended June 30,For the Six Months Ended June 30,
2021202020212020
Fixed operating expenses:
Related party reimbursements (1)
$84 $154 $216 $348 
Trustees fees84 80 167 174 
Professional services fees (2)
205 217 406 433 
Other expenses71 91 139 133 
Total fixed operating expenses444 542 928 1,088 
Variable operating expenses:
Interest expense (3)
778 1,447 1,728 3,304 
Administrative services (4)
50 44 93 93 
Management fee1,294 1,524 2,691 3,161 
Custody services24 24 48 49 
Total variable operating expenses2,146 3,039 4,560 6,607 
Performance-dependent expenses:
Performance-based incentive fee (before fee waiver)— — — — 
Total performance-dependent expenses— — — — 
Total expenses before incentive fee waiver and advisor transition costs reimbursement$2,590 $3,581 $5,488 $7,695 
_______________
(1)Related party reimbursements decreased to due to decrease in resource allocation to Master Fund.
(2)Professional services fees includes the expenses for third party service providers such as internal and independent auditors, 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 months ended June 30, 2021 and June 30, 2020 is reported in Note 7. Borrowings. The decrease in interest expense is primarily due to decrease in interest rates and average 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 30, 2021 compared to the three months ended June 30, 2020 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 three months ended June 30, 2021 and June 30, 2020, total borrowing costs were 3.23% and 3.60%, respectively. For the three months ended June 30, 2021 and June 30, 2020, average borrowings for the period were $95,000 and $159,242, respectively.
The decrease in total expenses for the six months ended June 30, 2021 compared to the six months ended June 30, 2020 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 months ended June 30, 2021 and June 30, 2020, total borrowing costs were 3.22% and 4.07%, respectively. For the six months ended June 30, 2021 and June 30, 2020, average borrowings for the period were $106,768 and $160,478, respectively.


55

Net Realized Gains (Losses)
For the three months ended June 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 million, resulting in net realized losses of $(1.4) million. For the three and six months ended June 30, 2021, we had realized losses from our foreign currency forward contracts of $(96.0) thousand and $(1.1) million, respectively, primarily due the movement of the U.S. dollar against the British pound.
For the three months ended June 30, 2020, we had dispositions and principal repayments of $30.0 million, resulting in net realized losses of ($2.3) million. For the six months ended June 30, 2020, we had dispositions and principal repayments of $81.7 million, resulting in net realized losses of ($0.6) million. For the three and six months ended June 30, 2020, we had realized gains from our foreign currency forward contracts of $42.0 thousand and $1.1 million, respectively, primarily due the movement of the U.S. dollar against the British pound.
For the three and six months ended June 30, 2021 and June 30, 2020, the components of total realized gains (losses) were comprised of the following:
For the Three Months Ended June 30,For the Six Months Ended June 30,
2021202020212020
Investments$(1,806)$(2,339)$(1,352)$(635)
Foreign currency forward contracts
(96)42 (1,120)1,051 
Foreign currency transactions12 4 (20)161 
Net realized gains (losses)$(1,890)$(2,293)$(2,492)$577 
Changes in Unrealized Appreciation (Depreciation)
For the three and six months ended June 30, 2021 and June 30, 2020, 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,
2021202020212020
Investments$8,039 $16,008 $15,358 $(21,128)
Foreign currency forward contracts
35 17 1,015 495 
Foreign currency transactions— — (1)(1)
Net change in unrealized appreciation (depreciation)$8,074 $16,025 $16,372 $(20,634)
For the three and six months ended June 30, 2021 and June 30, 2020, 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,
2021202020212020
Unrealized appreciation on all investments (1)
$9,477 $21,396 $19,378 $24,331 
Unrealized depreciation on all investments (1)
(1,438)(5,388)(4,020)(45,459)
Total net change in unrealized appreciation (depreciation) on all investments$8,039 $16,008 $15,358 $(21,128)
Unrealized appreciation on Level 3 investments only (1)
$7,441 $8,993 $10,570 $9,440 
Unrealized depreciation on Level 3 investments only (1)
(416)(3,815)(2,710)(26,142)
Total net change in unrealized appreciation (depreciation) on Level 3 investments only$7,025 $5,178 $7,860 $(16,702)
_______________
(1)Amounts are net of any reclassification of realized gains or losses on investments.
56

Annual Investment Returns and Total Returns Since Commencement
Our initial investors, who each invested at $9.00 per share, have seen a cumulative 34.42% increase in the value of their investment, or an annualized return of 4.62%, assuming reinvestment of distributions.
The table below presents returns for our shareholders for the six months ended June 30, 2021 and June 30, 2020, and the period from commencement to June 30, 2021. 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)
For the Six Months Ended June 30,Since Commencement
Company
Date Operations Commenced (2)
20212020CumulativeAnnualized
Guggenheim Credit Income Fund12/19/20149.73 %(5.83)%34.42 %4.62 %
___________________
(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 30, 2021, we had fourteen unfunded commitments totaling $4.9 million as compared to twenty two unfunded commitments totaling $10.6 million as of December 31, 2020. See Note 8. Commitments and Contingencies for specific identification of the unfunded commitments. We believe we maintain sufficient liquidity in the form of cash (including restricted cash), receivables and borrowing capacity to fund these unfunded commitments should the need arise. See Financial Condition, Liquidity and Capital Resources.
Financial Condition, Liquidity and Capital Resources
Our primary sources of cash 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 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.
57

Liquidity
Operating liquidity is our ability to meet our short term liquidity needs. The following table presents our operating liquidity position as of June 30, 2021 and December 31, 2020:
As of
June 30, 2021December 31, 2020
Cash $7,784 $10,058 
Restricted cash (1)
44,930 24,341 
Unused borrowing capacity13,333 21,667 
Principal receivable5,444 939 
Unfunded investment commitments(4,925)(10,616)
Other net working capital (2)
(9)1,250 
Total operational liquidity$66,557 $47,639 
_______________
(1)Restricted cash consists of demand deposits held at a major U.S. financial institution on behalf of Hamilton. Hamilton may be restricted in the distribution of cash 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, 2021
Total< 1 year1-3 years3-5 years> 5 years
Financings-Hamilton Credit Facility:
Debt - principal repayment$80,000 $— $80,000 $— $— 
Interest on borrowings (1) (2)
3,191 2,129 1,062 — — 
Unused commitment fee (1)
67 67 — — — 
Total - Financings$83,258 $2,196 $81,062 $— $— 
Liquidation of Feeder Funds' Investments:
GCIF 2016T (3)
$123,124 $— $123,124 $— $— 
GCIF 2019 (3)
36,417 — 36,417 — 
Total Liquidation of Feeder Funds' Investments$159,541 $— $159,541 $— $— 
_______________
(1)Interest on borrowings and unused commitment fees are based on the amount drawn on the Hamilton Credit Facility as of June 30, 2021 and consideration of (i) contractual minimum utilization commitments and (ii) the maximum commitment amount. Incremental borrowings after June 30, 2021 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.
58

(3)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 30, 2021. 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 30, 2021, 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 30, 2021 and December 31, 2020:
As of
June 30, 2021December 31, 2020
Investments classified as Level 3 fair value$123,800 $191,468 
Total investments at fair value$205,669 $291,949 
Total assets$265,460 $329,927 
Percentage of investment portfolio classified as Level 3 fair value60.2 %65.6 %
Percentage of total assets classified as Level 3 fair value46.6 %58.0 %
59

The ranges of unobservable inputs used in the fair value measurement of our investments classified as Level 3 fair valued as of June 30, 2021 and December 31, 2020 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 30, 2021 and June 30, 2020:
June 30, 2021June 30, 2020
Fair Value of Level 3 Investments at Period End$123,800 $235,174 
Fair Value Assuming a 5% Increase in Value129,990 246,933 
Increase in unrealized appreciation6,190 11,759 
(Increase) in management fees (1)
(54)(103)
(Increase) in performance based incentive fee (2)
(1,238)(2,352)
Increase in net assets resulting from operations$4,898 $9,304 
Weighted average Common Shares outstanding (basic and diluted)25,867,772 27,274,171 
Common Shares outstanding at the end of the period25,594,125 26,811,629 
Increase in earnings per Common Share$0.19 $0.34 
Increase in net asset value per Common Share$0.19 $0.35 
_______________
(1)Increases in management fees for the periods ended June 30, 2021 and June 30, 2020 represent only six 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
Recent Accounting Standards
Contractual Obligations
We have entered into certain agreements under which we have material future commitments.
The Master Fund is a party to an Investment Advisory Agreement 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. The Hamilton Credit Facility provides for delayed-draw borrowings in an aggregate principal amount of $93.3 million on a committed basis. 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. As of June 30, 2021 and December 31, 2020, we had borrowed $80.0 million and $130.0 million, respectively, and such amounts are due and payable no later than December 29, 2022. See Note 7. Borrowings.
60

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
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.
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 30, 2021, 98.0% of our debt investments (97.1% of our total investments), or $199.7 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, (ii) value declines for fixed interest rate investments we may hold and (iii) higher interest expense in connection with our floating rate credit facility. 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 30, 2021.
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
363 400 (37)— 
 +100 bps893 800 93 — 
 +150 bps1,868 1,200 668 0.03 
 +200 bps2,883 1,600 1,283 0.05 
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.
61

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 30, 2021, have concluded that our disclosure controls and procedures, as defined in Rule 13a-15(e) under the Exchange Act, were effective as of June 30, 2021 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 10, 2021, neither we, nor our subsidiary, were 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, 2020, which could materially affect our business, financial condition and/or operating results. The risks described in our annual report on Form 10-K are not the only risks we face. Additional risks and uncertainties are not currently known to us or that we currently deem to be immaterial also may materially adversely affect our business, financial condition and/or operating results. During the six months ended June 30, 2021, 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, 2020.
Liquidation Risk. The Master Fund and the Feeder Funds are in the process of liquidation and dissolution. They are dependent on the Advisor’s expertise in the private credit market and its ability to liquidate the Master Fund’s portfolio in an orderly fashion to maximize value for shareholders and provide shareholders with liquidity. Although the Advisor is conducting an orderly disposal of the Master Fund’s investments, it is possible that, due to a market or political disruption during the liquidation of the Master Fund and the Feeder Funds, including a potential resurgence of COVID-19, the Master Fund may receive depressed prices for its securities below what the Advisor believes it would receive in the absence of any disruption. The reduction in the Master Fund's and the Feeder Fund’s net assets that result from the liquidation may result in increased expense ratios, as certain fixed expenses would be spread across a smaller asset base, and the Master Fund and the Feeder Funds may bear costs and expenses relating to the liquidation, including increased legal fees and costs of insurance.
We will be subject to corporate-level income tax if we are unable to maintain our qualification as a RIC under Subchapter M of the Code or if we make investments through taxable subsidiaries.
To maintain RIC tax treatment under the Code, we must meet the following minimum annual distribution, income source, and asset diversification requirements.
62

The minimum annual distribution requirement for a RIC will be satisfied if we distribute dividends for U.S. federal income tax purposes to our shareholders each taxable year an amount generally at least equal to 90% of the sum of our net ordinary taxable income and realized net short-term capital gains in excess of realized net long-term capital losses, if any. In addition, a RIC may, in certain cases, satisfy the 90% distribution requirement by distributing dividends relating to a taxable year after the close of such taxable year under the “spillover dividend” provisions of Subchapter M of the Code. Upon satisfying this requirement, we would be taxed on any retained income and/or gains, including any short-term capital gains or long-term capital gains. We must also satisfy an additional annual distribution requirement in respect of each calendar year in order to avoid the imposition of a 4% excise tax on the amount of any under-distribution. Because we may use debt financing, we are subject to (i) an asset coverage ratio requirement under the 1940 Act and may, in the future, be subject to (ii) certain financial covenants under loan and credit agreements that could, under certain circumstances, restrict us from making distributions necessary to satisfy the distribution requirements. If we are unable to obtain cash from other sources, we could fail to qualify for RIC tax treatment, or could be required to retain a portion of our income or gains, and thus become subject to corporate-level income or excise tax.
The income source requirement will be satisfied if we obtain at least 90% of our gross income each taxable year from dividends, interest, gains from the sale of stock or securities or other income derived from the business of investing in stock or securities.
The asset diversification requirement will be satisfied if we meet certain asset diversification requirements at the end of each quarter of our taxable year, which may be more difficult to achieve as we liquidate our portfolio. To satisfy this requirement, at least 50% of the value of our assets must consist of cash, cash equivalents (including receivables), U.S. government securities, securities of other RICs and other acceptable securities; and no more than 25% of the value of our assets can be invested in the securities, other than U.S. government securities or securities of other RICs, of one issuer, of two or more issuers that are controlled (as determined under applicable Code rules) by us and that are engaged in the same or similar or related trades or businesses, or of certain “qualified publicly-traded partnerships.” Failure to meet these requirements may result in our having to dispose of certain investments quickly in order to prevent the loss of RIC status. Because most of our investments will be in private companies, and therefore will be relatively illiquid, any such dispositions could be made at disadvantageous prices and could result in substantial losses.
If we fail to qualify for or maintain RIC tax treatment for any reason and are subject to corporate-level income tax, the resulting corporate taxes could substantially reduce our net assets, the amount of income available for distribution and the amount of our distributions. Such a failure would have a material adverse effect on us, the net asset value of our Shares and the total return, if any, earned from an investment in our Shares.
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.
63


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, 2021By:/s/ Matthew S. Bloom
  MATTHEW S. BLOOM
 President and Chief Executive Officer
 (Principal Executive Officer)
Date:August 12, 2021By:/s/ Cielo M. Ordonez 
  CIELO M. ORDONEZ
 Chief Financial Officer
 (Principal Financial Officer)


64

EXHIBIT INDEX

The following exhibits are filed or incorporated as part of this Report.
3.1
3.2  
3.3
3.4  
10.1   
10.2   
10.3 
10.4 
10.5   
10.6 
10.7 
10.8 
10.9 
10.10 
10.11 
10.12 
65

14.1 
14.2 
31.1   
31.2   
32   
66

GUGGENHEIM CREDIT INCOME FUND Reports