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, 2022
OR
oTRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934
Commission file number: 814-01094
gciflogoa23.jpg
GUGGENHEIM CREDIT INCOME FUND 2016 T
(Exact name of registrant as specified in its charter)
Delaware 47-2016837
(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 number of the Registrant's common shares outstanding as of August 12, 2022 was 16,297,188.


GUGGENHEIM CREDIT INCOME FUND 2016 T
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 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 conditions and capital market conditions; availability of proceeds from our offering of common shares; and the performance of Guggenheim Credit Income Fund (the "Master Fund") and its common shares that we own. Our actual results could differ materially from those implied or expressed in the forward-looking statements for any reason. You should exercise caution in relying on forward-looking statements as they involve known and unknown risks, uncertainties and other factors that may materially affect our future results, performance, achievements or transactions. Information on factors which could impact actual results and cause them to differ from what is anticipated in the forward-looking statements contained herein is included in this Report as well as in our other filings with the U.S. Securities and Exchange Commission ("SEC"), including but not limited to those described in Part II. Item 1A. Risk Factors of this Report and in Part I. Item 1A. Risk Factors of our Form 10-K for the fiscal year ended December 31, 2021, that was filed on March 17, 2022. Moreover, because we operate in a very competitive and rapidly changing environment, new risks are likely to emerge from time to time. Given these uncertainties, we caution you not to place undue reliance on such statements, which apply only as of the date hereof. We undertake no obligation to update or revise forward-looking statements to reflect changed assumptions, the occurrence of unanticipated events, or changes to future operating results over time unless otherwise required by law. The forward-looking statements should be read in light of the risk factors identified in Part II. Item 1A. Risk Factors of this Report and in Part I. Item 1A. Risk Factors of our Form 10-K for the fiscal year ended December 31, 2021, that was filed on March 17, 2022. The forward-looking statements and projections contained in this Report are excluded from the safe harbor protection provided by Section 27A of the Securities Act and Section 21E of the Exchange Act.
All references to "Note" or "Notes" throughout this Report refer to the footnotes to the financial statements presented in Part I. Item 1. Financial Statements (Unaudited).
Unless otherwise noted, the terms “we,” “us,” “our,” and the "Company" refer to Guggenheim Credit Income Fund 2016T. Other capitalized terms used in this Report have the same meaning as in the accompanying financial statements presented in Part I. Item 1. 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. Financial Statements (Unaudited)
GUGGENHEIM CREDIT INCOME FUND 2016 T
STATEMENTS OF ASSETS AND LIABILITIES (UNAUDITED)
(in thousands, except share and per share data)
June 30, 2022December 31, 2021
(Unaudited)
(Audited)
Assets
Investment in Guggenheim Credit Income Fund ("GCIF") (17,061,497 shares purchased at a cost of $84,921 and 17,061,497 shares purchased at a cost of $109,218, respectively)$78,615 $104,845 
Cash794 2,207 
Total assets79,409 107,052 
Liabilities
Accounts payable, accrued expenses and other liabilities42 61 
Accrued professional services fees77 76 
Payable to related parties31 29 
Total liabilities150 166 
Net Assets$79,259 $106,886 
Components of Net Assets:
Common Shares, $0.001 par value, 1,000,000,000 Common Shares authorized, 16,297,188 and 16,297,188 Common Shares issued and outstanding at June 30, 2022 and December 31, 2021, respectively
$16 $16 
Paid-in-capital in excess of par value
89,336 114,301 
Accumulated loss, net of distributions(10,093)(7,431)
Total net assets$79,259 $106,886 
Net asset value per Common Share$4.86 $6.56 


See Unaudited Notes to Financial Statements.


3

GUGGENHEIM CREDIT INCOME FUND 2016 T
STATEMENTS OF OPERATIONS (UNAUDITED)
(in thousands, except share and per share data)
Three Months Ended June 30,Six Months Ended June 30,
2022202120222021
Investment Income
Dividends from investment in GCIF$863 $2,154 $2,320 $3,862 
Total investment income863 2,154 2,320 3,862 
Operating Expenses (1)
Administrative services3 3 7 7 
Related party reimbursements33 28 61 66 
Professional services fees32 28 63 55 
Shareholder servicing expenses — — — 74 
Transfer agent expense79 80 157 153 
Other expenses10 13 20 36 
Total operating expenses157 152 308 391 
Less: Expense support from related parties (See Note 4. Related Party Agreements and Transactions)
— — — (294)
Net expenses 157 152 308 97 
Net investment income706 2,002 2,012 3,765 
Realized and unrealized gains (losses):
Net realized loss from redemption of investment in GCIF— — — (44)
Net realized loss from investment in GCIF— — — (44)
Net change in unrealized appreciation (depreciation) from investment in GCIF(2,138)3,828 (1,933)8,753 
Net realized and unrealized gains (losses)(2,138)3,828 (1,933)8,709 
Net increase (decrease) in net assets resulting from operations$(1,432)$5,830 $79 $12,474 
Per Common Share information:
Net investment income per Common Share outstanding - basic and diluted$0.04 $0.12 $0.12 $0.23 
Earnings (loss) per Common Share outstanding - basic and diluted$(0.09)$0.36 $— $0.76 
Weighted average Common Shares outstanding - basic and diluted16,297,188 16,297,188 16,297,188 16,406,748 
Distributions per Common Share outstanding$0.82 $1.05 $1.70 $1.16 
______________
(1)Operating expenses solely represent the Company's operating expenses and do not include the Company's proportionate share of the Master Fund's operating expenses.

See Unaudited Notes to Financial Statements.
4

GUGGENHEIM CREDIT INCOME FUND 2016 T
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, 202116,297,188 $16 $114,301 $(7,431)$106,886 
Operations:
Net investment income— — — 1,306 1,306 
Net change in unrealized appreciation from investment in GCIF— — — 205 205 
Net increase in net assets resulting from operations— — — 1,511 1,511 
Shareholder distributions:
Distributions from earnings— — — (1,535)(1,535)
Distributions representing a return of capital— — (12,807)— (12,807)
Net decrease in net assets resulting from shareholder distributions— — (12,807)(1,535)(14,342)
Net decrease for the period— — (12,807)(24)(12,831)
Balance at March 31, 202216,297,188 $16 $101,494 $(7,455)$94,055 
Operations:
Net investment income— — — 706 706 
Net change in unrealized depreciation from investment in GCIF— — — (2,138)(2,138)
Net decrease in net assets resulting from operations— — — (1,432)(1,432)
Shareholder distributions:
Distributions from earnings— — — (1,206)(1,206)
Distributions representing a return of capital— — (12,158)— (12,158)
Net decrease in net assets resulting from shareholder distributions— — (12,158)(1,206)(13,364)
Net decrease for the period— — (12,158)(2,638)(14,796)
Balance at June 30, 202216,297,188 $16 $89,336 $(10,093)$79,259 
5

Common SharesPaid-in-Capital in Excess of Par ValueAccumulated Earnings (Loss), net of Distributions
SharesAmountTotal
Balance at December 31, 202016,519,873 $17 $145,301 $(13,560)$131,758 
Operations:
Net investment income— — — 1,763 1,763 
Net realized losses from investment in GCIF— — — (44)(44)
Net change in unrealized appreciation from investment in GCIF— — — 4,925 4,925 
Net increase in net assets resulting from operations— — — 6,644 6,644 
Shareholder distributions:
Distributions from earnings— — — (1,766)(1,766)
Net decrease in net assets resulting from shareholder distributions— — — (1,766)(1,766)
Capital share transactions:
Common Shares issued from reinvestment of distributions88,466 — 
(1)
719 — 719 
Common Shares repurchased (311,151)(1)(2,554)— (2,555)
Distribution services charge— — 854 — 854 
Net decrease in net assets resulting from capital share transactions(222,685)(1)(981)— (982)
Net increase (decrease) for the period(222,685)(1)(981)4,878 3,896 
Balance at March 31, 202116,297,188 $16 $144,320 $(8,682)$135,654 
Operations:
Net investment income— — — 2,002 2,002 
Net change in unrealized appreciation from investment in GCIF— — — 3,828 3,828 
Net increase in net assets resulting from operations— — — 5,830 5,830 
Shareholder distributions:
Distributions from earnings— — — (2,000)(2,000)
Distributions representing a return of capital— — (15,112)— (15,112)
Net decrease in net assets resulting from shareholder distributions— — (15,112)(2,000)(17,112)
Net increase (decrease) for the period— — (15,112)3,830 (11,282)
Balance at June 30, 202116,297,188 $16 $129,208 $(4,852)$124,372 
_______________________
(1)Amount is less than $1,000
See Unaudited Notes to Financial Statements.
6

GUGGENHEIM CREDIT INCOME FUND 2016 T
STATEMENTS OF CASH FLOWS (UNAUDITED)
(in thousands)
Six Months Ended June 30,
20222021
Operating activities
Net increase in net assets resulting from operations$79 $12,474 
Adjustments to reconcile net increase in net assets from operations to net cash provided by operating activities:
Sale of Investment in GCIF through GCIF's share repurchase program— 17,121 
Proceeds from liquidation distribution24,297 — 
Net realized loss from investment in GCIF— 44 
Net change in unrealized (appreciation) depreciation from investment in GCIF1,933 (8,753)
(Increase) decrease in operating assets:
Principal receivable— 6 
Receivable from related parties— 397 
Increase (decrease) in operating liabilities:
Due to Dealer Manager— (83)
Accounts payable, accrued expenses and other liabilities (19)5 
Accrued professional services fees1 28 
Payable to related parties2 (18)
Net cash provided by operating activities26,293 21,221 
Financing activities
Repurchase of Common Shares— (2,555)
Distributions paid(27,706)(18,159)
Payment of DSS Fees— (382)
Net cash used in financing activities(27,706)(21,096)
Net increase (decrease) in cash (1,413)125 
Cash, beginning of period2,207 1,253 
Cash, end of period$794 $1,378 
Supplemental information and non-cash financing activities:
Distributions reinvested$— $719 
Due to Dealer Manager$— $(854)

See Unaudited Notes to Financial Statements.
7

GUGGENHEIM CREDIT INCOME FUND 2016 T
NOTES TO 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 2016 T (the "Company") was formed as a Delaware statutory trust on September 5, 2014. The Company's investment objectives are to provide its shareholders with current income, capital preservation and, to a lesser extent, long-term capital appreciation by investing substantially all of its equity capital in Guggenheim Credit Income Fund (the "Master Fund" or "GCIF"). The Company is a non-diversified, closed-end management investment company that elected to be treated as a business development company (a "BDC") under the Investment Company Act of 1940, as amended (the "1940 Act").
The Master Fund elected to be treated as a BDC under the 1940 Act and it has the same investment objectives as the Company. The Master Fund commenced investment operations on April 2, 2015. The Master Fund's consolidated financial statements are an integral part of the Company's financial statements and should be read in their entirety.
The Master Fund is externally managed by Guggenheim Partners Investment Management, LLC ("Guggenheim" or the "Advisor"), which 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.
Between July 24, 2015 and April 28, 2017, the Company offered and sold its common shares ("Shares" or "Common Shares") pursuant to a registration statement on Form N-2 (the “Registration Statement”) covering its continuous public offering of up to $1.0 billion (the “Public Offering”). The Company initially sold and issued Shares on October 8, 2015 and then commenced investment operations. On April 28, 2017, the Company's Public Offering was terminated, resulting in a gross capital raise of approximately $164.0 million from the sale and issuance of Common Shares in the Public Offering.
In accordance with the offering documents and the intention of the Company 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").
As of June 30, 2022, the Company owned 66.7% of the Master Fund's outstanding common shares.
Note 2. Significant Accounting Policies
Basis of Presentation
Management has determined that the Company meets the definition of an investment company and follows the accounting and reporting guidance in the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) Topic 946 — Financial Services — Investment Companies (“ASC Topic 946”).
8
Notes to Financial Statements (Unaudited)
The Company's interim financial statements have been prepared pursuant to the requirements for reporting on Form 10-Q and the disclosure requirements 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 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. The Company's unaudited financial statements should be read in conjunction with the Master Fund's unaudited consolidated financial statements; the Master Fund's quarterly report on Form 10-Q is incorporated by reference and filed as an exhibit to this Report.
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 statements of assets and liabilities may exceed the Federal Deposit Insurance Corporation insured limit. Management believes the credit risk related to its demand deposits is minimal.
Valuation of Investments
The Company invests substantially all of its equity capital in the purchase of the Master Fund's common shares and its primary investment position is common shares of the Master Fund. The Company determines the fair value of the Master Fund's common shares as the Master Fund's net asset value per common share (as determined by the Master Fund) multiplied by the number of Master Fund common shares owned by the Company. The Company has implemented Accounting Standards Update ("ASU") 2015-07, which permits a reporting entity, as a practical expedient, to measure the fair value of certain investments using the net asset value per share of the investment.
Transactions with the Master Fund
Distributions received from the Master Fund are recorded on the record date. Distributions received from the Master Fund are generally recognized as dividend income or return of capital in the current period, a portion of which may be subject to a change in characterization in future periods, including the potential for reclassification between dividend income and return of capital. The Company's transactions with the Master Fund are recorded on the effective date of the subscription in, or the redemption of, Master Fund shares. Realized gains and losses resulting from the Company's share repurchase transactions with the Master Fund are calculated on the specific share identification basis.
Offering Expenses
Continuous offering expenses are capitalized monthly on the Company's statements of assets and liabilities as deferred offering costs and thereafter expensed to the Company's statements of operations over a 12-month period on a straight-line basis commencing at the later of (i) when the expense was incurred or (ii) when operations began.
9
Notes to Financial Statements (Unaudited)
Distribution and Shareholder Servicing Fees
The purpose of the distribution and shareholder servicing fee ("DSS Fee") is to reimburse Guggenheim Funds Distributors, LLC, a Delaware limited liability company (the "Dealer Manager" or "GFD"), an affiliate of Guggenheim, for costs incurred by selected dealers and investment representatives for (i) distribution of the Company's Common Shares (the "Distribution Services Component") and (ii) providing ongoing shareholder services (the "Shareholder Services Component"). Beginning in the third quarter of 2017 (the first calendar quarter after the close of the Company's Public Offering), the Company commenced recognition of the Shareholder Services Component as an expense on the Company's statements of operations as the services are provided. The Company allocated 0.25% per annum of the average net purchase price per share sold in the Public Offering to the Shareholder Services Component. As the Distribution Services Component, representing 0.65% per annum of the average net purchase price per share sold in the Public Offering, pertains to the sale of the Company's Common Shares, the Company estimates the present value of all future Distribution Services Component payments, employing a discount rate equal to the prevailing effective yield on 5-year US Treasuries as observed on December 30, 2016. The Company records a liability equal to the estimated present value of the Distribution Services Component payments, recorded as part of "Due to Dealer Manager" with an offsetting charge to “Paid-in-capital in excess of par value” on the statements of assets and liabilities and as a "Distribution services charge" on the statements of changes in net assets.
Distributions to the Company's Shareholders
Declared distributions to the Company's shareholders are recorded as a liability as of the record date.
Federal Income Taxes
The Company has elected to be treated for federal income tax purposes, and 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,” determined without regard to any dividend paid, as defined in the Code. The Company intends to distribute sufficient dividends to maintain its RIC status each year and it does not anticipate incurring a material level of federal income taxes.
The Company 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 Company incurred no federal income tax. The Company may, at its discretion, incur a 4% nondeductible federal excise tax on under-distribution of taxable ordinary income and capital gains.
The Company 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 Company’s 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 Company 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, 2022, open U.S. Federal and state income tax years include the tax years ended September 30, 2018 through September 30, 2021. The Company 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.
10
Notes to Financial Statements (Unaudited)
Note 3. Investments
Below is a summary of the Company's investment in the Master Fund, a related party:
End of PeriodWeighted Average Shares Owned% of Net
Period EndedNo. of SharesQuarter to DateYear to DateCostFair ValueAssets
June 30, 202217,061,497 17,061,497 17,061,497 $84,921 $78,615 99.2 %
December 31, 202117,061,497 17,061,497 17,127,166 $109,218 $104,845 98.1 %
Restricted Securities
The Master Fund does not currently intend to list its common shares on any securities exchange, and it does not expect a secondary market to develop for its issued and outstanding common shares. As a result, the Company's ability to sell its Master Fund common shares is limited. Because the Master Fund common shares are being acquired in one or more transactions not involving a public offering, they are "restricted securities" and may be required to be held indefinitely. Master Fund common shares may not be sold, transferred, assigned, pledged or otherwise disposed of unless (i) the Master Fund's consent is granted, and (ii) the Master Fund common shares are registered under applicable securities laws or specifically exempted from registration (in which case the Master Fund's shareholder may, at the Master Fund's option, be required to provide the Master Fund with a legal opinion, in form and substance satisfactory to the Master Fund, that registration is not required). Accordingly, a shareholder in the Master Fund, including the Company, must be willing to bear the economic risk of investing in the Master Fund common shares. No sale, transfer, assignment, pledge or other disposition, whether voluntary or involuntary, of the Master Fund's common shares may be made except by registration of the transfer on the Master Fund's books. Each transferee will be required to execute an instrument agreeing to be bound by these restrictions and the other restrictions imposed on the Master Fund common shares and to execute such other instruments or certifications as are reasonably required by the Master Fund.
From October 15, 2015 through August 11, 2020, the Company acquired its investment in the Master Fund at prices ranging from $7.06 per share to $8.59 per share.
Share Repurchase Program
The Master Fund has 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.
Note 4. Related Party Agreements and Transactions
The Company has entered into agreements with Guggenheim whereby the Company agrees to (i) receive expense support payments, (ii) reimburse certain expenses of, and to pay for, administrative, expense support, organization and offerings costs incurred by Guggenheim on the Company's behalf and (iii) pay DSS Fees payments to GFD, an affiliate of Guggenheim.
The memberships of the Company's Board of Trustees (the "Company's Board" or the "Board of Trustees") and the Master Fund's Board are identical and consequently the Company and the Master Fund are related parties. All of the Company's executive officers also serve as executive officers of the Master Fund. One of the Company’s executive officers Brian Binder, Senior Vice President, serves as an executive officer of Guggenheim.
Administrative Services Agreement
The Company is party to an administrative services agreement with Guggenheim (the "Administrative Services Agreement") whereby Guggenheim, serving as the administrator (the "Administrator"), has agreed to provide administrative services, including office facilities and equipment and clerical, bookkeeping and record-keeping services. More specifically, the Administrator performs and oversees the Company's required administrative services, which include financial and corporate record-keeping, preparing and disseminating the Company'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 rendered by others. For providing these services, facilities and personnel, the Company reimburses the Administrator the allocable portion of overhead and other expenses incurred by the Administrator in performing its obligations under the Administrative Services Agreement.
11
Notes to Financial Statements (Unaudited)
The Administrative Services Agreement may be terminated at any time, without the payment of any penalty: (i) by the Company upon 60 days' written notice to Guggenheim upon the vote of the Company's independent trustees or (ii) by Guggenheim upon not less than 120 days' written notice to the Company. 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 Company is party to a dealer manager agreement with GFD (the "Dealer Manager Agreement"). Under the terms of the Dealer Manager Agreement, GFD is to act on a best efforts basis as the exclusive dealer manager for (i) the administration of the Company's DSS Fee payments to selected dealers and (ii) the public offering of common shares for future feeder funds affiliated with the Master Fund. The Company, not the Master Fund, is responsible for the compensation of GFD pursuant to the terms of the Dealer Manager Agreement. GFD does not receive any compensation to manage the Company's DSS Fees program and it is not entitled to retain any of the DSS Fees payments. The Dealer Manager Agreement may be terminated by the Company or GFD upon 60 calendar days' written notice to the other party. In the event that the Company or GFD terminates the Dealer Manager Agreement with respect to the Company, the Dealer Manager Agreement will continue with respect to any other feeder fund.
Beginning in the fourth quarter of 2017 (the second calendar quarter after the close of the Company's Public Offering), the Company commenced quarterly payments of the DSS Fee at an annual rate of 0.90% of the average net purchase price per share sold in the Public Offering. The quarterly payment of the DSS Fee is computed at the daily rate of 0.002466% (i.e. annual rate of 0.90%) of the product of (i) $9.12 per Common Share (the average net purchase price of Common Shares sold in the Public Offering, excluding Common Shares issued under the Company's distribution reinvestment plan ("DRP Shares")) and (ii) the number of Common Shares outstanding on each day during the recording period, excluding (a) DRP Shares and (b) Shares owned by shareholders that are not recipients of ongoing shareholder services from eligible selected dealers. The Company will cease to pay the DSS Fee at the earlier of: (i) the date at which the second amended and restated dealer manager agreement (the "Dealer Manager Agreement") is terminated; (ii) the date at which the underwriting compensation from all sources, including the DSS Fee, any organization and offering fees paid to the Dealer Manager for underwriting, underwriting compensation and shareholder servicing paid directly by the shareholders and the Company or its affiliates, equals 10% of the gross proceeds from the Company's Public Offering, excluding proceeds from DRP Share sales; and (iii) the date at which a liquidity event occurs. The approval of the Liquidation Plan on March 30, 2021 is deemed a liquidity event and therefore, the Dealer Manager Agreement is deemed terminated.
Organization and Offering Expense Reimbursement Agreement
Under the terms of the organization and offering expense reimbursement agreement, the Company is not obligated to reimburse Guggenheim for any unreimbursed offering expenses after the close of the Company's Public Offering on April 28, 2017.
Expense Support and Conditional Reimbursement Agreement
The Expense Support Agreement will automatically terminate if (i) the Master Fund terminates the Investment Advisory Agreement with Guggenheim or (ii) the Company's Board of Trustees makes a determination to dissolve or liquidate the Company. The Board of Trustees' approval of a Liquidation Plan on March 30, 2021 is deemed a liquidity event and therefore, the Expense Support Agreement is deemed terminated.
Upon termination of the Expense Support Agreement, Guggenheim is required to fund any amounts accrued thereunder as of the date of termination. Similarly, the conditional obligation of the Company to reimburse Guggenheim pursuant to the terms of the Expense Support Agreement shall survive the termination of the Expense Support Agreement.
12
Notes to Financial Statements (Unaudited)
Pursuant to the Expense Support Agreement, the Company has a conditional obligation to reimburse Guggenheim for any amounts funded by Guggenheim under this arrangement during any month occurring within three years of the date on which Guggenheim funded such amount, the sum of the Company's estimated investment company taxable income and net capital gains exceeds the ordinary cash distributions paid by the Company to its shareholders; provided, however, that (i) the Company will only reimburse Guggenheim for expense payments made by Guggenheim to the extent that the payment of such reimbursement (together with any other reimbursement paid during such fiscal year) does not cause "other operating expenses" (as defined below) (on an annualized basis and net of any expense support reimbursement payments received by the Company during such fiscal year) to exceed the lesser of (A) 1.75% of the Company's average net assets attributable to its Common Shares for the fiscal year-to-date period after taking such reimbursement payments into account and (B) the percentage of the Company's average net assets attributable to its Common Shares represented by "other operating expenses" during the fiscal year in which such expense payment from Guggenheim was made (provided, however, that this clause (B) will not apply to any reimbursement payment which relates to an expense payment from Guggenheim made during the same fiscal year); and (ii) the Company will not reimburse Guggenheim for expense payments made by Guggenheim if the annualized rate of regular cash distributions declared by the Company at the time of such reimbursement payment is less than the annualized rate of regular cash distributions declared by the Company at the time Guggenheim made the expense payment to which such reimbursement payment relates. "Other operating expenses" means the Company's total "operating expenses" (as defined below), excluding any investment advisory fee, performance-based incentive fees, organization and offering expenses, shareholder servicing fees, interest expense, brokerage commissions and extraordinary expenses. "Operating expenses" means all operating costs and expenses incurred, as determined in accordance with GAAP for investment companies.
As of the Board of Trustees' approval of the Liquidation Plan, the total amount of expense support received from Guggenheim that is still eligible for reimbursement is $1.5 million.
Summary of Related Party Transactions
The following table presents the related party fees, expenses and transactions for the three and six months ended June 30, 2022 and June 30, 2021; related party transactions between the Company and the Master Fund in connection with Common Shares purchases, sales and distributions are disclosed elsewhere in the financial statements ($ in thousands):
Three Months Ended June 30,Six Months Ended June 30,
Related Party (1)
Source Agreement & Description
2022202120222021
Related Party Expenses:
Guggenheim
Administrative Services Agreement - expense reimbursement
$33 $28 $61 $66 
Related Party Income:
Guggenheim
Expense Support Agreement - expense support received from related parties
— — — 294 
____________________
(1)Not included in the table above is the Company's change in "Due to Dealer Manager" which represents the payable balances associated with the DSS Fee. For a breakdown of the Company's "Due to Dealer Manger" balance see Management's Discussion and Analysis of Financial Condition and Results of Operations - Critical Accounting Policies.
13
Notes to Financial Statements (Unaudited)
Indemnification
The Administrative Services Agreement provides certain indemnification to Guggenheim, its directors, officers, persons associated with Guggenheim and its affiliates. In addition, the Company's Declaration of Trust, as amended, provides certain indemnifications to its officers, trustees, agents and certain other persons. The Dealer Manager Agreement provides for certain indemnifications from the Company (with respect to the primary offering of its Common Shares) to GFD, any selected dealers and their respective officers, directors, employees, members, affiliates, agents, representatives and, if any, each person who controls such person or entity within the meaning of Section 15 of the Securities Act or Section 20 of the Exchange Act. Such indemnifications are subject to certain limitations as provided for in the Company’s Declaration of Trust and the North American Securities Administrators Association Guidelines and are considered customary by management. As of June 30, 2022, management believes that the risk of incurring any losses for such indemnification is remote.
Note 5. Common Shares
Issuance of Common Shares
The Company's Registration Statement pertaining to its Public Offering of 104,712,041 Common Shares at an initial public offering price of $9.55 per Share was declared effective on July 24, 2015.
The following table summarizes (i) the total Common Shares issued and proceeds received in connection with the Company's Public Offering and (ii) reinvestment of distributions for (a) the six months ended June 30, 2022 and (b) the period commencing on July 24, 2015 (inception) through June 30, 2022:
Six Months Ended
Inception through
June 30, 2022June 30, 2022
Shares
Amount
Shares
Amount
Gross proceeds from Public Offering
— $— 16,970,409 $164,194 
Commission paid outside escrow— — — (1,924)
Dealer Manager fees and commissions
— — — (7,462)
Net proceeds to the Company from Public Offering
— — 16,970,409 154,808 
Reinvestment of shareholders' distributions
— — 2,550,473 22,011 
Net proceeds from all issuance of Common Shares
— $— 19,520,882 $176,819 
Average net proceeds per Common Share
$—$9.06
Repurchase of Common Shares
The following table is a summary of the quarterly tender offers, completed pursuant to the share repurchase program, during the two years ended June 30, 2022:
Tender Offer Termination DateTotal Number of Shares Offered to RepurchaseTotal Number of Shares RepurchasedTotal ConsiderationPrice Paid per ShareNo. of Shares Repurchased / Total Shares Offered
No. of Shares Repurchased / Weighted Average Shares (1)
2021:
March 8, 2021420,901 311,151 $2,555 $8.21 73.9 %1.85 %
Total420,901 311,151 $2,555 73.9 %
2020:
September 8, 2020135,448 135,447 $1,036 $7.65 100.0 %0.79 %
December 8, 2020 (2)
120,546 315,165 2,509 7.96 261.4 %1.86 %
Total255,994 450,612 $3,545 176.0 %
________________
(1)Weighted average shares is based on the weighted average number of common shares outstanding in the prior four calendar quarters.
(2)The Company filed a tender offer to purchase up to 120,546 Shares on November 2, 2020. In accordance with Rule 13e-4(f), the Company determined to accept for purchase up to an additional 1.2% of our then outstanding Shares, increasing the offer to 315,165 Shares. The Company repurchased 315,165 Shares which represents approximately 100% of all Shares that were validly tendered.
14
Notes to Financial Statements (Unaudited)
In accordance with the Liquidation Plan, the Company’s share repurchase program and distribution reinvestment plan have been suspended effective March 30, 2021.
Note 6. Distributions
The following table summarizes the distributions that the Company declared on its Common Shares during the six months ended June 30, 2022 and June 30, 2021:
Record DatePayment DateDistribution Per Common Share at Record DateDistribution Per Common Share at Payment DateDistribution Amount
For Fiscal Year 2022
February 3February 7$0.88000 $0.88000 $14,342 
May 23May 250.82000 0.82000 13,364 
$1.70000 $27,706 
For Fiscal Year 2021
January 11January 13$0.03557 $0.03557 $587 
February 9February 110.03557 0.03557 589 
March 8March 90.03557 0.03557 590 
June 3June 71.05000 1.05000 17,112 
$1.15671 $18,878 
15
Notes to Financial Statements (Unaudited)
Note 7. Financial Highlights
The following per Common Share data and financial ratios have been derived from information provided in the financial statements. The following is a schedule of financial highlights during the six months ended June 30, 2022 and June 30, 2021:
Six Months Ended June 30,
20222021
PER COMMON SHARE OPERATING PERFORMANCE
Net asset value, beginning of period$6.56 $7.98 
Net investment income (1)
0.12 0.23 
Net unrealized appreciation (depreciation) from investment in GCIF (2)
(0.12)0.53 
Net increase resulting from operations— 0.76 
Distributions to common shareholders (3)
Distributions from net investment income (3)
(0.17)(0.23)
Distributions representing return of capital (3)
(1.53)(0.93)
Net decrease resulting from distributions(1.70)(1.16)
Capital Share Transactions
Distribution services charge (7)
— 0.05 
Net increase in net assets resulting from Capital Share transactions— 0.05 
Net asset value, end of period$4.86 $7.63 
INVESTMENT RETURNS
Total investment return-net asset value (4)
(0.30)%10.27 %
RATIOS/SUPPLEMENTAL DATA
Net assets, end of period$79,259 $124,372 
Average net assets (5)
$93,817 $134,203 
Common Shares outstanding, end of period16,297,188 16,297,188 
Weighted average Common Shares outstanding16,297,188 16,406,748 
Ratios-to-average net assets: (5) (6)
   Total expenses0.32 %0.29 %
Effect of expense support reimbursement to (received from) the Advisor— %(0.22)%
   Net expenses 0.32 %0.07 %
   Net investment income2.07 %2.81 %
_____________________
(1)The per Common Share data was derived by using the weighted average Common Shares outstanding during the period presented.
(2)The amounts shown at this caption are the balancing figures derived from the other figures in the schedule. The amounts shown at this caption for a Common Share outstanding throughout the period may not agree with the change in the aggregate gains and losses in portfolio securities for the period because of the timing of sales of the Company’s Common Shares in relation to fluctuating market values for the portfolio.
(3)The per Common Share data for distributions is the actual amount of distributions paid or payable per Common Share outstanding during the entire period; distributions per Common Share are rounded to the nearest $0.01. For income tax purposes, distributions made to shareholders are reported as ordinary income, capital gains, non-taxable return of capital or a combination thereof. The tax character of distribution is determined based on taxable income calculated in accordance with income tax regulations which may differ from amounts determined under GAAP. The tax character of distribution shown above is an estimate since the exact amount cannot be determined at this point. As of June 30, 2022, the Company 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.
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Notes to Financial Statements (Unaudited)
(4)Total investment return-net asset value is a measure of the change in total value for shareholders who held the Company’s Common Shares at the beginning and end of the period, including distributions declared during the period. Total investment return-net asset value is based on (i) net asset value per share on the first day of the period, (ii) the net asset value per share on the last day of the period, plus any shares issued in connection with the reinvestment of monthly distributions and (iii) distributions payable relating to the ownership of shares, if any, on the last day of the period. The total investment return-net asset value calculation assumes that distributions are reinvested in accordance with the Company’s distribution reinvestment plan. Because there is no public market for the Company’s shares, the terminal market value per share is assumed to be equal to net asset value per share on the last day of the period presented. Investment performance is presented without regard to sales load that may be incurred by shareholders in the purchase of the Company’s Common Shares. The Company’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 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)The ratios-to-average net assets do not include any proportionate allocation of income and expenses incurred at the Master Fund. The Master Fund's total expenses-to-average net assets for the six months ended June 30, 2022 and June 30, 2021, were 1.61%, and 2.74%, respectively.
(7)The per share impact of the distribution services component of the DSS Fee is calculated as the amount of the adjustment to distribution services component of the DSS Fee charged to “Paid-in-capital in excess of par value” divided by common shares outstanding at the end of the period.
Note 8. Subsequent Events
Management has evaluated subsequent events through the date of issuance of these 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 financial statements except for the one below.
On August 9, 2022 the Board of Trustees approved the Feeder Fund’s liquidating distribution of $0.82 per share of common shares. The distribution will be recorded on August 25, 2022 and paid in cash to the investors on August 29, 2022.
17

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 should be read in conjunction with our financial statements and related notes thereto appearing elsewhere in this Report. Unless otherwise noted, the terms "we," "us" and "our" refer to Guggenheim Credit Income Fund 2016 T. The Term "Master Fund" refers to Guggenheim Credit Income Fund. Capitalized terms used in this Item 2 have the same meaning as in the accompanying financial statements presented in Part I. Item. I Financial Statements (Unaudited), unless otherwise defined herein.
Overview
We are a feeder fund and we are affiliated with the Master Fund, which is a specialty finance investment company that has elected to be treated as a BDC under the 1940 Act. The Master Fund is 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 the Master Fund's portfolio on an ongoing basis. The Master Fund's management discussion and analysis of financial condition and results of operations as presented in its quarterly report should be read in its entirety.
Plan of Liquidation
In accordance with the offering documents and the intention of the Company 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.
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
Cumulative Liquidating Distributions declared per share through August 12, 2022$4.50 $4.74 $12.93 
Number of Portfolio Companies at beginning of Year34 — — 
Number of Portfolio Companies at end of Period27 — — 
YTD Portfolio sales and repayments ($ in thousands)$31,184 $— $— 
Cumulative Liquidating Distributions Declared through August 12, 2022 ($ in thousands)$(115,174)$(77,249)$(22,450)
Percentage of December 31, 2020 NAV Declared through August 12, 202259.50 %59.40 %57.00 %
Net Assets at beginning of Year ($ in thousands)$157,280 $106,886 $32,183 
Net Assets at end of Period ($ in thousands)$117,932 $79,259 $24,220 
Net asset value per share at end of period$4.61 $4.86 $13.95 
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 Program
Our investment objectives are to provide our shareholders with current income, capital preservation and, to a lesser extent, long-term capital appreciation.
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We intend to meet our investment objectives by investing substantially all of our equity capital in the Master Fund. The Master Fund's investment objectives are the same as our own. The Master Fund's investment strategy is focused on creating and growing an investment portfolio that generates superior risk-adjusted returns by carefully selecting investments through rigorous due diligence and actively managing and monitoring its investment portfolio. When evaluating an investment and the related portfolio company, the Master Fund uses the resources of its advisor to develop an investment thesis and a proprietary view of a potential portfolio company’s intrinsic value. We believe the Master Fund's flexible approach to investing allows it to take advantage of opportunities that offer favorable risk/reward characteristics.
The Master Fund primarily focuses on the following range of 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 generally subordinated to senior debt investments 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 sporadic dividends and realized gains on dispositions of such investments.
The Master Fund's investment activities may 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 transactions, the general economic environment, the competitive investment environment for the types of investments the Master Fund currently seeks and intends to seek in the future, the amount of equity capital the Master Fund raises from the sale of its common shares to us and any other feeder funds and the amount and cost of capital that the Master Fund may borrow.
The Master Fund acquires its 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.
On July 15, 2015, the staff of the Securities and Exchange Commission (the "SEC") issued a no action letter to the Master Fund and Guggenheim Credit Income Fund 2016 T (the “Initial Feeder Fund”), permitting the Master Fund, the Initial Feeder Fund and any other feeder fund that may be created in the future that invests all or substantially all its assets in the Master Fund (each, an “Additional Feeder Fund” and collectively with the Initial Feeder Fund, the “Feeder Funds”) to operate in a master/feeder fund structure. More specifically, the no action letter permits:
•a Feeder Fund to operate as a BDC under the 1940 Act;
•a Feeder Fund to look through the Master Fund and treat as its assets its proportionate ownership interest in the Master Fund’s assets; and
•the Master Fund to repurchase its shares in connection with the planned liquidation of a Feeder Fund at the end of the Feeder Fund’s finite term.
Revenue
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Dividend income from our ownership of the Master Fund's common shares is our source of investment income. Our revenue will fluctuate with the operating performance of the Master Fund and its distributions paid to us.
Operating Expenses
Our primary operating expenses include administrative services, related party reimbursements, custodian and accounting services, independent audit services, compliance services, tax services, legal services, transfer agent services, shareholder servicing component expenses, organization expenses and offering expenses. Additionally, we indirectly bear the operating expenses of the Master Fund through our ownership of its common shares, such as an investment advisory fee, a performance-based incentive fee, independent audit services, third-party valuation services and various other professional services fees.
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.
The Master Fund has and continues to assess the impact of COVID-19 on its 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 operating results of the Master Fund's portfolio companies or the impact that such disruptions may have on our results of operations and financial condition. We expect the Master Fund's 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 the Master Fund's portfolio companies, we expect that certain portfolio companies will experience financial distress. We also expect that some 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 the Master Fund's investment in any such portfolio company, or interest thereon. In addition, to the extent that the impact to the Master Fund's portfolio companies results in reduced interest payments or permanent impairments on its investments, we could see a decrease in our net investment income and could require us to reduce the future amount of distributions to our shareholders.
With respect to its investments, the Master Fund is taking steps in actively overseeing all of its individual portfolio companies. These measures include, among other things, enhanced monitoring/credit analysis of its portfolio, assessment of each portfolio company’s operational and liquidity exposure and outlook, and frequent communication with its portfolio company management teams, industry consultants, and other lenders to understand the expected financial performance impact of the COVID-19 pandemic.
Results of Operations
Operating results for the three and six months ended June 30, 2022 and June 30, 2021 were as follows:
Three months ended June 30,Six Months Ended June 30,
2022202120222021
Total investment income
$863 $2,154 $2,320 $3,862 
Net expenses
157 152 308 97 
Net investment income
706 2,002 2,012 3,765 
Net realized losses from redemption of investment in GCIF— — — (44)
Net change in unrealized appreciation (depreciation) from investment in GCIF(2,138)3,828 (1,933)8,753 
Net increase (decrease) in net assets resulting from operations
$(1,432)$5,830 $79 $12,474 
20

Investment Income
Investment income consisted solely of distributions from the Master Fund for the three and six months ended June 30, 2022 and June 30, 2021.
Operating Expenses
Operating expenses consisted of the following major components for the three and six months ended June 30, 2022 and June 30, 2021:
Three Months Ended June 30,Six Months Ended June 30,
2022202120222021
Administrative services
$3 $3 $7 $7 
Related party reimbursements
33 28 61 66 
Professional services fees
32 28 63 55 
Shareholder servicing expenses
— — — 74 
Transfer agent expense
79 80 157 153 
Other expenses
10 13 20 36 
Total operating expenses
157 152 308 391 
Less: Expense support from related parties
— — — (294)
Net expenses
$157 $152 $308 $97 
Related party reimbursements are comprised of the Company's allocable share of administrative costs and expenses incurred by Guggenheim that were reimbursable. Reimbursable costs and expenses include, but are not limited to, the Company's share of salaries, rent, office administration, costs associated with regulatory reporting and filings and costs related to the preparation for, and conducting of, meetings of the Company's Board. An investment advisory fee is only incurred by the Master Fund, although it is incurred indirectly by the Company through its ownership of Master Fund common shares.
Beginning on July 1, 2017, the Company incurred an additional operating expense, specifically the Shareholder Servicing Component of the DSS Fee, to reimburse the Dealer Manager of the Company's Public Offering for costs incurred by participating broker-dealers and investment representatives for providing ongoing shareholder services. The Shareholder Servicing Component accrues daily and is recorded on the statements of operations. The Shareholder Servicing Component is computed at the daily rate of 0.000685% (i.e. annual rate of 0.25%) of the product of (i) the weighted average net price of Common Shares sold in the Public Offering, excluding DRP Shares and (ii) the number of Common Shares outstanding on each day of the recording period, excluding (a) DRP Shares and (b) Common Shares owned by the Company's shareholders that are not receiving shareholder services from an eligible participating broker-dealer. The Shareholder Servicing Component expense is borne equally among all of the Company's outstanding Shares as incurred.
Net Realized Gains (Losses) from Investment
For the three and six months ended June 30, 2022, we did not incur a realized gain. During the three and six months ended June 30, 2022, there were no distributions received from the Master Fund that were classified as long term gains.
For the three and six months ended June 30, 2021, we had net realized losses of $0.0 million and less than $(0.1) million, respectively, as a result of our sale of Master Fund Shares. During the three and six months ended June 30, 2021, there were no distributions received from the Master Fund that were classified as long term gains.
Changes in Unrealized Appreciation (Depreciation) from Investment
For the three and six months ended June 30, 2022, the total net change in unrealized depreciation on our investment in the Master Fund was $(2.1) million and $(1.9) million, respectively. For the three and six months ended June 30, 2021, the total net change in unrealized appreciation on our investment in the Master Fund was $3.8 million and $8.8 million, respectively. The decrease in net unrealized depreciation for the three and six months ended June 30, 2022 was primarily due to the decrease in the Master Fund's total assets.
21

Cash Flows for the Six Months Ended June 30, 2022 and June 30, 2021
For the six months ended June 30, 2022 and June 30, 2021, net cash provided by operating activities was $26.3 million and $21.2 million, respectively. During the six months ended June 30, 2022 proceeds from liquidation distributions was the primary source of cash. During the six months ended June 30, 2021 distributions from the Master Fund was the primary source of cash.
For the six months ended June 30, 2022 and June 30, 2021, net cash used in financing activities was $(27.7) million and $(21.1) million, respectively. In 2022, shareholder distributions of $(27.7) million was the primary use of cash. In 2021, the repurchase of Common Shares of $(2.6) million and shareholder distributions of $(18.2) million were the primary use of cash.
Financial Condition, Liquidity and Capital Resources
Our primary sources of cash include (i) our shareholders' reinvestment of their distributions, (ii) distributions, including capital gains, if any, received from our ownership of the Master Fund's common shares, (iii) expense support payments pursuant to the Expense Support Agreement and (iv) the sale of our owned Master Fund shares in conjunction with its share repurchase program. Our primary uses of cash include (i) investment in the Master Fund's common shares, (ii) payment of operating expenses and the DSS Fee Distribution Services Component, (iii) cash distributions to our shareholders, (iv) periodic repurchases of our Common Shares pursuant to our share repurchase program and (v) reimbursement payments for prior period expense support payments. We are not permitted to issue any senior securities, including preferred securities.
We manage our assets and liabilities such that current assets are sufficient to cover current liabilities, and excess cash, if any, is invested in the acquisition of Master Fund's common shares.
Off-Balance Sheet Arrangements
We did not have any off-balance sheet arrangements as of June 30, 2022 and December 31, 2021.
Critical Accounting Policies
Use of Estimates
The preparation of financial statements in conformity with accounting principles generally accepted in the U.S. requires us to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosures of contingent assets and liabilities at the date of the financial statements and the reported amounts of income, expense, gain and loss during the reporting period. We believe that the estimates and assumptions utilized in preparing the financial statements are reasonable. Actual results could differ from those estimates. Our significant accounting policies are described in Note 2. Significant Accounting Policies.
Valuation of Investments
We invest substantially all of our equity capital in the purchase of Master Fund common shares. We determine the fair value of our investment in the Master Fund as the Master Fund's net asset value per common share (as determined by the Master Fund) multiplied by the number of Master Fund common shares that we own.
Distribution and Shareholder Servicing Fee (DSS Fee)
The purpose of the DSS Fee is to reimburse the Dealer Manager of our Public Offering for costs incurred by selected dealers and investment representatives for services related to (i) the Distribution Services Component and (ii) the Shareholder Services Component.
Beginning in the third quarter of 2017 (the first calendar quarter after the close of our Public Offering), we commenced recognition of the Shareholder Services Component as an expense on the Company's statements of operations as the services are provided. We allocated 0.25% per annum of the average net purchase price per share sold in the Public Offering to the Shareholder Services Component. As the Distribution Services Component, representing 0.65% per annum of the average net purchase price per share sold in the Public Offering, pertains to the sale of our Common Shares, we estimate the present value of all future Distribution Services Component payments, employing a discount rate equal to the prevailing effective yield on 5-year US Treasuries as observed on December 30, 2016. We record a liability equal to the estimated present value of the Distribution Services Component, recorded as "Due to Dealer Manager" with an offsetting charge to “Paid-in-capital in excess of par value” on the statements of assets and liabilities, and recorded as a "Distribution services charge" on the statements of changes in net assets.
Beginning in the fourth quarter of 2017 (the second calendar quarter after the close of our Public Offering), we commenced quarterly payments of the DSS Fee at an annual rate of 0.90% of the average net purchase price per share sold in the Public Offering.
22

The table below reconciles the change in the Due to Dealer Manager from January 1, 2022 to June 30, 2022 and January 1, 2021 to June 30, 2021:
20222021
Balance as of January 1,$— $1,319 
Accretion of discount (1)
— 5 
Incremental charge (reduction) to paid-in-capital (2)
— (854)
Shareholder services component— 74 
DSS fee payments— (544)
Balance as of June 30,
$— $— 
______________________
(1)As the present value discount of the Distribution Services Component is accreted, it is recorded as interest expense and included in other expenses on the statements of operations.
(2)Incremental charge or reduction to paid-in-capital is the result of incremental equity share sales and/or changes in assumptions employed in estimating future cash payments.
Contractual Obligations
Commitments
We have not entered into any agreements under which we have material future commitments that cannot otherwise be terminated within a reasonable time period.
Related Party Agreements and Transactions
Expense Support and Conditional Reimbursement Agreement
We have entered into agreements with Guggenheim whereby we agreed to (i) receive expense support payments and to conditionally reimburse it for prior period expense support payments, (ii) pay for administrative services and (iii) periodically pay DSS Fees to the Dealer Manager, an affiliate of Guggenheim. See Note 4. Related Party Agreements and Transactions for a discussion of related party agreements and expense reimbursement agreements.
Reimbursement of Guggenheim for Organization and Offering Expenses    
Under the terms of the O&O Agreement, we agreed to reimburse Guggenheim for our organization and offering expenses solely in connection with the capital raise of our Public Offering (See Note 4. Related Party Agreements and Transactions). Since our Public Offering was terminated, Guggenheim is not eligible to receive any further reimbursement of offering expenses after April 28, 2017.
Reimbursement of the Administrator for Administrative Services
We reimburse the Administrator for its expenses in connection with the provision of administrative services to us. These reimbursement expenses are periodically reviewed and approved by the Independent Trustees Committee of our Board of Trustees. See Note 4. Related Party Agreements and Transactions for a summary of reimbursable expenses as related to administrative services.
Obligation to Pay the Distribution Services Component of Distribution and Shareholder Servicing Fee
The Distribution Services Component of the DSS Fee represents reimbursement to the Dealer Manager for costs incurred by participating broker-dealers and investment representatives for the distribution of our Common Shares. (See Note 2. Significant Accounting Policies - Distribution and Shareholder Servicing Fees regarding the obligation to pay the Distribution Services Component.) The DSS Fee quarterly payments will cease in the event that the Dealer Manager Agreement is terminated by us or the Dealer Manager or in the event of a liquidation.
23



Item 3. Quantitative and Qualitative Disclosures About Market Risk.
Interest Rate Risk
We are subject to financial market risks, including changes in interest rates through our investment in the Master Fund. As of June 30, 2022, 97.7% of the Master Fund's debt investments (95.5% of total investments), or $88.1 million measured at fair value, are subject to floating interest rates. The Master Fund's sole credit facility is also subject to changes in its 3-Month London Interbank Offered Rate (LIBOR) base rate. A rise in the general level of interest rates can be expected to lead to (i) higher interest income for the Master Fund's floating rate debt investments, (ii) value declines for fixed rate investments the Master Fund may hold and (iii) higher interest expense in connection with the Master Fund's floating rate credit facility. To the extent that a majority of the Master Fund's investments may be in 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 the Advisor to meet or exceed the quarterly threshold for a performance-based incentive fee as described in Note 6. Related Party Agreements and Transactions of the Master Fund's consolidated financial statements.
Based on our investment in the Master Fund as of June 30, 2022, the following table presents the approximate annualized increase in value per outstanding Common Share due to (i) interest income from the Master Fund's investment portfolio and (ii) interest expense on the Master Fund's floating rate borrowings, directly resulting from hypothetical changes in base rate interest rates (e.g., LIBOR), assuming no changes in (i) the number of outstanding Common Shares, (ii) the number of outstanding Master Fund Shares and (iii) our percent ownership of Master Fund shares:
Basis Points (bps)
Increase (Decrease)
Annualized Net Increase
Net Increase (Decrease)
per Share
 +50 bps
247 0.02 
 +100 bps
532 0.03 
 +150 bps
844 0.05 
 +200 bps
1,165 0.07 
The Master Fund regularly measures its exposure to interest rate risk. The Master Fund assesses interest rate risk and manages its interest rate exposure on an ongoing basis by comparing its interest rate sensitive assets to its interest rate sensitive liabilities. Based on that review, the Master Fund determines whether or not any hedging transactions are necessary to mitigate exposure to changes in interest rates.
Item 4. Controls and Procedures.
Evaluation of Disclosure Controls and Procedures
Our disclosure controls and procedures include internal controls and other procedures designed to provide reasonable assurance that information required to be disclosed in this and other reports filed under the Exchange Act, is recorded, processed, summarized and reported within the required time periods specified in the SEC’s rules and forms and that such information is accumulated and communicated to management, including our Chief Executive 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, 2022, have concluded that our disclosure controls and procedures, as defined in Rule 13a-15(e) under the Exchange Act, were effective as of June 30, 2022 at a reasonable level of assurance.
Changes in Internal Control over Financial Reporting
During the most recent fiscal quarter, there was no change in our internal controls over financial reporting, as defined under Rule 13a-15(f) under the Exchange Act, that has materially affected, or is reasonably likely to materially affect, our internal controls over financial reporting.
24



PART II. OTHER INFORMATION
Item 1. Legal Proceedings.
As of August 12, 2022, we were not subject to any material legal proceedings, and, to our knowledge, there were no material legal proceedings threatened against us.
From time to time, we, or our administrator, 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 financial position or results of operations.
Item 1A. Risk Factors.
In addition to the other information set forth in this Report, you should carefully consider the factors discussed in Part I, “Item 1A. Risk Factors” in our annual report on Form 10-K for the fiscal year ended December 31, 2021, which could materially affect our business, financial condition and/or operating results. The risks described in our annual report on Form 10-K are not the only risks we face. Additional risks and uncertainties are not currently known to us or that we currently deem to be immaterial also may materially adversely affect our business, financial condition and/or operating results. During the six months ended June 30, 2022, other than as set forth below, there have been no material changes from the risk factors set forth in our annual report on Form 10-K for the year ended December 31, 2021.
Inflation may adversely affect the business, results of operations and financial condition of our portfolio companies.
Certain of our portfolio companies may be impacted by inflation. If such portfolio companies are unable pass any increases in their costs along to their customers, it could adversely affect their results and their ability to impacting their ability to pay interest and principal on our loans. In addition, any projected future decreases in our portfolio companies’ operating results due to inflation could adversely impact the fair value of those investments. Any decreases in the fair value of our investments could result in future unrealized losses and therefore reduce our net assets resulting from operations.
The Company is currently operating in a period of capital markets disruption, significant volatility and economic uncertainty.
The global capital markets are experiencing a period of disruption and instability resulting in increasing spreads between the yields realized on riskier debt securities and those realized on risk-free securities, lack of liquidity in parts of the debt capital markets, significant write-offs in the financial services sector and the re-pricing of credit risk in the broadly syndicated market. Highly disruptive market conditions have resulted in increasing volatility and illiquidity in the global credit, debt and equity markets generally. The duration and ultimate effect of such market conditions cannot be accurately forecasted. Extreme uncertainty regarding economic markets is resulting in declines in the market values of potential investments and declines in the market values of investments after they are made or acquired by the Company and affecting the potential for liquidity events involving such investments or portfolio companies. During periods of market disruption, portfolio companies may be more likely to seek to draw on unfunded commitments the Company has made, and the risk of being unable to fund such commitments is heightened during such periods. Applicable accounting standards require the Company to determine the fair value of its investments as the amount that would be received in an orderly transaction between market participants at the measurement date. While most of the Company’s investments are not publicly traded, as part of the Company’s valuation process the Company considers a number of measures, including comparison to publicly traded securities. As a result, volatility in the public capital markets can adversely affect the Company’s investment valuations.
Various social and political tensions around the world may contribute to increased market volatility, may have long-term effects on the worldwide financial markets and may cause further economic uncertainties worldwide. In particular, the consequences of the conflict between Russia and Ukraine, including international sanctions, the potential impact on inflation and increased disruption to supply chains may impact portfolio companies. Such consequences also may increase the Company’s funding cost or limit its access to the capital markets.

25



A prolonged period of market illiquidity may cause the Company to reduce the volume of loans and debt securities originated and/or fund and adversely affect the value of the Company’s portfolio investments, which could have a material and adverse effect on the Company’s business, financial condition, results of operations and cash flows.
Item 2. Unregistered Sales of Equity Securities and Use of Proceeds.
(a) None.
(b) None.
(c) The Company had implemented a share repurchase program, whereby it conducts tender offers each calendar quarter. In accordance with the Liquidation Plan, the Company’s share repurchase program has been suspended effective March 30, 2021.
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.
26

SIGNATURES
Pursuant to the requirements 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 2016 T
Date:August 12, 2022By:/s/ Matthew S. Bloom
  MATTHEW S. BLOOM
 Chief Executive Officer
 (Principal Executive Officer)
Date:August 12, 2022By:/s/ Michael Guss
  MICHAEL GUSS
 Chief Financial Officer
 (Principal Financial Officer)

27



c. The following exhibits are filed or incorporated as part of this Report.
3.1
3.2  
3.3  
3.4
4.1
10.1   
10.2   
10.3 
10.4 
10.5 
10.6 
10.7 
10.8 
10.9 
10.10 
10.11 
14.1 
31.1   
31.2   
28



32   
99 
29
Document
Exhibit 31.1
CERTIFICATION OF CHIEF EXECUTIVE OFFICER

PURSUANT TO 18 U.S.C. SECTION 1350 AS ADOPTED PURSUANT TO
SECTION 302 OF THE SARBANES-OXLEY ACT OF 2002

I, Matthew S. Bloom, certify that:
1.I have reviewed this Quarterly Report on Form 10-Q of Guggenheim Credit Income Fund 2016 T;
2.Based on my knowledge, this Report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this Report;
3.Based on my knowledge, the financial statements, and other financial information included in this Report, fairly present in all material respects the financial condition, results of operations and cash flows of the registrant as of, and for, the periods presented in this Report;
4.The registrant’s other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in the Exchange Act Rules 13a-15(e) and 15d-15(e)) and internal control over financial reporting (as defined in Exchange Act Rules 13a-15(f) and 15d-15(f)) for the registrant and have:
a.designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this Report is being prepared;
b.designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;
c.evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this Report our conclusions about the effectiveness of the disclosure controls and procedures, as of the end of the period covered by this Report based on such evaluation; and
d.disclosed in this Report any change in the registrant’s internal control over financial reporting that occurred during the registrant’s most recent fiscal quarter (the registrant’s fourth fiscal quarter in the case of a Annual Report) that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and
5.The registrant’s other certifying officer and I have disclosed, based on our most recent evaluation of internal control over financial reporting, to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):
a.all significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize and report financial information; and
b.any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.
 
Date:August 12, 2022By:/s/ Matthew S. Bloom
MATTHEW S. BLOOM
Chief Executive Officer
(Principal Executive Officer)


Document
Exhibit 31.2
CERTIFICATION OF CHIEF FINANCIAL OFFICER

PURSUANT TO 18 U.S.C. SECTION 1350 AS ADOPTED PURSUANT TO
SECTION 302 OF THE SARBANES-OXLEY ACT OF 2002

I, Michael Guss, certify that:
1.I have reviewed this Quarterly Report on Form 10-Q of Guggenheim Credit Income Fund 2016 T;
2.Based on my knowledge, this Report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this Report;
3.Based on my knowledge, the financial statements, and other financial information included in this Report, fairly present in all material respects the financial condition, results of operations and cash flows of the registrant as of, and for, the periods presented in this Report;
4.The registrant’s other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in the Exchange Act Rules 13a-15(e) and 15d-15(e)) and internal control over financial reporting (as defined in Exchange Act Rules 13a-15(f) and 15d-15(f)) for the registrant and have:
a.designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this Report is being prepared;
b.designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;
c.evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this Report our conclusions about the effectiveness of the disclosure controls and procedures, as of the end of the period covered by this Report based on such evaluation; and
d.disclosed in this Report any change in the registrant’s internal control over financial reporting that occurred during the registrant’s most recent fiscal quarter (the registrant’s fourth fiscal quarter in the case of a Annual Report) that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and
5.The registrant’s other certifying officer and I have disclosed, based on our most recent evaluation of internal control over financial reporting, to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):
a.all significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize and report financial information; and
b.any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.
 
Date:August 12, 2022By:/s/ Michael Guss
MICHAEL GUSS
Chief Financial Officer
(Principal Financial Officer)


Document
Exhibit 32
Certifications Pursuant to Section 906 of the Sarbanes-Oxley Act of 2002
In connection with the Quarterly Report of Guggenheim Credit Income Fund 2016 T on Form 10-Q for the period ended June 30, 2022 as filed with the Securities and Exchange Commission on the date hereof (the "Report"), each of the undersigned officers of Guggenheim Credit Income Fund 2016 T, does hereby certify, to the best of such officer's knowledge and belief, pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002, as amended, that:
1.The Report fully complies with the requirements of section 13(a) or 15(d) of the Securities Exchange Act of 1934, as amended; and
2.The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of Guggenheim Credit Income Fund 2016 T.
Date:August 12, 2022
/s/ Matthew S. Bloom
MATTHEW S. BLOOM
Chief Executive Officer
Date:August 12, 2022
/s/ Michael Guss
MICHAEL GUSS
Chief Financial Officer
    


Document

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, 2022
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 12, 2022.




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.
        Signatures
        Exhibit Index


FORWARD-LOOKING STATEMENTS
This Quarterly Report on Form 10-Q, or this Report, including Management's Discussion and Analysis of Financial Condition and Results of Operations in Item 2 of Part I of this Report, contains statements that constitute forward-looking statements within the meaning of Section 27A of the Securities Act of 1933, as amended (the "Securities Act"), and Section 21E of the Securities Exchange Act of 1934, as amended (the "Exchange Act"). These forward-looking statements generally are characterized by the use of terms such as “may,” “should,” “plan,” “anticipate,” “estimate,” “intend,” “predict,” “believe,” “expect,” “will,” “will be,” and “project” or the negative of these terms or other comparable terminology. Although we believe that the expectations reflected in such forward-looking statements are based upon reasonable assumptions, our actual results could differ materially from those set forth in the forward-looking statements. Some factors that might cause such a difference include the following: increased direct competition; changes in government regulations or accounting rules; changes in local, national and global economic and capital market conditions; our ability to obtain or maintain credit lines or credit facilities on satisfactory terms; changes in interest rates; availability of proceeds from our private offering of common shares; our ability to identify suitable investments and/or to close on identified investments; the performance of our investments; and the ability of borrowers related to our debt investments to make payments under their respective loans. Our actual results could differ materially from those implied or expressed in the forward-looking statements for any reason. You should exercise caution in relying on forward-looking statements as they involve known and unknown risks, uncertainties and other factors that may materially affect our future results, performance, achievements or transactions. Information on factors which could impact actual results and cause them to differ from what is anticipated in the forward-looking statements contained herein is included in this Report as well as in our other filings with the U.S. Securities and Exchange Commission ("SEC"), including but not limited to those described in Part II. Item 1A. Risk Factors of this Report and in Part I. Item 1A. Risk Factors of our Form 10-K for the fiscal year ended December 31, 2021, that was filed on March 17, 2022. Moreover, because we operate in a very competitive and rapidly changing environment, new risks are likely to emerge from time to time. Given these risks and uncertainties, you are cautioned not to place undue reliance on these forward-looking statements as a prediction of future results, which apply only as of the date of this Report, unless noted otherwise. Except as may be required by federal securities laws and the rules and regulations of the SEC, we do not undertake to revise or update any forward-looking statements. The forward-looking statements should be read in light of the risk factors identified in Part II. Item 1A. Risk Factors of this Report and in Part I. Item 1A. Risk Factors of our Form 10-K for the fiscal year ended December 31, 2021, that was filed on March 17, 2022. The forward-looking statements and projections contained in this Report are excluded from the safe harbor protection provided by Section 27A of the Securities Act and Section 21E of the Exchange Act.
All references to “Note” or “Notes” throughout this Report refer to the notes to the consolidated financial statements of the registrant in Part I. Item 1. Consolidated Financial Statements (Unaudited).
Unless otherwise noted, the terms “we,” “us,” “our,” and the “Master Fund” refer to Guggenheim Credit Income Fund. Other capitalized terms used in this Report have the same meaning as in the accompanying consolidated financial statements presented in Part I. Item 1. Consolidated Financial Statements (Unaudited), unless otherwise defined herein. Guggenheim Partners Investment Management, LLC is referred to as "Guggenheim" or the "Advisor" throughout this Report.













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, 2022December 31, 2021
(Unaudited)
(Audited)
Assets
Investments at fair value (amortized cost of $97,935 and $125,563, respectively)$92,302 $124,139 
Cash and cash equivalents25,190 4,556 
Restricted cash— 24,648 
Interest and dividend income receivable819 936 
Principal receivable625 4,747 
Receivable from related parties5 25 
Prepaid expenses and other assets57 192 
Total assets$118,998 $159,243 
Liabilities
Unrealized depreciation on foreign currency forward contracts$1 $280 
Accrued management fee368 769 
Payable to related parties115 61 
Accounts payable, accrued expenses and other liabilities582 853 
Total liabilities1,066 1,963 
Commitments and contingencies (Note 8. Commitments and Contingencies)
Net Assets$117,932 $157,280 
Components of Net Assets:
Common shares, $0.001 par value, 1,000,000,000 shares authorized, 25,594,125 and 25,594,125 shares issued and outstanding at June 30, 2022 and December 31, 2021, respectively$26 $26 
Paid-in-capital in excess of par value132,572 169,019 
Accumulated loss, net of distributions(14,666)(11,765)
Net assets$117,932 $157,280 
Net asset value per Common Share$4.61 $6.15 

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,
2022202120222021
Investment Income
Interest income$2,091 $5,158 $4,436 $10,068 
PIK interest income25 53 104 150 
Dividend income— 99 179 111 
Fee income3 70 555 195 
Total investment income2,119 5,380 5,274 10,524 
Operating Expenses
Interest expense and other financing costs— 778 — 1,728 
Management fee572 1,294 1,220 2,691 
Administrative services40 50 82 93 
Custody services22 24 43 48 
Trustees fees71 84 141 167 
Related party reimbursements169 84 229 216 
Professional services fees193 205 384 406 
Other expenses73 71 144 139 
Total expenses1,140 2,590 2,243 5,488 
Net investment income979 2,790 3,031 5,036 
Realized and unrealized gains (losses):
Net realized gains (losses) on:
Investments834 (1,806)1,463 (1,352)
Foreign currency forward contracts178 (96)53 (1,120)
Foreign currency transactions(1)12 (35)(20)
Net realized gains (losses)1,011 (1,890)1,481 (2,492)
Net change in unrealized appreciation (depreciation) on:
Investments(3,928)8,039 (4,209)15,358 
Foreign currency forward contracts25 35 279 1,015 
Foreign currency transactions(1)— (3)(1)
Net change in unrealized appreciation (depreciation)(3,904)8,074 (3,933)16,372 
Net realized and unrealized gains (losses)(2,893)6,184 (2,452)13,880 
Net increase (decrease) in net assets resulting from operations$(1,914)$8,974 $579 $18,916 
Per Common Share information:
Net investment income per Common Share outstanding - basic and diluted$0.04 $0.11 $0.12 $0.19 
Earnings (loss) per Common Share outstanding - basic and diluted $(0.07)$0.35 $0.02 $0.73 
Weighted average Common Shares outstanding - basic and diluted25,594,125 25,594,125 25,594,125 25,867,772 
Distribution per Common Share outstanding$0.78 $0.98 $1.56 $1.08 


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, 202125,594,125 $26 $169,019 $(11,765)$157,280 
Operations:
Net investment income— — — 2,052 2,052 
Net realized gains— — — 470 470 
Net change in unrealized depreciation— — — (29)(29)
Net increase in net assets resulting from operations— — — 2,493 2,493 
Shareholder distributions:
Distributions from earnings— — — (2,186)(2,186)
Distributions representing a return of capital— — (17,778)— (17,778)
Net decrease in net assets resulting from shareholder distributions— — (17,778)(2,186)(19,964)
Net increase (decrease) for the period— — (17,778)307 (17,471)
Balance at March 31, 202225,594,125 $26 $151,241 $(11,458)$139,809 
Operations:
Net investment income— — — 979 979 
Net realized gains— — — 1,011 1,011 
Net change in unrealized depreciation— — — (3,904)(3,904)
Net decrease in net assets resulting from operations— — — (1,914)(1,914)
Shareholder distributions:
Distributions from earnings— — — (1,294)(1,294)
Distributions representing a return of capital— — (18,669)— (18,669)
Net decrease in net assets resulting from shareholder distributions— — (18,669)(1,294)(19,963)
Net decrease for the period— — (18,669)(3,208)(21,877)
Balance at June 30, 202225,594,125 $26 $132,572 $(14,666)$117,932 

5

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 increase (decrease) for the period— — (21,850)5,741 (16,109)
Balance at June 30, 202125,594,125 $26 $196,334 $(11,661)$184,699 

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,
20222021
Operating activities
Net increase in net assets resulting from operations$579 $18,916 
Adjustments to reconcile net increase (decrease) in net assets resulting from operations to net cash provided by operating activities:
Capitalized paid-in-kind income(189)(171)
Amortization of premium/accretion of discount, net(261)(493)
Proceeds from sales of investments8,024 30,824 
Proceeds from paydowns on investments23,160 72,569 
Net receipt of settlement of derivatives583 825 
Net payment of settlement of derivatives(530)(1,945)
Net realized (gains) losses on derivatives(53)1,120 
Purchases of investments(1,643)(2,443)
Net realized (gains) losses on investments(1,463)1,352 
Net change in unrealized (appreciation) depreciation on investments4,209 (15,358)
Net change in unrealized appreciation on foreign currency forward contracts(279)(1,015)
Amortization of deferred financing costs— 189 
(Increase) decrease in operating assets:
Interest and dividend income receivable117 576 
Principal receivable4,122 (4,505)
Receivable from related parties20 25 
Prepaid expenses and other assets135 133 
Increase (decrease) in operating liabilities:
Accrued management fee(401)(100)
Payable to related parties54 (62)
Collateral payable for foreign currency forward contracts— 260 
Accounts payable, accrued expenses and other liabilities(271)40 
Net cash provided by operating activities35,913 100,737 
Financing activities
Repurchase of Common Shares— (5,278)
Credit facility repayments— (50,000)
Distributions paid (39,927)(27,664)
Net cash used in financing activities(39,927)(82,942)
Net increase (decrease) in cash, cash equivalents and restricted cash(4,014)17,795 
Cash, cash equivalents and restricted cash, beginning of period29,204 34,919 
Cash, cash equivalents and restricted cash, end of period$25,190 $52,714 
Reconciliation of cash, cash equivalents and restricted cash
Cash and cash equivalents25,190 7,784 
Restricted cash— 44,930 
Total cash, cash equivalents and restricted cash$25,190 $52,714 
Supplemental disclosure of cash flow information and non-cash financing activities:
Cash paid for interest$— $1,521 


See Unaudited Notes to Consolidated Financial Statements.
7
GUGGENHEIM CREDIT INCOME FUND
CONSOLIDATED SCHEDULE OF INVESTMENTS (UNAUDITED)
June 30, 2022 (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 - 76.4%
Automotive
Accuride Corporation(13)Senior Secured Loans - First LienL+5.25%7.50%11/17/2023$4,116 $4,076 $3,641 3.1 %
Wesco Group(13)(15)Senior Secured Loans - First LienL+4.25%5.25%6/14/20241,214 1,209 1,193 1.0 %
Total Automotive5,285 4,834 4.1 %
Beverage, Food & Tobacco
Checkers Holdings Inc(13)Senior Secured Loans - First LienL+4.25%5.83%4/25/20241,116 719 993 0.8 %
Total Beverage, Food & Tobacco719 993 0.8 %
Capital Equipment
Cleaver Brooks, Inc.(13)Senior Secured BondsN/A7.88%3/1/20232,000 2,000 1,860 1.6 %
Total Capital Equipment2,000 1,860 1.6 %
Chemicals, Plastics & Rubber
Aceto Chemicals(13)(15)Senior Secured Loans - First LienL+5.50%7.07%4/29/20255,044 5,026 4,981 4.2 %
Aceto Chemicals (Revolver)(9)(13)(15)Senior Secured Loans - First LienL+5.50%7.07%4/29/2025229 178 181 0.3 %
5,204 5,162 4.5 %
Drew Marine Group Inc.(13)(15)Senior Secured Loans - First LienL+4.25%6.50%6/26/2026970 961 950 0.8 %
Total Chemicals, Plastics & Rubber6,165 6,112 5.3 %
Consumer Goods: Non-Durable
Galls LLC(13)(14)(15)Senior Secured Loans - First LienL+6.75%7.99%1/31/20253,709 3,696 3,579 3.0 %
Galls LLC (Delayed Draw B)(13)(14)(15)Senior Secured Loans - First LienL+6.75%8.49%1/31/2025544 542 525 0.5 %
Galls LLC (Revolver)(9)(13)(15)Senior Secured Loans - First LienL+6.75%8.14%1/31/2024372 348 351 0.3 %
4,586 4,455 3.8 %
Pure Fishing, Inc.(13)Senior Secured Loans - First LienL+4.50%6.17%12/19/20253,919 3,631 3,360 2.8 %
Total Consumer Goods: Non-Durable8,217 7,815 6.6 %
Containers, Packaging & Glass
Bioplan USA, Inc.(13)(14)(15)Senior Secured Loans - First LienL+7.75%9.25%12/22/20234,864 4,536 3,989 3.4 %
Husky Injection Molding Systems Ltd.CN(10)(11)(13)Senior Secured Loans - First LienL+3.00%5.88%3/28/20251,929 1,861 1,776 1.5 %
Total Containers, Packaging & Glass6,397 5,765 4.9 %
Energy: Oil & Gas
Basic Energy Services Inc(13)(15)(18)Senior Secured BondsN/AN/A10/15/20234,475 1,619 179 0.2 %
8
GUGGENHEIM CREDIT INCOME FUND
CONSOLIDATED SCHEDULE OF INVESTMENTS (UNAUDITED)
June 30, 2022 (in thousands)
Portfolio Company (1) (2) (3)
FootnotesInvestment
Spread
Above
Reference
Rate (4)
Interest
Rate (4) (5)
Maturity Date
Principal / Par Amount / Shares (6)
Amortized Cost (7) (8)
Fair Value% of Net Assets
Permian Production Partners(13)(14)Senior Secured Loans - First LienL+8.00%9.67%11/23/2025406 230 406 0.3 %
Total Energy: Oil & Gas1,849 585 0.5 %
Healthcare & Pharmaceuticals
Alegeus Technology LLC(13)(15)Senior Secured Loans - First LienL+8.25%10.95%9/5/20248,000 7,984 7,658 6.5 %
Total Healthcare & Pharmaceuticals7,984 7,658 6.5 %
Hotel, Gaming & Leisure
ASM Global(13)Senior Secured Loans - First LienL+2.50%4.17%1/23/20252,299 2,297 2,161 1.8 %
Total Hotel, Gaming & Leisure2,297 2,161 1.8 %
Metals & Mining
Polyvision Corp.(13)(14)(15)Senior Secured Loans - First LienL+7.50%8.50%2/21/20263,563 3,528 3,471 3.0 %
Polyvision Corp.(13)(14)(15)Senior Secured Loans - First LienL+7.50%8.50%2/21/20261,004 994 978 0.8 %
Polyvision Corp. (Delayed Draw)(13)(14)(15)Senior Secured Loans - First LienL+7.00%8.18%2/21/2026138 138 134 0.1 %
Polyvision Corp. (Revolver)(9)(13)(14)(15)Senior Secured Loans - First LienL+7.50%8.91%8/21/2025837 767 797 0.7 %
Total Metals & Mining5,427 5,380 4.6 %
Retail
Blue Nile, Inc.(13)Senior Secured Loans - First LienL+7.00%8.46%2/17/20234,650 4,631 4,497 3.8 %
Save-a-Lot(13)Senior Secured Loans - First LienL+7.00%8.00%3/12/2024969 885 882 0.7 %
Save-a-Lot(13)Senior Secured Loans - First LienN/AN/A4/1/2024126 126 115 0.1 %
Save-a-Lot(13)(14)Senior Secured Loans - Second LienL+10.75%11.75%10/01/241,260 1,823 774 0.7 %
2,834 1,771 1.5 %
Total Retail7,465 6,268 5.3 %
Services: Business
Alexander Mann Solutions (GBP Term Loan)UK(10)(11)(13)Senior Secured Loans - First LienN+5.03%5.21%6/16/2025£2,060 2,592 2,421 2.1 %
Alexander Mann Solutions (USD Term Loan)UK(10)(11)(13)Senior Secured Loans - First LienL+5.00%5.16%6/16/2025890 866 859 0.7 %
Alexander Mann Solutions (Revolver)UK(9)(10)(11)(13)(15)(17)Senior Secured Loans - First LienN/AN/A12/16/2024— (25)(20)— %
3,433 3,260 2.8 %
HealthChannels, Inc.(13)Senior Secured Loans - First LienL+4.50%5.56%4/3/20252,7112,682 2,322 2.0 %
Hersha Hospitality Management(13)(15)Senior Secured Loans - First LienS+6.00%7.00%3/2/20264,7894,705 4,648 3.9 %
9
GUGGENHEIM CREDIT INCOME FUND
CONSOLIDATED SCHEDULE OF INVESTMENTS (UNAUDITED)
June 30, 2022 (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
PSI Services LLC (Revolver)(9)(13)(15)Senior Secured Loans - First LienL+5.75%6.99%10/4/2025298298 278 0.2 %
PSI Services LLC (Delayed Draw)(13)(15)Senior Secured Loans - First LienL+5.75%6.99%10/4/2026176 176 164 0.1 %
PSI Services LLC (Delayed Draw)(13)(15)Senior Secured Loans - First LienL+5.75%6.99%10/4/2026418418 388 0.3 %
PSI Services LLC(13)(15)Senior Secured Loans - First LienL+5.75%6.99%10/16/20262,7942,761 2,595 2.2 %
3,653 3,425 2.8 %
YAK Access, LLC(13)Senior Secured Loans - Second LienL+10.00%12.18%7/10/20265,0004,781 2,697 2.3 %
Total Services: Business19,254 16,352 13.8 %
Technology
Allvue Systems (Revolver)(9)(13)(15)Senior Secured Loans - First LienL+4.25%6.33%9/6/202437 24 30 — %
Allvue Systems (Term Loan)(13)(15)Senior Secured Loans - First LienL+4.25%6.33%9/4/2026847845 800 0.7 %
869 830 0.7 %
Apptio, Inc.(13)(15)Senior Secured Loans - First LienL+6.00%7.25%1/10/20254,9004,868 4,877 4.1 %
Apptio, Inc. (Revolver)(9)(13)(15)Senior Secured Loans - First LienL+6.00%7.25%12/3/2024131 113 114 0.1 %
4,981 4,991 4.2 %
Datix Bidco Limited(13)(15)Senior Secured Loans - First LienS+4.50%6.01%4/28/20251,931 1,913 1,899 1.6 %
Datix Bidco Limited(13)(15)Senior Secured Loans - Second LienS+7.75%9.26%4/27/2026462 456 452 0.4 %
Datix Bidco Limited(13)(15)Senior Secured Loans - First LienS+4.50%6.01%4/28/20253,048 3,026 2,998 2.5 %
Datix Bidco Limited(13)(15)Senior Secured Loans - Second LienS+7.75%9.26%4/27/20264,696 4,657 4,600 3.9 %
10,052 9,949 8.4 %
Wide Orbit, Inc. (Revolver)(9)(13)(15)(17)Senior Secured Loans - First LienN/AN/A7/8/2025— — (22)— %
Wide Orbit, Inc.(13)(15)Senior Secured Loans - First LienL+8.50%9.75%7/8/20253,079 3,057 3,057 2.6 %
3,057 3,035 2.6 %
Wind River Systems(13)(15)Senior Secured Loans - First LienL+6.25%7.25%06/24/241,249 1,238 1,247 1.1 %
Total Technology20,197 20,052 17.0 %
Telecommunications
Firstlight Fiber(13)Senior Secured Loans - First LienL+3.50%4.56%7/23/20252,174 2,168 2,041 1.7 %
10
GUGGENHEIM CREDIT INCOME FUND
CONSOLIDATED SCHEDULE OF INVESTMENTS (UNAUDITED)
June 30, 2022 (in thousands)
Portfolio Company (1) (2) (3)
FootnotesInvestment
Spread
Above
Reference
Rate (4)
Interest
Rate (4) (5)
Maturity Date
Principal / Par Amount / Shares (6)
Amortized Cost (7) (8)
Fair Value% of Net Assets
Firstlight Fiber(13)Senior Secured Loans - Second LienL+7.50%8.53%7/23/20262,500 2,481 2,269 1.9 %
Total Telecommunications4,649 4,310 3.6 %
Total Debt Investments$97,905 $90,145 76.4 %
Equity investments - 1.9%
Energy: Oil & Gas
Permian Production Partners(13)(15)Equity/OtherN/AN/A203,022 — 166 0.2 %
Total Energy: Oil & Gas— 166 0.2 %
Retail
Save-a-Lot(13)Equity/OtherN/AN/A53,097 — 35 — %
Total Retail— 35 — %
Technology
Onyx CenterSource(13)(15)Equity/OtherN/AN/A952,410 — 476 0.4 %
Wolfhound Parent Inc. (Warrants)(13)(15)(16)Equity/OtherN/AN/A1,975 30 1,372 1.2 %
Wide Orbit (Warrants)(13)(15)Equity/OtherN/AN/A96,480 — 108 0.1 %
Total Technology30 1,956 1.7 %
Total Equity Investments$30 $2,157 1.9 %
Total Investments - 78.3%$97,935 $92,302 78.3 %
June 30, 2022 (in thousands)
Derivative CounterpartySettlement DateAmount PurchasedAmount Sold
Amortized Cost (7) (8)
Fair Value% of Net Assets
Foreign Currency Forward Contracts
JPMorgan Chase Bank7/15/2022$2,745 £2,255 — $(1)— %
$(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.
11
GUGGENHEIM CREDIT INCOME FUND
CONSOLIDATED SCHEDULE OF INVESTMENTS (UNAUDITED)
(4)The periodic interest rate for all floating rate loans is indexed to London Interbank Offered Rate ("LIBOR" or "LIBO rate") (denoted as "L"), Euro Interbank Offered Rate ("EURIBOR") (denoted as "E"), British Pound Sterling LIBOR ("GBP LIBOR") (denoted as "G"), Secured Overnight Financing Rate ("SOFR") (denoted as "S"), Sterling Overnight Index Average ("SONIA") (denoted as "N") or Prime Rate (denoted as "P"). Pursuant to the terms of the underlying credit agreements, the base interest rates typically reset annually, semi-annually, quarterly or monthly at the borrower's option. The borrower may also elect to have multiple interest reset periods for each loan. For each of these floating rate loans, the Consolidated Schedule of Investments presents the applicable margin over LIBOR, EURIBOR, GBP LIBOR or Prime based on each respective credit agreement. As of June 30, 2022, LIBO rates ranged between 1.79% for 1-month LIBOR to 2.94% for 6-month LIBOR.
(5)For portfolio companies with multiple interest rate contracts under a single credit agreement, the interest rate shown is a weighted average current interest rate in effect at June 30, 2022.
(6)Unless noted otherwise, the principal amount (par amount) for all debt securities is denominated in U.S. dollars. Equity investments are recorded as number of shares owned.
(7)Cost represents amortized cost, inclusive of any capitalized paid-in-kind income ("PIK"), for debt securities, and cost plus capitalized PIK, if any, for preferred stock.
(8)As of June 30, 2022, the aggregate gross unrealized appreciation for all securities, including foreign currency forward contracts, in which there was an excess of value over tax cost was $2.6 million; the aggregate gross unrealized depreciation for all securities, including foreign currency forward contracts, in which there was an excess of tax cost over value was $9.2 million; the net unrealized depreciation was $6.6 million; the aggregate cost of securities for Federal income tax purposes was $98.9 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, 2022 (see Note 8. Commitments and Contingencies).
(10)A portfolio company domiciled in a foreign country. The regulatory jurisdiction of security issuance may be a different country than the domicile of the portfolio company.
(11)The investment is not a qualifying asset as defined in Section 55(a) of the 1940 Act. As of June 30, 2022, qualifying assets represented 95.8% 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, 2022.
(13)The investment position, or a portion thereof, was not pledged as collateral supporting the amounts outstanding under our credit facility as of June 30, 2022 (see Note 7. Borrowings).
(14)The underlying credit agreement or indenture contains a PIK provision, whereby the issuer has either the option or the obligation to make interest payments with the issuance of additional securities. The interest rate in the schedule represents the current interest rate in effect for these investments.
Coupon RatePIK ComponentCash ComponentPIK Option
Bioplan USA, Inc.L+7.75%0.50 %L+7.25%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 LLCL+6.75%0.50 %L+6.25%The Portfolio Company may elect PIK up to 0.50%.
Polyvision Corp.L+7.50%1.00 %L+6.50%The Portfolio Company may elect PIK up to 1.00%.
Polyvision Corp.L+7.50%1.00 %L+6.50%The Portfolio Company may elect PIK up to 1.00%.
Polyvision Corp.L+7.00%0.50 %L+6.50%The Portfolio Company may elect PIK up to 0.50%.
Polyvision Corp.L+7.50%1.00 %L+6.50%The Portfolio Company may elect PIK up to 1.00%.
Save-A-LotL+10.75%10.75 %L+0.00%The Portfolio Company may elect PIK up to 10.75%.
Permian Production PartnersL+8.00%2.00 %L+6.00%The Portfolio Company may elect PIK up to 2.00%.
(15)Investments value was determined using significant unobservable inputs (see Note 2. Significant Accounting Policies).
(16)Non-income producing security.
12
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, 2022, meaning that the Master Fund has ceased recognizing interest income on these investments. As of June 30, 2022, debt investments on non-accrual status represented 1.7% and 0.2% of total investments on an amortized cost basis and fair value basis, respectively.
Abbreviations:

CN = Canada; UK = United Kingdom

See Unaudited Notes to Consolidated Financial Statements.
13
GUGGENHEIM CREDIT INCOME FUND
CONSOLIDATED SCHEDULE OF INVESTMENTS (UNAUDITED)
December 31, 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 - 78.2%
Automotive
Accuride CorporationSenior Secured Loans - First LienL+5.25%6.25%11/17/2023$4,511 $4,457 $4,368 2.8 %
EnTrans International, LLC(13)Senior Secured Loans - First LienL+6.00%6.08%11/1/20246,916 6,105 6,542 4.2 %
Wesco Group(15)Senior Secured Loans - First LienL+4.25%5.25%6/14/20241,217 1,210 1,214 0.8 %
Total Automotive11,772 12,124 7.8 %
Banking, Finance, Insurance & Real Estate
Gladman Developments Ltd.UK(10)(11)(14)(15)Senior Secured Loans - First LienG+9.50%9.62%8/16/2024£2,086 2,637 2,772 1.8 %
Total Banking, Finance, Insurance & Real Estate2,637 2,772 1.8 %
Beverage, Food & Tobacco
Checkers Holdings Inc(13)Senior Secured Loans - First LienL+4.25%5.25%4/25/20241,122 721 965 0.6 %
Total Beverage, Food & Tobacco721 965 0.6 %
Capital Equipment
Cleaver Brooks, Inc.Senior Secured BondsN/A7.88%3/1/20232,000 2,000 1,955 1.2 %
Total Capital Equipment2,000 1,955 1.2 %
Chemicals, Plastics & Rubber
Aceto Chemicals(15)Senior Secured Loans - First LienL+5.50%6.50%4/29/20255,070 5,049 5,051 3.2 %
Aceto Chemicals (Revolver)(9)(13)(15)(17)Senior Secured Loans - First LienN/AN/A4/29/2025— (59)(55)— %
4,990 4,996 3.2 %
Drew Marine Group Inc.(15)Senior Secured Loans - First LienL+4.25%4.47%6/26/2026975 965 966 0.6 %
Seal For Life Industries US LLC (Revolver)(9)(11)(13)(15)Senior Secured Loans - First LienL+7.00%8.00%7/24/2024238 193 197 0.1 %
Seal For Life Industries US LLC(11)(15)Senior Secured Loans - First LienL+7.00%8.00%7/23/20256,850 6,732 6,787 4.3 %
6,925 6,984 4.4 %
Total Chemicals, Plastics & Rubber12,880 12,946 8.2 %
Consumer Goods: Non-Durable
Galls LLC(14)(15)Senior Secured Loans - First LienL+6.75%7.75%1/31/20253,718 3,702 3,588 2.3 %
Galls LLC (Delayed Draw B)(14)(15)Senior Secured Loans - First LienL+6.75%7.75%1/31/2025545 543 526 0.3 %
Galls LLC (Revolver)(9)(13)(15)Senior Secured Loans - First LienL+5.75%7.75%1/31/2024344 313 317 0.2 %
4,558 4,431 2.8 %
Pure Fishing, Inc.(13)Senior Secured Loans - First LienL+4.50%4.60%12/19/20253,939 3,609 3,830 2.4 %
Total Consumer Goods: Non-Durable8,167 8,261 5.2 %
Containers, Packaging & Glass
14
GUGGENHEIM CREDIT INCOME FUND
CONSOLIDATED SCHEDULE OF INVESTMENTS (UNAUDITED)
December 31, 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
Bioplan USA, Inc.(14)Senior Secured Loans - First LienL+7.75%8.75%12/22/20234,876 4,451 4,635 3.0 %
Husky Injection Molding Systems Ltd.CN(10)(11)Senior Secured Loans - First LienL+3.00%3.35%3/28/20251,940 1,859 1,911 1.2 %
Total Containers, Packaging & Glass6,310 6,546 4.2 %
Energy: Oil & Gas
Basic Energy Services Inc(13)(18)Senior Secured BondsN/AN/A10/15/20234,475 2,041 313 0.2 %
Permian Production Partners(13)(14)(15)Senior Secured Loans - First LienL+8.00%9.00%11/23/2025750 390 693 0.4 %
Total Energy: Oil & Gas2,431 1,006 0.6 %
Healthcare & Pharmaceuticals
Alegeus Technologies LLC(15)Senior Secured Loans - First LienL+8.25%9.25%9/5/20248,000 7,974 7,844 5.0 %
Total Healthcare & Pharmaceuticals7,974 7,844 5.0 %
Hotel, Gaming & Leisure
ASM GlobalSenior Secured Loans - First LienL+2.50%2.62%1/23/20252,311 2,309 2,252 1.4 %
Total Hotel, Gaming & Leisure2,309 2,252 1.4 %
Metals & Mining
Polyvision Corp.(14)(15)Senior Secured Loans - First LienL+7.50%8.50%2/21/20263,564 3,529 3,457 2.2 %
Polyvision Corp.(14)(15)Senior Secured Loans - First LienL+7.50%8.50%2/21/20261,004 994 974 0.6 %
Polyvision Corp. (Delayed Draw)(14)(15)Senior Secured Loans - First LienL+7.50%8.50%2/21/2026138 138 134 0.1 %
Polyvision Corp. (Revolver)(9)(13)(14)(15)Senior Secured Loans - First LienL+7.50%8.50%8/21/2025739 669 693 0.4 %
Total Metals & Mining5,330 5,258 3.3 %
Retail
Blue Nile, Inc.Senior Secured Loans - First LienL+6.50%7.50%2/17/20234,650 4,618 4,555 2.9 %
Save-a-Lot(13)(14)(15)Senior Secured Loans - First LienL+7.00%8.00%3/12/2024973 887 995 0.6 %
Save-a-Lot(13)(14)Senior Secured Loans - Second LienL+10.75%11.75%10/1/20241,227 1,912 1,056 0.7 %
2,799 2,051 1.3 %
Total Retail7,417 6,606 4.2 %
Services: Business
Alexander Mann Solutions (GBP Term Loan)UK(10)(11)(13)Senior Secured Loans - First LienG+5.00%5.17%6/16/2025£2,060 2,589 2,697 1.7 %
Alexander Mann Solutions (USD Term Loan)UK(10)(11)(13)Senior Secured Loans - First LienL+5.00%5.16%6/16/2025890 862 862 0.5 %
Alexander Mann Solutions (Revolver)UK(9)(10)(11)(13)(15)(17)Senior Secured Loans - First LienN/AN/A12/16/2024— (27)(27)— %
3,424 3,532 2.2 %
HealthChannels, Inc.Senior Secured Loans - First LienL+4.50%4.60%4/3/20252,7252,692 2,504 1.6 %
15
GUGGENHEIM CREDIT INCOME FUND
CONSOLIDATED SCHEDULE OF INVESTMENTS (UNAUDITED)
December 31, 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
Hersha Hospitality Management(15)Senior Secured Loans - First LienL+4.75%5.75%3/2/20264,7284,645 4,634 2.9 %
Hersha Hospitality Management (Delayed Draw)(9)(15)Senior Secured Loans - First LienL+4.75%5.75%3/2/202686 62 62 — %
4,707 4,696 2.9 %
PSI Services LLC (Revolver)(9)(13)(15)Senior Secured Loans - First LienL+5.75%6.75%10/4/2025298298 275 0.2 %
PSI Services LLC (Delayed Draw)(15)Senior Secured Loans - First LienN/AN/A10/4/2026177 177 169 0.1 %
PSI Services LLC(15)Senior Secured Loans - First LienL+5.75%6.75%10/4/2026420420 402 0.3 %
PSI Services LLC(15)Senior Secured Loans - First LienL+5.75%6.75%10/16/20262,8082,775 2,682 1.7 %
3,670 3,528 2.3 %
YAK Access, LLCSenior Secured Loans - Second LienL+10.00%10.13%7/10/20265,0004,762 3,350 2.1 %
Total Services: Business19,255 17,610 11.1 %
Technology
Allvue Systems (Revolver)(9)(13)(15)Senior Secured Loans - First LienL+4.25%4.43%9/6/2024129 116 122 0.1 %
Allvue Systems (Term Loan)(15)Senior Secured Loans - First LienL+4.25%4.43%9/4/2026851849 844 0.5 %
965 966 0.6 %
Apptio, Inc.(15)Senior Secured Loans - First LienL+7.25%8.25%1/10/20254,9004,861 4,873 3.1 %
Apptio, Inc. (Revolver)(9)(13)(15)Senior Secured Loans - First LienL+7.25%8.25%12/3/2024131 109 110 0.1 %
4,970 4,983 3.2 %
Causeway TechnologiesUK(10)(11)(15)Senior Secured Loans - First LienG+6.25%6.31%6/8/2024£2,638 3,365 3,570 2.3 %
Causeway TechnologiesUK(10)(11)(15)Senior Secured Loans - First LienG+7.00%7.03%6/8/2024£338 426 914 0.6 %
3,791 4,484 2.9 %
Datix Bidco Limited(15)Senior Secured Loans - First LienL+4.00%4.18%4/28/20251,931 1,910 1,922 1.2 %
Datix Bidco Limited(15)Senior Secured Loans - Second LienL+7.75%7.93%4/27/2026462 456 459 0.3 %
Datix Bidco Limited(15)Senior Secured Loans - First LienL+4.00%4.18%4/28/20253,048 3,022 3,034 2.0 %
Datix Bidco Limited(15)Senior Secured Loans - Second LienL+7.75%7.93%4/27/20264,696 4,652 4,669 3.0 %
10,040 10,084 6.5 %
16
GUGGENHEIM CREDIT INCOME FUND
CONSOLIDATED SCHEDULE OF INVESTMENTS (UNAUDITED)
December 31, 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(15)Senior Secured Loans - First LienL+4.00%5.00%12/2/2022934 932 925 0.6 %
Ministry Brands (Delayed Draw)(15)Senior Secured Loans - First LienL+4.00%5.00%12/2/2022497 496 492 0.3 %
Ministry Brands (Delayed Draw)(15)Senior Secured Loans - First LienL+4.00%5.00%12/2/2022180 180 178 0.1 %
1,608 1,595 1.0 %
Wide Orbit, Inc.(15)Senior Secured Loans - First LienL+8.50%9.75%7/8/20253,097 3,072 3,072 2.0 %
Wide Orbit, Inc. (Revolver)(9)(13)(15)(17)Senior Secured Loans - First LienN/AN/A7/8/2025— — (26)— %
3,072 3,046 2.0 %
Wind River Systems(15)Senior Secured Loans - First LienL+6.75%7.75%6/24/20241,284 1,270 1,276 0.8 %
Total Technology25,716 26,434 17.0 %
Telecommunications
Firstlight FiberSenior Secured Loans - First LienL+3.50%3.58%7/23/20252,186 2,179 2,164 1.4 %
Firstlight Fiber(15)Senior Secured Loans - Second LienL+7.50%7.58%7/23/20262,500 2,481 2,431 1.5 %
Total Telecommunications4,660 4,595 2.9 %
Utilities: Electric
BHI Energy(15)Senior Secured Loans - Second LienL+8.75%9.75%2/28/20256,000 5,938 5,895 3.7 %
Total Utilities: Electric5,938 5,895 3.7 %
Total Debt Investments$125,517 $123,069 78.2 %
Equity investments - 0.7%
Beverage, Food & Tobacco
Chef's Holdings Inc.(13)(15)(16)Equity and OtherN/AN/A128 $16 $6 — %
Total Beverage, Food & Tobacco16 6 — %
Energy: Oil & Gas
Permian Production Partners(13)(15)Equity and OtherN/AN/A203,022 — 243 0.2 %
Total Energy: Oil & Gas— 243 0.2 %
Retail
Save-a-Lot(13)Equity and OtherN/AN/A53,097 — 173 0.1 %
Total Retail— 173 0.1 %
Technology
Onyx CenterSource(13)(15)Equity and OtherN/AN/A952,410 — 476 0.3 %
Wolfhound Parent Inc. (Warrants)(13)(15)(16)Equity and OtherN/AN/A1,975 30 51 — %
17
GUGGENHEIM CREDIT INCOME FUND
CONSOLIDATED SCHEDULE OF INVESTMENTS (UNAUDITED)
December 31, 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
Wide Orbit (Warrants)(13)(15)Equity and OtherN/AN/A96,480 — 121 0.1 %
Total Technology30 648 0.4 %
Total Equity Investments$46 $1,070 0.7 %
Total Investments - 78.9%$125,563 $124,139 78.9 %
December 31, 2021 (in thousands)
Derivative CounterpartySettlement DateAmount PurchasedAmount Sold
Amortized Cost (7) (8)
Fair Value% of Net Assets
Foreign Currency Forward Contracts
JPMorgan Chase Bank1/14/2022$1,189 €1,055 — $(12)— %
JPMorgan Chase Bank1/14/2022$11,387 £8,609 — $(268)(0.2)%
$(280)(0.2)%
_______________________
(1)Security may be an obligation of one or more entities affiliated with the named portfolio company.
(2)All debt and equity investments are income producing unless otherwise noted.
(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"), Sterling Overnight Index Average Rate ("SONIA") (denoted as "G") or Prime Rate (denoted as "P"). Pursuant to the terms of the underlying credit agreements, the base interest rates typically reset annually, semi-annually, quarterly or monthly at the borrower's option. The borrower may also elect to have multiple interest reset periods for each loan. For each of these floating rate loans, the Consolidated Schedule of Investments presents the applicable margin over LIBOR, EURIBOR, GBP LIBOR or Prime based on each respective credit agreement. As of December 31, 2021, LIBO rates ranged between 0.10% for 1-month LIBOR to 0.34% for 6-month LIBOR.
(5)For portfolio companies with multiple interest rate contracts under a single credit agreement, the interest rate shown is a weighted average current interest rate in effect at December 31, 2021.
(6)Unless noted otherwise, the principal amount (par amount) for all debt securities is denominated in U.S. dollars. Equity investments are recorded as number of shares owned.
(7)Cost represents amortized cost, inclusive of any capitalized paid-in-kind income ("PIK"), for debt securities, and cost plus capitalized PIK, if any, for preferred stock.
(8)As of December 31, 2021, the aggregate gross unrealized appreciation for all securities, including foreign currency forward contracts, in which there was an excess of value over tax cost was $3.7 million; the aggregate gross unrealized depreciation for all securities, including foreign currency forward contracts, in which there was an excess of tax cost over value was $6.2 million; the net unrealized depreciation was $(2.5) million; the aggregate cost of securities for Federal income tax purposes was $126.4 million.
(9)The investment is either a delayed draw loan or a revolving credit facility whereby some or all of the investment commitment is undrawn as of December 31, 2021 (see Note 8. Commitments and Contingencies).
18
GUGGENHEIM CREDIT INCOME FUND
CONSOLIDATED SCHEDULE OF INVESTMENTS (UNAUDITED)
(10)A portfolio company domiciled in a foreign country. The regulatory jurisdiction of security issuance may be a different country than the domicile of the portfolio company.
(11)The investment is not a qualifying asset as defined in Section 55(a) of the 1940 Act. As of December 31, 2021, qualifying assets represented 87.6% of total assets. Under the 1940 Act we may not acquire any non-qualifying assets unless, at the time the acquisition is made, qualifying assets represent at least 70% of our total assets.
(12)Investment position or portion thereof unsettled as of December 31, 2021.
(13)The investment position, or a portion thereof, was not pledged as collateral supporting the amounts outstanding under our credit facility as of December 31, 2021; (see Note 7. Borrowings).
(14)The underlying credit agreement or indenture contains a PIK provision, whereby the issuer has either the option or the obligation to make interest payments with the issuance of additional securities. The interest rate in the schedule represents the current interest rate in effect for these investments.
Coupon RatePIK ComponentCash ComponentPIK Option
Bioplan USA, Inc.L+7.75%0.50 %L+7.25%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 LLCL+6.75%0.50 %L+6.25%The Portfolio Company may elect PIK up to 0.50%.
Gladman Developments Ltd.G+9.50%2.75 %G+6.75%The Portfolio Company may elect PIK up to 2.75%.
Permian Production 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+7.00%7.00 %L+0.00%The Portfolio Company may elect PIK up to 7.00%.
Save-A-LotL+10.75%10.75 %L+0.00%The Portfolio Company may elect PIK up to 10.75%.
(15)Investments value was determined using significant unobservable inputs (see Note 2. Significant Accounting Policies).
(16)Non-income producing security.
(17)The negative fair value is the result of the unfunded commitment being valued below par. The negative amortized cost is the result of the capitalized discount being greater than the principal amount outstanding on the loan.
(18)Investment was on non-accrual status as of December 31, 2021, meaning that the Master Fund has ceased recognizing interest income on these investments. As of December 31, 2021, debt investments on non-accrual status represented 1.6% and 0.3% of total investments on an amortized cost basis and fair value basis, respectively.
Abbreviations:

CN = Canada; UK = United Kingdom

See Unaudited Notes to Consolidated Financial Statements.
19

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, 2022, 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.
20
Notes to Consolidated Financial Statements (Unaudited)
Use of Estimates
The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect (i) the reported amounts of assets and liabilities at the date of the financial statements, (ii) the reported amounts of income and expenses during the reported period and (iii) disclosure of contingent assets and liabilities at the date of the financial statements. Actual results could differ materially from those estimates under different assumptions and conditions.
Cash and Cash Equivalents
Cash consists of demand deposits held at a major U.S. financial institution and the amount recorded on the consolidated statements of assets and liabilities exceeds the Federal Deposit Insurance Corporation insured limit. Management believes the credit risk related to its demand deposits is minimal.
Cash equivalents include short-term, highly liquid instruments with an original maturity of three months or less. As of June 30, 2022, the Master Fund's cash equivalents of $25.2 million were held in a U.S. Bank money market deposit account. The U.S. Bank money market deposit account is considered a Level 1 security within the fair value hierarchy. Cash and cash equivalents, at times, may exceed federal insured limits.
Restricted Cash
Restricted cash consists of cash collateral that has been pledged to cover obligations of the Master Fund according to its derivative contracts and demand deposits held at a major U.S. financial institution on behalf of Hamilton. Hamilton may be restricted in the distribution of cash to the Master Fund, as governed by the terms of the Hamilton Credit Facility (see Note 7. Borrowings). Management believes the credit risk related to its demand deposits is minimal.
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.
21
Notes to Consolidated Financial Statements (Unaudited)
In certain cases, the inputs used to measure fair value may fall within different levels of the fair value hierarchy. In such cases, an investment’s level within the fair value hierarchy is based on the lowest level of input that is significant to the fair value measurement. Depending on the relative liquidity in the markets for certain investments, the Master Fund may transfer assets to Level 3 if it determines that observable quoted prices, obtained directly or indirectly, are severely limited, or not available, or otherwise not reliable. The Master Fund’s assessment of the significance of a particular input to the fair value measurement requires judgment, and the consideration of factors specific to the investment.
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.
22
Notes to Consolidated Financial Statements (Unaudited)
Security Transactions and Realized/Unrealized Gains or Losses
Investments purchased on a secondary market basis are recorded on the trade date. Loan originations are recorded on the funding date. All investments sold are derecognized on the trade date. The Master Fund measures realized gains or losses from the repayment or sale of investments using the specific lot identification method. Realized gains or losses are measured by the difference between (i) the net proceeds from the repayment or sale, inclusive of any prepayment premiums and (ii) the amortized cost basis of the investment without regard to unrealized appreciation or depreciation previously recognized and include investments charged off during the period, net of recoveries. Unrealized appreciation or depreciation primarily measures the change in investment values, including the reversal of previously recorded unrealized appreciation or depreciation when gains or losses are realized. The amortized cost basis of investments includes (i) the original cost, net of original issue discount and loan origination fees, if any, and (ii) adjustments for the accretion/amortization of market discounts and premiums. The Master Fund reports changes in fair value of investments as net change in unrealized appreciation (depreciation) on investments in the consolidated statements of operations.
Interest Income
Interest income is recorded on an accrual basis and includes amortization of premiums to par value and accretion of discounts to par value. Discounts and premiums to par value on securities purchased are accreted/amortized into interest income over the life of the respective security using the effective interest method, or straight-line method, as applicable. Loan origination, closing and other fees received by the Master Fund directly or indirectly from borrowers in connection with the closing of investments are accreted over the contractual life of the debt investment as interest income based on the effective interest method.
Certain of the Master Fund’s investments in debt securities may contain a contractual payment-in-kind ("PIK") interest provision. The PIK provisions generally feature the obligation, or the option, at each interest payment date of making interest payments in (i) cash, (ii) additional securities or (iii) a combination of cash and additional securities. PIK interest, computed at the contractual rate specified in the investment’s credit agreement, is accrued as interest income and recorded as interest receivable up to the interest payment date. On the interest payment date, the Master Fund will capitalize the accrued interest receivable attributable to PIK as additional principal due from the borrower. When additional PIK securities are received on the interest payment date, they typically have the same terms, including maturity dates and interest rates, as the original securities issued. PIK interest generally becomes due on the investment's maturity date or call date.
If the portfolio company's valuation indicates the value of the PIK security is not sufficient to cover the contractual PIK interest, the Master Fund will not accrue additional PIK interest income and will record an allowance for any accrued PIK interest receivable as a reduction of interest income in the period the Master Fund determines it is not collectible.
Debt securities are placed on non-accrual status when principal or interest payments are at least 90 days past due or when there is reasonable doubt that principal or interest will be collected. Generally, accrued interest is reversed against interest income when a debt security is placed on non-accrual status. Interest payments received on debt securities on non-accrual status may be recognized as interest income or applied to principal based on management’s judgment. Debt securities on non-accrual status are restored to accrual status when past due principal and interest are paid, and, in management’s judgment, such securities are likely to remain current on interest payment obligations. The Master Fund may make exceptions to this treatment if the debt security has sufficient collateral value and is in the process of collection.
Dividend Income
Dividend income on preferred equity securities is recorded as dividend income on an accrual basis to the extent that such amounts are payable by the portfolio company and are expected to be collected. Dividend income on equity securities is recorded on the record date for private portfolio companies or on the ex-dividend date for publicly traded portfolio companies. Each distribution received from limited liability company (“LLC”) and limited partnership (“LP”) equity investments is evaluated to determine if the distribution should be recorded as dividend income or a return of capital. Generally, the Master Fund will not record distributions from equity investments in LLCs and LPs as dividend income unless there are sufficient accumulated tax basis earnings and profits in the LLC or LP prior to the distribution. Distributions that are classified as a return of capital are recorded as a reduction in the cost basis of the investment.
23
Notes to Consolidated Financial Statements (Unaudited)
Fee Income
Guggenheim, or its affiliates, may provide financial advisory services to portfolio companies and in return may receive fees for capital structuring services. Guggenheim is obligated to remit to the Master Fund any earned capital structuring fees based on the pro rata portion of the Master Fund’s investment in originated co-investment transactions. These fees are generally non-recurring and are recognized as fee income by the Master Fund upon the earlier of the investment commitment date or investment closing date. The Master Fund may also receive fees for investment commitments, amendments to credit agreements and other services rendered to portfolio companies. Such fees are recognized as fee income when earned or when the services are rendered.
Derivative Instruments
Derivative instruments solely consist of foreign currency forward contracts. The Master Fund recognizes all derivative instruments as assets or liabilities at fair value in its consolidated financial statements. Foreign currency forward contracts entered into by the Master Fund are not designated as hedging instruments, and as a result, the Master Fund presents changes in fair value through net change in unrealized appreciation (depreciation) on foreign currency forward contracts in the consolidated statements of operations. Realized gains and losses that occur upon the cash settlement of the foreign currency forward contracts are included in net realized gains (losses) on foreign currency forward contracts on the consolidated statements of operations.
Foreign Currency Translation, Transactions and Gains (Losses)
Foreign currency amounts are translated into U.S. dollars on the following basis: (i) at the exchange rate on the last business day of the reporting period for the fair value of investment securities, other assets and liabilities; and (ii) at the prevailing exchange rate on the respective recording dates for the purchase and sale of investment securities, income, expenses, gains and losses.
Net assets and fair values are presented based on the applicable foreign exchange rates described above and the Master Fund does not isolate that portion of the results of operations resulting from changes in foreign exchange rates on investments from the fluctuations arising from changes in fair values of investments held; therefore, fluctuations related to foreign exchange rate conversions are included with the net realized gains (losses) and unrealized appreciation (depreciation) on investments.
Net realized gains or losses on foreign currency transactions arise from sales of foreign currency, currency gains or losses realized between the trade and settlement dates on securities transactions and the difference between the amounts of dividends, interest and foreign withholding taxes recorded by the Master Fund and the U.S. dollar equivalent of the amounts actually received or paid by the Master Fund.
Unrealized appreciation (depreciation) from foreign currency translation for foreign currency forward contracts is included in net change in unrealized appreciation (depreciation) on foreign currency forward contracts in the consolidated statements of operations and is included in accumulated earnings (loss), net of distributions on the consolidated statements of assets and liabilities.
Investment Advisory Fees
The Master Fund incurs investment advisory fees including: (i) a base management fee and (ii) a performance-based incentive fee which includes (a) an incentive fee on income and (b) an incentive fee on capital gains, due to Guggenheim pursuant to an investment advisory agreement between the Master Fund and Guggenheim (the "Investment Advisory Agreement") as described in Note 6. Related Party Agreements and Transactions. The two components of the performance-based incentive fee will be combined and expensed in the consolidated statements of operations and accrued in the consolidated statements of assets and liabilities as accrued performance-based incentive fee. Pursuant to the terms of the Investment Advisory Agreement, the incentive fee on capital gains is determined and payable in arrears as of the end of each calendar year (or upon termination of the Investment Advisory Agreement) based on the Master Fund’s realized capital gains on a cumulative basis from inception, net of all realized capital losses and unrealized depreciation on a cumulative basis, less the aggregate amount of any previously paid capital gains incentive fees. Although the terms of the Investment Advisory Agreement do not provide for the inclusion of unrealized gains in the calculation of the incentive fee on capital gains, the Master Fund includes unrealized gains in the calculation of the incentive fee on capital gains in accordance with GAAP. Therefore the accrued amount, if any, represents an estimate of the incentive fees that may be payable to Guggenheim if the Master Fund’s entire investment portfolio was liquidated at its fair value as of the date of the consolidated statements of assets and liabilities, even though Guggenheim is not entitled to any incentive fee based on unrealized appreciation unless and until such unrealized appreciation is realized.
24
Notes to Consolidated Financial Statements (Unaudited)
Deferred Financing Costs
Deferred financing costs represent fees and other direct incremental costs incurred in connection with the arrangement of the Master Fund's borrowings. These costs are presented in the consolidated statements of assets and liabilities as a direct deduction of the debt liability to which the costs pertain. These costs are amortized using the effective interest method and are included in interest expense on the consolidated statements of operations over the life of the borrowings.
Distributions
Distributions to the Master Fund's common shareholders are periodically declared by its Board of Trustees and recognized as a liability on the record date.
Federal Income Taxes
Beginning with its tax year ended December 31, 2015, the Master Fund has elected to be treated for federal income tax purposes, and thereafter intends to maintain its qualification, as a RIC under the Code. Generally, a RIC is not subject to federal income taxes on distributed income and gains if it distributes dividends in a timely manner out of assets legally available for distributions to its shareholders of an amount generally at least equal to 90% of its “Investment Company Taxable Income,” as defined in the Code. The Master Fund intends to distribute sufficient dividends to maintain its RIC status each year and it does not anticipate paying a material level of federal income taxes.
The Master Fund is generally subject to nondeductible federal excise taxes if it does not distribute dividends to its shareholders in respect of each calendar year of an amount at least equal to the sum of (i) 98% of its net ordinary income (taking into account certain deferrals and elections) for the calendar year, (ii) 98.2% of its capital gain net income (i.e., capital gains in excess of capital losses), adjusted for certain ordinary losses, for the one-year period generally ending on October 31st of the calendar year and (iii) any net ordinary income and capital gain net income for preceding calendar years that were not distributed during such calendar years and on which the Master Fund paid no federal income tax. The Master Fund may, at its discretion, pay a 4% nondeductible federal excise tax on under-distribution of taxable ordinary income and capital gains.
The Master Fund follows ASC 740, Income Taxes (“ASC 740”). ASC 740 provides guidance for how uncertain tax positions should be recognized, measured, presented and disclosed in the financial statements. ASC 740 requires the evaluation of tax positions taken or expected to be taken in the course of preparing our tax returns to determine whether the tax positions are “more-likely-than-not” of being sustained by the applicable tax authority. Tax positions not deemed to meet the more-likely-than-not threshold are recorded as a tax benefit or expense in the current year. Penalties or interest, if applicable, that may be assessed relating to income taxes would be classified as other expenses in the statements of operations. Management has reviewed all open tax years and concluded that there is no effect to the Master Funds’ financial positions or results of operations and no tax liability was required to be recorded resulting from unrecognized tax benefits relating to uncertain income tax position taken or expected to be taken on a tax return. During this period, the Master Fund did not incur any material interest or penalties. Open tax years are those years that are open for examination by the relevant income taxing authority. As of June 30, 2022, open U.S. Federal and state income tax years include the tax years ended December 31, 2018 through December 31, 2021. The Master Fund has no examinations in progress. Management’s determinations regarding ASC 740 may be subject to review and adjustment at a later date based upon factors including, but not limited to, an on-going analysis of tax laws, regulations and interpretations thereof.
Note 3. Investments
The following table presents the composition of the investment portfolio at amortized cost and fair value as of June 30, 2022 and December 31, 2021, respectively, with corresponding percentages of total investments at fair value:
25
Notes to Consolidated Financial Statements (Unaudited)
June 30, 2022December 31, 2021
Amortized CostFair ValuePercentage of Investments at Fair ValueAmortized CostFair ValuePercentage of Investments at Fair Value
Senior secured loans - first lien$80,088 $77,314 83.8 %$101,275 $102,941 82.9 %
Senior secured loans - second lien14,198 10,792 11.7 20,201 17,860 14.4 
Senior secured bonds3,619 2,039 2.2 4,041 2,268 1.8 
Total senior debt$97,905 $90,145 97.7 %$125,517 $123,069 99.1 %
Equity and other30 2,157 2.3 46 1,070 0.9 
Total investments$97,935 $92,302 100.0 %$125,563 $124,139 100.0 %
The following table presents the composition of the investment portfolio by industry classifications at amortized cost and fair value as of June 30, 2022 and December 31, 2021, respectively, with corresponding percentages of total investments at fair value:
June 30, 2022December 31, 2021
Industry ClassificationAmortized Cost
Fair Value		Percentage of Investments at Fair ValueAmortized Cost
Fair Value		Percentage of Investments at Fair Value
Technology$20,227 $22,008 23.8 %$25,746 $27,082 21.8 %
Services: Business19,254 16,352 17.8 19,255 17,610 14.2 
Consumer Goods: Non-Durable8,217 7,815 8.5 8,167 8,261 6.7 
Healthcare & Pharmaceuticals7,984 7,658 8.3 7,974 7,844 6.3 
Retail7,465 6,303 6.8 7,417 6,779 5.5 
Chemicals, Plastics & Rubber6,165 6,112 6.6 12,880 12,946 10.4 
Containers, Packaging & Glass6,397 5,765 6.2 6,310 6,546 5.3 
Metals & Mining5,427 5,380 5.8 5,330 5,258 4.2 
Automotive5,285 4,834 5.3 11,772 12,124 9.8 
Telecommunications4,649 4,310 4.7 4,660 4,595 3.7 
Hotel, Gaming & Leisure2,297 2,161 2.3 2,309 2,252 1.8 
Capital Equipment2,000 1,860 2.0 2,000 1,955 1.6 
Beverage, Food & Tobacco719 993 1.1 2,431 1,249 1.0 
Energy: Oil & Gas1,849 751 0.8 737 971 0.8 
Utilities: Electric— — — 5,938 5,895 4.7 
Banking, Finance, Insurance & Real Estate— — — 2,637 2,772 2.2 
Total investments$97,935 $92,302 100.0 %$125,563 $124,139 100.0 %
    
The following table presents the geographic dispersion of the investment portfolio as a percentage of total investments at fair value as of June 30, 2022 and December 31, 2021:
Geographic DispersionJune 30, 2022December 31, 2021
United States of America94.6 %89.8 %
United Kingdom3.5 8.7 
Canada1.9 1.5 
   Total investments100.0 %100.0 %
26
Notes to Consolidated Financial Statements (Unaudited)
Note 4. Derivative Instruments
The Master Fund may enter into foreign currency forward contracts from time to time to facilitate settlement of purchases and sales of investments denominated in foreign currencies and to economically hedge the impact that an adverse change in foreign exchange rates would have on the value of the Master Fund's investments denominated in foreign currencies. A foreign currency forward contract is a commitment to purchase or sell a foreign currency at a future date at a negotiated forward rate. These contracts are marked-to-market by recognizing the difference between the contract forward exchange rate and the forward market exchange rate on the last day of the period presented as unrealized appreciation or depreciation. Realized gains or losses are recognized when forward contracts are settled. Risks arise as a result of the potential inability of the counterparties to meet the terms of their contracts; the Master Fund attempts to limit counterparty risk by only dealing with well-known counterparties and those that it believes have the financial resources to honor their obligations. The foreign currency forward contracts open at the end of the period are generally indicative of the volume of activity during the period.
The following tables present the Master Fund's open foreign currency forward contracts as of June 30, 2022 and December 31, 2021:
June 30, 2022
Foreign CurrencySettlement DateStatement LocationCounterpartyAmount TransactedNotional Value at SettlementNotional Value at Period EndFair Value
GBPJuly 15, 2022Unrealized depreciation on foreign currency forward contractsJPMorgan Chase Bank, N.A.£2,255 $2,745 $2,746 $(1)
Total$2,745 $2,746 $(1)
December 31, 2021
Foreign CurrencySettlement DateStatement LocationCounterpartyAmount TransactedNotional Value at SettlementNotional Value at Period EndFair Value
EURJanuary 14, 2022Unrealized depreciation on foreign currency forward contractsJPMorgan Chase Bank, N.A.€1,055 $1,189 $1,201 $(12)
GBPJanuary 14, 2022Unrealized depreciation on foreign currency forward contractsJPMorgan Chase Bank, N.A.£8,609 11,387 11,655 (268)
Total$12,576 $12,856 $(280)
The following table presents the net realized and unrealized gains and losses on derivative instruments recorded by the Master Fund for the three and six months ended June 30, 2022 and June 30, 2021:
For the Three Months Ended June 30,For the Six Months Ended June 30,
Statement Location2022202120222021
Net realized losses
Foreign currency forward contractsNet realized gains (losses) on foreign currency forward contracts$178 $(96)$53 $(1,120)
Net change in unrealized appreciation
Foreign currency forward contractsNet change in unrealized appreciation on foreign currency forward contracts25 35 279 1,015 
Net realized and unrealized gains (losses) on foreign currency forward contracts$203 $(61)$332 $(105)
For derivatives traded under an International Swaps and Derivatives Association Master Agreement ("ISDA Master Agreement"), the collateral requirements are typically calculated by netting the mark-to-market amount for each transaction under such agreement and comparing that amount to the value of any collateral currently pledged by the Master Fund and/or the counterparty. Cash collateral that has been pledged, if any, to cover obligations of the Master Fund and cash collateral received from the counterparty, if any, is reported on the consolidated statements of assets and liabilities as collateral deposits (received) for foreign currency forward contracts. Generally, the amount of collateral due from or to a party has to exceed a minimum transfer amount threshold before a transfer is required. To the extent amounts due to the Master Fund from a counterparty are not fully collateralized, the Master Fund bears the risk of loss from counterparty non-performance.
27
Notes to Consolidated Financial Statements (Unaudited)
The following table presents the Master Fund's derivative assets and liabilities by counterparty, net of amounts available for offset under a master netting agreement or similar arrangement, and net of related collateral received by the Master Fund for assets or pledged for liabilities as of June 30, 2022 and December 31, 2021:
As ofCounterpartyGross Derivative Assets in Statement of Assets and LiabilitiesGross Derivative Liabilities in Statement of Assets and LiabilitiesCollateral Pledged (Received)Net position of Derivative Assets, Liabilities and Pledged Collateral
June 30, 2022JP Morgan Chase Bank, N.A.$— $(1)$— $(1)
December 31, 2021JP Morgan Chase Bank, N.A.$— $(280)$— $(280)
Note 5. Fair Value of Financial Instruments
The following tables present the segmentation of the investment portfolio at fair value, as of June 30, 2022 and December 31, 2021, according to the fair value hierarchy as described in Note 2. Significant Accounting Policies:
June 30, 2022
Level 1Level 2Level 3Total
Investments
Senior secured loans - first lien $—$25,474$51,840$77,314
Senior secured loans - second lien—5,7405,05210,792
Senior secured bonds—1,8601792,039
Total senior debt$—$33,074$57,071$90,145
Equity and other—352,1222,157
Total investments$—$33,109$59,193$92,302
Percentage0.0 %35.9 %64.1 %100.0 %
Derivative Instruments
Foreign currency forward contracts$— $(1)$—$(1)
December 31, 2021
Level 1Level 2Level 3Total
Investments
Senior secured loans - first lien $—$38,280$64,661$102,941
Senior secured loans - second lien—3,35014,51017,860
Senior secured bonds—2,268—2,268
Total senior debt$—$43,898$79,171$123,069
Equity and other—1738971,070
Total investments$—$44,071$80,068$124,139
Percentage0.0 %35.5 %64.5 %100.0 %
Derivative Instruments
Foreign currency forward contracts$— $(280)$—$(280)
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, 2022 and December 31, 2021:
28
Notes to Consolidated Financial Statements (Unaudited)
June 30, 2022
Asset CategoryFair Value
Valuation Techniques (1)
Unobservable Inputs (2)
Weighted Average Input Value
Range (3)
Impact to Valuation from an Increase in Input (4)
Senior Secured Loans - First Lien$47,851 Yield analysisYield9.44%5.84% - 12.81%Decrease
Senior Secured Loans - Second Lien$5,052 Yield analysisYield9.00%9.00%Decrease
Equity/Other$476 Transacted valuePotential Transaction50.00%50.00%Increase
$166 Market comparableCash Flow Multiple5x5xIncrease
Market comparable
Oil production multiple (5)
28043x28043xIncrease
Market comparable
Oil reserve multiple (6)
12.3x12.3xIncrease
$1,372 Market comparableEBITDA multiple10.1x10.1xIncrease
Market comparableDiscount Rate25.00%25.00%Decrease
$108 Discounted cash flowEBITDA multiple10.6x10.6xIncrease
Discounted cash flowDiscount Rate20.00%20.00%Decrease
Total$55,025 
_______________
(1)For the investments that have more than one valuation technique, the Master Fund may rely on the stated techniques individually or in the aggregate based on a weight ascribed to each valuation technique, ranging from 0% to 100%.
(2)The Master Fund generally uses prices provided by an independent pricing service, or directly from an independent broker, which are non-binding indicative prices on or near the valuation date as the primary basis for the fair valuation determinations for quoted senior secured bonds and loans. Since these prices are non-binding, they may not be indicative of fair value. Each quoted price is evaluated by Guggenheim in conjunction with additional information compiled by it, including financial performance, recent business developments and various other factors. Investments with fair values determined in this manner were not included in the table above. As of June 30, 2022, the Master Fund had investments of this nature measured at fair value totaling $4.2 million.
(3)A range is not provided when there is only one investment within the classification or multiple investments that have the same unobservable input; weighted average amounts are based on the estimated fair values.
(4)This column represents the directional change in the fair value of the Level 3 investments that would result from an increase to the corresponding unobservable input. A decrease to the unobservable input would have the opposite effect. Significant changes in these inputs in isolation could result in significantly higher or lower fair value measurements.
(5)Oil production multiple is valued based on thousand barrels of oil equivalent per day (MBOE/d).
(6)Oil reserve multiple is valued based on million barrels of oil equivalent (MMBOE).
29
Notes to Consolidated Financial Statements (Unaudited)
December 31, 2021
Asset CategoryFair Value
Valuation Techniques (1)
Unobservable Inputs (2)
Weighted Average Input Value
Range (3)
Impact to Valuation from an Increase in Input (4)
Senior Secured Loans - First Lien$61,459 Yield analysisYield7.30%4.49% - 12.89%Decrease
$914 Transacted valuePotential Transaction200.00200.00Increase
Discounted cash flowEBITDA multiple11.0x11.0xIncrease
Senior Secured Loans - Second Lien$11,023 Yield analysisYield8.97% 8.25% - 9.60% Decrease
Equity/Other$476 Transacted value Potential Transaction50.00%50.00%Increase
$243 Market comparableCash Flow Multiple 3.0x 3.0xIncrease
Market comparable
Oil production multiple (5)
22301x22301xIncrease
Market comparable
Oil reserve multiple (6)
 10.1x  10.1x Increase
$51 Market comparableEBITDA multiple 21.5x  21.5x Increase
Market comparableDiscount Rate25.00%25.00%Decrease
$6 Discounted cash flowDiscount Rate25.00%25.00%Decrease
Discounted cash flowTerminal EBITDA Multiple5.8x5.8xIncrease
$121 Discounted cash flowEBITDA multiple10.6x10.6xIncrease
Discounted cash flowDiscount Rate20.00%20.00%Decrease
Total$74,293 
_______________
(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, 2021, the Master Fund had investments of this nature measured at fair value totaling $5.8 million.
(3)A range is not provided when there is only one investment within the classification or multiple investments that have the same unobservable input; weighted average amounts are based on the estimated fair values.
(4)This column represents the directional change in the fair value of the Level 3 investments that would result from an increase to the corresponding unobservable input. A decrease to the unobservable input would have the opposite effect. Significant changes in these inputs in isolation could result in significantly higher or lower fair value measurements.
(5)Investments may be valued at cost for a period of time after acquisition as the best indicator of fair value.
(6)Oil production multiple is valued based on thousand barrels of oil equivalent per day (MBOE/d).
(7)Oil reserve multiple is valued based on million barrels of oil equivalent (MMBOE).
In addition to the Level 3 valuation methodologies and unobservable inputs noted above, the Master Fund, in accordance with its valuation policy, may also use other valuation techniques and methodologies when determining the fair value estimates for its investments.
30
Notes to Consolidated Financial Statements (Unaudited)
The following tables present a roll-forward of the fair value changes for all investments for which the Master Fund determines fair value using Level 3 unobservable inputs for the three and six months ended June 30, 2022 and June 30, 2021:
For the Three Months Ended June 30, 2022
Senior Secured Loans - First LienSenior Secured Loans - Second LienSenior Secured BondsEquity and OtherTotal
Balance as of April 1, 2022$48,893 $13,438 $— $2,322 $64,653 
Additions (1)
424 — — — 424 
Sales and repayments (2)
(603)(6,000)(306)— (6,909)
Net realized gains (3)
14 55 — — 69 
Net change in unrealized appreciation (depreciation) on investments (4)
(935)(33)395 (200)(773)
Net discount accretion73 5 — — 78 
Transfers into Level 3 (5)
4,487 — 90 — 4,577 
Transfers out of Level 3 (6)
(513)(2,413)— — (2,926)
Fair value balance as of June 30, 2022$51,840 $5,052 $179 $2,122 $59,193 
Change in net unrealized appreciation (depreciation) on investments held as of June 30, 2022$(935)$(81)$395 $(200)$(821)
For the Six Months Ended June 30, 2022
Senior Secured Loans - First LienSenior Secured Loans - Second LienSenior Secured BondsEquity and OtherTotal
Balance as of January 1, 2022$64,661 $14,510 $— $897 $80,068 
Additions (1)
1,648 — — — 1,648 
Sales and repayments (2)
(17,251)(6,000)(306)(2)(23,559)
Net realized gains (losses) (3)
649 55 — (14)690 
Net change in unrealized appreciation (depreciation) on investments (4)
(1,965)(59)395 1,241 (388)
Net discount accretion124 14 — — 138 
Restructuring— — — — — 
Transfers into Level 3 (5)
4,487 — 90 — 4,577 
Transfers out of Level 3 (6)
(513)(3,468)— — (3,981)
Fair value balance as of June 30, 2022$51,840 $5,052 $179 $2,122 $59,193 
Change in net unrealized appreciation (depreciation) on investments held as of June 30, 2022$(1,214)$(82)$287 $1,230 $221 
_______________
(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, 2022, investments were transferred from Level 2 to Level 3 as valuation coverage was reduced to one independent pricing service without any corroborating recent trade or another broker quotation.
(6)For the three and six months ended June 30, 2022, investments were transferred from Level 3 to Level 2 as valuation coverage was initiated by more than one independent pricing services or by one independent pricing service with a corroborating recent trade or another broker quotation.
31
Notes to Consolidated Financial Statements (Unaudited)
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 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 (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, 2021, investments were transferred from Level 2 to Level 3 as valuation coverage was reduced to one independent pricing service without any corroborating recent trade or another broker quotation.
(6)For the three and six 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.
Note 6. Related Party Agreements and Transactions
The Master Fund is affiliated with Guggenheim Credit Income Fund 2016 T ("GCIF 2016T") and Guggenheim Credit Income Fund 2019 ("GCIF 2019") (together, the "Feeder Funds"). The membership of the Boards of Trustees for the Master Fund, GCIF 2016T and GCIF 2019 are identical. The Feeder Funds have invested, and/or intend to invest, substantially all of the proceeds from their public offerings of common shares in the acquisition of the Master Fund's Common Shares.
One of the Master Fund's executive officers, Brian Binder, Senior Vice President, serves as an executive officer of Guggenheim. All of the Master Fund's executive officers also serve as executive officers of the Feeder Funds.
32
Notes to Consolidated Financial Statements (Unaudited)
Guggenheim and/or its affiliates receive, as applicable, compensation for (i) investment advisory services, (ii) reimbursement of expenses in connection with investment advisory activities, administrative services and organizing the Master Fund and (iii) capital markets services in connection with the raising of equity capital for Feeder Funds affiliated with the Master Fund, as more fully discussed below.
Investment Advisory Agreements and Compensation of the Advisor
The Master Fund is party to an Investment Advisory Agreement with Guggenheim, pursuant to which the Master Fund agreed to pay Guggenheim an investment advisory fee consisting of two components: (i) a management fee and (ii) a performance-based incentive fee. Guggenheim continues to be entitled to reimbursement of certain expenses incurred on behalf of the Master Fund in connection with investment operations and investment transactions.
Management Fees: The management fee is calculated at an annual rate of 1.75% based on the simple average of the Master Fund's gross assets at the end of the two most recently completed calendar months and it is payable in arrears.
Performance-based Incentive Fee: The performance-based incentive fee consists of two parts: (i) an incentive fee on income and (ii) an incentive fee on capital gains.
(i)The incentive fee on income is paid quarterly, if earned; it is computed as the sum of (A) 100% of quarterly pre-incentive fee net investment income in excess of 1.875% of average adjusted capital up to a limit of 2.344% of average adjusted capital, and (B) 20% of pre-incentive fee net investment income in excess of 2.344% of average adjusted capital.
(ii)The incentive fee on capital gains is paid annually, if earned; it is equal to 20% of realized capital gains on a cumulative basis from inception, net of (A) all realized capital losses and unrealized depreciation on a cumulative basis from inception, and (B) the aggregate amount, if any, of previously paid incentive fees on capital gains.
All fees are computed in accordance with a detailed fee calculation methodology as approved by the Board of Trustees.
The Investment Advisory Agreement may be terminated at any time, without the payment of any penalty: (i) by the Master Fund upon 60 days' written notice to Guggenheim, or (ii) by Guggenheim upon not less than 120 days' written notice to the Master Fund. In the event that the Investment Advisory Agreement is terminated by Guggenheim, and if the Independent Trustees elect to continue the Master Fund, then Guggenheim shall pay all direct expenses incurred by the Master Fund as a result of Guggenheim's withdrawal, up to, but not exceeding $250,000. Unless earlier terminated, the Investment Advisory Agreement will remain in effect for a period of two years from the date on which the Master Fund's shareholders approved the Investment Advisory Agreement and will remain in effect year to year thereafter if approved annually (i) by a majority of the Master Fund's Independent Trustees and (ii) the Master Fund's Board of Trustees or the holders of a majority of the Master Fund's outstanding voting securities.
Administrative Services Agreement
The Master Fund entered into an administrative services agreement with Guggenheim (the "Administrative Services Agreement") whereby Guggenheim agreed to provide administrative services to the Master Fund, including office facilities and equipment, and clerical, bookkeeping and record-keeping services. More specifically, Guggenheim, serving as the administrator (the "Administrator"), performs and oversees the Master Fund's required administrative services, which included financial and corporate record-keeping, preparing and disseminating the Master Fund's reports to its shareholders and filing reports with the SEC. In addition, the Administrator assists in determining net asset value, overseeing the preparation and filing of tax returns, overseeing the payment of expenses and distributions and overseeing the performance of administrative and professional services fees rendered by others. For providing these services, facilities and personnel, the Master Fund reimburses the Administrator for the allocable portion of overhead and other expenses incurred by the Administrator in performing its obligations under the Administrative Services Agreement. To the extent that the Administrator outsources any of its functions, the Master Fund may pay the fees associated with such functions on a direct basis, without incremental profit to the Administrator.
33
Notes to Consolidated Financial Statements (Unaudited)
The Administrative Services Agreement may be terminated at any time, without the payment of any penalty: (i) by the Master Fund upon 60 days' written notice to the Administrator upon the vote of the Master Fund's Independent Trustees, or (ii) by the Administrator upon not less than 120 days' written notice to the Master Fund. Unless earlier terminated, the Administrative Services Agreement will remain in effect for two years, and thereafter shall continue automatically for successive one-year periods if approved annually by a majority of the Board of Trustees and the Master Fund's Independent Trustees.
Dealer Manager Agreement
The Master fund is party to a dealer manager agreement, as amended (the "Dealer Manager Agreement") with Guggenheim Funds Distributors, LLC ("GFD") an affiliate of Guggenheim. Under the terms of the Dealer Manager Agreement, GFD is to act on a best efforts basis as the exclusive dealer manager for (i) GCIF 2016T's and GCIF 2019's public offerings of common shares and (ii) the public offering of common shares for future feeder funds affiliated with the Master Fund. The Master Fund is not responsible for the compensation of GFD pursuant to the terms of the Dealer Manager Agreement; therefore, fees compensating GFD are not presented in this periodic report. As to a Feeder Fund, the Deal Manager Agreement may be terminated by a Feeder Fund or GFD upon 60 calendar days' written notice to the other party.
Capital Structuring Fees and Administrative Agency Fees
Guggenheim and its affiliates are obligated to remit to the Master Fund any earned capital structuring fees and administrative agency fees (i.e. loan administration fees) based on the Master Fund's pro rata portion of the co-investment transactions or originated investments in which the Master Fund participates.
Summary of Related Party Transactions
The following table presents the related party fees, expenses and transactions for the three and six months ended June 30, 2022 and June 30, 2021:
Related Party (1) (2)
For the Three Months Ended June 30,For the Six Months Ended June 30,
Source Agreement & Description2022202120222021
Expenses:
GuggenheimInvestment Advisory Agreement - management fee$572 $1,294 $1,220 $2,691 
GuggenheimAdministrative Services Agreement - expense reimbursement169 84 229 216 
Income:
GuggenheimShare on capital structuring fees and administrative agency fees3 4 6 11 
_______________
(1)Related party transactions not included in the table above consist of Independent Trustees fees and expenses and sales and repurchase of the Master Fund Shares to/from affiliated Feeder Funds as disclosed in the Master Fund's consolidated statements of operations and consolidated statements of changes in net assets, respectively. In accordance with the Liquidation Plan, the Master Fund’s share repurchase program has been suspended effective March 31, 2021.
(2)As of June 30, 2022 and June 30, 2021, the Master Fund had accumulated net realized capital losses and net unrealized depreciation and therefore, Guggenheim did not earn any performance-based incentive fee during the respective period.
Co-Investment Transactions Exemptive Relief
The Master Fund was granted an SEC exemptive order which grants the Master Fund exemptive relief permitting the Master Fund, subject to the satisfaction of specific conditions and requirements, to co-invest in privately negotiated investment transactions with certain affiliates of Guggenheim.
Indemnification
The Investment Advisory Agreement and Administrative Services Agreement provide certain indemnifications to Guggenheim, its directors, officers, persons associated with Guggenheim and its affiliates, including the administrator. In addition, the Master Fund's Declaration of Trust, as amended, provides certain indemnifications to its officers, trustees, agents and certain other persons. As of June 30, 2022 and December 31, 2021, management believes that the risk of incurring any losses for such indemnifications is remote.
34
Notes to Consolidated Financial Statements (Unaudited)
Note 7. Borrowings
Hamilton Credit Facility
On December 17, 2015, Hamilton initially entered into a senior-secured term loan, as amended (the “Hamilton Credit Facility”) with JPMorgan Chase Bank, National Association ("JPM"), as administrative agent, each of the lenders from time to time party thereto, and U.S. Bank National Association, as collateral agent, collateral administrator and securities intermediary. During the period ending June 30, 2022, the Hamilton Credit Facility provided for (i) average borrowings in an aggregate principal amount of $0.0 million on a committed basis, (ii) a revolving feature on all amounts above the minimum utilization amount, (iii) an interest rate of 3-month LIBOR +2.50%, (iv) a draw-down term which ended November 29, 2021, (v) a stated maturity date of December 29, 2022, (vi) undrawn fees payable during the draw-down term of 250 basis points on all undrawn amounts below the minimum utilization amount and (vii) unused commitment fees payable during the draw-down term of 100 basis points on all undrawn amounts above the minimum utilization amount. All investments owned by, and all cash on hand with, Hamilton are held as collateral for the Hamilton Credit Facility.
Hamilton and JPM amended the Hamilton Credit Facility on June 29, 2018 to, among other things, (i) extend the term from December 17, 2019 to December 29, 2022, (ii) extend the draw-down term from December 17, 2018 to December 29, 2021, (iii) reduce the interest rate from 3-month LIBOR +2.65% per annum to 3-month LIBOR +2.50% per annum, (iv) include a revolving feature on all amounts above the minimum utilization amount and (v) reduce the undrawn fee charged on all amounts below the facility's minimum utilization amount from 265 basis points per annum to 250 basis points per annum.
On November 29, 2021, Hamilton repaid in full all outstanding amounts due in connection with, and terminated all commitments under, the Hamilton Credit Facility.
Hamilton's borrowings as of December 31, 2021 were as follows:
Hamilton Credit Facility - Borrowing Summary
As ofPrincipal Amount CommittedPrincipal Amount Outstanding
Carrying Value (1)
Interest Rate (2)
Maturity DateMaturity Term
December 31, 2021$— $— $— 2.62 %12/29/221.0 years
_______________
(1)Carrying value is equal to outstanding principal amount net of unamortized financing costs.
(2)Interest rate as of the end of the reporting period (3-month LIBOR +2.50% as of June 30, 2022 and December 31, 2021) is subject to quarterly reset. Interest rate is calculated as the weighted average interest rates of all tranches currently outstanding. Interest rate does not include the amortization of upfront fees, undrawn or unused fees and expenses that were incurred in connection with the Hamilton Credit Facility.
There are no borrowings outstanding as of June 30, 2022.
The components of the Master Fund's interest expense and other financing costs for three and six months ended June 30, 2022 and June 30, 2021 were as follows:
For the Three Months Ended June 30,For the Six Months Ended June 30,
2022202120222021
Stated interest expense$— $642 $— $1,449 
Unused/undrawn fees— 41 — 90 
Amortization of deferred financing costs— 95 — 189 
Total interest expense and other financing costs$— $778 $— $1,728 
Average borrowings$— $95,000 $— $106,768 
Weighted average interest rate (1)
— %2.84 %— %2.87 %
Amortized financing costs— %0.39 %— %0.35 %
Total borrowing cost— %3.23 %— %3.22 %
_______________
(1)Calculated as the amount of the stated interest expense and undrawn or unused fees divided by the average borrowings during the reporting period.
35
Notes to Consolidated Financial Statements (Unaudited)
Note 8. Commitments and Contingencies
The amounts associated with unfunded commitments to provide funds to portfolio companies are not recorded in the Master Fund’s consolidated statements of assets and liabilities. Since these commitments and the associated amounts may expire without being drawn upon, the total commitment amount does not necessarily represent a future cash requirement. As of June 30, 2022 and December 31, 2021, the Master Fund’s unfunded commitments consisted of the following:
Total Unfunded Commitments
Category / Portfolio Company (1)
June 30, 2022December 31, 2021
Aceto Chemical (Revolver)$571 $800 
Alexander Mann Solutions (Revolver) (2)
446 446 
Allvue Systems (Revolver) 95 3 
Apptio, Inc. (Revolver)196 196 
Galls LLC (Revolver)240 268 
Hersha Hospitality Management (Delayed Draw)— 1,106 
Polyvision Corp. (Revolver) 92 189 
PSI Services LLC (Revolver)— 
(3)
— 
(3)
Seal For Life Industries US LLC (Revolver) — 412 
Wide Orbit (Revolver) 293 293 
Total Unfunded Commitments$1,933 $3,713 
_______________
(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, 2022 and December 31, 2021 exchange rates, respectively.
(3)Amount is less than $1,000.
36
Notes to Consolidated Financial Statements (Unaudited)
Note 9. Financial Highlights
The following per Common Share data and financial ratios have been derived from information provided in the consolidated financial statements. The following is a schedule of financial highlights during the six months ended June 30, 2022 and June 30, 2021:
For the Six Months Ended June 30,
20222021
PER COMMON SHARE OPERATING PERFORMANCE
Net asset value, beginning of period$6.15 $7.56 
Net investment income (1)
0.12 0.19 
Net realized gains (losses) (1)
0.05 (0.10)
Net change in unrealized appreciation (depreciation) (2)
(0.15)0.65 
Net increase resulting from operations0.02 0.74 
Distributions to Common Shareholders (3)
Distributions from net investment income (0.14)(0.23)
Distribution representing return of capital(1.42)(0.85)
Net decrease resulting from distributions(1.56)(1.08)
Net asset value, end of period$4.61 $7.22 
INVESTMENT RETURNS
Total investment return (4)
0.03 %9.73 %
RATIOS/SUPPLEMENTAL DATA
Net assets, end of period$117,932 $184,699 
Average net assets (5)
$139,057 $200,252 
Common Shares outstanding, end of period25,594,125 25,594,125 
Weighted average Common Shares outstanding25,594,125 25,867,772 
Ratios-to-average net assets: (5)
Total expenses1.61 %2.74 %
Net investment income2.18 %2.52 %
Average outstanding borrowings (5)
$— $106,768 
Portfolio turnover rate (5) (6)
1.50 %1.00 %
Asset coverage ratio (7)
— 3.31 
_______________
(1)The per Common Share data was derived by using the weighted average Common Shares outstanding during the period presented.
(2)The amount shown at this caption is the balancing figure derived from the other figures in the schedule. The amount shown at this caption for a Common Share outstanding throughout the period may not agree with the change in the aggregate appreciation and depreciation in portfolio securities for the period because of the timing of sales of the Master Fund’s Common Shares in relation to fluctuating market values for the portfolio.
(3)The per Common Share data for distributions is the actual amount of distributions declared per Common Share outstanding during the entire period; distributions per Common Share are rounded to the nearest $0.01. For income tax purposes, distributions made to shareholders are reported as ordinary income, capital gains, non-taxable return of capital or a combination thereof, based on taxable income calculated in accordance with income tax regulations which may differ from amounts determined under GAAP. As of June 30, 2022, the Master Fund estimated distributions to be composed mostly of return of capital. The final determination of the tax character of distributions will not be made until we file our tax return.
37
Notes to Consolidated Financial Statements (Unaudited)
(4)Total investment return is based on (i) the purchase of Common Shares at net asset value on the first day of the period, (ii) the sale at the net asset value per Common Share on the last day of the period, of (A) all purchased Common Shares plus (B) any fractional Common Shares issued in connection with the reinvestment of distributions and (iii) distributions payable relating to the ownership of Common Shares, if any, on the last day of the period. The total investment return calculation assumes that cash distributions are reinvested concurrent with the issuance of Common Shares at the most recent transaction price on or prior to each distribution payment date. Since there is no public market for the Master Fund’s Common Shares, then the terminal sales price per Common Share is assumed to be equal to net asset value per Common Share on the last day of the period. Total investment return is not annualized. The Master Fund’s performance changes over time and currently may be different than that shown above. Past performance is no guarantee of future results.
(5)The computation of average net assets, average outstanding borrowings and average value of portfolio securities during the period is based on averaging the amount on the first day of the first month of the period and the last day of each month during the period.
(6)Portfolio turnover is calculated as the lesser of (i) purchases of portfolio securities or (ii) the aggregate total of sales of portfolio securities plus any repayments received divided by the monthly average of the value of investment portfolio owned by the Master Fund during the period.
(7)Asset coverage ratio is equal to (i) the sum of (A) net assets at the end of the period and (B) total senior securities issued at the end of the period, divided by (ii) total senior securities at the end of the period.
Note 10. Distributions
The following table summarizes the distributions that the Master Fund declared on its Common Shares during the six months ended June 30, 2022 and June 30, 2021:
Record DatePayment DateDistribution Per Common Share at Record DateDistribution Per Common Share at Payment DateCash Distribution
For Calendar Year 2022
February 1February 3$0.78000 $0.78000 $19,964 
May 18May 200.78000 0.78000 19,963 
$1.56000 $39,927 
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 
Note 11. Subsequent Events
Management has evaluated subsequent events through the date of issuance of these consolidated financial statements and has determined that there are no subsequent events outside the ordinary scope of business that require adjustment to, or disclosure in, the consolidated financial statements except for the one below.
On August 9, 2022 the Board of Trustees approved the Master Fund’s liquidating distribution of $0.78 per share of common shares. The distribution will be recorded on August 22, 2022 and paid in cash to the investors on August 24, 2022.
38

Item 2. Management's Discussion and Analysis of Financial Condition and Results of Operations.
(amounts in thousands, except share and per share data, percentages and as otherwise indicated; for example, with the word “million” or otherwise)
The information contained in this Item 2 should be read in conjunction with our consolidated financial statements and related notes thereto appearing elsewhere in this Report. Capitalized terms used in this Item 2 have the same meaning as in the accompanying consolidated financial statements presented in Part I. Item 1. Consolidated Financial Statements (Unaudited), unless otherwise defined herein.
Overview
We are a specialty finance investment company focused on lending to middle market companies. We were formed on September 5, 2014 as a statutory trust under the laws of the State of Delaware and commenced investment operations on April 2, 2015. In addition, we have elected to be treated as a business development company ("BDC") under the Investment Company Act of 1940, as amended (the "1940 Act"). We are externally managed by Guggenheim, which is responsible for sourcing potential investments, conducting due diligence on prospective investments, analyzing investment opportunities, structuring investments, determining the securities and other assets that we will purchase, retain or sell, and monitoring our portfolio on an ongoing basis.
We serve as the master fund in a master/feeder fund structure in that one or more feeder funds (each, a “Feeder Fund”), each a separate closed-end management investment company that has adopted our investment objectives and strategies, invests substantially all of its equity capital in our common shares (“Shares” or "Common Shares"). Presently, our shareholders are the two initial shareholders and two Feeder Funds.
We conduct private offerings (each a “Private Offering”) of our Shares to the Feeder Funds in reliance on exemptions from the registration requirements of the Securities Act. While we expect to continuously offer our Shares and have an indefinite life, each Feeder Fund features a specific period for the offering of its Common Shares, and each Feeder Fund has a specified finite term.
Beginning with the taxable year ended December 31, 2015, we have elected to be treated for federal income tax purposes as a RIC under Subchapter M of the Internal Revenue Code of 1986, as amended (the "Code").
Plan of Liquidation
In accordance with the offering documents and the intention of Guggenheim Credit Income Fund 2016 T ("GCIF 2016T") and Guggenheim Credit Income Fund 2019 ("GCIF 2019") (together, the "Feeder Funds") to provide substantial shareholder liquidity on or before December 31, 2022 and December 31, 2026 respectively, on March 30, 2021, the Boards of Trustees of the Master Fund and the Feeder Funds approved respective Plans of Liquidation for each Company (each, a “Liquidation Plan"). In accordance with the Liquidation Plans, the Master Fund began to effect a liquidation of its portfolio, with the intention of liquidating substantially all of its assets through liquidating distributions on or before December 31, 2022. The Feeder Funds have and intend to, in turn, make quarterly liquidating distributions to their shareholders with the proceeds received from the Master Fund, and will seek to distribute substantially all of their assets on or before December 31, 2022. It is intended that these distributions will be substantially composed of return of capital and will decrease the net asset value of the Master Fund and the Feeder Funds.
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
Cumulative Liquidating Distributions declared per share through August 12, 2022$4.50 $4.74 $12.93 
Number of Portfolio Companies at beginning of Year34 — — 
Number of Portfolio Companies at end of Period27 — — 
YTD Portfolio sales and repayments ($ in thousands)$31,184 $— $— 
Cumulative Liquidating Distributions Declared through August 12, 2022 ($ in thousands)$(115,174)$(77,249)$(22,450)
Percentage of December 31, 2020 NAV Declared through August 12, 202259.50 %59.40 %57.00 %
Net Assets at beginning of Year ($ in thousands)$157,280 $106,886 $32,183 
Net Assets at end of Period ($ in thousands)$117,932 $79,259 $24,220 
Net asset value per share at end of period$4.61 $4.86 $13.95 
39

In accordance with the Liquidation Plan, the Master Fund and the Feeder Funds will remain registered as a BDC and intend to maintain their qualifications as RICs under Subchapter M of the Code.
Investment Objectives and Investment Strategy
Our investment objectives are to provide our shareholders with current income, capital preservation, and, to a lesser extent, long-term capital appreciation. There can be no assurances that any of these investment objectives will be achieved.
Prior to the Board's approval of the Liquidation Plan, our investment strategy was continuously focused on growing an investment portfolio that generates superior risk adjusted returns by carefully selecting investments through rigorous due diligence and actively managing and monitoring our investment portfolio. When evaluating an investment and the related portfolio company, we use the resources of Guggenheim to develop an investment thesis and a proprietary view of a potential portfolio company’s intrinsic value and its expected risks and rewards.
We primarily focused on the following investment types that may be available within the capital structure of portfolio companies:
•Senior Debt. Senior debt investments generally take a security interest in the available assets of the portfolio company, including equity interests in any of its subsidiaries. The senior debt classification includes senior secured first lien loans, senior secured second lien loans, senior secured bonds, and senior unsecured debt. In some circumstances, the secured lien could be subordinated to the claims of other creditors. While there is no specific collateral associated with senior unsecured debt, such positions are senior in payment priority over subordinated debt investments.
•Subordinated Debt. Subordinated debt investments are subordinated to senior debt and are generally unsecured. These investments are generally structured with interest-only payments throughout the life of the security with the principal due at maturity.
•Equity Investments. Preferred and/or common equity investments may be acquired alongside senior and subordinated debt investment activities or through the exercising of warrants or options attached to debt investments. Income is generated primarily through regular or inconstant dividends and realized gains on dispositions of such investments.     
We intend to meet our investment objectives by investing primarily in large, privately-negotiated loans to private middle market U.S. companies. Specifically, we expect a typical borrower to have earnings before interest, taxes, depreciation, and amortization ("EBITDA") of $25 million to $100 million and annual revenue ranging from $50 million to $1 billion. We seek to invest in businesses that have a strong reason to exist and have demonstrated competitive and strategic advantages. These companies generally possess distinguishing business characteristics, such as a leading competitive position in a well-defined market niche, unique brands, sustainable profitability and cash flow, and experienced management. We anticipate that a majority of our investments will be classified as senior debt in a borrower’s capital structure and have repayment priority over other parts of a borrower’s capital structure (i.e., subordinated debt, preferred and common equity). By investing in a more senior attachment point of a borrower's capital structure, we expect to protect our principal with less risk, which we believe provides for a distinctive risk/return profile as compared to that of a typical middle market or private equity alternative investment.
In addition to privately-negotiated loans, we invest in more broadly syndicated assets, such as bank loans and corporate bonds. Our portfolio is more heavily weighted towards floating-rate investments, whose interest payment obligations may increase in a rising interest rate environment. We may also invest in fixed-rate investments, options, or other forms of equity participation, and, to a limited extent and not as a principal investment strategy, structured products such as collateralized loan obligations (“CLOs”) and collateralized debt obligations (“CDOs”). We seek to make investments which have favorable characteristics, including closing fees, prepayment premiums, lender-friendly control provisions, and lender-friendly covenants.
Our portfolio may include “covenant-lite” loans which generally refer to loans that do not have a complete set of financial maintenance covenants. Generally, “covenant-lite” loans provide borrower companies more freedom to negatively impact lenders because their covenants are incurrence-based, which means they are only tested and can only be breached following an affirmative action of the borrower, rather than by a deterioration in the borrower’s financial condition. Accordingly, to the extent we invest in “covenant-lite” loans, we may have fewer rights against a borrower and may have a greater risk of loss on such investments as compared to investments in or exposure to loans with financial maintenance covenants.
40

Our portfolio includes investments in securities that are rated below investment grade (e.g., junk bonds) by rating agencies, or that would be rated below investment grade if they were rated and have predominantly speculative characteristics with respect to the issuer’s capacity to pay interest and repay principal. These investments may also be illiquid and feature variances in opinions of fair value and market prices. A material amount of our debt investments in portfolio companies may contain interest rate reset provisions that may present challenges for the borrowers to continue paying periodic interest to us. In addition, a material amount of our debt investments may not pay down principal until the end of their lifetimes, which could result in a substantial loss to us if the portfolio companies are unable to refinance or repay their debts at maturity.
Our investment strategy leverages the skills and depth of Guggenheim's research team and credit investment platform which features a relative value perspective across all corporate credit asset types. We believe these elements create a larger, proprietary opportunity set and increase the potential for the generation of a wide spectrum of value-risk investment ideas. We intend for our investment strategy to access investments with attractive combinations of reward and risk, better economics and stronger lender protections than those offered in traditional loan transactions. We also intend to deploy our direct loan origination investment platform and apply it to our portfolio company business relationships.
Our investment activity can and does vary substantially from period to period depending on many factors, including: the demand for capital from creditworthy privately-owned U.S. companies, the level of merger, acquisition and refinancing activity involving private companies, the availability of credit to finance merger and acquisition transactions, the general economic environment, the competitive investment environment for the types of investments we currently seek and intend to seek in the future, the amount of equity capital we raise from the sale of our Shares, and the amount of capital we may borrow.
We acquire our portfolio investments through the following investment access channels:
•Direct Originations: This channel consists of investments that are directly originated through Guggenheim's relationship network. Such investments are originated and/or structured by Guggenheim and are not generally available to the broader investment market. These investments may include both debt and equity investment components.
•Syndicated Transactions: This channel primarily includes investments in broadly syndicated loans and high yield bonds, typically originated and arranged by investment intermediaries other than Guggenheim. These investments may be purchased at the original syndication or in the secondary through various trading markets.
We may continue to borrow money from time to time within the borrowing limits stipulated by the 1940 Act, which generally allows us to incur leverage of up to 50% of our total assets, less liabilities and indebtedness not represented by senior securities. The use of borrowed funds and/or the proceeds of preferred stock offering to finance investments would have its own specific set of benefits and risks, and all of the costs of borrowing funds or issuing preferred stock are borne by our shareholders.
Revenues
We generate revenues primarily in the form of interest on the debt securities of portfolio companies that we acquire and hold for investment purposes. Our investments in debt securities generally have expected maturities of one to eight years, although we have no lower or upper constraint on maturity, and typically earn interest at floating and fixed interest rates. Interest on our debt securities is generally payable to us quarterly or semi-annually. The outstanding principal amount of our debt securities and any accrued but unpaid interest will generally become due at the respective maturity dates. In addition, we may generate revenue in the form of dividends from preferred and common equity investments, amortization of original issue discount, prepayment fees, commitment fees, origination fees and fees for providing significant managerial assistance.
Operating Expenses
Our primary operating expenses include a management fee and, depending on our operating results, a performance-based incentive fee, interest expense, administrative services, related party reimbursements, custodian and accounting services and other third-party professional services fees and expenses. The management and performance-based incentive fees compensate Guggenheim for its services in identifying, evaluating, negotiating, closing and monitoring our investments.



41

Financial and Operating Highlights
The following tables present financial and operating highlights (i) as of June 30, 2022 and December 31, 2021 and (ii) for the six months ended June 30, 2022 and June 30, 2021:
As of
June 30, 2022December 31, 2021
Total assets$118,998 $159,243 
Adjusted total assets (total assets net of payable for investments purchased)$118,998 $159,243 
Investments in portfolio companies, at fair value$92,302 $124,139 
Net assets$117,932 $157,280 
Net asset value per Common Share$4.61 $6.15 
For the Six Months Ended June 30,
20222021
Average net assets$139,057 $200,252 
Average borrowings$— $106,768 
Cost of investments purchased$1,643 $2,443 
Sales of investments$8,024 $30,824 
Principal payments$23,160 $72,569 
Net investment income$3,031 $5,036 
Net realized gains (losses)$1,481 $(2,492)
Net change in unrealized appreciation (depreciation)$(3,933)$16,372 
Net increase in net assets resulting from operations$579 $18,916 
Total distributions to shareholders$39,927 $27,664 
Net investment income per Common Share - basic and diluted$0.12 $0.19 
Earnings per Common Share - basic and diluted$0.02 $0.73 
Distributions per Common Share$1.56 $1.08 
Portfolio and Investment Activity for the Three and Six Months Ended June 30, 2022
The following table presents our new investment commitments for the three and six months ended June 30, 2022:
For the Three Months Ended June 30, 2022For the Six Months Ended June 30, 2022
Investment activity segmented by access channel:
Amount
Percentage
AmountPercentage
Direct originations
$— — %$127 100.0 %
Syndicated transactions
— — %— — %
Total investment commitments entered during the period
$— — %$127 100.0 %
42

The following table presents our portfolio company activity for the three and six months ended June 30, 2022:
For the Three Months Ended June 30, 2022For the Six Months Ended June 30, 2022
Portfolio companies at beginning of period
29 34 
Number of added portfolio companies
— — 
Number of exited portfolio companies
(2)(7)
Portfolio companies at period end
27 27 
Number of debt investments at period end
48 48 
Number of equity/other investments at period end
5 5 
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, 2022:
Balance as of January 1, 2022PurchasesSales and Repayments
Other Changes in Fair Value (1)
Balance as of June 30, 2022
Senior secured loans - first lien$102,941 $1,643 $(24,761)$(2,509)$77,314 
Senior secured loans - second lien17,860 — (6,000)(1,068)10,792 
Senior secured bonds2,268 — (421)192 2,039 
Total senior debt$123,069 $1,643 $(31,182)$(3,385)$90,145 
Equity and other1,070 — (2)1,089 2,157 
Total$124,139 $1,643 $(31,184)$(2,296)$92,302 
_______________
(1)Other changes in fair value includes changes resulting from realized and unrealized gains and losses, amortization/accretion, increases from PIK income and restructurings.
43

The following table presents selected information regarding our investment portfolio as of June 30, 2022 and December 31, 2021:
As of
June 30, 2022December 31, 2021
Weighted average purchase price of debt investments (1)
94.6 %94.7 %
Weighted average duration of debt investments (2)
0.1 years0.7 years
Debt investments on non-accrual status as a percentage of amortized cost of total debt investments1.7%1.6%
Debt investments on non-accrual status as a percentage of fair value of total debt investments0.2%0.3%
Number of debt investments on non-accrual status1 1 
Floating interest rate debt investments:
Percent of debt portfolio (3)
97.7 %98.2 %
Percent of floating rate debt investments with interest rate floors (3)
97.6 %98.2 %
Weighted average interest rate floor1.5 %0.8 %
Weighted average coupon spread to base interest rate608bps617bps
3-month LIBOR229bps21bps
Fixed interest rate debt investments:
Percent of debt portfolio (3)
2.3 %1.8 %
Weighted average coupon rate7.2 %6.8 %
Weighted average years to maturity0.7years1.2years
Weighted average effective yields
Senior secured loans - first lien (4)
8.7 %8.0 %
Senior secured loans - second lien (4)
8.8 %8.1 %
Senior secured bonds (4)
4.3 %3.9 %
Total debt investments (4)
8.5 %7.9 %
Total investments (5)
8.5 %7.9 %
_______________
(1)Percent is calculated as a percentage of the par value of debt investments.
(2)Duration is a measure of a debt investment's price sensitivity to 100 basis points ("bps") change in interest rates. It represents an inverse relationship between price and the change in interest rates. For example, if a bond has a duration of 5.0 years and interest rates increase by 100 bps, then the bond price is expected to decrease by 5%. Weighted average duration is calculated using weights based on amortized cost.
(3)Percent is calculated as a percentage of the fair value of total debt investments.
(4)Weighted average effective yield by investment type is calculated as the effective yield of each investment and weighted by its amortized cost as compared to the aggregate amortized cost of all investments of that investment type. Effective yield is the return earned on an investment net of any discount, premium or issuance costs. The total debt portfolio yield is calculated before considering the impact of leverage or any operating expenses.
(5)The total investment portfolio yield is calculated before considering the impact of leverage or any operating expenses, and includes all income generating investments, non-income generating investments and investments on non-accrual status.
All of our floating interest rate debt investments have base interest rate reset frequencies of twelve months or less, with the majority resetting at least quarterly. LIBOR ranged between 1.79% for the 1 Month LIBOR to 2.94% for the 6 Month LIBOR on June 30, 2022. Base interest rate resets for floating interest rate debt investments will only result in increases in interest income when the base interest rate exceeds the associated interest rate floor (e.g., 1.0%).
44

The following table presents the maturity schedule of our debt investments, excluding unfunded commitments, based on their principal amount as of June 30, 2022 and December 31, 2021:
June 30, 2022December 31, 2021
Maturity YearPrincipal AmountPercentage of PortfolioPrincipal AmountPercentage of Portfolio
2022$— — %$1,611 1.2 %
202320,106 19.6 20,513 15.6 
202414,473 14.1 28,066 21.4 
202540,611 39.6 53,603 40.9 
202627,357 26.7 27,409 20.9 
Total$102,547 100.0 %$131,202 100.0 %
Impact of COVID-19
In late 2019 and early 2020, a novel coronavirus (SARS-CoV-2) and related respiratory disease ("COVID-19") emerged and spread rapidly across the world, including to the U.S..
We have and continue to assess the impact of COVID-19 on our portfolio companies. We cannot predict the full impact of the COVID-19 pandemic, including its duration in the United States and worldwide, and the magnitude of the economic impact of the outbreak, including with respect to the travel restrictions, business closures and other quarantine measures imposed on service providers and other individuals by various local, state, and federal governmental authorities, as well as non-U.S. governmental authorities. As such, we are unable to predict the duration of any business disruptions, the extent to which COVID-19 will negatively affect our portfolio companies’ operating results or the impact that such disruptions may have on our results of operations and financial condition. We expect our portfolio companies and, by extension, our operating results to continue to be adversely impacted by COVID-19 and depending on the duration and extent of the disruption to the operations of our portfolio companies, we expect that certain portfolio companies will experience financial distress. We also expect that some of our portfolio companies may significantly curtail business operations, furlough or lay off employees and terminate service providers, and defer capital expenditures if subjected to prolonged and severe financial distress, which could impair their business on a permanent basis. The impacts of these events may include, but are not limited to, (i) amendments and waivers being granted to borrowers permitting deferral of loan payments or allowing for payment-in-kind (“PIK”) interest payments, (ii) additional borrower defaults and non-payments on their loans or inability of borrowers to refinance their loans at maturity, or (iii) permanent business closure. Such events, to the extent experienced, could result in a decrease in the value of our investment in any such portfolio company, or interest thereon. In addition, to the extent that the impact to our portfolio companies results in reduced interest payments or permanent impairments on our investments, we could see a decrease in our net investment income which would increase the percentage of our cash flows dedicated to our debt obligations and could require us to reduce the future amount of distributions to our shareholders.
With respect to our investments, we are taking steps in actively overseeing all of our individual portfolio companies. These measures include, among other things, enhanced monitoring/credit analysis of our portfolio, assessment of each portfolio company’s operational and liquidity exposure and outlook, and frequent communication with our portfolio company management teams, industry consultants, and other lenders to understand the expected financial performance impact of the COVID-19 pandemic.
We expect that the market and business disruption created by the COVID-19 pandemic will impact certain aspects of our liquidity, and we are therefore continuously monitoring our operating results, liquidity and anticipated capital requirements. As of June 30, 2022, we were in compliance with our asset coverage requirements under the 1940 Act. Any breach of these requirements may adversely affect our access to sufficient debt and equity capital.
45

Results of Operations
Operating results for the three and six months ended June 30, 2022 and June 30, 2021 were as follows:
For the Three Months Ended June 30,For the Six Months Ended June 30,
2022202120222021
Total investment income
$2,119 $5,380 $5,274 $10,524 
Total expenses1,140 2,590 2,243 5,488 
Net investment income979 2,790 3,031 5,036 
Net realized gains (losses)1,011 (1,890)1,481 (2,492)
Net change in unrealized appreciation (depreciation)(3,904)8,074 (3,933)16,372 
Net increase (decrease) in net assets resulting from operations$(1,914)$8,974 $579 $18,916 
Investment Income
Interest and dividend income consisted of the following components for the three and six months ended June 30, 2022 and June 30, 2021:
For the Three Months Ended June 30,For the Six Months Ended June 30,
2022202120222021
Interest income on debt securities:
    Cash interest
$1,990 $4,918 $4,176 $9,575 
    PIK interest
25 53 104 150 
Net accretion/amortization of discounts/premiums
101 240 261 493 
Total interest on debt securities
2,116 5,211 4,541 10,218 
PIK dividend
— 99 179 111 
Total interest and dividend income
$2,116 $5,310 $4,720 $10,329 
Average Investments at cost
$98,425 $209,399 $104,684 $240,995 
Average Income Generating Investments at cost (1)
$96,496 $204,175 $102,643 $228,490 
Income return (2)
2.19 %2.60 %4.60 %4.52 %
_______________
(1)Income Generating Investments pertains to investments with stated interest rate or preferred returns and includes investments on non-accrual.
(2)Income return is calculated using the total interest and dividend income over the average income generating investments at cost for the period presented.
The decrease in interest and dividend income was mainly driven by the decrease in the size of our income generating investments. As of June 30, 2022 and June 30, 2021, yield on debt investments at cost was 8.5% 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, 2022 and June 30, 2021:
For the Three Months Ended June 30,For the Six Months Ended June 30,
2022202120222021
Administrative agency fees$3 $3 $6 $11 
Amendment fees and other— 67 549 184 
Total fee income$3 $70 $555 $195 
46

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, 2022 and June 30, 2021:
For the Three Months Ended June 30,For the Six Months Ended June 30,
2022202120222021
Fixed operating expenses:
Related party reimbursements (1)
$169 $84 $229 $216 
Trustees fees71 84 141 167 
Professional services fees (2)
193 205 384 406 
Other expenses73 71 144 139 
Total fixed operating expenses506 444 898 928 
Variable operating expenses:
Interest expense (3)
— 778 — 1,728 
Administrative services (4)
40 50 82 93 
Management fee572 1,294 1,220 2,691 
Custody services22 24 43 48 
Total variable operating expenses634 2,146 1,345 4,560 
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$1,140 $2,590 $2,243 $5,488 
_______________
(1)Related party reimbursements increased due to an increase in resource allocation to the Master Fund.
(2)Professional services fees includes the expenses for third party service providers such as internal and independent auditors, tax return preparer and tax consultant, third-party investment valuers, and fund legal counsel.
(3)The composition of our interest expense for the three and six months ended June 30, 2022 and June 30, 2021 is reported in Note 7. Borrowings.
(4)Administrative services fees include the expenses for third party service providers such as fund accountant, fund sub-administrator, and independent pricing vendors.
The decrease in total expenses for the three months ended June 30, 2022 compared to the three months ended June 30, 2021 was primarily due to the decrease in interest expense associated with the Hamilton Credit Facility full repayment, and the decrease in management fee resulting from a decrease in total assets. For the three months ended June 30, 2022 and June 30, 2021, total borrowing costs were —% and 3.23%, respectively. For the three months ended June 30, 2022 and June 30, 2021 average borrowings for the period were $— and $95,000, respectively.
The decrease in total expenses for the six months ended June 30, 2022 compared to the six months ended June 30, 2021 was primarily due to the decrease in interest expense associated with the Hamilton Credit Facility resulting from a decrease in interest rates and average borrowings. For the six months ended June 30, 2022 and June 30, 2021, total borrowing costs were —% and 3.22%, respectively. For the six months ended June 30, 2022 and June 30, 2021, average borrowings for the period were $— and $106,768, respectively.
47

Net Realized Gains (Losses)
For the three months ended June 30, 2022, we had dispositions and principal repayments of $13.9 million, resulting in net realized gains of $0.8 million. For the six months ended June 30, 2022, we had dispositions and principal repayments of $31.2 million, resulting in net realized gains of $1.5 million. For the three and six months ended June 30, 2022, we had realized gains from our foreign currency forward contracts of $0.2 million and $53 thousand, respectively, primarily due the movement of the U.S. dollar against the British pound.
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 and six months ended June 30, 2022 and June 30, 2021, the components of total realized gains (losses) were comprised of the following:
For the Three Months Ended June 30,For the Six Months Ended June 30,
2022202120222021
Investments$834 $(1,806)$1,463 $(1,352)
Foreign currency forward contracts
178 (96)53 (1,120)
Foreign currency transactions(1)12 (35)(20)
Net realized gains (losses)$1,011 $(1,890)$1,481 $(2,492)
Changes in Unrealized Appreciation (Depreciation)
For the three and six months ended June 30, 2022 and June 30, 2021, the components of total net change in unrealized appreciation (depreciation) were comprised of the following:
For the Three Months Ended June 30,For the Six Months Ended June 30,
2022202120222021
Investments$(3,928)$8,039 $(4,209)$15,358 
Foreign currency forward contracts
25 35 279 1,015 
Foreign currency transactions(1)— (3)(1)
Net change in unrealized appreciation (depreciation)$(3,904)$8,074 $(3,933)$16,372 
For the three and six months ended June 30, 2022 and June 30, 2021, the components of total net change in unrealized appreciation and depreciation on (i) all investments and (ii) investments classified as Level 3 in the valuation hierarchy were comprised of the following:
For the Three Months Ended June 30,For the Six Months Ended June 30,
2022202120222021
Unrealized appreciation on all investments (1)
$474 $9,477 $2,281 $19,378 
Unrealized depreciation on all investments (1)
(4,402)(1,438)(6,490)(4,020)
Total net change in unrealized appreciation (depreciation) on all investments$(3,928)$8,039 $(4,209)$15,358 
Unrealized appreciation on Level 3 investments only (1)
$474 $7,441 $2,046 $10,570 
Unrealized depreciation on Level 3 investments only (1)
(1,248)(416)(2,435)(2,710)
Total net change in unrealized appreciation on Level 3 investments only$(774)$7,025 $(389)$7,860 
_______________
(1)Amounts are net of any reclassification of realized gains or losses on investments.
48

Annual Investment Returns and Total Returns Since Commencement
Our initial investors, who each invested at $9.00 per share, have seen a cumulative 41.02% increase in the value of their investment, or an annualized return of 4.66%, assuming reinvestment of distributions.
The table below presents returns for our shareholders for the six months ended June 30, 2022 and June 30, 2021, and the period from commencement to June 30, 2022. Our performance changes over time and currently may be different than that shown below. Past performance is no guarantee of future results. The returns for shareholders of the affiliated Feeder Funds are different from the returns for our direct shareholders.
Total Investment Return-Net Asset Value(1)
For the Six Months Ended June 30,Since Commencement
Company
Date Operations Commenced (2)
20222021CumulativeAnnualized
Guggenheim Credit Income Fund12/19/20140.03 %9.73 %41.02 %4.66 %
___________________
(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, 2022, we had eight unfunded commitments totaling $1.9 million as compared to ten unfunded commitments totaling $3.7 million as of December 31, 2021. 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 and cash equivalents may include: (i) the sale of our Shares to affiliated feeder funds, (ii) borrowings under various financing arrangements, (iii) cash flows from interest, dividends and transaction fees earned from investment in portfolio companies and (iv) principal repayments and sale proceeds from our investments.
Our primary uses of cash and cash equivalents may include: (i) investments in portfolio companies, (ii) payments of operating expenses, (iii) interest payments on, and repayment of, borrowings, (iv) cash distributions to our shareholders and (v) periodic repurchases of our Shares pursuant to our share repurchase program.
49

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, 2022 and December 31, 2021:
As of
June 30, 2022December 31, 2021
Cash and cash equivalents$25,190 $4,556 
Restricted cash (1)
— 24,648 
Principal receivable625 4,747 
Unfunded investment commitments(1,933)(3,713)
Other net working capital (2)
(241)(722)
Total operational liquidity$23,641 $29,516 
_______________
(1)Restricted cash consists of demand deposits held at a major U.S. financial institution on behalf of Hamilton. Hamilton may be restricted in the distribution of cash to the Master Fund, as governed by the terms of the Hamilton Credit Facility (see Note 7. Borrowings).
(2)Other net working capital is the sum of collateral deposits/payable for foreign currency forward contracts, interest and dividend income receivable and receivable from related parties less accrued management fee, payable to related parties, distributions payable, and accounts payable, accrued expenses and other liabilities.
Capital Resources
We may from time to time enter into additional credit facilities and borrowing arrangements to increase the amount of our borrowings as our equity capital foundation increases. Accordingly, we cannot predict with certainty what terms any such financing would have or the costs we would incur in connection with any such financing arrangements. We are currently required to maintain a minimum asset coverage ratio (total assets-to-senior securities) of 200% under the 1940 Act.
The table below summarizes certain financing obligations and Feeder Fund liquidity targets that are expected to have an impact on our liquidity and cash flow in specified future interval periods:
June 30, 2022
Total< 1 year1-3 years3-5 years> 5 years
Financings-Hamilton Credit Facility:
Debt - principal repayment$— $— $— $— $— 
Interest on borrowings (1) (2)
— — — — — 
Undrawn fees — — — — — 
Unused commitment fee (1)
— — — — — 
Total - Financings$— $— $— $— $— 
Liquidation of Feeder Funds' Investments:
GCIF 2016T (3)
$78,616 $78,616 $— $— $— 
GCIF 2019 (3)
23,253 — — 23,253 — 
Total Liquidation of Feeder Funds' Investments$101,869 $78,616 $— $23,253 $— 
_______________

(1)Interest on borrowings and unused commitment fees are based on the amount drawn on the Hamilton Credit Facility as of June 30, 2022 and consideration of (i) contractual minimum utilization commitments and (ii) the maximum commitment amount. Incremental borrowings after June 30, 2022 would (i) increase interest expense and (ii) reduce unused commitment fees. See Note 7. Borrowings for a detailed description of undrawn and unused commitment fees.
(2)The forecast of interest expense on borrowings is based on the prevailing interest rate as of the most recent interest reset date (LIBOR+2.50%) and it is subject to quarterly base interest rate changes.
50

(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, 2022. In accordance with the Liquidation Plans, the Master Fund will begin to effect a liquidation of its portfolio, with the intention of liquidating substantially all of its assets through liquidating distributions to the Feeder Funds on or before December 31, 2022. The Feeder Funds intend to, in turn, make liquidating distributions to their own shareholders with the proceeds received from the Master Fund, and will seek to distribute substantially all of their respective assets on or before December 31, 2022.
As of June 30, 2022, GCIF 2016T owned 66.7% of our outstanding Common Shares and GCIF 2019 owned 19.7% of our outstanding Common Shares. The two initial investors accounted for the remaining 13.6% of our outstanding Common Shares.
Critical Accounting Policies
Valuation of Investments
Our investments consist primarily of investments in senior and subordinated debt of private middle market U.S. companies and are presented in our consolidated financial statements at fair value. See Note 3. Investments for more information on our investments. As described more fully in Note 2. Significant Accounting Policies and Note 5. Fair Value of Financial Instruments, a valuation hierarchy based on the level of independent, objective evidence available regarding value is used to measure the fair value of our investments. Investments for which market quotations are readily available are valued using market quotations, which are generally obtained from independent pricing services, broker-dealers or market makers. With respect to our portfolio investments for which market quotations are not readily available, our Board of Trustees is responsible for determining in good faith the fair value of our portfolio investments in accordance with, and through the consistent application of, the valuation policy and procedures approved by our Board of Trustees, based on, among other things, the input of Guggenheim and any independent third-party valuation firms.
We utilize valuation techniques that use unobservable inputs and assumptions in determining the fair value of our investments classified as Level 3 within the valuation hierarchy. For senior debt and subordinated debt classified as Level 3 fair value investments, we initially value the investment at its initial transaction price and subsequently value the investment using (i) market data for similar instruments (e.g., recent transactions or indicative broker quotes) and/or (ii) valuation models. Valuation models are based on EBITDA multiples to determine enterprise value and debt multiple ratios where the key inputs are based on relative value analysis of similar credit investments issued by similar portfolio companies. The valuation techniques used by us for other types of assets that are classified as Level 3 investments are described in Note 2. Significant Accounting Policies. The unobservable inputs and assumptions may differ by asset and in the application of our valuation methodologies. The reported fair value estimates could vary materially if we had chosen to incorporate different unobservable inputs and assumptions.
We and our Board of Trustees conduct our fair value determination process on a quarterly basis and any other time when a material decision regarding the fair value of our portfolio investments is required, including in connection with ensuring our compliance with the 1940 Act's requirements regarding the price at which we issue our Shares. A determination of fair value involves subjective judgments and estimates. Due to the inherent uncertainty of determining the fair value of portfolio investments that do not have a readily available market value, the fair value of these portfolio investments may differ materially from the values that would have been determined had a readily available market value existed for such investments. Further, such investments are generally less liquid than exchange-traded securities. If we were required to liquidate a portfolio investment that does not have a readily available market value in a forced or liquidation sale, we could realize significantly less than the fair value recorded by us.
The table below presents information on investments classified as Level 3 according to the valuation hierarchy within the investment portfolio on June 30, 2022 and December 31, 2021:
As of
June 30, 2022December 31, 2021
Investments classified as Level 3 fair value$59,193 $80,068 
Total investments at fair value$92,302 $124,139 
Total assets$118,998 $159,243 
Percentage of investment portfolio classified as Level 3 fair value64.1 %64.5 %
Percentage of total assets classified as Level 3 fair value49.7 %50.3 %
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The ranges of unobservable inputs used in the fair value measurement of our investments classified as Level 3 fair valued as of June 30, 2022 and December 31, 2021 are presented in Note 5. Fair Value of Financial Instruments, as well as the directional impact to the investments' valuation from an increase or decrease in the associated unobservable inputs.
In addition to impacting the estimated fair value recorded for our investments on our consolidated statements of assets and liabilities, had we used different key unobservable inputs to determine the estimated fair value of our investments, amounts recorded in our consolidated statements of operations, including the net change in unrealized appreciation and depreciation on investments, management and performance-based incentive fees would also be impacted. The table below outlines the impact on our results of a 5% increase in the fair value of our Level 3 investments for the periods ended June 30, 2022 and June 30, 2021:
June 30, 2022June 30, 2021
Fair Value of Level 3 Investments at Period End$59,193 $123,800 
Fair Value Assuming a 5% Increase in Value62,153 129,990 
Increase in unrealized appreciation2,960 6,190 
(Increase) in management fees (1)
(26)(54)
(Increase) in performance based incentive fee (2)
(592)(1,238)
Increase in net assets resulting from operations$2,342 $4,898 
Weighted average Common Shares outstanding (basic and diluted)25,594,125 25,867,772 
Common Shares outstanding at the end of the Period25,594,125 25,594,125 
Increase in earnings per Common Share$0.09 $0.19 
Increase in net asset value per Common Share$0.09 $0.19 
_______________
(1)Increases in management fees for the periods ended June 30, 2022 and June 30, 2021 represent only 3 months' worth of the change to the Master Fund's management fees.
(2)Increase in performance-based incentive fee is calculated as 20% of the increase in unrealized appreciation.
Investment Advisory Fees
See Note 2. Significant Accounting Policies.
Recent Accounting Standards
See Note 2. Significant Accounting Policies.
Contractual Obligations
We have entered into certain agreements under which we have material future commitments.
The Master Fund is a party to an Investment Advisory Agreement with Guggenheim, pursuant to which the Master Fund agreed to pay Guggenheim an investment advisory fee. See Note 6. Related Party Agreements and Transactions for a more detailed description of the Investment Advisory Agreement. If the Investment Advisory Agreement is terminated, our costs may increase under any replacement investment advisory agreement that we subsequently enter into. We would also likely incur expenses in identifying and evaluating candidates to provide the services we expect to receive under any successor investment advisory agreement and administrative services agreement. Any successor investment advisory agreement would also be subject to approval by our shareholders.
In 2015, Hamilton, a wholly-owned, special purpose financing subsidiary of the Master Fund, initially entered into the Hamilton Credit Facility with JPMorgan Chase Bank, National Association, as administrative agent, each of the lenders from time to time party thereto, and U.S. Bank National Association, as collateral agent, collateral administrator and securities intermediary. On June 29, 2018, the Hamilton Credit facility was amended to extend the term from December 17, 2019 to December 29, 2022 and to extend the draw-down term from December 17, 2018 to December 29, 2021 among other things. On November 29, 2021, Hamilton repaid in full all outstanding amounts due in connection with, and terminated all commitments under, the Hamilton Credit Facility. See Note 7. Borrowings.
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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
See Note 6. Related Party Agreements and Transactions.
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, 2022, 97.7% of our debt investments (95.5% of our total investments), or $88.1 million measured at fair value, are subject to floating interest rates. Our sole credit facility is also subject to changes in its 3-Month LIBOR base interest rate. A rise in the general level of interest rates can be expected to lead to (i) higher interest income from our floating rate debt investments and (ii) value declines for fixed interest rate investments we may hold. Since a majority of our investments consist of floating rate investments, an increase in interest rates could also make it more difficult for borrowers to repay their loans, and a rise in interest rates may also make it easier for Guggenheim to meet or exceed the quarterly threshold for performance-based incentive fees as described in Note 6. Related Party Agreements and Transactions.
The following table presents the approximate annualized increase (decrease) in (i) interest income from our investment portfolio, (ii) interest expense associated with our floating rate credit facility and (iii) the net increase or decrease of interest-related income and expense, directly resulting from hypothetical changes in base interest rates (e.g., LIBOR), assuming no changes in the composition of our investment portfolio and capital structure as of June 30, 2022.
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
370 — 370 0.01 
 +100 bps798 — 798 0.03 
 +150 bps1,266 — 1,266 0.05 
 +200 bps1,747 — 1,747 0.07 
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.
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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, 2022, have concluded that our disclosure controls and procedures, as defined in Rule 13a-15(e) under the Exchange Act, were effective as of June 30, 2022 at a reasonable level of assurance.
Changes in Internal Control over Financial Reporting
During the most recent fiscal quarter, there was no change in our internal controls over financial reporting, as defined under Rule 13a-15(f) under the Exchange Act, that has materially affected, or is reasonably likely to materially affect, our internal controls over financial reporting.
PART II. OTHER INFORMATION
Item 1. Legal Proceedings.
As of August 12, 2022, 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, 2021, which could materially affect our business, financial condition and/or operating results. The risks described in our annual report on Form 10-K are not the only risks we face. Additional risks and uncertainties are not currently known to us or that we currently deem to be immaterial also may materially adversely affect our business, financial condition and/or operating results. During the six months ended June 30, 2022, other than as set forth below, there have been no material changes from the risk factors set forth in our annual report on Form 10-K for the year ended December 31, 2021.
Inflation may adversely affect the business, results of operations and financial condition of our portfolio companies.
Certain of our portfolio companies may be impacted by inflation. If such portfolio companies are unable pass any increases in their costs along to their customers, it could adversely affect their results and their ability to impacting their ability to pay interest and principal on our loans. In addition, any projected future decreases in our portfolio companies’ operating results due to inflation could adversely impact the fair value of those investments. Any decreases in the fair value of our investments could result in future unrealized losses and therefore reduce our net assets resulting from operations.
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The Company is currently operating in a period of capital markets disruption, significant volatility and economic uncertainty.
The global capital markets are experiencing a period of disruption and instability resulting in increasing spreads between the yields realized on riskier debt securities and those realized on risk-free securities, lack of liquidity in parts of the debt capital markets, significant write-offs in the financial services sector and the re-pricing of credit risk in the broadly syndicated market. Highly disruptive market conditions have resulted in increasing volatility and illiquidity in the global credit, debt and equity markets generally. The duration and ultimate effect of such market conditions cannot be accurately forecasted. Extreme uncertainty regarding economic markets is resulting in declines in the market values of potential investments and declines in the market values of investments after they are made or acquired by the Company and affecting the potential for liquidity events involving such investments or portfolio companies. During periods of market disruption, portfolio companies may be more likely to seek to draw on unfunded commitments the Company has made, and the risk of being unable to fund such commitments is heightened during such periods. Applicable accounting standards require the Company to determine the fair value of its investments as the amount that would be received in an orderly transaction between market participants at the measurement date. While most of the Company’s investments are not publicly traded, as part of the Company’s valuation process the Company considers a number of measures, including comparison to publicly traded securities. As a result, volatility in the public capital markets can adversely affect the Company’s investment valuations.
Various social and political tensions around the world may contribute to increased market volatility, may have long-term effects on the worldwide financial markets and may cause further economic uncertainties worldwide. In particular, the consequences of the conflict between Russia and Ukraine, including international sanctions, the potential impact on inflation and increased disruption to supply chains may impact portfolio companies. Such consequences also may increase the Company’s funding cost or limit its access to the capital markets.
A prolonged period of market illiquidity may cause the Company to reduce the volume of loans and debt securities originated and/or fund and adversely affect the value of the Company’s portfolio investments, which could have a material and adverse effect on the Company’s business, financial condition, results of operations and cash flows.
Item 2. Unregistered Sales of Equity Securities and Use of Proceeds.
(a) None.
(b) Not applicable.
(c) The Master Fund had implemented a share repurchase program, whereby it conducts tender offers each calendar quarter. In accordance with the Liquidation Plan, the Master Fund’s share repurchase program has been suspended effective March 30, 2021.
Item 3. Defaults Upon Senior Securities.
(a) None.
(b) Not applicable.
Item 5. Other Information.
None.
Item 6. Exhibits.
The exhibits required by this item are set forth in the Exhibit Index attached hereto and are filed or incorporated as part of this Report.
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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, 2022By:/s/ Matthew S. Bloom
  MATTHEW S. BLOOM
 Chief Executive Officer
 (Principal Executive Officer)
Date:August 12, 2022By:/s/ Michael Guss
  MICHAEL GUSS
 Chief Financial Officer
 (Principal Financial Officer)
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EXHIBIT INDEX
The following exhibits are filed or incorporated as part of this Report.
3.1
3.2  
3.3
3.4  
10.1   
10.2   
10.3 
10.4 
10.5   
10.6 
10.7 
10.8 
10.9 
10.10 
10.11 
10.12 
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14.1 
14.2 
31.1   Certification of Chief Executive Officer pursuant to Section 302 of the Sarbanes-Oxley Act of 2002. (Filed herewith.)
31.2   Certification of Chief Financial Officer pursuant to Section 302 of the Sarbanes-Oxley Act of 2002. (Filed herewith.)
32   Certification of Chief Executive Officer and Chief Financial Officer pursuant to Section 906 of the Sarbanes-Oxley Act of 2002. (Filed herewith.)
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