10-Q

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM 10-Q

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

For the quarterly period ended September 30, 2020

OR

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

Commission file number: 814-01094

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 Class	Trading Symbol(s)	Name of Each Exchange on Which Registered
None	N/A	N/A

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

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 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  ¨ Noý

The number of the Registrant's common shares outstanding as of November 10, 2020 was 16,805,665.

GUGGENHEIM CREDIT INCOME FUND 2016 T

INDEX

		PAGE
PART I. FINANCIAL INFORMATION
Item 1.	Financial Statements (Unaudited)	3
	Statements of Assets and Liabilities as of September 30, 2020 and December 31, 2019	3
	Statements of Operations for the three and nine months ended September 30, 2020 and 2019	4
	Statements of Changes in Net Assets for the nine months ended September 30, 2020 and 2019	5
	Statements of Cash Flows for the nine months ended September 30, 2020 and 2019	7
	Notes to Financial Statements (Unaudited)	8
Item 2.	Management's Discussion and Analysis of Financial Condition and Results of Operations	20
Item 3.	Quantitative and Qualitative Disclosures About Market Risk	25
Item 4.	Controls and Procedures	27
PART II. OTHER INFORMATION
Item 1.	Legal Proceedings	27
Item 1A.	Risk Factors	27
Item 2.	Unregistered Sales of Equity Securities and Use of Proceeds	29
Item 5.	Other Information	30
Item 6.	Exhibits	30
Signatures		31
Exhibits Index		32

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, 2019, that was filed on March 13, 2020. Moreover, because we operate in a very competitive and rapidly changing environment, new risks are likely to emerge from time to time. Given these 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, 2019, that was filed on March 13, 2020. The forward-looking statements and projections contained in this Report are excluded from the safe harbor protection provided by Section 27A of the Securities Act and Section 21E of the Exchange Act.

All references to "Note" or "Notes" throughout this Report refer to the notes to the financial statements of the registrant 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 2016 T. All capitalized terms have the same meaning as defined in the Notes.

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)

	September 30, 2020		December 31, 2019
Assets
Investment in Guggenheim Credit Income Fund ("GCIF") (17,722,125 shares purchased at a cost of $147,298 and 18,122,416 shares purchased at a cost of $150,509, respectively)	$	128,829	$	140,933
Cash	496		802
Principal receivable	6		6
Receivable from related parties	275		—
Dividends receivable	698		—
Total assets	130,304		141,741
Liabilities
Due to Dealer Manager	1,243		1,853
Accounts payable, accrued expenses and other liabilities	25		32
Accrued professional services fees	63		60
Distributions payable	538		—
Payable to related parties	—		108
Total liabilities	1,869		2,053
Commitments and contingencies (Note 4. Related Party Agreements and Transactions)
Net Assets	$	128,435	$	139,688
Components of Net Assets:
Common Shares, $0.001 par value, 1,000,000,000 Common Shares authorized, 16,720,299 and 16,961,080 Common Shares issued and outstanding at September 30, 2020 and December 31, 2019, respectively	$	17	$	17
Paid-in-capital in excess of par value	147,187		149,220
Accumulated loss, net of distributions	(18,769)		(9,549)
Total net assets	$	128,435	$	139,688
Net asset value per Common Share	$	7.68	$	8.24

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 September 30,				Nine Months Ended September 30,
	2020		2019		2020		2019
Investment Income
Dividends from investment in GCIF	$	2,256	$	2,571	$	7,317	$	8,079
Total investment income	2,256		2,571		7,317		8,079
Operating Expenses (1)
Administrative services	4		4		11		12
Related party reimbursements	43		56		144		160
Professional services fees	32		23		96		92
Shareholder servicing expenses	78		85		236		258
Transfer agent expense	73		71		226		226
Other expenses	22		23		63		79
Total operating expenses	252		262		776		827
Reimbursement of expense support	—		72		27		194
Less: Expense support from related parties (See Note 4. Related Party Agreements and Transactions)	(324)		—		(795)		—
Net expenses	(72)		334		8		1,021
Net investment income	2,328		2,237		7,309		7,058
Realized and unrealized gains (losses):
Net realized gain (loss) from redemption of investment in GCIF	25		—		(218)		45
Long term gain distributions from investment in GCIF	—		—		—		849
Net realized gains (losses) from investment in GCIF	25		—		(218)		894
Net change in unrealized appreciation (depreciation) from investment in GCIF	4,074		(2,837)		(8,893)		(3,867)
Net realized and unrealized gains (losses)	4,099		(2,837)		(9,111)		(2,973)
Net increase (decrease) in net assets resulting from operations	$	6,427	$	(600)	$	(1,802)	$	4,085
Per Common Share information:
Net investment income per Common Share outstanding - basic and diluted	$	0.14	$	0.13	$	0.43	$	0.40
Earnings (losses) per Common Share - basic and diluted	$	0.38	$	(0.03)	$	(0.11)	$	0.23
Weighted average Common Shares outstanding - basic and diluted	16,781,914		17,410,326		16,867,744		17,531,132
Distributions per Common Share	$	0.13	$	0.18	$	0.44	$	0.49

______________

(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 Shares				Paid-in-Capital in Excess of Par Value		Accumulated Earnings (Loss), net of Distributions
	Shares	Amount							Total
Balance at December 31, 2019	16,961,080	$	17		$	149,220	$	(9,549)	$	139,688
Operations:
Net investment income	—	—			—		2,646		2,646
Net realized losses from investment in GCIF	—	—			—		(72)		(72)
Net change in unrealized depreciation from investment in GCIF	—	—			—		(22,172)		(22,172)
Net decrease in net assets resulting from operations	—	—			—		(19,598)		(19,598)
Shareholder distributions:
Distributions from earnings	—	—			—		(2,777)		(2,777)
Net decrease in net assets resulting from shareholder distributions	—	—			—		(2,777)		(2,777)
Capital share transactions:
Common Shares issued from reinvestment of distributions	87,105	—		(1)	721		—		721
Common Shares repurchased	(298,522)	—		(1)	(2,469)		—		(2,469)
Distribution services charge	—	—			19		—		19
Net decrease in net assets resulting from capital share transactions	(211,417)	—			(1,729)		—		(1,729)
Net decrease for the period	(211,417)	—			(1,729)		(22,375)		(24,104)
Balance at March 31, 2020	16,749,663	$	17		$	147,491	$	(31,924)	$	115,584
Operations:
Net investment income	—	—			—		2,335		2,335
Net realized losses from investment in GCIF	—	—			—		(171)		(171)
Net change in unrealized appreciation from investment in GCIF	—	—			—		9,205		9,205
Net increase in net assets resulting from operations	—	—			—		11,369		11,369
Shareholder distributions:
Distributions from earnings	—	—			—		(2,341)		(2,341)
Net decrease in net assets resulting from shareholder distributions	—	—			—		(2,341)		(2,341)
Capital share transactions:
Common Shares issued from reinvestment of distributions	166,265	—		(1)	1,181		—		1,181
Common Shares repurchased	(187,479)	—		(1)	(1,361)		—		(1,361)
Distribution services charge	—	—			(11)		—		(11)
Net decrease in net assets resulting from capital share transactions	(21,214)	—			(191)		—		(191)
Net increase (decrease) for the period	(21,214)	—			(191)		9,028		8,837
Balance at June 30, 2020	16,728,449	$	17		$	147,300	$	(22,896)	$	124,421
Operations:
Net investment income	—	—			—		2,328		2,328
Net realized gains from investment in GCIF	—	—			—		25		25
Net change in unrealized appreciation from investment in GCIF	—	—			—		4,074		4,074
Net increase in net assets resulting from operations	—	—			—		6,427		6,427
Shareholder distributions:
Distributions from earnings	—	—			—		(2,330)		(2,330)
Net decrease in net assets resulting from shareholder distributions	—	—			—		(2,330)		(2,330)
Capital share transactions:
Common Shares issued from reinvestment of distributions	127,297	—		(1)	961		—		961
Common Shares repurchased	(135,447)	—		(1)	(1,036)		—		(1,036)
Distribution services charge	—	—			(8)		—		(8)
Net decrease in net assets resulting from capital share transactions	(8,150)	—			(83)		—		(83)
Reclassifications of permanent book-to-tax differences	—	—			(30)		30		—
Net increase (decrease) for the period	(8,150)	—			(113)		4,127		4,014
Balance at September 30, 2020	16,720,299	$	17		$	147,187	$	(18,769)	$	128,435

_______________________

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

5

	Common Shares					Paid-in-Capital in Excess of Par Value		Accumulated Earnings (Loss), net of Distributions
	Shares		Amount							Total
Balance at December 31, 2018	17,534,522		$	18		$	153,899	$	(2,208)	$	151,709
Operations:
Net investment income	—		—			—		1,850		1,850
Net realized gains from investment in GCIF	—		—			—		849		849
Net change in unrealized depreciation from investment in GCIF	—		—			—		(407)		(407)
Net increase in net assets resulting from operations	—		—			—		2,292		2,292
Shareholder distributions:
Distributions from earnings	—		—			—		(2,661)		(2,661)
Net decrease in net assets resulting from shareholder distributions	—		—			—		(2,661)		(2,661)
Capital share transactions:
Common Shares issued from reinvestment of distributions	211,933		—		(1)	1,831		—		1,831
Common Shares repurchased	(207,679)		—		(1)	(1,797)		—		(1,797)
Distribution services charge	—		—			7		—		7
Net increase in net assets resulting from capital share transactions	4,254		—			41		—		41
Net increase (decrease) for the period	4,254		—			41		(369)		(328)
Balance at March 31, 2019	17,538,776		$	18		$	153,940	$	(2,577)	$	151,381
Operations:
Net investment income	—		—			—		2,971		2,971
Net realized gains from investment in GCIF	—		—			—		45		45
Net change in unrealized depreciation from investment in GCIF	—		—			—		(623)		(623)
Net increase in net assets resulting from operations	—		—			—		2,393		2,393
Shareholder distributions:
Distributions from earnings	—		—			—		(2,872)		(2,872)
Net decrease in net assets resulting from shareholder distributions	—		—			—		(2,872)		(2,872)
Capital share transactions:
Common Shares issued from reinvestment of distributions	142,234		—		(1)	1,229		—		1,229
Common Shares repurchased	(323,596)		(1)			(2,792)		—		(2,793)
Distribution services charge	—		—			103		—		103
Net decrease in net assets resulting from capital share transactions	(181,362)		(1)			(1,460)		—		(1,461)
Net decrease for the period	(181,362)		(1)			(1,460)		(479)		(1,940)
Balance at June 30, 2019	17,357,414		$	17		$	152,480	$	(3,056)	$	149,441
Operations:
Net investment income	—		—			—		2,237		2,237
Net change in unrealized depreciation from investment in GCIF	—		—			—		(2,837)		(2,837)
Net decrease in net assets resulting from operations	—		—			—		(600)		(600)
Shareholder distributions:
Distributions from earnings	—		—			—		(3,067)		(3,067)
Net decrease in net assets resulting from shareholder distributions	—		—			—		(3,067)		(3,067)
Capital share transactions:
Common Shares issued from reinvestment of distributions	98,412		—		(1)	838		—		838
Distribution services charge	—		—			26		—		26
Net increase in net assets resulting from capital share transactions	98,412		—			864		—		864
Net increase (decrease) for the period	98,412		—			864		(3,667)		(2,803)
Balance at September 30, 2019	$	17,455,826	$	17		$	153,344	$	(6,723)	$	146,638

_______________________

(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)

	Nine Months Ended September 30,
	2020		2019
Operating activities
Net increase (decrease) in net assets resulting from operations	$	(1,802)	$	4,085
Adjustments to reconcile net increase (decrease) in net assets from operations to net cash provided by operating activities:
Purchase of investment in GCIF	—		(1,000)
Sale of investment in GCIF through GCIF's share repurchase program	2,993		1,700
Net realized (gain) loss from investment in GCIF	218		(45)
Net change in unrealized depreciation from investment in GCIF	8,893		3,867
(Increase) decrease in operating assets:
Receivable from related parties	(275)		31
Dividends receivable	(698)		1,462
Increase (decrease) in operating liabilities:
Due to Dealer Manager	(8)		(13)
Accounts payable, accrued expenses and other liabilities	(7)		(39)
Accrued professional services fees	3		17
Payable to related parties	(108)		140
Net cash provided by operating activities	9,209		10,205
Financing activities
Repurchase of Common Shares	(4,866)		(4,590)
Distributions paid	(4,047)		(5,125)
Payment of DSS Fees	(602)		(641)
Net cash used in financing activities	(9,515)		(10,356)
Net decrease in cash	(306)		(151)
Cash, beginning of period	802		1,698
Cash, end of period	$	496	$	1,547
Supplemental information and non-cash financing activities:
Distributions reinvested	$	2,863	$	3,898
Due to Dealer Manager	$	—	$	(136)

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. The Company may continue to acquire Master Fund common shares in a continuous series of private placement transactions with the proceeds from its distribution reinvestment program, subject to the availability of surplus cash available for investment (See Note 5. Common Shares). 

As of September 30, 2020, the Company owned 65.60% 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”).

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.

Reclassifications

Certain prior period amounts may be reclassified to conform to the current presentation with no effect on the Company's financial condition, results of operations or cash flows.

8

Notes to Financial Statements (Unaudited)

Use of Estimates

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

Cash

Cash consists of demand deposits held at a major U.S. financial institution and the amount recorded on the 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 distributions of long term gains 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, long term gains 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.

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.

9

Notes to Financial Statements (Unaudited)

Federal Income Taxes

The Company has elected to be treated for federal income tax purposes, and intends to maintain its qualification, as a Regulated Investment Company ("RIC") under Subchapter M of the Internal Revenue Code of 1986, as amended (the "Code"). Generally, a RIC is not subject to federal income taxes on distributed income and gains if it distributes dividends in a timely manner out of assets legally available for distributions to its shareholders of an amount generally at least equal to 90% of its “Investment Company Taxable Income,” 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 September 30, 2020, open U.S. Federal and state income tax years include the tax years ended September 30, 2017 through September 30, 2020. 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.

SEC Disclosure Update and Simplification

In August 2020, the U.S. Securities and Exchange Commission (“SEC”) issued Final Rule Release No. 33-10825 and No.34-89670, collectively referred to as 'Modernization of Regulation S-X Items 101, 103 and 105’. These rules amend certain SEC disclosure requirements to improve disclosure for investors and to simplify compliance for registrants, including new requirements for human capital disclosures and a summary of risk factors. The final rules are effective for all filings on or after November 9, 2020. The Company has evaluated the impact of the amendments and determined the effect of the adoption of the simplification rules on the financial statements would mostly affect the Form 10-K.

Note 3. Investments

Below is a summary of the Company's investment in the Master Fund, a related party:

	End of Period	Weighted Average Shares Owned						% of Net
Period Ended	No. of Shares	Quarter to Date	Year to Date	Cost		Fair Value		Assets
September 30, 2020	17,722,125	17,798,319	17,891,722	$	147,298	$	128,829	100.3	%
December 31, 2019	18,122,416	18,445,894	18,742,374	$	150,509	$	140,933	100.9	%

10

Notes to Financial Statements (Unaudited)

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. The Master Fund's Board may amend, suspend or terminate the share repurchase program.

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. Two of the Company’s executive officers, Kevin Robinson, Senior Vice President, and Brian Binder, Senior Vice President, serve as executive officers 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.

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.

11

Notes to Financial Statements (Unaudited)

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.

During the three months ended September 30, 2020, less than $0.1 million of DSS Fees was booked to “Paid-in-capital in excess of par value”, less than $0.1 million was charged to "Shareholder servicing component expenses" and less than $0.1 million was charged to interest expense, included in other expenses, for the accretion of the present value discount. During the nine months ended September 30, 2020, $0.0 million of DSS Fees was booked to “Paid-in-capital in excess of par value”, $0.2 million was charged to "Shareholder servicing component expenses" and less than $0.1 million was charged to interest expense, included in other expenses, for the accretion of the present value discount. As of September 30, 2020, the Company had recognized a liability to the Dealer Manager of $1.2 million representing (i) the present value of all future estimated payments of the Distribution Services Component amounting to $1.0 million, or $1.0 million discounted at a rate of 1.93% and (ii) the current period accrued and unpaid portion of the Distribution and Shareholder Services Component, or $0.3 million. The following table presents the timing of future payments of the estimated $1.0 million of the DSS Fee: Distribution Services Component:

	September 30, 2020
	Total		≤ 1 year		> 1 - 3 years		3 - 5 years		5 years
DSS Fee: Distribution Services Component	$	975	$	784	$	191	$	—	$	—

Organization and Offering Expense Reimbursement Agreement

The Company is party to an organization and offering expense reimbursement agreement, as may be amended (the "O&O Agreement"), with Guggenheim. Under the O&O Agreement the Company reimbursed Guggenheim for organization and offering expenses incurred on the Company's behalf, including, but not limited to, legal services, audit services, printer services and the registration of securities under the Securities Act. The reimbursement of organization and offering expenses was conditional on the Company's receipt of equity capital from the sale of its Common Shares. Any such reimbursement could not exceed actual expenses incurred by Guggenheim and their affiliates. The Advisors were ultimately responsible for the payment of the Company's cumulative organization and offering expenses to the extent they exceeded 1.5% of the aggregate proceeds from the sale of the Company's Common Shares, without recourse against or reimbursement by the Company. Under the terms of the O&O 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.

12

Notes to Financial Statements (Unaudited)

Expense Support and Conditional Reimbursement Agreement

The Company initially entered into an expense support and conditional reimbursement agreement with Carey Credit Advisors, LLC ("CCA"), one of the Company's prior investment advisors, and Guggenheim on July 24, 2015, as amended (the "Prior Expense Support Agreement"). According to the terms of the Prior Expense Support Agreement, CCA and Guggenheim agreed to reimburse the Company for expenses in an amount that is sufficient to ensure that no portion of the Company's distributions to shareholders will be paid from Common Share offering proceeds. CCA and Guggenheim agreed to reimburse the Company monthly for expenses in an amount equal to the difference between the Company's cumulative distributions paid to its shareholders in each month less the sum of the Company's estimated investment company taxable income and net capital gains in each month. On September 5, 2017 the Company entered into an amended and restated expense support and conditional reimbursement agreement (the "Expense Support Agreement") with Guggenheim and CCA, for a limited purpose, effective as of September 11, 2017. The amended terms of the Expense Support Agreement: (i) released CCA from all obligations to make further expense payments, (ii) terminated all of CCA's rights under the Expense Support Agreement, including any right to reimbursement for prior period expense payments made under the terms of the Prior Expense Support Agreement and (iii) permitted the Company the option to limit or reduce Guggenheim expense payments in any manner so that the Company will comply with IRC Section 851 in each of its future tax years. As a result, 100% of all CCA's prior periods' unreimbursed expense payments were classed as ineligible for future reimbursement, and going forward, Guggenheim is the sole source of expense payments and solely eligible for reimbursement of prior periods' expense payments.

Pursuant to the Expense Support Agreement, the Company has a conditional obligation to reimburse Guggenheim for any amounts funded by Guggenheim under this arrangement or the Prior Expense Support Agreement if (and only to the extent that), 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.

The Company or Guggenheim may terminate the Expense Support Agreement at any time. 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 specific amount of Guggenheim's expense payment obligation is determined at the end of each month. Upon termination of the Expense Support Agreement by Guggenheim, it 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 by either party. There can be no assurance that the Expense Support Agreement will remain in effect or that Guggenheim will reimburse any portion of the Company's expenses in future months.

13

Notes to Financial Statements (Unaudited)

The table below presents a summary of unreimbursed monthly expenses supported by Guggenheim:

Month Ended	Expense Support from CCA and Guggenheim	CCA Waiver of Expense Support Reimbursement	Expense Support Reimbursement	Expired Expense Support	Unreimbursed Expense Support		Minimum of 1.75% and Annualized Fiscal Year to Date Other Operating Expense Ratio (1)	Annualized Regular Cash Distribution Rate/Share, Declared (2)	Eligible for Reimbursement through
April 2017	179	(89)	(90)	—	—		0.64%	0.63700	April 30, 2020
May 2017	254	(127)	(12)	(115)	—		0.64%	0.63076	May 31, 2020
June 2017	315	(157)	—	(158)	—		0.64%	0.63076	June 30, 2020
April 2018	57	—	—	—	57		0.43%	0.67571	April 30, 2021
March 2020	255	—	—	—	255		0.54%	0.67397	March 31, 2023
April 2020	96	—	—	—	96		0.54%	0.57463	April 30, 2023
May 2020	98	—	—	—	98		0.54%	0.57526	May 31, 2023
June 2020	21	—	—	—	21		0.54%	0.57364	June 30, 2023
July 2020	126	—	—	—	126		0.54%	0.57479	July 31, 2023
August 2020	101	—	—	—	101		0.54%	0.57474	August 31, 2023
September 2020	96	—	—	—	96		0.54%	0.57401	September 30, 2023
Total					$	850

______________________

(1)Other operating expenses include all expenses borne by the Company excluding organization and offering costs, a management fee, a performance-based incentive fee, financing fees and costs and interest expense.

(2)"Annualized Regular Cash Distribution Rate/Share, Declared" equals the annualized rate of average weekly or monthly distributions per Share that were declared with record dates in the subject month immediately prior to the date the expense support payment obligation was incurred by CCA and Guggenheim. Regular cash distributions do not include declared special cash or share distributions, if any. Regular distributions are grossed up to disregard the expense impact of the DSS Fees on the statement of operations.

Summary of Related Party Transactions

The following table presents the related party fees, expenses and transactions for the three and nine months ended September 30, 2020 and September 30, 2019; 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:

		Three Months Ended September 30,				Nine Months Ended September 30,
Related Party (1)	Source Agreement & Description	2020		2019		2020		2019
	Related Party Expenses:
Guggenheim	Administrative Services Agreement - expense reimbursement	$	43	$	56	$	144	$	160
Guggenheim	Expense Support Agreement - expense support reimbursement	—		72		27		194
	Related Party Income:
Guggenheim	Expense Support Agreement - expense support received from related party	324		—		795		—

____________________

(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 seeManagement's Discussion and Analysis of Financial Condition and Results of Operations - Critical Accounting Policies.

14

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 September 30, 2020, 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 nine months ended September 30, 2020 and (b) the period commencing on July 24, 2015 (inception) through September 30, 2020:

	Nine Months Ended			Inception through
	September 30, 2020			September 30, 2020
	Shares	Amount		Shares	Amount
Gross proceeds from Public Offering	—	$	—	16,970,408	$	164,194
Commission paid outside escrow	—	—		—	(1,924)
Dealer Manager fees and commissions	—	—		—	(7,462)
Net proceeds to the Company from Public Offering	—	—		16,970,408	154,808
Reinvestment of shareholders' distributions	380,667	2,863		2,347,269	20,395
Net proceeds from all issuance of Common Shares	380,667	$	2,863	19,317,677	$	175,203
Average net proceeds per Common Share	$7.52			$9.07

15

Notes to Financial Statements (Unaudited)

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 September 30, 2020:

Tender Offer Termination Date	Total Number of Shares Offered to Repurchase	Total Number of Shares Repurchased	Total Consideration		Price Paid per Share		No. of Shares Repurchased / Total Shares Offered		No. of Shares Repurchased / Weighted Average Shares (1)
2020:
March 9, 2020	436,352	298,522	$	2,469	$	8.27	68.4	%	1.71	%
June 8, 2020 (2)	160,035	187,479	1,361		7.26		117.1	%	1.08	%
September 8, 2020	135,448	135,447	1,036		7.65		100.0	%	0.79	%
Total	731,835	621,448	$	4,866			84.9	%
2019:
March 8, 2019	438,164	207,679	$	1,797	$	8.65	47.4	%	1.18	%
June 5, 2019	439,278	323,596	2,792		8.63		73.7	%	1.84	%
October 11, 2019	439,656	396,895	3,322		8.37		90.3	%	2.26	%
December 6, 2019	438,630	293,787	2,442		8.31		67.0	%	1.67	%
Total	1,755,728	1,221,957	$	10,353			69.6	%
2018:
December 6, 2018	437,336	159,421	$	1,438	$	9.02	36.5	%	0.91	%
Total	437,336	159,421	$	1,438			36.5	%

________________

(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 160,035 Shares on May 1, 2020. In accordance with Rule 13e-4(f), the Company determined to accept for purchase up to an additional 0.2% of our then outstanding Shares, increasing the offer to 187,479 Shares. The Company repurchased 187,479 Shares which represents approximately 100% of all Shares that were validly tendered.

16

Notes to Financial Statements (Unaudited)

Note 6. Distributions

Declared distributions are paid monthly. The following table summarizes the distributions that the Company declared on its Common Shares during the nine months ended September 30, 2020 and September 30, 2019:

Record Date	Payment Date	Distribution Per Common Share at Record Date		Distribution Per Common Share at Payment Date		Distribution Amount
For Fiscal Year 2020
January 6, 13, 20, 27	January 29	$	0.01258	$	0.05032	$	853
February 3, 10, 17, 24	February 26	0.01258		0.05032		856
March 2, 9, 16, 23, 30	April 1	0.01258		0.06290		1,068
April 6, 13, 20, 27	April 29	0.01069		0.04276		719
May 4, 11, 18, 25, June 1, 8	June 9	0.01069		0.06414		1,081
June 15, 22, 29, July 6	July 9	0.01069		0.04276		719
July 13, 20, 27, August 3, 10	August 11	0.01069		0.05345		896
August 17, 24, 31, September 7	September 9	0.01069		0.04276		719
September 14, 21, 28	October 1	0.01069		0.03207		537
				$	0.44148	$	7,448
For Fiscal Year 2019
January 7, 14, 21, 28	January 30	$	0.01258	$	0.05032	$	883
February 4, 11, 18, 25	February 27	0.01258		0.05032		889
March 4, 11, 18, 25	March 27	0.01258		0.05032		889
April 1, 8, 15, 22, 29	May 1	0.01258		0.06290		1,103
May 6, 13, 20, 27	May 29	0.01258		0.05032		885
June 3, 10, 17, 24	June 26	0.01258		0.05032		884
July 1, 8, 15, 22, 29	July 29	0.01258		0.06290		1,092
August 5, 12, 19, 26	August 28	0.01258		0.05032		877
September 2, 9, 16, 23, 30	October 2	0.01258		0.06290		1,098
				$	0.49062	$	8,600

17

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 nine months ended September 30, 2020 and September 30, 2019:

	Nine Months Ended September 30,
	2020			2019
PER COMMON SHARE OPERATING PERFORMANCE
Net asset value, beginning of period	$	8.24		$	8.65
Net investment income (1)	0.43			0.40
Net realized gains (losses) from investment in GCIF (1)	(0.01)			0.05
Net unrealized depreciation from investment in GCIF (2)	(0.54)			(0.22)
Net increase (decrease) resulting from operations	(0.12)			0.23
Distributions to common shareholders
Distributions from net investment income (3)	(0.43)			(0.40)
Distributions from realized gains on investment (3)	—			(0.09)
Distributions in excess of net investment income (3)	(0.01)			—
Distributions from earnings (3)	(0.44)			(0.49)
Capital Share Transactions
Distribution services charge (7)	—			0.01
Net increase in net assets resulting from Capital Share transactions	—			0.01
Net asset value, end of period	$	7.68		$	8.40
INVESTMENT RETURNS
Total investment return-net asset value (4)	(1.13)		%	2.79		%
RATIOS/SUPPLEMENTAL DATA
Net assets, end of period	$	128,435		$	146,638
Average net assets (5)	$	128,620		$	150,704
Common Shares outstanding, end of period	16,720,299			17,455,826
Weighted average Common Shares outstanding	16,867,744			17,531,132
Ratios-to-average net assets: (5) (6)
Total expenses	0.60		%	0.55		%
Effect of expense support reimbursement to (received from) the Advisor	(0.60)		%	0.13		%
Net expenses	—		%	0.68		%
Net investment income	5.68		%	4.68		%

_____________________

(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 September 30, 2020, the Company estimated distributions to be composed of either ordinary income or capital gains. The final determination of the tax character of distributions will not be made until we file our tax return.

18

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, terminal market value per share is assumed to be equal to the 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. Total investment return-net asset value is not annualized.

(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. Ratios-to-average net assets, expressed as a percentage, are not annualized.

(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 nine months ended September 30, 2020 and September 30, 2019, were 5.64% and 5.85%, 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. For the nine months ended September 30, 2020, the per share impact of the distribution services component of the DSS Fee is less than 0.01.

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.

    To facilitate the orderly liquidation of the Company and in light of the disruption caused by the COVID-19 pandemic, the Board of Trustees of the Company, as permitted by the terms of the offering, has approved extending the liquidity event date recommendation deadline to on or before December 31, 2022.

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

(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.

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.

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 our 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. These senior debt classifications include 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 creditors.

•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.

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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.

Revenue

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., bringing with it one of the most volatile quarters for the leveraged loan market in history.

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. Though the magnitude of the impact remains to be seen, we expect the Master Fund's portfolio companies and, by extension, our operating results to be adversely impacted by COVID-19 and depending on the duration and extent of the disruption to the operations of 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.

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The reduction in our net asset value as of September 30, 2020 as compared to our net asset value as of December 31, 2019 is the result of significant unrealized depreciation in the fair value of our investments in the Master Fund due primarily to the negative economic impact and the increased uncertainty caused by COVID-19 pandemic.

Results of Operations

Operating results for the three and nine months ended September 30, 2020 and September 30, 2019 were as follows:

	Three Months Ended September 30,				Nine Months Ended September 30,
	2020		2019		2020		2019
Total investment income	$	2,256	$	2,571	$	7,317	$	8,079
Net expenses	(72)		334		8		1,021
Net investment income	2,328		2,237		7,309		7,058
Net realized gain (loss) from redemption of investment in GCIF	25		—		(218)		45
Long term gain distributions from investment in GCIF	—		—		—		849
Net change in unrealized appreciation (depreciation) from investment in GCIF	4,074		(2,837)		(8,893)		(3,867)
Net increase (decrease) in net assets resulting from operations	$	6,427	$	(600)	$	(1,802)	$	4,085

Investment Income

Investment income consisted solely of distributions from the Master Fund for the three and nine months ended September 30, 2020 and September 30, 2019.

Operating Expenses

Operating expenses consisted of the following major components for the three and nine months ended September 30, 2020 and September 30, 2019:

	Three Months Ended September 30,				Nine Months Ended September 30,
	2020		2019		2020		2019
Administrative services	$	4	$	4	$	11	$	12
Related party reimbursements	43		56		144		160
Professional services fees	32		23		96		92
Shareholder servicing expenses	78		85		236		258
Transfer agent expense	73		71		226		226
Other expenses	22		23		63		79
Total operating expenses	252		262		776		827
Reimbursement of expense support	—		72		27		194
Less: Expense support from related parties	(324)		—		(795)		—
Net expenses	$	(72)	$	334	$	8	$	1,021

Related party reimbursements are comprised of the Company's allocable share of administrative costs and expenses incurred by CCA or 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.

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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 both the three and nine months ended September 30, 2020, we had net realized gains (losses) of less than $0.0 million and $(0.2) million, respectively, as a result of our sale of Master Fund Shares. For both the three and nine months ended September 30, 2019, we had net realized gains of less than $0.1 million as a result of our sale of Master Fund Shares.

During both the three and nine months ended September 30, 2020, there were no distributions received from the Master Fund that were classified as long term gains.

During the three and nine months ended September 30, 2019, $0.0 million and $0.8 million, respectively, of distributions received from Master Fund was classified as a long term gain distribution.

Changes in Unrealized Appreciation (Depreciation) from Investment

For the three and nine months ended September 30, 2020, the total net change in unrealized appreciation (depreciation) on our investment in the Master Fund was $4.1 million and $(8.9) million, respectively. The increase in net unrealized appreciation for the three months ended September 30, 2020 was primarily due to partial market recovery from the negative economic impact and the increased uncertainty caused by COVID-19 to the Master Fund's portfolio companies from the early part of the year.

For the three and nine months ended September 30, 2019, the total net change in unrealized depreciation on our investment in the Master Fund was $(2.8) million and $(3.9) million, respectively.

Cash Flows for the Nine Months Ended September 30, 2020 and September 30, 2019

For the nine months ended September 30, 2020 and September 30, 2019, net cash provided by operating activities was $9.2 million and $10.2 million, respectively. In 2020 and 2019, redemption of shares and distributions from the Master Fund were the primary provider of cash.

For the nine months ended September 30, 2020, net cash used in financing activities was $(9.5) million and primarily consisted of cash outflows for repurchases of $(4.9) million to shareholders and payment of distribution of $(4.0) million. For the nine months ended September 30, 2019, net cash used in financing activities was $(10.4) million and primarily consisted of cash outflows for repurchase of common shares of $(4.6) million to shareholders and payment of distribution of $(5.1) million.

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 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 September 30, 2020 and December 31, 2019.

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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 and expense 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.

The table below reconciles the change in the Due to Dealer Manager from January 1, 2020 to September 30, 2020 and from January 1, 2019 to September 30, 2019:

	2020		2019
Balance as of January 1,	$	1,853	$	2,907
Accretion of discount (1)	21		35
Incremental charge (reduction) to paid-in-capital (2)	—		(136)
Shareholder services component	236		258
DSS fee payments	(867)		(947)
Balance as of September 30,	$	1,243	$	2,117

______________________

(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.

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Obligations to Pay Distributions

Our Board of Trustees has declared distributions on Common Shares that are payable to shareholders of record after September 30, 2020. The declared distribution rates per Share for the period after September 30, 2020 are summarized as follows:

2020 Record Dates	2020 Payment Dates	Distribution per Share per Record Date		Distribution per Share per Payment Date
Oct. 12, 19, 26 & Nov. 2, 9, 2020	Nov. 10, 2020	$	0.01069	$	0.05345
Nov. 16, 23, 30 & Dec 7, 2020	Dec. 9, 2020	0.00855		0.03420

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 CCA and Guggenheim for Organization and Offering Expenses

Under the terms of the O&O Agreement, we agreed to reimburse CCA and 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, CCA and Guggenheim are 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. The table below presents the expected schedule of future payments of the Distribution Services Component of the DSS Fee:

	September 30, 2020
	Total		≤ 1 year		> 1 - 3 years		3 - 5 years		5 years
DSS Fee: Distribution Services Component	$	975	$	784	$	191	$	—	$	—

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 September 30, 2020, 97.5% of the Master Fund's debt investments (95.0% of total investments), or $312.6 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.

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Based on our investment in the Master Fund as of September 30, 2020, 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)	Net Increase (Decrease) per Share
-50 bps	$	0.01
+50 bps	(0.01)
+100 bps	(0.01)
+150 bps	0.03
+200 bps	0.06

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.

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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 September 30, 2020, have concluded that our disclosure controls and procedures, as defined in Rule 13a-15(e) under the Exchange Act, were effective as of September 30, 2020 at a reasonable level of assurance.

Changes in Internal Control over Financial Reporting

During the most recent fiscal quarter, there was no change in our internal controls over financial reporting, as defined under Rule 13a-15(f) under the Exchange Act, that has materially affected, or is reasonably likely to materially affect, our internal controls over financial reporting.

PART II. OTHER INFORMATION

Item 1. Legal Proceedings.

As of November 10, 2020, 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.

As of September 30, 2020, there have been no material changes from the risk factors set forth in our annual report on Form 10-K dated and filed with the SEC on March 13, 2020, except for the additional risk disclosures related to COVID-19 included in the following sections.

Cybersecurity risks and cyber incidents may adversely affect our business by causing a disruption to our operations, a compromise or corruption of our confidential information and/or damage to our business relationships, all of which could negatively impact our business, results of operations or financial condition.

A cyber incident is considered to be any adverse event that threatens the confidentiality, integrity or availability of our information resources. These incidents may be an intentional attack or an unintentional event and could involve gaining unauthorized access to our information systems for purposes of misappropriating assets, stealing confidential information, corrupting data or causing operational disruption. The result of these incidents may include disrupted operations, misstated or unreliable financial data, liability for stolen information, misappropriation of assets, increased cybersecurity protection and insurance costs, litigation and damage to our business relationships. Any such attack could result in significant losses, reputational damage, litigation, regulatory fines or penalties, or otherwise adversely affect our business, financial condition or results of operations. In addition, we may be required to expend significant additional resources to modify our protective measures and to investigate and remediate vulnerabilities or other exposures arising from operational and security risks. We face risks posed to our information systems, both internal and those provided to us by third-party service providers. We, Guggenheim and its affiliates have implemented processes, procedures and internal controls to help mitigate cybersecurity risks and cyber intrusions, but these measures, as well as our increased awareness of the nature and extent of a risk of a cyber incident, may be ineffective and do not guarantee that a cyber incident will not occur or that our financial results, operations or confidential information will not be negatively impacted by such an incident.

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Third parties with which we do business (including those that provide services to us) may also be sources or targets of cybersecurity or other technological risks. We outsource certain functions and these relationships allow for the storage and processing of our information and assets, as well as certain investor, counterparty, employee and borrower information. While we engage in actions to reduce our exposure resulting from outsourcing, ongoing threats may result in unauthorized access, loss, exposure or destruction of data, or other cybersecurity incidents, with increased costs and other consequences, including those described above. Privacy and information security laws and regulation changes, and compliance with those changes, may also result in cost increases due to system changes and the development of new administrative processes. The Company and its service providers are currently impacted by quarantines and similar measures being enacted by governments in response to COVID-19, which are obstructing the regular functioning of business workforces (including requiring employees to work from external locations and their homes). Accordingly, the risks described above are heightened under current conditions.

Global capital markets could enter a period of severe disruption and instability. These conditions have historically affected and could again materially and adversely affect debt and equity capital markets in the United States and around the world and could negatively impact our business, financial condition and results of operations.

Market and macro-economic disruptions may, in the future, affect the U.S. capital markets, which could adversely affect our business and that of our portfolio companies. These market disruptions may also affect the broader financial and credit markets and may reduce the availability of debt and equity capital for the market as a whole and to financial firms, in particular. At various times, these macro-disruptions have resulted in, and may in the future result in, a lack of liquidity in parts of the debt capital markets, significant write-offs in the financial services sector and the repricing of credit risk. These conditions may reoccur for a prolonged period of time again or materially worsen in the future, including as a result of further downgrades to the U.S. government’s sovereign credit rating or the perceived credit worthiness of the United States or other large global economies. Unfavorable macro-economic conditions, including future recessions, also could increase our funding costs, limit our access to the capital markets or result in a decision by lenders not to extend credit to us. We may in the future have difficulty accessing debt and equity capital on attractive terms, or at all, and a severe disruption and instability in the global financial markets or deteriorations in credit and financing conditions may cause us to reduce the volume of loans we originate and/or fund, adversely affect the value of our portfolio investments or otherwise have a material adverse effect on our business, financial condition, results of operations and cash flows. There has been ongoing discussion and commentary regarding potential significant changes to U.S. trade policies, treaties and tariffs. The current U.S. presidential administration, along with the U.S. Congress, has created significant uncertainty about the future relationship between the United States and other countries with respect to trade policies, treaties and tariffs. These developments, or the perception that any of them could occur, may have a material adverse effect on global economic conditions and the stability of global financial markets, and may significantly reduce global trade and, in particular, trade between the impacted nations and the United States. The spread of an epidemic or pandemic and efforts to contain it may result in severe disruptions to financial markets, supply chains, availability of raw materials, goods, and services. For example, the outbreak of COVID-19 is causing materially reduced consumer demand and economic output, disrupting supply chains, resulting in market closures, travel restrictions and quarantines, and adversely impacting local and global economies. As with other serious economic disruptions, governmental authorities and regulators are responding to this crisis with significant fiscal and monetary policy changes, including by providing direct capital infusions into companies, introducing new monetary programs and considerably lowering interest rates, which, in some cases resulted in negative interest rates. These actions, including their possible unexpected or sudden reversal or potential ineffectiveness, could further increase volatility in securities and other financial markets, reduce market liquidity, heighten investor uncertainty and adversely affect the value of our investments and our overall performance. In addition, uncertainty arising from the United Kingdom's decision to leave the European Union ("Brexit") could lead to further market disruptions and currency volatility, potentially weakening consumer, corporate and financial confidence and resulting in lower economic growth for companies that rely significantly on Europe for their business activities and revenues. Any of these factors could depress economic activity and restrict our portfolio companies' access to suppliers or customers and have a material adverse effect on their business, financial condition and results of operations, which in turn would negatively impact us.

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The lack of liquidity in our investments may adversely affect our business.

We may acquire a significant percentage of our portfolio company investments from privately-held companies in directly negotiated transactions. The securities of private companies are not publicly traded or actively traded on the secondary market and are, instead, traded on a privately-negotiated, over-the-counter secondary market for institutional investors, if at all. These over-the-counter secondary markets may be inactive during an economic downturn or a credit crisis. In addition, the securities in these companies will be subject to legal and other restrictions on resale or will otherwise be less liquid than publicly-traded securities. We typically would be unable to exit these investments unless and until the portfolio company has a liquidity event such as a sale, refinancing, or initial public offering.

The illiquidity of our investments may make it difficult or impossible for us to sell such investments if the need arises. In addition, if we are required to liquidate all or a portion of our portfolio quickly, we may realize significantly less than the value at which we have previously recorded our investments, which could have a material adverse effect on our business, financial condition, and results of operations.

Moreover, securities purchased by us that are liquid at the time of purchase may subsequently become illiquid due to events relating to the issuer of the securities, market events, economic conditions, or investor perceptions.

We may also face other restrictions on our ability to liquidate an investment in a portfolio company to the extent that we, Guggenheim, or any of its affiliates have material nonpublic information regarding such portfolio company, or where the sale would be an impermissible joint transaction. The reduced liquidity of our investments may make it difficult for us to dispose of them at a favorable price, and, as a result, we may suffer losses.

Dislocations in certain parts of markets are resulting in reduced liquidity for certain investments. It is uncertain when financial markets will improve. Liquidity of financial markets may also be affected by government intervention.

We may not have the funds or ability to make additional investments in our portfolio companies or to fund our unfunded commitments.

After our initial investment in a portfolio company, we may be called upon from time to time to provide additional funds to such company or have the opportunity to increase our investment through the exercise of a warrant or other right to purchase common stock. There is no assurance that we will make, or will have sufficient funds to make, follow-on investments. Even if we have sufficient capital to make a desired follow-on investment, we may elect not to make a follow-on investment because we may not want to increase our level of risk, we prefer other opportunities, we are limited in our ability to do so by compliance with BDC requirements, or we desire to maintain our RIC status. Our ability to make follow-on investments may also be limited by Guggenheim's allocation policies. Any decisions not to make a follow-on investment or any inability on our part to make such an investment may have a negative impact on a portfolio company in need of such an investment, may result in a missed opportunity for us to increase our participation in a successful operation, or may reduce the expected return on the investment. During periods of market disruption, portfolio companies may be more likely to seek to draw on unfunded commitments we have made, and the risk of being unable to fund such commitments is heightened during such periods.

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

(a) None.

(b) None.

(c) The following table provides information concerning our repurchases of Common Shares pursuant to our share repurchase program during the quarter ended September 30, 2020.

Period	Total Number of Shares Purchased	Price Paid per Share	Total Number of Shares Purchased as Part of Publicly Announced Plans or Programs	Maximum Number of Shares that May Yet Be Purchased Under the Plans or Programs
July 1, 2020 to July 31, 2020	—	—	—	—
August 1, 2020 to August 31, 2020	—	—	—	—
September 1, 2020 to September 30, 2020 (1)	135,447	7.65	135,447	—
Total	135,447		135,447	—

29

_____________________

(1)The maximum number of Shares available for repurchase on September 8, 2020 was 135,448. A description of our share repurchase program is set forth in Note 5. Common Shares to our unaudited financial statements included herein.

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.

30

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:	November 16, 2020	By:	/s/ Matthew S. Bloom
			MATTHEW S. BLOOM
			Chief Executive Officer
			(Principal Executive Officer)
Date:	November 16, 2020	By:	/s/ Cielo M. Ordonez
			CIELO M. ORDONEZ
			Chief Financial Officer
			(Principal Financial Officer)

31

The following exhibits are filed or incorporated as part of this Report.

3.1	Certificate of Amendment to Certificate of Trust of the Registrant. (Incorporated by reference to Exhibit 99(a)(5) filed with Pre-Effective Amendment No. 4 to Registrant's registration statement on Form N-2 (File No. 333-198882) filed on July 17, 2015.)
3.2	Amended and Restated Declaration of Trust of the Registrant. (Incorporated by reference to Exhibit 3.2 filed with the Registrant's Form 8-K (File No. 814-01094) filed on March 15, 2016.)
3.3	Certificate of Amendment to Certificate of Trust (Incorporated by reference to Exhibit 3.1 filed with the Registrant's Form 8-K (File No. 814-01094) as filed October 23, 2017.)
3.4	Amended and Restated Bylaws of the Registrant. (Incorporated by reference to Exhibit 3.3 filed with the Registrant's Form 8-K (File No. 814-01091) filed on March 15, 2016.)
4.1	Distribution Reinvestment Plan of the Registrant. (Incorporated by reference to Exhibit (e) filed with Pre-Effective Amendment No. 3 to the Registrant's registration statement on Form N-2 (File No. 333-198882) filed on May 4, 2015.)
10.1	Administrative Services Agreement by and between Guggenheim Credit Income Fund and Guggenheim Partners Investment Management, LLC. (Incorporated by reference to Exhibit 99.2 filed with Guggenheim Credit Income Fund's Form 8-K (File No. 814-01117) on August 15, 2017.)
10.2	Amendment No 1. to Administrative Services Agreement by and between the Registrant, Guggenheim Credit Income Fund, and Guggenheim Partners Investment Management, LLC. (Incorporated by reference to Exhibit 10.7 filed with Guggenheim Credit Income Fund's Form 10-K (File No. 814-01117) filed on March 12, 2019.)
10.3	Second Amended and Restated Dealer Manager Agreement by and among the Registrant, Guggenheim Credit Income Fund and Carey Financial, LLC. (Incorporated by reference to Exhibit 10.4 filed with the Registrant's Form 10-K (File No. 814-01094) filed on April 17, 2017.)
10.4	Form of Selected Dealer Agreement (revised Exhibit A to Second Amended and Restated Dealer Manager Agreement). (Incorporated by reference to Exhibit 10.5 filed with the Registrant's Form 10-K (File No. 814-01094) filed on April 17, 2017.)
10.5	Assignment and Assumption Agreement for Dealer Manager Agreement by and among the Registrant, Carey Financial, LLC, and Guggenheim Funds Distributors, LLC. (Incorporated by reference to Exhibit 99.4 filed with Guggenheim Credit Income Fund's Form 8-K (File No. 814-01117) on August 15, 2017.)
10.6	Form of Amended and Restated Expense Support and Conditional Reimbursement Agreement. (Incorporated by reference to Exhibit 99.4 filed with the Registrant's Form 8-K (File No. 814-01094) filed on August 15, 2017.)
10.7	Form of Amended and Restated Organization and Offering Expense Reimbursement Agreement by and among the Registrant, Carey Credit Advisors, LLC and Guggenheim Partners Investment Management, LLC. (Incorporated by reference to Exhibit 99.3 filed with Guggenheim Credit Income Fund's Form 8-K (File No. 814-01117) filed on August 15, 2017.)
10.8	Investment Management Agreement by and between Hamilton Finance LLC and Guggenheim Credit Income Fund. (Incorporated by reference to Exhibit 10.3 filed with Guggenheim Credit Income Fund's Form 8-K (File No. 814-01117) filed on December 22, 2015.)
10.9	Amendment to Amended and Restated Loan Agreement and Investment Management Agreement dated as of August 24, 2017. (Incorporated by reference to Exhibit 10.13 filed with Guggenheim Credit Income Fund's Form 10-Q (File No. 814-01117) filed on November 7, 2017
10.10	Investment Management Agreement by and between Hamilton Finance LLC and Guggenheim Credit Income Fund. (Incorporated by reference to Exhibit 10.3 filed with Guggenheim Credit Income Fund's Form 8-K (File No. 814-01117) filed on December 22, 2015.)
10.11	Amendment to Amended and Restated Loan Agreement and Investment Management Agreement dated as of August 24, 2017. (Incorporated by reference to Exhibit 10.13 filed with Guggenheim Credit Income Fund's Form 10-Q (File No. 814-01117) filed on November 7, 2017
14.1	Code of Ethics of the Registrant. (Incorporated by reference to Exhibit 14.1 filed with Guggenheim Credit Income Fund's Form 10-Q filed on November 16, 2020)

32

31.1	Certification of Chief Executive Officer pursuant to Rule 13a-14(a), as adopted pursuant to Section 302 of the Sarbanes-Oxley Act of 2002. (Filed herewith.)
31.2	Certification of Chief Financial Officer of pursuant to Rule 13a-14(a), as adopted 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 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002. (Filed herewith.)
99	Form 10-Q of Guggenheim Credit Income Fund for the quarterly period ended September 30, 2020 (Filed herewith)

33

EX-31.1

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 an Quarterly 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:	November 16, 2020	By:	/s/ Matthew S. Bloom
			MATTHEW S. BLOOM
			Chief Executive Officer
			(Principal Executive Officer)

EX-31.2

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, Cielo M. Ordonez, 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 an Quarterly 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:	November 16, 2020	By:	/s/ Cielo M. Ordonez
			CIELO M. ORDONEZ
			Chief Financial Officer
			(Principal Financial Officer)

EX-32

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 September 30, 2020 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:	November 16, 2020
	/s/ Matthew S. Bloom
	MATTHEW S. BLOOM
	Chief Executive Officer
Date:	November 16, 2020
	/s/ Cielo M. Ordonez
	CIELO M. ORDONEZ
	Chief Financial Officer

EX-99

Exhibit 99

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM 10-Q

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

For the quarterly period ended September 30, 2020

OR

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

Commission file number: 814-01117

GUGGENHEIM CREDIT INCOME FUND

(Exact name of registrant as specified in its charter)

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

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

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

Title of Each Class	Trading Symbol(s)	Name of Each Exchange on Which Registered
None	N/A	N/A

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

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¨Noý

The registrant had 27,014,903 common shares outstanding as of November 10, 2020.

Exhibit 99

GUGGENHEIM CREDIT INCOME FUND

INDEX

		Page
PART I. FINANCIAL INFORMATION
Item 1.	Consolidated Financial Statements (Unaudited):
	Consolidated Statements of Assets and Liabilities as of September 30, 2020 and December 31, 2019	3
	Consolidated Statements of Operations for the three and nine months ended September 30, 2020 and 2019	4
	Consolidated Statements of Changes in Net Assets for the nine months ended September 30, 2020 and 2019	5
	Consolidated Statements of Cash Flows for the nine months ended September 30, 2020 and 2019	7
	Consolidated Schedules of Investments as of September 30, 2020 and December 31, 2019	8
	Notes to Consolidated Financial Statements (Unaudited)	29
Item 2.	Management’s Discussion and Analysis of Financial Condition and Results of Operations	51
Item 3.	Quantitative and Qualitative Disclosures About Market Risk	66
Item 4.	Controls and Procedures	67
PART II. OTHER INFORMATION
Item 1.	Legal Proceedings	67
Item 1A.	Risk Factors	67
Item 2.	Unregistered Sales of Equity Securities and Use of Proceeds	69
Item 3.	Defaults Upon Senior Securities	70
Item 5.	Other Information	70
Item 6.	Exhibits	70
Signatures		71
Exhibit Index		72

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, 2019, that was filed on March 13, 2020. Moreover, because we operate in a very competitive and rapidly changing environment, new risks are likely to emerge from time to time. Given these risks and uncertainties, you are cautioned not to place undue reliance on these forward-looking statements as a prediction of future results, which apply only as of the date of this Report, unless noted otherwise. Except as may be required by federal securities laws and the rules and regulations of the SEC, we do not undertake to revise or update any forward-looking statements. The forward-looking statements should be read in light of the risk factors identified in Part II. Item 1A. Risk Factors of this Report and in Part I. Item 1A. Risk Factors of our Form 10-K for the fiscal year ended December 31, 2019, that was filed on March 13, 2020. The forward-looking statements and projections contained in this Report are excluded from the safe harbor protection provided by Section 27A of the Securities Act and Section 21E of the Exchange Act.

All references to “Note” or “Notes” throughout this Report refer to the notes to the consolidated financial statements of the registrant in Part I. Item 1. Consolidated Financial Statements (Unaudited).

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)

	September 30, 2020		December 31, 2019
Assets
Investments at fair value (amortized cost of $357,037 and $385,802, respectively)	$	329,201	$	372,193
Cash	8,099		1,454
Restricted cash	8,634		7,512
Interest and dividend income receivable	2,436		2,622
Principal receivable	1,215		—
Receivable from related parties	30		35
Unrealized appreciation of foreign currency forward contracts	12		—
Prepaid expenses and other assets	175		284
Total assets	$	349,802	$	384,100
Liabilities
Credit facility payable, net of financing costs	$	150,147	$	170,862
Unrealized depreciation on foreign currency forward contracts	209		87
Payable for investments purchased	729		—
Accrued management fee	505		576
Payable to related parties	150		195
Distributions payable	1,063		—
Collateral payable for foreign currency forward contracts	—		320
Accounts payable, accrued expenses and other liabilities	617		863
Total liabilities	153,420		172,903
Commitments and contingencies (Note 8. Commitments and Contingencies)
Net Assets	$	196,382	$	211,197
Components of Net Assets:
Common shares, $0.001 par value, 1,000,000,000 shares authorized, 27,014,903 and 27,157,534 shares issued and outstanding at September 30, 2020 and December 31, 2019, respectively	$	27	$	27
Paid-in-capital in excess of par value	229,065		229,996
Accumulatedloss, net of distributions	(32,710)		(18,826)
Net assets	$	196,382	$	211,197
Net asset value per Common Share	$	7.27	$	7.78

See Unaudited Notes to Consolidated Financial Statements.

3

GUGGENHEIM CREDIT INCOME FUND

CONSOLIDATED STATEMENTS OF OPERATIONS (UNAUDITED)

(in thousands, except share and per share data)

	For the Three Months Ended September 30,				For the Nine Months Ended September 30,
	2020		2019		2020		2019
Investment Income
Interest income	$	6,037	$	8,844	$	20,123	$	25,987
PIK interest income	395		66		930		154
Dividend income	214		244		670		783
Fee income	50		8		282		275
Total investment income	6,696		9,162		22,005		27,199
Operating Expenses
Interest expense and other financing costs	1,255		2,196		4,559		6,465
Management fee	1,549		1,759		4,710		5,171
Performance-based incentive fee	—		—		—		11
Administrative services	39		50		132		151
Custody services	23		23		72		72
Trustees fees	88		92		262		252
Related party reimbursements	151		203		499		623
Professional services fees	218		214		651		703
Other expenses	67		58		200		183
Total expenses	3,390		4,595		11,085		13,631
Net investment income	3,306		4,567		10,920		13,568
Realized and unrealized gains (losses):
Net realized gains (losses) on:
Investments	454		205		(181)		(6,600)
Foreign currency forward contracts	(383)		752		668		626
Foreign currency transactions	10		(5)		171		81
Net realized gains (losses)	81		952		658		(5,893)
Net change in unrealized appreciation (depreciation) on:
Investments	6,901		(6,070)		(14,227)		(285)
Foreign currency forward contracts	(605)		144		(110)		523
Foreign currency transactions	3		—		2		(17)
Net change in unrealized appreciation (depreciation)	6,299		(5,926)		(14,335)		221
Net realized and unrealized gains (losses)	6,380		(4,974)		(13,677)		(5,672)
Net increase (decrease) in net assets resulting from operations	$	9,686	$	(407)	$	(2,757)	$	7,896
Per Common Share information:
Net investment income per Common Share outstanding - basic and diluted	$	0.12	$	0.16	$	0.40	$	0.47
Earnings (loss) per Common Share - basic and diluted	$	0.36	$	(0.01)	$	(0.10)	$	0.27
Weighted average Common Shares outstanding - basic and diluted	27,127,699		28,613,345		27,224,991		28,997,077
Distribution per Common Share	$	0.13	$	0.14	$	0.41	$	0.47

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 Shares				Paid-in-Capital in Excess of Par Value		Accumulated Earnings (Loss), net of Distributions
	Shares	Amount							Total
Balance at December 31, 2019	27,157,534	$	27		$	229,996	$	(18,826)	$	211,197
Operations:
Net investment income	—	—			—		3,999		3,999
Net realized gains	—	—			—		2,870		2,870
Net change in unrealized depreciation	—	—			—		(36,659)		(36,659)
Net decrease in net assets resulting from operations	—	—			—		(29,790)		(29,790)
Shareholder distributions:
Distributions from earnings	—	—			—		(4,066)		(4,066)
Net decrease in net assets resulting from shareholder distributions	—	—			—		(4,066)		(4,066)
Capital share transactions:
Issuance of Common Shares	639,552	1			4,999		—		5,000
Repurchase of Common Shares	(718,264)	(1)			(5,494)		—		(5,495)
Net decrease in net assets resulting from capital share transactions	(78,712)	—			(495)		—		(495)
Net decrease for the period	(78,712)	—			(495)		(33,856)		(34,351)
Balance at March 31, 2020	27,078,822	$	27		$	229,501	$	(52,682)	$	176,846
Operations:
Net investment income	—	—			—		3,615		3,615
Net realized losses	—	—			—		(2,293)		(2,293)
Net change in unrealized appreciation	—	—			—		16,025		16,025
Net increase in net assets resulting from operations	—	—			—		17,347		17,347
Shareholder distributions:
Distributions from earnings	—	—			—		(3,624)		(3,624)
Net decrease in net assets resulting from shareholder distributions	—	—			—		(3,624)		(3,624)
Capital share transactions:
Repurchase of Common Shares	(267,193)	—		(1)	(1,838)		—		(1,838)
Net decrease in net assets resulting from capital share transactions	(267,193)	—			(1,838)		—		(1,838)
Net increase (decrease) for the period	(267,193)	—			(1,838)		13,723		11,885
Balance at June 30, 2020	26,811,629	$	27		$	227,663	$	(38,959)	$	188,731
Operations:
Net investment income	—	—			—		3,306		3,306
Net realized gains	—	—			—		81		81
Net change in unrealized appreciation	—	—			—		6,299		6,299
Net increase in net assets resulting from operations	—	—			—		9,686		9,686
Shareholder distributions:
Distributions from earnings	—	—			—		(3,437)		(3,437)
Net decrease in net assets resulting from shareholder distributions	—	—			—		(3,437)		(3,437)
Capital share transactions:
Issuance of Common Shares	430,899	—		(1)	3,050		—		3,050
Repurchase of Common Shares	(227,625)	—		(1)	(1,648)		—		(1,648)
Net increase in net assets resulting from capital share transactions	203,274	—			1,402		—		1,402
Net increase for the period	203,274	—			1,402		6,249		7,651
Balance at September 30, 2020	27,014,903	$	27		$	229,065	$	(32,710)	$	196,382

5

	Common Shares				Paid-in-Capital in Excess of Par Value		Accumulated Earnings (Loss), net of Distributions
	Shares	Amount							Total
Balance at December 31, 2018	29,195,002	$	29		$	246,083	$	(9,880)	$	236,232
Operations:
Net investment income	—	—			—		4,398		4,398
Net realized losses	—	—			—		(866)		(866)
Net change in unrealized appreciation	—	—			—		555		555
Net increase in net assets resulting from operations	—	—			—		4,087		4,087
Shareholder distributions:
Distributions from earnings	—	—			—		(4,717)		(4,717)
Net decrease in net assets resulting from shareholder distributions	—	—			—		(4,717)		(4,717)
Capital share transactions:
Issuance of Common Shares	124,070	—		(1)	1,000		—		1,000
Repurchase of Common Shares	(38,000)	—		(1)	(307)		—		(307)
Net increase in net assets resulting from capital share transactions	86,070	—			693		—		693
Net increase (decrease) for the period	86,070	—			693		(630)		63
Balance at March 31, 2019	29,281,072	$	29		$	246,776	$	(10,510)	$	236,295
Operations:
Net investment income	—	—			—		4,603		4,603
Net realized losses	—	—			—		(5,979)		(5,979)
Net change in unrealized appreciation	—	—			—		5,592		5,592
Net increase in net assets resulting from operations	—	—			—		4,216		4,216
Shareholder distributions:
Distributions from earnings	—	—			—		(5,106)		(5,106)
Net decrease in net assets resulting from shareholder distributions	—	—			—		(5,106)		(5,106)
Capital share transactions:
Repurchase of Common Shares	(667,727)	—		(1)	(5,375)		—		(5,375)
Net decrease in net assets resulting from capital share transactions	(667,727)	—			(5,375)		—		(5,375)
Net decrease for the period	(667,727)	—			(5,375)		(890)		(6,265)
Balance at June 30, 2019	28,613,345	$	29		$	241,401	$	(11,400)	$	230,030
Operations:
Net investment income	—	—			—		4,567		4,567
Net realized gains	—	—			—		952		952
Net change in unrealized depreciation	—	—			—		(5,926)		(5,926)
Net decrease in net assets resulting from operations	—	—			—		(407)		(407)
Shareholder distributions:
Distributions from earnings	—	—			—		(3,924)		(3,924)
Net decrease in net assets resulting from shareholder distributions	—	—			—		(3,924)		(3,924)
Net decrease for the period	—	—			—		(4,331)		(4,331)
Balance at September 30, 2019	28,613,345	$	29		$	241,401	$	(15,731)	$	225,699

_____________________

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

See Unaudited Notes to Consolidated Financial Statements.

6

GUGGENHEIM CREDIT INCOME FUND

CONSOLIDATED STATEMENTS OF CASH FLOWS (UNAUDITED)

(in thousands)

	For the Nine Months Ended September 30,
	2020		2019
Operating activities
Net increase (decrease) in net assets resulting from operations	$	(2,757)	$	7,896
Adjustments to reconcile net increase (decrease) in net assets resulting from operations to net cash provided by operating activities:
Capitalized paid-in-kind income	(1,411)		(719)
Amortization of premium/accretion of discount, net	(987)		(1,153)
Proceeds from sales of investments	18,782		35,509
Proceeds from paydowns on investments	72,676		16,963
Net receipt of settlement of derivatives	4,037		2,881
Net payment of settlement of derivatives	(3,369)		(2,255)
Net realized gains on derivatives	(668)		(626)
Purchases of investments	(60,476)		(59,264)
Net realized losses on investments	181		6,600
Net change in unrealized depreciation on investments	14,227		285
Net change in unrealized (appreciation) depreciation on foreign currency forward contracts	110		(523)
Amortization of deferred financing costs	285		284
(Increase) decrease in operating assets:
Interest and dividend income receivable	186		(61)
Principal receivable	(1,215)		6,852
Receivable from related parties	5		9
Prepaid expenses and other assets	109		160
Increase (decrease) in operating liabilities:
Payable for investments purchased	729		239
Accrued management fee	(71)		(12)
Payable to related parties	(45)		26
Collateral payable for foreign currency forward contracts	(320)		—
Accounts payable, accrued expenses and other liabilities	(246)		90
Net cash provided by operating activities	39,762		13,181
Financing activities
Issuance of Common Shares	8,050		1,000
Repurchase of Common Shares	(8,981)		(5,682)
Credit facility borrowings	4,000		22,000
Credit facility repayments	(25,000)		(5,000)
Distributions paid	(10,064)		(16,031)
Net cash used in financing activities	(31,995)		(3,713)
Net increase in restricted and unrestricted cash	7,767		9,468
Restricted and unrestricted cash, beginning of period	8,966		10,302
Restricted and unrestricted cash, end of period	$	16,733	$	19,770
Reconciliation of restricted and unrestricted cash
Cash	8,099		3,385
Restricted cash	8,634		16,385
Total restricted and unrestricted cash	$	16,733	$	19,770
Supplemental disclosure of cash flow information and non-cash financing activities:
Cash paid for interest	$	4,296	$	6,087

See Unaudited Notes to Consolidated Financial Statements.

7

GUGGENHEIM CREDIT INCOME FUND

CONSOLIDATED SCHEDULE OF INVESTMENTS (UNAUDITED)

September 30, 2020 (in thousands)
Portfolio Company (1) (2) (3)	Footnotes	Investment	Spread Above Reference Rate (4)	Interest Rate (4) (5)	Maturity Date	Principal / Par Amount / Shares (6)		Amortized Cost (7) (8)		Fair Value		% of Net Assets
INVESTMENTS
Debt investments - 163.2%
Aerospace & Defense
Arcline FM Holdings LLC	(15)	Senior Secured Loans - First Lien	L+6.00%	7.00%	1/21/2025	4,342		$	4,253	$	4,265	2.1	%
Arcline FM Holdings LLC	(9)(13)(15)(17)	Senior Secured Loans - First Lien	N/A	N/A	1/21/2025	—		(55)		(47)		—	%
								4,198		4,218		2.1	%
National Technical Systems	(15)	Senior Secured Loans - First Lien	L+6.00%	7.00%	6/12/2021	3,388		3,382		3,329		1.7	%
Total Aerospace & Defense								7,580		7,547		3.8	%
Automotive
Accuride Corporation		Senior Secured Loans - First Lien	L+5.25%	6.25%	11/17/2023	11,550		11,324		9,066		4.6	%
American Tire Distributors Inc.		Senior Secured Loans - First Lien	L+7.50%	8.50%	8/30/2024	2,948		2,690		2,533		1.3	%
BBB Industries		Senior Secured Loans - First Lien	L+4.50%	5.58%	8/1/2025	1,960		1,946		1,819		0.9	%
EnTrans International, LLC	(13)	Senior Secured Loans - First Lien	L+6.00%	6.16%	11/1/2024	7,440		6,279		6,622		3.4	%
Mavis Tire Express Services Corp. (Revolver)	(9)(13)(15)(17)	Senior Secured Loans - First Lien	N/A	N/A	3/20/2023	—		(14)		(13)		—	%
Mavis Tire Express Services Corp. (Delayed Draw)		Senior Secured Loans - First Lien	L+3.25%	3.47%	3/20/2025	3,615		3,602		3,441		1.8	%
								3,588		3,428		1.8	%
Wesco Group	(15)	Senior Secured Loans - First Lien	L+4.25%	5.33%	6/14/2024	1,238		1,227		1,234		0.6	%
Total Automotive								27,054		24,702		12.6	%
Banking, Finance, Insurance & Real Estate
Gladman Developments Ltd.	UK(10)(11)(14)(15)	Senior Secured Loans - First Lien	G+9.50%	9.57%	8/16/2024	£	2,470	3,104		3,082		1.5	%
Gladman Developments Ltd. (Delayed Draw)	UK(9)(10)(11)(13)(14)(15)	Senior Secured Loans - First Lien	G+9.50%	9.57%	8/16/2024	£	784	1,004		954		0.5	%
								4,108		4,036		2.0	%
Hunt Companies, Inc.	(11)	Senior Secured Bonds	N/A	6.25%	2/15/2026	2,000		2,000		1,920		1.0	%
JZ Capital Partners Ltd.	UK(10)(11)(15)	Senior Secured Loans - First Lien	L+5.75%	6.75%	6/14/2021	375		372		371		0.2	%
Total Banking, Finance, Insurance & Real Estate								6,480		6,327		3.2	%
Beverage, Food & Tobacco
Addo Foods Group	UK(10)(11)(14)(15)	Senior Secured Loans - First Lien	G+8.00%	9.00%	4/19/2024	£	9,995	12,266		12,718		6.5	%
Blue Ribbon LLC		Senior Secured Loans - First Lien	L+4.00%	5.00%	11/15/2021	2,762		2,365		2,573		1.3	%
Checkers Holdings Inc	(13)	Senior Secured Loans - First Lien	L+4.25%	5.25%	4/25/2024	1,136		730		737		0.4	%

8

GUGGENHEIM CREDIT INCOME FUND

CONSOLIDATED SCHEDULE OF INVESTMENTS (UNAUDITED)

September 30, 2020 (in thousands)
Portfolio Company (1) (2) (3)	Footnotes	Investment	Spread Above Reference Rate (4)	Interest Rate (4) (5)	Maturity Date	Principal / Par Amount / Shares (6)	Amortized Cost (7) (8)	Fair Value	% of Net Assets
CTI Foods Holdings Co., LLC (First Out)	(14)(15)	Senior Secured Loans - First Lien	L+7.00%	8.00%	5/3/2024	1,977	1,977	1,858	0.9	%
CTI Foods Holdings Co., LLC (Last Out)	(13)(14)(15)	Senior Secured Loans - First Lien	L+9.00%	10.00%	5/3/2024	788	788	717	0.4	%
							2,765	2,575	1.3	%
Kar Nut Products Co.	(15)	Senior Secured Loans - First Lien	L+4.50%	5.50%	3/31/2023	872	868	866	0.4	%
Kar Nut Products Co.	(15)	Senior Secured Loans - First Lien	L+4.50%	5.50%	3/31/2023	812	807	807	0.4	%
							1,675	1,673	0.8	%
Topps Company	(15)	Senior Secured Loans - First Lien	L+5.25%	6.50%	10/2/2022	4,950	4,925	4,933	2.5	%
US Foods Inc.	(11)(13)(15)	Senior Secured Loans - First Lien	L+3.25%	4.25%	4/24/2025	2,963	2,755	2,888	1.5	%
Total Beverage, Food & Tobacco							27,481	28,097	14.3	%
Capital Equipment
Cleaver Brooks, Inc.		Senior Secured Bonds	N/A	7.88%	3/1/2023	2,000	2,000	1,930	1.0	%
Total Capital Equipment							2,000	1,930	1.0	%
Chemicals, Plastics & Rubber
Aceto Chemicals	(15)	Senior Secured Loans - First Lien	L+5.75%	6.75%	4/29/2025	5,135	5,106	5,108	2.6	%
Aceto Chemicals (Revolver)	(9)(13)(15)	Senior Secured Loans - First Lien	L+5.75%	6.75%	4/29/2025	240	161	164	0.1	%
							5,267	5,272	2.7	%
Drew Marine Group Inc.	(15)	Senior Secured Loans - First Lien	L+4.00%	4.40%	6/26/2026	988	975	976	0.5	%
Ilpea Parent, Inc.	IT(10)(11)(15)	Senior Secured Loans - First Lien	L+4.75%	5.75%	3/2/2023	5,336	5,299	5,262	2.7	%
Neon Holdings Inc		Senior Secured Bonds	N/A	10.13%	4/1/2026	284	280	300	0.1	%
Seal For Life Industries US LLC (Revolver)	(9)(11)(13)(15)	Senior Secured Loans - First Lien	L+6.00%	7.00%	7/24/2024	217	152	155	0.1	%
Seal For Life Industries US LLC	(11)(15)	Senior Secured Loans - First Lien	L+6.00%	7.00%	7/23/2025	6,938	6,819	6,851	3.5	%
							6,971	7,006	3.6	%
Total Chemicals, Plastics & Rubber							18,792	18,816	9.6	%
Construction & Building
GAL Manufacturing	(15)	Senior Secured Loans - First Lien	L+4.25%	5.32%	6/26/2023	5,386	5,339	5,362	2.7	%
GAL Manufacturing	(15)	Senior Secured Loans - Second Lien	L+8.25%	9.32%	6/26/2024	6,000	5,923	5,875	3.0	%
GAL Manufacturing (Revolver)	(9)(13)(15)	Senior Secured Loans - First Lien	L+4.25%	4.40%	6/24/2022	173	153	154	0.1	%
							11,415	11,391	5.8	%
Springs Window Fashions, LLC		Senior Secured Loans - First Lien	L+4.25%	6.05%	6/15/2025	872	866	841	0.4	%

9

GUGGENHEIM CREDIT INCOME FUND

CONSOLIDATED SCHEDULE OF INVESTMENTS (UNAUDITED)

September 30, 2020 (in thousands)
Portfolio Company (1) (2) (3)	Footnotes	Investment	Spread Above Reference Rate (4)	Interest Rate (4) (5)	Maturity Date	Principal / Par Amount / Shares (6)	Amortized Cost (7) (8)	Fair Value	% of Net Assets
Springs Window Fashions, LLC		Senior Secured Loans - Second Lien	L+8.50%	9.57%	6/15/2026	1,588	1,526	1,369	0.7	%
							2,392	2,210	1.1	%
Total Construction & Building							13,807	13,601	6.9	%
Consumer Goods: Non-Durable
Diamond (BC) B.V.	(15)	Senior Secured Loans - First Lien	L+5.00%	6.00%	9/6/2024	4,000	3,900	4,010	2.0	%
Galls LLC	(14)(15)	Senior Secured Loans - First Lien	L+6.75%	7.25%	1/31/2025	3,743	3,719	3,702	1.9	%
Galls LLC (Delayed Draw B)	(14)(15)	Senior Secured Loans - First Lien	L+6.75%	7.32%	1/31/2025	549	545	543	0.3	%
Galls LLC (Revolver)	(9)(13)(15)	Senior Secured Loans - First Lien	L+6.25%	7.32%	1/31/2024	327	279	283	0.1	%
							4,543	4,528	2.3	%
Pure Fishing, Inc.	(13)	Senior Secured Loans - First Lien	L+4.50%	4.65%	12/19/2025	3,990	3,549	3,624	1.8	%
Safariland	(15)	Senior Secured Loans - First Lien	L+7.25%	8.25%	11/17/2023	116	103	106	0.1	%
Safariland	(15)	Senior Secured Loans - First Lien	L+7.25%	8.25%	11/17/2023	5,555	5,057	5,049	2.6	%
							5,160	5,155	2.7	%
Total Consumer Goods:  Non-Durable							17,152	17,317	8.8	%
Consumer Goods: Durable
PlayPower, Inc.		Senior Secured Loans - First Lien	L+5.50%	5.81%	4/29/2026	1,246	1,236	1,159	0.6	%
Total Consumer Goods: Durable							1,236	1,159	0.6	%
Containers, Packaging & Glass
Bioplan USA, Inc.		Senior Secured Loans - First Lien	L+4.75%	5.82%	9/23/2021	4,901	4,779	2,910	1.5	%
Husky Injection Molding Systems Ltd.	CN(10)(11)	Senior Secured Loans - First Lien	L+3.00%	3.36%	3/28/2025	1,962	1,853	1,860	1.0	%
Pelican Products Inc		Senior Secured Loans - First Lien	L+3.50%	4.50%	5/31/2025	3,979	3,486	3,817	1.9	%
Resource Label Group LLC		Senior Secured Loans - First Lien	L+4.50%	5.50%	5/26/2023	3,394	3,376	3,114	1.6	%
Resource Label Group LLC	(15)	Senior Secured Loans - Second Lien	L+8.50%	9.50%	11/26/2023	3,000	2,974	2,535	1.3	%
							6,350	5,649	2.9	%
Total Containers, Packaging & Glass							16,468	14,236	7.3	%
Energy: Oil & Gas
Basic Energy Services Inc	(13)(18)	Senior Secured Bonds	N/A	N/A	10/15/2023	4,475	2,411	917	0.5	%
Navajo Nation Oil and Gas	(15)	Senior Secured Loans - First Lien	L+7.50%	9.00%	6/14/2022	2,875	2,861	2,818	1.4	%
Penn Virginia	(11)(15)	Senior Secured Loans - Second Lien	L+7.00%	8.00%	9/29/2022	3,000	2,970	2,100	1.1	%

10

GUGGENHEIM CREDIT INCOME FUND

CONSOLIDATED SCHEDULE OF INVESTMENTS (UNAUDITED)

September 30, 2020 (in thousands)
Portfolio Company (1) (2) (3)	Footnotes	Investment	Spread Above Reference Rate (4)	Interest Rate (4) (5)	Maturity Date	Principal / Par Amount / Shares (6)	Amortized Cost (7) (8)	Fair Value	% of Net Assets
Permian Production Partners	(13)(18)	Senior Secured Loans - First Lien	N/A	N/A	5/20/2024	3,800	3,699	285	0.1	%
Total Energy: Oil & Gas							11,941	6,120	3.1	%
Healthcare & Pharmaceuticals
Alegeus Technologies LLC	(15)	Senior Secured Loans - First Lien	L+8.25%	9.25%	9/5/2024	8,000	7,962	7,973	4.0	%
Cambrex Corporation		Senior Secured Loans - First Lien	L+5.00%	6.00%	11/20/2026	2,481	2,432	2,494	1.3	%
Total Healthcare & Pharmaceuticals							10,394	10,467	5.3	%
Hotel, Gaming & Leisure
ASM Global		Senior Secured Loans - First Lien	L+2.50%	2.66%	1/23/2025	2,340	2,337	2,050	1.0	%
Golden Nugget	(13)	Senior Secured Loans - First Lien	L+12.00%	13.00%	10/4/2023	11	11	13	—	%
Golden Nugget	(13)	Senior Secured Loans - First Lien	L+12.00%	13.00%	10/4/2023	139	133	161	0.1	%
							144	174	0.1	%
Playtika Holding	(11)	Senior Secured Loans - First Lien	L+6.00%	7.00%	12/31/2024	1,203	1,183	1,207	0.6	%
Total Hotel, Gaming & Leisure							3,664	3,431	1.7	%
Media: Advertising, Printing & Publishing
Boats Group	(15)	Senior Secured Loans - First Lien	L+5.75%	6.75%	5/17/2024	5,679	5,626	5,595	2.8	%
Boats Group (Revolver)	(9)(13)(15)(17)	Senior Secured Loans - First Lien	N/A	N/A	9/12/2022	—	(42)	(29)	—	%
							5,584	5,566	2.8	%
Houghton Mifflin Harcourt Publishers, Inc.	(11)	Senior Secured Loans - First Lien	L+6.25%	7.25%	11/19/2024	2,406	2,310	2,202	1.1	%
McGraw-Hill Global Education Holdings		Senior Secured Loans - First Lien	L+4.00%	5.00%	5/4/2022	1,875	1,867	1,576	0.8	%
McGraw-Hill Global Education Holdings	(14)(15)	Senior Unsecured Debt	N/A	11.75%	4/20/2022	2,000	1,977	1,396	0.7	%
McGraw-Hill Global Education Holdings	(13)	Senior Unsecured Debt	N/A	7.88%	5/15/2024	1,259	1,229	677	0.4	%
							5,073	3,649	1.9	%
Trader Interactive	(15)	Senior Secured Loans - First Lien	L+6.50%	7.57%	6/15/2024	8,051	8,015	7,664	3.9	%
Trader Interactive (Revolver)	(9)(13)(15)(17)	Senior Secured Loans - First Lien	N/A	N/A	6/15/2023	—	(24)	(23)	—	%
							7,991	7,641	3.9	%
Total Media: Advertising, Printing & Publishing							20,958	19,058	9.7	%
Metals & Mining
Polyvision Corp.	(15)	Senior Secured Loans - First Lien	L+6.50%	7.50%	2/21/2026	3,576	3,540	3,416	1.7	%

11

GUGGENHEIM CREDIT INCOME FUND

CONSOLIDATED SCHEDULE OF INVESTMENTS (UNAUDITED)

September 30, 2020 (in thousands)
Portfolio Company (1) (2) (3)	Footnotes	Investment	Spread Above Reference Rate (4)	Interest Rate (4) (5)	Maturity Date	Principal / Par Amount / Shares (6)		Amortized Cost (7) (8)	Fair Value	% of Net Assets
Polyvision Corp.	(15)	Senior Secured Loans - First Lien	L+6.50%	7.50%	2/21/2026	1,007		997	962	0.5	%
Polyvision Corp.	(9)(15)	Senior Secured Loans - First Lien	L+6.50%	7.52%	2/21/2026	139		139	118	0.1	%
Polyvision Corp.	(9)(13)(15)	Senior Secured Loans - First Lien	L+6.50%	7.50%	8/21/2025	223		154	161	0.1	%
Total Metals & Mining								4,830	4,657	2.4	%
Retail
Belk, Inc.		Senior Secured Loans - First Lien	L+6.75%	7.75%	7/31/2025	1,036		992	399	0.2	%
Beverages and More, Inc.	(13)	Senior Secured Bonds	N/A	11.50%	6/15/2022	900		795	756	0.4	%
Blue Nile, Inc.		Senior Secured Loans - First Lien	L+6.50%	7.50%	2/17/2023	10,050		9,911	6,407	3.3	%
Pet Holdings ULC	CN(10)(11)(15)	Senior Secured Loans - First Lien	L+5.50%	6.50%	7/5/2022	4,307		4,283	3,876	2.0	%
Pet Holdings ULC (Delayed Draw)	CN(10)(11)(15)	Senior Secured Loans - First Lien	L+5.50%	6.50%	7/5/2022	486		486	437	0.2	%
								4,769	4,313	2.2	%
Save-a-Lot	(13)(14)	Senior Secured Loans - First Lien	L+8.00%	8.00%	3/12/2024	891		805	891	0.4	%
Save-a-Lot	(13)(14)(15)	Senior Secured Loans - Second Lien	L+11.75%	11.75%	10/1/2024	1,072		2,070	976	0.5	%
								2,875	1,867	0.9	%
Total Retail								19,342	13,742	7.0	%
Services: Business
24-7 Intouch	CN(10)(11)(15)	Senior Secured Loans - First Lien	L+4.75%	4.91%	8/25/2025	3,920		3,713	3,666	1.9	%
Alexander Mann Solutions (GBP Term Loan)	UK(10)(11)(13)	Senior Secured Loans - First Lien	G+5.00%	5.73%	6/16/2025	£	2,060	2,560	2,252	1.1	%
Alexander Mann Solutions (USD Term Loan)	UK(10)(11)(13)	Senior Secured Loans - First Lien	L+5.50%	6.65%	6/16/2025	890		854	755	0.4	%
Alexander Mann Solutions (Revolver)	UK(9)(10)(11)(13)(15)(17)	Senior Secured Loans - First Lien	N/A	N/A	12/16/2024	—		(39)	(68)	—	%
								3,375	2,939	1.5	%
Capstone Logistics, LLC		Senior Secured Loans - First Lien	L+4.50%	5.57%	10/7/2021	4,750		4,737	4,695	2.4	%
Cast & Crew Payroll		Senior Secured Loans - First Lien	L+3.75%	3.90%	1/16/2026	2,897		2,532	2,781	1.4	%
HealthChannels, Inc.		Senior Secured Loans - First Lien	L+4.50%	4.69%	4/3/2025	2,835		2,789	2,608	1.3	%
Hersha Hospitality Management	(15)	Senior Secured Loans - First Lien	L+4.75%	5.75%	3/2/2026	4,264		4,179	3,838	2.0	%
Hersha Hospitality Management (Delayed Draw)	(9)(15)(17)	Senior Secured Loans - First Lien	L+4.75%	5.75%	3/2/2026	43		8	(129)	(0.1)	%
								4,187	3,709	1.9	%
Park Place Technologies		Senior Secured Loans - First Lien	L+4.00%	5.00%	3/29/2025	2,652		2,643	2,628	1.3	%

12

GUGGENHEIM CREDIT INCOME FUND

CONSOLIDATED SCHEDULE OF INVESTMENTS (UNAUDITED)

September 30, 2020 (in thousands)
Portfolio Company (1) (2) (3)	Footnotes	Investment	Spread Above Reference Rate (4)	Interest Rate (4) (5)	Maturity Date	Principal / Par Amount / Shares (6)	Amortized Cost (7) (8)	Fair Value	% of Net Assets
Park Place Technologies	(15)	Senior Secured Loans - Second Lien	L+8.00%	9.00%	3/29/2026	3,404	3,385	3,233	1.7	%
							6,028	5,861	3.0	%
PSI Services LLC	(9)(13)(15)	Senior Secured Loans - First Lien	L+5.75%	6.75%	10/4/2025	104	104	73	—	%
PSI Services LLC	(9)(15)(17)	Senior Secured Loans - First Lien	N/A	N/A	10/4/2026	—	—	(3)	—	%
PSI Services LLC	(15)	Senior Secured Loans - First Lien	L+5.75%	6.75%	10/4/2026	426	426	420	0.2	%
PSI Services LLC	(15)	Senior Secured Loans - First Lien	L+5.75%	6.75%	10/16/2026	2,844	2,810	2,805	1.4	%
							3,340	3,295	1.6	%
SLR Consulting	(11)(15)	Senior Secured Loans - First Lien	L+4.00%	4.98%	6/23/2025	1,588	1,557	1,555	0.8	%
SLR Consulting (Delayed Draw)	(11)(15)	Senior Secured Loans - First Lien	L+4.00%	5.50%	5/23/2025	494	512	506	0.2	%
							2,069	2,061	1.0	%
Teneo Holdings LLC		Senior Secured Loans - First Lien	L+5.25%	6.25%	7/12/2025	3,960	3,794	3,836	2.0	%
YAK Access, LLC		Senior Secured Loans - Second Lien	L+10.00%	10.30%	7/10/2026	5,000	4,714	3,683	1.9	%
Total Services: Business							41,278	39,134	19.9	%
Technology
Acquia Inc.	(13)(15)	Senior Secured Loans - First Lien	L+7.00%	8.00%	10/31/2025	1,789	1,754	1,771	0.9	%
Acquia Inc.	(9)(13)(15)(17)	Senior Secured Loans - First Lien	N/A	N/A	10/31/2025	—	(4)	(22)	—	%
							1,750	1,749	0.9	%
Advicent Solutions	(14)(15)	Senior Secured Loans - First Lien	L+8.95%	9.95%	2/28/2022	7,266	7,214	4,710	2.4	%
Advicent Solutions	(9)(13)(14)(15)	Senior Secured Loans - First Lien	P+5.25%	8.50%	2/28/2022	14	14	12	—	%
Advicent Solutions	(14)(15)	Senior Secured Loans - First Lien	L+3.50%	4.50%	2/28/2022	1,650	1,642	1,642	0.8	%
							8,870	6,364	3.2	%
Alfresco Software	(15)	Senior Secured Loans - First Lien	L+8.00%	9.00%	9/9/2024	3,262	3,207	3,305	1.7	%
Allvue Systems (Revolver)	(9)(13)(15)(17)	Senior Secured Loans - First Lien	N/A	N/A	9/6/2024	—	(13)	(10)	—	%
Allvue Systems (Term Loan)	(15)	Senior Secured Loans - First Lien	L+4.00%	4.15%	9/4/2026	862	860	854	0.4	%
							847	844	0.4	%
Apptio, Inc.	(15)	Senior Secured Loans - First Lien	L+7.25%	8.25%	1/10/2025	4,900	4,848	4,862	2.5	%
Apptio, Inc. (Revolver)	(9)(13)(15)(17)	Senior Secured Loans - First Lien	N/A	N/A	12/3/2024	—	(30)	(29)	—	%
							4,818	4,833	2.5	%

13

GUGGENHEIM CREDIT INCOME FUND

CONSOLIDATED SCHEDULE OF INVESTMENTS (UNAUDITED)

September 30, 2020 (in thousands)
Portfolio Company (1) (2) (3)	Footnotes	Investment	Spread Above Reference Rate (4)	Interest Rate (4) (5)	Maturity Date	Principal / Par Amount / Shares (6)		Amortized Cost (7) (8)	Fair Value	% of Net Assets
Causeway Technologies	UK(10)(11)(15)	Senior Secured Loans - First Lien	G+6.25%	6.41%	6/8/2024	£	2,638	3,348	3,368	1.7	%
Causeway Technologies	UK(10)(11)(15)	Senior Secured Loans - First Lien	G+6.25%	7.68%	6/8/2024	£	338	426	436	0.2	%
								3,774	3,804	1.9	%
Cologix Holdings		Senior Secured Loans - First Lien	L+3.75%	4.75%	3/20/2024	2,000		1,942	1,961	1.0	%
Cvent, Inc.		Senior Secured Loans - First Lien	L+3.75%	3.91%	11/29/2024	1,480		1,465	1,346	0.7	%
Datix Bidco Limited	(15)	Senior Secured Loans - First Lien	L+4.50%	5.36%	4/28/2025	1,931		1,904	1,918	1.0	%
Datix Bidco Limited	(15)	Senior Secured Loans - Second Lien	L+7.75%	8.61%	4/27/2026	462		454	458	0.2	%
Datix Bidco Limited	(15)	Senior Secured Loans - First Lien	L+4.50%	5.36%	4/28/2025	3,048		3,013	3,028	1.5	%
Datix Bidco Limited	(15)	Senior Secured Loans - Second Lien	L+7.75%	8.61%	4/27/2026	4,696		4,639	4,661	2.4	%
								10,010	10,065	5.1	%
Kerridge Commercial Systems (USD Term Loan)	UK(10)(11)(14)(15)	Senior Secured Loans - First Lien	L+6.25%	6.75%	1/25/2024	637		627	633	0.3	%
Kerridge Commercial Systems (GBP Term Loan)	UK(10)(11)(14)(15)	Senior Secured Loans - First Lien	G+6.25%	6.75%	1/25/2024	£	530	733	680	0.3	%
Kerridge Commercial Systems (Euro Delayed Draw)	UK(10)(11)(14)(15)	Senior Secured Loans - First Lien	E+6.25%	6.75%	1/25/2024	€	97	118	113	0.1	%
Kerridge Commercial Systems (GBP Delayed Draw)	UK(10)(11)(14)(15)	Senior Secured Loans - First Lien	G+6.25%	6.75%	1/25/2024	£	326	423	418	0.2	%
Kerridge Commercial Systems (Bidco) Limited	(11)(14)(15)	Senior Secured Loans - First Lien	L+6.25%	6.75%	1/25/2024	2,211		2,178	2,199	1.1	%
Kerridge Commercial Systems (Bidco) Limited	UK(10)(11)(14)(15)	Senior Secured Loans - First Lien	E+6.25%	6.75%	1/25/2024	€	289	317	337	0.2	%
Kerridge Commercial Systems (Bidco) Limited	UK(10)(11)(15)	Senior Secured Loans - First Lien	N/A	6.75%	1/22/2024	661		706	770	0.4	%
								5,102	5,150	2.6	%
Lytx, Inc.	(9)(15)(16)	Senior Secured Loans - First Lien	L+6.00%	7.00%	2/27/2026	511		490	483	0.2	%
Lytx, Inc.	(15)(16)	Senior Secured Loans - First Lien	L+6.00%	7.00%	2/27/2026	5,873		5,776	5,794	3.0	%
								6,266	6,277	3.2	%
Ministry Brands	(15)	Senior Secured Loans - First Lien	L+4.00%	5.00%	12/2/2022	946		942	899	0.5	%
Ministry Brands (Delayed Draw)	(15)	Senior Secured Loans - First Lien	L+4.00%	5.00%	12/2/2022	503		502	478	0.2	%
Ministry Brands (Delayed Draw)	(15)	Senior Secured Loans - First Lien	L+4.00%	5.00%	12/2/2022	183		182	173	0.1	%
								1,626	1,550	0.8	%

14

GUGGENHEIM CREDIT INCOME FUND

CONSOLIDATED SCHEDULE OF INVESTMENTS (UNAUDITED)

September 30, 2020 (in thousands)
Portfolio Company (1) (2) (3)	Footnotes	Investment	Spread Above Reference Rate (4)	Interest Rate (4) (5)	Maturity Date	Principal / Par Amount / Shares (6)	Amortized Cost (7) (8)		Fair Value		% of Net Assets
Onyx CenterSource	(15)	Senior Secured Loans - First Lien	L+6.25%	7.25%	12/20/2021	6,616	6,607		4,962		2.6	%
Onyx CenterSource (Revolver)	(13)(15)	Senior Secured Loans - First Lien	L+6.75%	7.25%	12/20/2021	329	319		247		0.1	%
							6,926		5,209		2.7	%
Planview, Inc.	(15)	Senior Secured Loans - First Lien	L+5.25%	6.25%	1/27/2023	6,105	6,076		6,081		3.1	%
Planview, Inc.	(15)	Senior Secured Loans - First Lien	L+5.25%	6.25%	1/27/2023	388	388		386		0.2	%
							6,464		6,467		3.3	%
Velocity Holdings US	(15)	Senior Secured Loans - First Lien	L+7.00%	8.00%	12/12/2023	5,386	5,312		5,315		2.7	%
Velocity Holdings US	(15)	Senior Secured Loans - First Lien	L+7.00%	8.00%	12/12/2023	1,137	1,112		1,122		0.6	%
Velocity Holdings US (Revolver)	(9)(13)(15)	Senior Secured Loans - First Lien	L+7.00%	8.00%	12/12/2022	277	248		252		0.1	%
							6,672		6,689		3.4	%
Wide Orbit, Inc.	(15)	Senior Secured Loans - First Lien	L+8.50%	9.75%	7/8/2025	3,698	3,657		3,657		1.9	%
Wide Orbit, Inc. (Revolver)	(9)(13)(15)(17)	Senior Secured Loans - First Lien	N/A	N/A	7/8/2025	—	—		(35)		—	%
							3,657		3,622		1.9	%
Wind River Systems	(15)	Senior Secured Loans - First Lien	L+6.75%	7.75%	6/24/2024	5,407	5,323		5,352		2.7	%
Total Technology							78,719		74,587		38.0	%
Telecommunications
Firstlight Fiber		Senior Secured Loans - First Lien	L+3.50%	3.66%	7/23/2025	2,214	2,205		2,133		1.1	%
Firstlight Fiber	(15)	Senior Secured Loans - Second Lien	L+7.50%	7.66%	7/23/2026	2,500	2,477		2,188		1.1	%
							4,682		4,321		2.2	%
Total Telecommunications							4,682		4,321		2.2	%
Transportation: Consumer
Delta Airlines	(11)	Senior Secured Loans - First Lien	L+4.75%	5.75%	5/1/2023	100	97		100		0.1	%
Total Transportation: Consumer							97		100		0.1	%
Utilities: Electric
BHI Energy	(15)	Senior Secured Loans - Second Lien	L+8.75%	9.75%	2/28/2025	6,000	5,918		5,880		3.0	%
Total Utilities:  Electric							5,918		5,880		3.0	%
Utilities: Oil & Gas
SeaPort	(15)	Senior Secured Loans - First Lien	L+5.50%	5.66%	10/31/2025	5,877	5,739		5,289		2.7	%
Total Utilities:  Oil & Gas							5,739		5,289		2.7	%
Total Debt Investments							$	345,612	$	320,518	163.2	%
Equity investments - 4.4%

15

GUGGENHEIM CREDIT INCOME FUND

CONSOLIDATED SCHEDULE OF INVESTMENTS (UNAUDITED)

September 30, 2020 (in thousands)
Portfolio Company (1) (2) (3)	Footnotes	Investment	Spread Above Reference Rate (4)	Interest Rate (4) (5)	Maturity Date	Principal / Par Amount / Shares (6)	Amortized Cost (7) (8)		Fair Value		% of Net Assets
Banking, Finance, Insurance & Real Estate
Four Springs Capital Trust (Preferred Equity)	(11)(13)(14)(15)	Equity and Other	N/A	16.50%		268,142	$	5,314	$	5,363	2.7	%
Total Banking, Finance, Insurance & Real Estate							5,314		5,363		2.7	%
Beverage, Food & Tobacco
Chef's Holdings Inc.	(13)(15)(16)	Equity and Other	N/A	N/A		19,540	2,459		1,658		0.8	%
Total Beverage, Food & Tobacco							2,459		1,658		0.8	%
Energy: Oil & Gas
Maverick Natural Resources, LLC (Common Equity)	(15)(16)	Equity and Other	N/A	N/A		4,625	2,777		578		0.3	%
SandRidge Energy, Inc. (Common Equity)	(11)(13)(16)	Equity and Other	N/A	N/A		21,224	448		35		—	%
Total Energy: Oil & Gas							3,225		613		0.3	%
Retail
Save-a-Lot	(13)(15)	Equity and Other	N/A	N/A		53,097	—		—		—	%
Total Retail							—		—		—	%
Technology
Alfresco Software (Common Equity)	(13)(15)(16)	Equity and Other	N/A	N/A		66,230	166		716		0.4	%
Velocity Holdings US (Class A Units)	(13)(15)(16)	Equity and Other	N/A	N/A		231	231		303		0.2	%
Wolfhound Parent Inc. (Warrants)	(13)(15)(16)	Equity and Other	N/A	N/A		1,975	30		30		—	%
Total Technology							427		1,049		0.6	%
Total Equity Investments							$	11,425	$	8,683	4.4	%
Total Investments - 167.6%							$	357,037	$	329,201	167.6	%

September 30, 2020 (in thousands)
Derivative Counterparty	Settlement Date	Amount Purchased		Amount Sold		Amortized Cost (7) (8)	Fair Value		% of Net Assets
Foreign Currency Forward Contracts
JPMorgan Chase Bank	10/16/2020	$	1,244	€	1,051	—	$	12	—	%
JPMorgan Chase Bank	10/16/2020	$	24,600	£	19,225	—	$	(209)	(0.1)	%
							$	(197)	(0.1)	%

_______________________

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

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

16

GUGGENHEIM CREDIT INCOME FUND

CONSOLIDATED SCHEDULE OF INVESTMENTS (UNAUDITED)

(3)All investments are non-controlled/non-affiliated investments as defined by the Investment Company Act of 1940 (the "1940 Act"). The provisions of the 1940 Act classify investments based on the level of control that we maintain in a particular portfolio company. As defined in the 1940 Act, a company is generally presumed to be “non-controlled” when we own 25% or less of the portfolio company’s voting securities and “controlled” when we own more than 25% of the portfolio company’s voting securities. The provisions of the 1940 Act also classify investments further based on the level of ownership that we maintain in a particular portfolio company. As defined in the 1940 Act, a company is generally deemed as “non-affiliated” when we own less than 5% of a portfolio company’s voting securities and “affiliated” when we own 5% or more of a portfolio company’s voting securities.

(4)The periodic interest rate for all floating rate loans is indexed to London Interbank Offered Rate ("LIBOR" or "LIBO rate") (denoted as "L"), Euro Interbank Offered Rate ("EURIBOR") (denoted as "E"), British Pound Sterling LIBOR ("GBP LIBOR") (denoted as "G") or Prime Rate (denoted as "P"). Pursuant to the terms of the underlying credit agreements, the base interest rates typically reset annually, semi-annually, quarterly or monthly at the borrower's option. The borrower may also elect to have multiple interest reset periods for each loan. For each of these floating rate loans, the Consolidated Schedule of Investments presents the applicable margin over LIBOR, EURIBOR, GBP LIBOR or Prime based on each respective credit agreement. As of September 30, 2020, LIBO rates ranged between 0.15% for 1-month LIBOR to 0.23% for 3-month LIBOR.

(5)For portfolio companies with multiple interest rate contracts under a single credit agreement, the interest rate shown is a weighted average current interest rate in effect at September 30, 2020.

(6)Unless noted otherwise, the principal amount (par amount) for all debt securities is denominated in U.S. dollars. Equity investments are recorded as number of shares owned.

(7)Cost represents amortized cost, inclusive of any capitalized paid-in-kind income ("PIK"), for debt securities, and cost plus capitalized PIK, if any, for preferred stock.

(8)As of September 30, 2020, the aggregate gross unrealized appreciation for all securities, including foreign currency forward contracts, in which there was an excess of value over tax cost was $5.7 million; the aggregate gross unrealized depreciation for all securities, including foreign currency forward contracts, in which there was an excess of tax cost over value was $31.5 million; the net unrealized depreciation was $25.8 million; the aggregate cost of securities for Federal income tax purposes was $354.8 million.

(9)The investment is either a delayed draw loan or a revolving credit facility whereby some or all of the investment commitment is undrawn as of September 30, 2020 (see Note 8. Commitments and Contingencies).

(10)A portfolio company domiciled in a foreign country. The regulatory jurisdiction of security issuance may be a different country than the domicile of the portfolio company.

(11)The investment is not a qualifying asset as defined in Section 55(a) of the 1940 Act. As of September 30, 2020, qualifying assets represented 80% of total assets. Under the 1940 Act we may not acquire any non-qualifying assets unless, at the time the acquisition is made, qualifying assets represent at least 70% of our total assets.

(12)Investment position or portion thereof unsettled as of September 30, 2020.

(13)The investment position, or a portion thereof, was not pledged as collateral supporting the amounts outstanding under our credit facility as of September 30, 2020; (see Note 7. Borrowings).

(14)The underlying credit agreement or indenture contains a PIK provision, whereby the issuer has either the option or the obligation to make interest payments with the issuance of additional securities. The interest rate in the schedule represents the current interest rate in effect for these investments.

17

GUGGENHEIM CREDIT INCOME FUND

CONSOLIDATED SCHEDULE OF INVESTMENTS (UNAUDITED)

	Coupon Rate		PIK Component		Cash Component		PIK Option
Addo Foods Group	G+ 8.00%		0.75	%	G+7.25%		The Portfolio Company may elect PIK up to 0.75%.
Advicent Solutions	L+8.95%		0.75	%	L+8.20%		The Portfolio Company may elect PIK up to 0.75%.
Advicent Solutions (Revolver)	P+5.25%		0.75	%	P+4.50%		The Portfolio Company may elect PIK up to 0.75%.
Advicent Solutions	L+3.50%		0.75	%	L+2.75%		The Portfolio Company may elect PIK up to 0.75%.
CTI Foods Holdings Co., LLC (First Out)	L+7.00%		3.00	%	L+4.00%		The Portfolio Company may elect PIK up to 3.00%.
CTI Foods Holdings Co., LLC (Last Out)	L+9.00%		6.00	%	L+3.00%		The Portfolio Company may elect PIK up to 6.00%.
Four Springs Capital Trust	16.50	%	16.50	%	—	%	The Portfolio Company may elect PIK up to 16.50%.
Galls LLC	L+6.75%		0.50	%	L+6.25%		The Portfolio Company may elect PIK up to 6.75%.
Galls LLC (Delayed Draw)	L+6.75%		0.50	%	L+6.25%		The Portfolio Company may elect PIK up to 6.75%.
Gladman Developments Ltd.	G+9.50%		2.75	%	G+6.75%		The Portfolio Company may elect PIK up to 2.75%.
Gladman Developments Ltd. (Delayed Draw)	G+9.50%		2.75	%	G+6.75%		The Portfolio Company may elect PIK up to 2.75%.
Kerridge Commercial Systems (GBP Term Loan)	G+6.25%		1.74	%	G+4.51%		The Portfolio Company has elected to exercise PIK Toggle option of 25% of applicable all-in rate.
Kerridge Commercial Systems (USD Term Loan)	L+6.25%		1.83	%	L+4.42%		The Portfolio Company has elected to exercise PIK Toggle option of 25% of applicable all-in rate.
Kerridge Commercial Systems (GBP Delayed Draw)	G+6.25%		1.74	%	G+4.51%		The Portfolio Company has elected to exercise PIK Toggle option of 25% of applicable all-in rate.
Kerridge Commercial Systems (Euro Delayed Draw)	E+6.25%		1.69	%	E+4.56%		The Portfolio Company has elected to exercise PIK Toggle option of 25% of applicable all-in rate.
Kerridge Commercial Systems (Bidco) Limited	L+6.25%		1.83	%	L+4.42%		The Portfolio Company has elected to exercise PIK Toggle option of 25% of applicable all-in rate.
Kerridge Commercial Systems (Bidco) Limited	E+6.25%		1.69	%	E+4.56%		The Portfolio Company has elected to exercise PIK Toggle option of 25% of applicable all-in rate.
McGraw-Hill Global Education Holdings	11.75	%	11.75	%	—	%	The Portfolio Company may elect partial PIK up to 50% of the interest of the period or full PIK of 11.75%.
Save-a-Lot	L+8.00%		7.00	%	L+1.00%		The Portfolio Company may elect to PIK up to 6.00%.
Save-a-Lot	L+11.75%		10.75	%	L+1.00%		The Portfolio Company may elect to PIK up to 10.75%.

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

(16)Non-income producing security.

(17)The negative fair value is the result of the unfunded commitment being valued below par. The negative amortized cost is the result of the capitalized discount being greater than the principal amount outstanding on the loan.

(18)Investment was on non-accrual status as of September 30, 2020, meaning that the Master Fund has ceased recognizing interest income on these investments. As of September 30, 2020, debt investments on non-accrual status represented 1.7% and 0.4% of total investments on an amortized cost basis and fair value basis, respectively.

Abbreviations:

CN = Canada; UK = United Kingdom; IT = Italy; IR=Ireland

See Unaudited Notes to Consolidated Financial Statements.

18

GUGGENHEIM CREDIT INCOME FUND

CONSOLIDATED SCHEDULE OF INVESTMENTS

December 31, 2019 (in thousands)
Portfolio Company (1) (2) (3)	Footnotes	Investment	Spread Above Reference Rate (4)	Interest Rate (4) (5)	Maturity Date	Principal / Par Amount / Shares (6)		Amortized Cost (7) (8)		Fair Value		% of Net Assets
INVESTMENTS
Debt investments - 170.0%
Aerospace & Defense
National Technical Systems	(15)	Senior Secured Loans - First Lien	L+6.25%	7.94%	6/12/2021	3,434		$	3,420	$	3,365	1.6	%
Tronair, Inc	(15)	Senior Secured Loans - First Lien	L+4.75%	6.66%	9/8/2023	3,880		3,854		3,512		1.7	%
Total Aerospace & Defense								7,274		6,877		3.3	%
Automotive
Accuride Corporation		Senior Secured Loans - First Lien	L+5.25%	7.35%	11/17/2023	11,640		11,366		9,254		4.4	%
American Tire Distributors Inc.		Senior Secured Loans - First Lien	L+7.50%	9.30%	8/30/2024	2,970		2,674		2,666		1.3	%
BBB Industries		Senior Secured Loans - First Lien	L+4.50%	6.30%	8/1/2025	1,975		1,958		1,928		0.9	%
EnTrans International, LLC		Senior Secured Loans - First Lien	L+6.00%	7.80%	11/1/2024	3,700		3,543		3,588		1.7	%
Mavis Tire Express Services Corp.		Senior Secured Loans - First Lien	L+3.25%	5.05%	3/20/2025	3,231		3,218		3,158		1.5	%
Mavis Tire Express Services Corp. (Revolver)	(9)(13)(15)	Senior Secured Loans - First Lien	L+3.25%	5.04%	3/20/2023	28		10		11		—	%
Mavis Tire Express Services Corp. (Delayed Draw)	(9)	Senior Secured Loans - First Lien	L+3.25%	5.05%	3/20/2025	92		92		90		—	%
								3,320		3,259		1.5	%
Wesco Group	(15)	Senior Secured Loans - First Lien	L+4.25%	6.36%	6/14/2024	1,247		1,234		1,243		0.6	%
Total Automotive								24,095		21,938		10.4	%
Banking, Finance, Insurance & Real Estate
Gladman Developments Ltd.	UK(10)(11)(13)(14)(15)	Senior Secured Loans - First Lien	G+9.50%	10.30%	8/16/2024	£	2,405	3,007		3,137		1.5	%
Gladman Developments Ltd. (Delayed Draw)	UK(9)(10)(11)(13)(14)(15)	Senior Secured Loans - First Lien	G+9.50%	10.30%	8/16/2024	£	740	944		954		0.5	%
								3,951		4,091		2.0	%
Hunt Companies, Inc.	(11)	Senior Secured Bonds	N/A	6.25%	2/15/2026	2,000		2,000		1,974		0.9	%
JZ Capital Partners Ltd.	UK(10)(11)(13)(15)	Senior Secured Loans - First Lien	L+5.75%	7.88%	6/14/2021	375		370		374		0.2	%
Total Banking, Finance, Insurance & Real Estate								6,321		6,439		3.1	%
Beverage, Food & Tobacco
Addo Foods Group	UK(10)(11)(14)(15)	Senior Secured Loans - First Lien	G+8.00%	9.00%	4/19/2024	£	9,995	12,232		12,879		6.1	%
CTI Foods Holdings Co., LLC (First Out)	(14)(15)	Senior Secured Loans - First Lien	L+7.00%	9.26%	5/3/2024	1,962		1,962		1,962		0.9	%

19

GUGGENHEIM CREDIT INCOME FUND

CONSOLIDATED SCHEDULE OF INVESTMENTS

December 31, 2019 (in thousands)
Portfolio Company (1) (2) (3)	Footnotes	Investment	Spread Above Reference Rate (4)	Interest Rate (4) (5)	Maturity Date	Principal / Par Amount / Shares (6)	Amortized Cost (7) (8)	Fair Value	% of Net Assets
CTI Foods Holdings Co., LLC (Last Out)	(13)(14)(15)	Senior Secured Loans - First Lien	L+9.00%	10.91%	5/3/2024	770	770	731	0.3	%
							2,732	2,693	1.2	%
Kar Nut Products Co.	(15)	Senior Secured Loans - First Lien	L+4.50%	6.20%	3/31/2023	897	891	891	0.4	%
Kar Nut Products Co.	(15)	Senior Secured Loans - First Lien	L+4.50%	6.20%	3/31/2023	833	827	827	0.4	%
							1,718	1,718	0.8	%
Topps Company	(15)	Senior Secured Loans - First Lien	L+5.25%	7.19%	10/2/2022	4,988	4,963	4,981	2.4	%
Total Beverage, Food & Tobacco							21,645	22,271	10.5	%
Capital Equipment
Cleaver Brooks, Inc.		Senior Secured Bonds	N/A	7.88%	3/1/2023	2,000	2,000	1,995	0.9	%
Total Capital Equipment							2,000	1,995	0.9	%
Chemicals, Plastics & Rubber
Aceto Chemicals	(15)	Senior Secured Loans - First Lien	L+5.50%	7.62%	4/29/2025	5,174	5,142	5,144	2.4	%
Aceto Chemicals (Revolver)	(9)(13)(15)(17)	Senior Secured Loans - First Lien	N/A	N/A	4/29/2025	—	(90)	(89)	—	%
							5,052	5,055	2.4	%
Drew Marine Group Inc.	(15)	Senior Secured Loans - First Lien	L+4.25%	6.19%	6/26/2026	995	981	981	0.5	%
Ilpea Parent, Inc.	IT(10)(11)	Senior Secured Loans - First Lien	L+4.75%	6.46%	3/2/2023	5,496	5,447	5,468	2.6	%
Neon Holdings Inc		Senior Secured Bonds	N/A	10.13%	4/1/2026	1,500	1,475	1,493	0.7	%
Seal For Life Industries US LLC (Revolver)	(9)(11)(13)(15)	Senior Secured Loans - First Lien	L+6.00%	8.20%	7/24/2024	260	185	186	0.1	%
Seal For Life Industries US LLC	(11)(15)	Senior Secured Loans - First Lien	E+6.00%	8.26%	7/23/2025	6,991	6,870	6,889	3.2	%
							7,055	7,075	3.3	%
Total Chemicals, Plastics & Rubber							20,010	20,072	9.5	%
Construction & Building
GAL Manufacturing	(15)	Senior Secured Loans - First Lien	L+4.00%	6.20%	6/26/2023	5,428	5,368	5,396	2.5	%
GAL Manufacturing	(15)	Senior Secured Loans - Second Lien	L+8.25%	10.45%	6/26/2024	6,000	5,910	5,865	2.8	%
GAL Manufacturing (Revolver)	(9)(13)(15)	Senior Secured Loans - First Lien	L+4.00%	6.09%	6/24/2022	173	145	146	0.1	%
							11,423	11,407	5.4	%
Springs Window Fashions, LLC		Senior Secured Loans - First Lien	L+4.25%	5.95%	6/15/2025	1,744	1,730	1,743	0.8	%

20

GUGGENHEIM CREDIT INCOME FUND

CONSOLIDATED SCHEDULE OF INVESTMENTS

December 31, 2019 (in thousands)
Portfolio Company (1) (2) (3)	Footnotes	Investment	Spread Above Reference Rate (4)	Interest Rate (4) (5)	Maturity Date	Principal / Par Amount / Shares (6)		Amortized Cost (7) (8)	Fair Value	% of Net Assets
Springs Window Fashions, LLC		Senior Secured Loans - Second Lien	L+8.50%	10.20%	6/15/2026	1,756		1,679	1,668	0.8	%
								3,409	3,411	1.6	%
Total Construction & Building								14,832	14,818	7.0	%
Consumer Goods: Non-Durable
Galls LLC	(15)	Senior Secured Loans - First Lien	L+6.25%	8.37%	1/31/2025	3,620		3,590	3,591	1.7	%
Galls LLC (Delayed Draw B)	(9)(15)	Senior Secured Loans - First Lien	L+6.25%	8.25%	1/31/2025	533		528	528	0.3	%
Galls LLC (Revolver)	(9)(13)(15)	Senior Secured Loans - First Lien	P+5.25%	10.00%	1/31/2024	487		430	434	0.2	%
Total Consumer Goods:  Non-Durable								4,548	4,553	2.2	%
Consumer Goods: Durable
PlayPower, Inc.		Senior Secured Loans - First Lien	L+5.50%	7.30%	4/29/2026	1,294		1,281	1,284	0.6	%
Total Consumer Goods: Durable								1,281	1,284	0.6	%
Containers, Packaging & Glass
Bioplan USA, Inc.		Senior Secured Loans - First Lien	L+4.75%	6.45%	9/23/2021	5,239		5,010	4,610	2.2	%
Husky Injection Molding Systems Ltd.	CN(10)(11)	Senior Secured Loans - First Lien	L+3.00%	4.70%	3/28/2025	1,980		1,854	1,952	0.9	%
Resource Label Group LLC	(15)	Senior Secured Loans - First Lien	L+4.50%	6.60%	5/26/2023	3,449		3,426	3,121	1.5	%
Resource Label Group LLC	(15)	Senior Secured Loans - Second Lien	L+8.50%	10.60%	11/26/2023	3,000		2,969	2,550	1.2	%
								6,395	5,671	2.7	%
Total Containers, Packaging & Glass								13,259	12,233	5.8	%
Energy: Oil & Gas
Basic Energy Services Inc	(13)	Senior Secured Bonds	N/A	10.75%	10/15/2023	2,000		1,985	1,430	0.7	%
Navajo Nation Oil and Gas	(15)	Senior Secured Loans - First Lien	L+7.50%	9.60%	6/14/2022	3,438		3,415	3,417	1.6	%
Penn Virginia	(11)(15)	Senior Secured Loans - Second Lien	L+7.00%	8.71%	9/29/2022	3,000		2,961	2,955	1.4	%
Permian Production Partners	(15)(18)	Senior Secured Loans - First Lien	N/A	N/A	5/20/2024	3,800		3,680	1,805	0.8	%
Total Energy: Oil & Gas								12,041	9,607	4.5	%
Healthcare & Pharmaceuticals
Alegeus Technologies LLC	(15)	Senior Secured Loans - First Lien	L+6.25%	8.28%	9/5/2024	8,000		7,938	7,969	3.8	%
Alltech	(13)(15)	Senior Unsecured Debt	L+10.25%	11.95%	7/21/2023	14,375		14,257	14,258	6.8	%
Alltech	(13)(15)	Senior Unsecured Debt	E+10.25%	11.25%	7/21/2023	€	601	622	669	0.3	%
								14,879	14,927	7.1	%
Cambrex Corporation		Senior Secured Loans - First Lien	L+5.00%	6.70%	11/20/2026	2,500		2,450	2,498	1.2	%
Endo Pharmaceuticals Finance Co.	IR(10)(11)(13)	Senior Unsecured Debt	N/A	6.00%	7/15/2023	4,965		4,104	3,587	1.7	%

21

GUGGENHEIM CREDIT INCOME FUND

CONSOLIDATED SCHEDULE OF INVESTMENTS

December 31, 2019 (in thousands)
Portfolio Company (1) (2) (3)	Footnotes	Investment	Spread Above Reference Rate (4)	Interest Rate (4) (5)	Maturity Date	Principal / Par Amount / Shares (6)	Amortized Cost (7) (8)	Fair Value	% of Net Assets
WIRB-Copernicus Group	(15)	Senior Secured Loans - Second Lien	L+8.25%	9.87%	8/15/2023	12,000	11,823	12,120	5.7	%
Total Healthcare & Pharmaceuticals							41,194	41,101	19.5	%
Hotel, Gaming & Leisure
ASM Global		Senior Secured Loans - First Lien	L+3.00%	4.70%	1/23/2025	2,358	2,356	2,371	1.1	%
ASM Global		Senior Secured Loans - Second Lien	L+7.00%	8.70%	1/23/2026	2,400	2,395	2,428	1.1	%
							4,751	4,799	2.2	%
Playtika Holding	(11)	Senior Secured Loans - First Lien	L+6.00%	7.80%	12/31/2024	2,000	1,960	2,025	1.0	%
Total Hotel, Gaming & Leisure							6,711	6,824	3.2	%
Media: Advertising, Printing & Publishing
Boats Group	(15)	Senior Secured Loans - First Lien	L+4.25%	5.95%	5/17/2024	5,722	5,665	5,722	2.7	%
Boats Group	(15)	Senior Secured Loans - Second Lien	L+8.00%	9.80%	11/18/2024	3,338	3,306	3,372	1.6	%
Boats Group (Revolver)	(9)(13)(15)(17)	Senior Secured Loans - First Lien	N/A	N/A	9/12/2022	—	(44)	(41)	—	%
							8,927	9,053	4.3	%
Houghton Mifflin Harcourt Publishers, Inc.	(11)	Senior Secured Loans - First Lien	L+6.25%	8.04%	11/19/2024	2,500	2,400	2,500	1.2	%
McGraw-Hill Global Education Holdings		Senior Secured Loans - First Lien	L+4.00%	5.70%	5/4/2022	1,943	1,930	1,863	0.9	%
McGraw-Hill Global Education Holdings	(13)(14)(15)	Senior Unsecured Debt	N/A	11.00%	4/20/2022	2,000	1,968	1,871	0.9	%
McGraw-Hill Global Education Holdings	(13)	Senior Unsecured Debt	N/A	7.88%	5/15/2024	1,340	1,302	1,152	0.5	%
							5,200	4,886	2.3	%
Trader Interactive	(15)	Senior Secured Loans - First Lien	L+6.50%	8.30%	6/15/2024	8,113	8,070	8,023	3.8	%
Trader Interactive (Revolver)	(9)(13)(15)(17)	Senior Secured Loans - First Lien	N/A	N/A	6/15/2023	—	(31)	(30)	—	%
							8,039	7,993	3.8	%
Total Media: Advertising, Printing & Publishing							24,566	24,432	11.6	%
Retail
At Home Group	(11)(15)	Senior Secured Loans - First Lien	L+3.50%	5.43%	6/3/2022	318	291	278	0.1	%
Belk, Inc.		Senior Secured Loans - First Lien	L+6.75%	8.80%	12/12/2022	1,146	1,083	807	0.4	%
Beverages and More, Inc.	(13)	Senior Secured Bonds	N/A	11.50%	6/15/2022	900	758	617	0.3	%
Blue Nile, Inc.	(15)	Senior Secured Loans - First Lien	L+6.50%	8.41%	2/17/2023	10,500	10,316	4,568	2.2	%
Buddys Newco, LLC	(13)(15)	Senior Secured Loans - First Lien	L+8.00%	10.21%	7/10/2024	3,900	3,827	4,088	1.9	%

22

GUGGENHEIM CREDIT INCOME FUND

CONSOLIDATED SCHEDULE OF INVESTMENTS

December 31, 2019 (in thousands)
Portfolio Company (1) (2) (3)	Footnotes	Investment	Spread Above Reference Rate (4)	Interest Rate (4) (5)	Maturity Date	Principal / Par Amount / Shares (6)		Amortized Cost (7) (8)	Fair Value	% of Net Assets
Pet Holdings ULC	CN(10)(11)(15)	Senior Secured Loans - First Lien	L+5.50%	7.60%	7/5/2022	4,340		4,306	4,080	1.9	%
Pet Holdings ULC (Delayed Draw)	CN(10)(11)(15)	Senior Secured Loans - First Lien	L+5.50%	7.60%	7/5/2022	489		489	460	0.2	%
								4,795	4,540	2.1	%
Save-a-Lot	(13)	Senior Secured Loans - First Lien	L+6.00%	8.10%	12/5/2023	4,064		2,261	1,488	0.7	%
Sears Outlet	(11)(13)(15)	Senior Secured Loans - First Lien	L+6.50%	8.43%	10/23/2023	2,625		2,575	2,644	1.3	%
Smart & Final Stores LLC	(15)	Senior Secured Loans - First Lien	L+6.75%	8.55%	6/20/2025	3,980		3,605	3,850	1.8	%
Total Retail								29,511	22,880	10.8	%
Services: Business
24-7 Intouch	CN(10)(11)	Senior Secured Loans - First Lien	L+4.25%	5.95%	8/25/2025	3,950		3,715	3,851	1.8	%
Alexander Mann Solutions (GBP Term Loan)	UK(10)(11)(13)	Senior Secured Loans - First Lien	G+5.00%	5.71%	6/16/2025	£	2,060	2,546	2,603	1.2	%
Alexander Mann Solutions (USD Term Loan)	UK(10)(11)(13)(15)	Senior Secured Loans - First Lien	L+5.50%	6.80%	6/16/2025	890		850	863	0.4	%
Alexander Mann Solutions (Revolver)	UK(9)(10)(11)(13)(15)(17)	Senior Secured Loans - First Lien	N/A	N/A	12/16/2024	—		(45)	(45)	—	%
								3,351	3,421	1.6	%
Capstone Logistics, LLC		Senior Secured Loans - First Lien	L+4.50%	6.21%	10/7/2021	4,755		4,730	4,687	2.2	%
Clarion (Comet Bidco)	UK(10)(11)(13)	Senior Secured Loans - First Lien	L+5.00%	7.12%	9/30/2024	5,881		5,790	5,779	2.7	%
HealthChannels, Inc.		Senior Secured Loans - First Lien	L+4.50%	6.24%	4/3/2025	2,857		2,805	2,810	1.3	%
Lifelong Learner Holdings T/L	(15)	Senior Secured Loans - First Lien	L+5.75%	7.49%	10/16/2026	2,866		2,831	2,834	1.4	%
Park Place Technologies		Senior Secured Loans - First Lien	L+4.00%	5.80%	3/29/2025	2,672		2,662	2,663	1.3	%
Park Place Technologies		Senior Secured Loans - Second Lien	L+8.00%	9.80%	3/29/2026	3,404		3,383	3,378	1.6	%
								6,045	6,041	2.9	%
PSI Services LLC	(9)(13)(15)(17)	Senior Secured Loans - First Lien	L+5.75%	7.69%	10/4/2025	30		30	(6)	—	%
PSI Services LLC	(9)(15)	Senior Secured Loans - First Lien	N/A	N/A	10/4/2026	—		—	—	—	%
PSI Services LLC	(9)(15)	Senior Secured Loans - First Lien	L+5.75%	7.63%	10/4/2026	429		429	422	0.2	%
								459	416	0.2	%
SLR Consulting	UK(10)(11)(15)	Senior Secured Loans - First Lien	L+4.00%	5.79%	6/23/2025	1,588		1,551	1,554	0.7	%
SLR Consulting (Delayed Draw)	UK(10)(11)(13)(15)	Senior Secured Loans - First Lien	L+4.00%	5.18%	5/23/2025	494		512	508	0.3	%
								2,063	2,062	1.0	%

23

GUGGENHEIM CREDIT INCOME FUND

CONSOLIDATED SCHEDULE OF INVESTMENTS

December 31, 2019 (in thousands)
Portfolio Company (1) (2) (3)	Footnotes	Investment	Spread Above Reference Rate (4)	Interest Rate (4) (5)	Maturity Date	Principal / Par Amount / Shares (6)		Amortized Cost (7) (8)	Fair Value	% of Net Assets
Teneo Holdings LLC		Senior Secured Loans - First Lien	L+5.25%	6.99%	7/12/2025	3,990		3,802	3,805	1.8	%
YAK Access, LLC		Senior Secured Loans - Second Lien	L+10.00%	11.79%	7/10/2026	5,000		4,688	4,409	2.1	%
Total Services: Business								40,279	40,115	19.0	%
Technology
Advicent Solutions	(15)	Senior Secured Loans - First Lien	L+8.25%	10.35%	2/28/2022	6,983		6,904	5,795	2.7	%
Alfresco Software	(15)	Senior Secured Loans - First Lien	L+8.50%	10.64%	9/9/2024	3,287		3,223	3,229	1.5	%
Acquia Inc.	(13)(15)	Senior Secured Loans - First Lien	L+7.00%	8.91%	10/31/2025	1,789		1,754	1,776	0.8	%
Acquia Inc.	(9)(13)(15)(17)	Senior Secured Loans - First Lien	N/A	N/A	10/31/2025	—		(4)	(26)	—	%
								1,750	1,750	0.8	%
Allvue Systems (Revolver)	(9)(13)(15)(17)	Senior Secured Loans - First Lien	N/A	N/A	9/6/2024	—		(13)	(12)	—	%
Allvue Systems (Term Loan)	(15)	Senior Secured Loans - First Lien	L+4.25%	6.36%	9/4/2026	868		866	860	0.4	%
								853	848	0.4	%
Apptio, Inc. (Revolver)	(9)(13)(15)(17)	Senior Secured Loans - First Lien	N/A	N/A	12/3/2024	—		(35)	(34)	—	%
Apptio, Inc.	(15)	Senior Secured Loans - First Lien	L+7.25%	8.96%	1/10/2025	4,900		4,841	4,855	2.3	%
								4,806	4,821	2.3	%
Causeway Technologies	UK(10)(11)(15)	Senior Secured Loans - First Lien	G+6.25%	7.03%	6/8/2024	£	2,638	3,346	3,450	1.7	%
Causeway Technologies	UK(10)(11)(15)	Senior Secured Loans - First Lien	G+6.25%	7.01%	6/8/2024	£	338	426	447	0.2	%
								3,772	3,897	1.9	%
Cologix Holdings		Senior Secured Loans - First Lien	L+3.75%	5.45%	3/20/2024	2,000		1,931	1,990	0.9	%
Cvent, Inc.		Senior Secured Loans - First Lien	L+3.75%	5.55%	11/29/2024	1,975		1,952	1,976	0.9	%
Datix Bidco Limited	(15)	Senior Secured Loans - First Lien	L+4.50%	6.76%	4/28/2025	1,931		1,900	1,916	0.9	%
Datix Bidco Limited	(15)	Senior Secured Loans - Second Lien	L+7.75%	9.68%	4/27/2026	462		454	458	0.2	%
Datix Bidco Limited	(15)	Senior Secured Loans - First Lien	L+4.50%	6.76%	4/28/2025	3,048		3,006	3,025	1.5	%
Datix Bidco Limited	(15)	Senior Secured Loans - Second Lien	L+7.75%	9.68%	4/27/2026	4,696		4,631	4,656	2.2	%
								9,991	10,055	4.8	%
Kerridge Commercial Systems (USD Term Loan)	UK(10)(11)(15)	Senior Secured Loans - First Lien	L+4.25%	6.35%	1/22/2024	634		625	630	0.3	%
Kerridge Commercial Systems (GBP Term Loan)	UK(10)(11)(13)(15)	Senior Secured Loans - First Lien	G+4.25%	5.01%	1/22/2024	£	528	729	695	0.3	%

24

GUGGENHEIM CREDIT INCOME FUND

CONSOLIDATED SCHEDULE OF INVESTMENTS

December 31, 2019 (in thousands)
Portfolio Company (1) (2) (3)	Footnotes	Investment	Spread Above Reference Rate (4)	Interest Rate (4) (5)	Maturity Date	Principal / Par Amount / Shares (6)		Amortized Cost (7) (8)	Fair Value	% of Net Assets
Kerridge Commercial Systems (Euro Delayed Draw)	UK(10)(11)(13)(15)	Senior Secured Loans - First Lien	E+4.75%	4.75%	1/22/2024	€	97	118	108	0.1	%
Kerridge Commercial Systems (GBP Delayed Draw)	UK(10)(11)(13)(15)	Senior Secured Loans - First Lien	G+4.25%	5.01%	1/22/2024	£	325	421	427	0.2	%
Kerridge Commercial Systems (Bidco) Limited	(11)(13)(15)	Senior Secured Loans - First Lien	L+6.25%	8.19%	1/22/2024	2,200		2,167	2,184	1.0	%
								4,060	4,044	1.9	%
Lytx, Inc.	(15)	Senior Secured Loans - First Lien	L+6.75%	8.45%	8/31/2023	6,482		6,379	6,473	3.1	%
Lytx, Inc.	(15)	Senior Secured Loans - First Lien	L+6.75%	8.45%	8/31/2023	1,453		1,422	1,451	0.7	%
Lytx, Inc. (Revolver)	(9)(13)(15)(17)	Senior Secured Loans - First Lien	N/A	N/A	8/31/2022	—		(25)	(25)	—	%
								7,776	7,899	3.8	%
Ministry Brands	(15)	Senior Secured Loans - First Lien	L+4.00%	5.86%	12/2/2022	953		948	953	0.5	%
Ministry Brands (Delayed Draw)	(15)	Senior Secured Loans - First Lien	L+4.00%	5.86%	12/2/2022	507		505	507	0.2	%
Ministry Brands (Delayed Draw)	(15)	Senior Secured Loans - First Lien	L+4.00%	5.86%	12/2/2022	184		184	184	0.1	%
								1,637	1,644	0.8	%
Onyx CenterSource	(15)	Senior Secured Loans - First Lien	L+6.25%	8.36%	12/20/2021	6,652		6,639	6,640	3.1	%
Onyx CenterSource (Revolver)	(9)(13)(15)(17)	Senior Secured Loans - First Lien	N/A	N/A	12/20/2021	—		(16)	(16)	—	%
								6,623	6,624	3.1	%
Planview, Inc.	(15)	Senior Secured Loans - First Lien	L+5.25%	6.95%	1/27/2023	6,152		6,114	6,121	2.9	%
Planview, Inc.	(15)	Senior Secured Loans - First Lien	L+5.25%	6.95%	1/27/2023	391		391	389	0.2	%
Planview, Inc.	(15)	Senior Secured Loans - Second Lien	L+9.75%	11.45%	7/27/2023	4,388		4,330	4,386	2.1	%
								10,835	10,896	5.2	%
Velocity Holdings US	(15)	Senior Secured Loans - First Lien	L+7.00%	8.90%	12/12/2023	5,428		5,335	5,339	2.5	%
Velocity Holdings US	(15)	Senior Secured Loans - First Lien	L+7.00%	8.90%	12/12/2023	1,145		1,115	1,127	0.6	%
Velocity Holdings US (Revolver)	(13)(15)	Senior Secured Loans - First Lien	L+7.00%	9.05%	12/12/2022	462		424	428	0.2	%
								6,874	6,894	3.3	%
Wind River Systems	(15)	Senior Secured Loans - First Lien	L+6.75%	8.45%	6/24/2024	5,534		5,435	5,467	2.6	%
Total Technology								78,422	77,829	36.9	%
Telecommunications

25

GUGGENHEIM CREDIT INCOME FUND

CONSOLIDATED SCHEDULE OF INVESTMENTS

December 31, 2019 (in thousands)
Portfolio Company (1) (2) (3)	Footnotes	Investment	Spread Above Reference Rate (4)	Interest Rate (4) (5)	Maturity Date	Principal / Par Amount / Shares (6)	Amortized Cost (7) (8)		Fair Value		% of Net Assets
Firstlight Fiber		Senior Secured Loans - First Lien	L+3.50%	5.20%	7/23/2025	2,231	2,221		2,237		1.0	%
Firstlight Fiber		Senior Secured Loans - Second Lien	L+7.50%	9.30%	7/23/2026	2,500	2,476		2,481		1.2	%
							4,697		4,718		2.2	%
Total Telecommunications							4,697		4,718		2.2	%
Transportation: Cargo
Flexi-Van Leasing Corp		Senior Secured Bonds	N/A	10.00%	2/15/2023	4,975	4,778		4,714		2.2	%
Total Transportation: Cargo							4,778		4,714		2.2	%
Utilities: Electric
BHI Energy	(15)	Senior Secured Loans - Second Lien	L+8.75%	10.95%	2/28/2025	6,000	5,908		5,925		2.8	%
Moxie Liberty, LLC		Senior Secured Loans - First Lien	L+6.50%	8.60%	8/21/2020	2,892	2,878		2,583		1.2	%
Total Utilities:  Electric							8,786		8,508		4.0	%
Utilities: Oil & Gas
SeaPort	(15)	Senior Secured Loans - First Lien	L+5.50%	7.21%	10/31/2025	5,940	5,784		5,881		2.8	%
Total Utilities:  Oil & Gas							5,784		5,881		2.8	%
Total Debt Investments							$	372,034	$	359,089	170.0	%
Equity investments - 6.2%
Banking, Finance, Insurance & Real Estate
Four Springs Capital Trust (Preferred Equity)	(11)(13)(14)(15)	Equity and Other	N/A	16.75%		237,576	$	4,700	$	4,752	2.3	%
Total Banking, Finance, Insurance & Real Estate							4,700		4,752		2.3	%
Beverage, Food & Tobacco
Chef's Holdings Inc.	(13)(15)(16)	Equity and Other	N/A	N/A		19,540	2,459		2,284		1.1	%
Total Beverage, Food & Tobacco							2,459		2,284		1.1	%
Energy: Oil & Gas
Maverick Natural Resources, LLC (Common Equity)	(15)(16)	Equity and Other	N/A	N/A		4,625	2,777		2,081		1.0	%
SandRidge Energy, Inc. (Common Equity)	(11)(13)(16)	Equity and Other	N/A	N/A		21,224	448		90		—	%
Total Energy: Oil & Gas							3,225		2,171		1.0	%
Technology
Alfresco Software (Common Equity)	(13)(15)(16)	Equity and Other	N/A	N/A		66,230	166		203		0.1	%
Lytx, Inc. (Preferred Equity)	(13)(14)(15)	Equity and Other	N/A	14.75%		2,958	2,957		3,303		1.6	%
Lytx, Inc. (Warrants)	(13)(15)(16)	Equity and Other	N/A	N/A		130	—		81		—	%
Velocity Holdings US (Class A Units)	(13)(15)(16)	Equity and Other	N/A	N/A		231	231		280		0.1	%

26

GUGGENHEIM CREDIT INCOME FUND

CONSOLIDATED SCHEDULE OF INVESTMENTS

December 31, 2019 (in thousands)
Portfolio Company (1) (2) (3)	Footnotes	Investment	Spread Above Reference Rate (4)	Interest Rate (4) (5)	Maturity Date	Principal / Par Amount / Shares (6)	Amortized Cost (7) (8)		Fair Value		% of Net Assets
Wolfhound Parent Inc. (Warrants)	(13)(15)(16)	Equity and Other	N/A	N/A		1,975	30		30		—	%
Total Technology							3,384		3,897		1.8	%
Total Equity Investments							$	13,768	$	13,104	6.2	%
Total Investments - 176.2%							$	385,802	$	372,193	176.2	%

December 31, 2019 (in thousands)
Derivative Counterparty	Settlement Date	Amount Purchased		Amount Sold		Amortized Cost (7) (8)	Fair Value		% of Net Assets
Foreign Currency Forward Contracts
JPMorgan Chase Bank	1/14/2020	€	772	$	694	—	$	(7)	—	%
JPMorgan Chase Bank	1/14/2020	£	24,936	$	18,878	—	$	(80)	—	%
							$	(87)	—	%

_______________________

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

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

(3)All investments are non-controlled/non-affiliated investments as defined by the Investment Company Act of 1940 (the "1940 Act"). The provisions of the 1940 Act classify investments based on the level of control that we maintain in a particular portfolio company. As defined in the 1940 Act, a company is generally presumed to be “non-controlled” when we own 25% or less of the portfolio company’s voting securities and “controlled” when we own more than 25% of the portfolio company’s voting securities. The provisions of the 1940 Act also classify investments further based on the level of ownership that we maintain in a particular portfolio company. As defined in the 1940 Act, a company is generally deemed as “non-affiliated” when we own less than 5% of a portfolio company’s voting securities and “affiliated” when we own 5% or more of a portfolio company’s voting securities.

(4)The periodic interest rate for all floating rate loans is indexed to London Interbank Offered Rate ("LIBOR" or "LIBO rate") (denoted as "L"), Euro Interbank Offered Rate ("EURIBOR") (denoted as "E"), British Pound Sterling LIBOR ("GBP LIBOR") (denoted as "G") or Prime Rate (denoted as "P"). Pursuant to the terms of the underlying credit agreements, the base interest rates typically reset annually, semi-annually, quarterly or monthly at the borrower's option. The borrower may also elect to have multiple interest reset periods for each loan. For each of these floating rate loans, the Consolidated Schedule of Investments presents the applicable margin over LIBOR, EURIBOR, GBP LIBOR or Prime based on each respective credit agreement. As of December 31, 2019, LIBO rates ranged between 1.76% for 1-month LIBOR to 1.91% for 3-month LIBOR.

(5)For portfolio companies with multiple interest rate contracts under a single credit agreement, the interest rate shown is a weighted average current interest rate in effect at December 31, 2019.

(6)Unless noted otherwise, the principal amount (par amount) for all debt securities is denominated in U.S. dollars. Equity investments are recorded as number of shares owned.

(7)Cost represents amortized cost, inclusive of any capitalized paid-in-kind income ("PIK"), for debt securities, and cost plus capitalized PIK, if any, for preferred stock.

(8)As of December 31, 2019, the aggregate gross unrealized appreciation for all securities, including foreign currency forward contracts, in which there was an excess of value over tax cost was $4.8 million; the aggregate gross unrealized depreciation for all securities, including foreign currency forward contracts, in which there was an excess of tax cost over value was $17.6 million; the net unrealized depreciation was $12.8 million; the aggregate cost of securities for Federal income tax purposes was $384.9 million.

27

GUGGENHEIM CREDIT INCOME FUND

CONSOLIDATED SCHEDULE OF INVESTMENTS

(9)The investment is either a delayed draw loan or a revolving credit facility whereby some or all of the investment commitment is undrawn as of December 31, 2019 (see Note 8. Commitments and Contingencies).

(10)A portfolio company domiciled in a foreign country. The regulatory jurisdiction of security issuance may be a different country than the domicile of the portfolio company.

(11)The investment is not a qualifying asset as defined in Section 55(a) of the 1940 Act. As of December 31, 2019, qualifying assets represented 79% of total assets. Under the 1940 Act we may not acquire any non-qualifying assets unless, at the time the acquisition is made, qualifying assets represent at least 70% of our total assets.

(12)Investment position or portion thereof unsettled as of December 31, 2019.

(13)The investment position, or a portion thereof, was not pledged as collateral supporting the amounts outstanding under our credit facility as of December 31, 2019; (see Note 7. Borrowings).

(14)The underlying credit agreement or indenture contains a PIK provision, whereby the issuer has either the option or the obligation to make interest payments with the issuance of additional securities. The interest rate in the schedule represents the current interest rate in effect for these investments.

	Coupon Rate		PIK Component		Cash Component		PIK Option
Addo Foods Group	G+ 8.00%		0.75	%	G+7.25%		The Portfolio Company may elect PIK up to 0.75%.
CTI Foods Holdings Co., LLC (First Out)	L+7.00%		3.00	%	L+4.00%		The Portfolio Company may elect PIK up to 3.00%.
CTI Foods Holdings Co., LLC (Last Out)	L+9.00%		6.00	%	L+3.00%		The Portfolio Company may elect PIK up to 6.00%.
Four Springs Capital Trust	16.75	%	16.75	%	—	%	The Portfolio Company may elect PIK up to 16.75%.
Gladman Developments Ltd.	G+9.50%		2.75	%	G+6.75%		The Portfolio Company may elect PIK up to 2.75%.
Gladman Developments Ltd. (Delayed Draw)	G+9.50%		2.75	%	G+6.75%		The Portfolio Company may elect PIK up to 2.75%.
Lytx, Inc.	14.75	%	14.75	%	—	%	The Portfolio Company may elect PIK up to 14.75%.
McGraw-Hill Global Education Holdings	11.00	%	11.75	%	—	%	The Portfolio Company may elect partial PIK up to 50% of the interest of the period or full PIK of 11.75%.

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

(16)Non-income producing security.

(17)The negative fair value is the result of the unfunded commitment being valued below par. The negative amortized cost is the result of the capitalized discount being greater than the principal amount outstanding on the loan.

(18)Investment was on non-accrual status as of December 31, 2019, meaning that the Master Fund has ceased recognizing interest income on these investments. As of December 31, 2019, debt investments on non-accrual status represented 1.0% and 0.5% of total investments on an amortized cost basis and fair value basis, respectively.

Abbreviations:

CN = Canada; UK = United Kingdom; IT = Italy; IR=Ireland

See Unaudited Notes to Consolidated Financial Statements.

28

GUGGENHEIM CREDIT INCOME FUND

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)

(in thousands, except share and per share data, percentages and as otherwise indicated;

for example, with the word “million” or otherwise)

Note 1. Principal Business and Organization

Guggenheim Credit Income Fund (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.

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 September 30, 2020, 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.

Reclassifications

Certain prior period amounts may be reclassified to conform to the current presentation, with no effect on our financial condition, results of operations or cash flows.

Use of Estimates

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

29

Notes to Consolidated Financial Statements (Unaudited)

Cash

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

Restricted Cash

Restricted cash consists of cash collateral that has been pledged to cover obligations of the Master Fund according to its derivative contracts and demand deposits held at a major U.S. financial institution on behalf of Hamilton. Hamilton may be restricted in the distribution of cash to the Master Fund, as governed by the terms of the Hamilton Credit Facility (see Note 7. Borrowings). Management believes the credit risk related to its demand deposits is minimal.

Valuation of Investments

The Master Fund measures the value of its investments in accordance with ASC Topic 820 — Fair Value Measurement (“ASC 820”), issued by the FASB. Fair value is the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. Market participants are defined as buyers and sellers in the principal or most advantageous market (which may be a hypothetical market) that are independent, knowledgeable and willing and able to transact. In accordance with ASC 820, the Master Fund considers its principal market to be the market that has the greatest volume and level of activity.

ASC 820 defines hierarchical levels directly related to the amount of subjectivity associated with the inputs used to determine fair values of assets and liabilities. The hierarchical levels and types of inputs used to measure fair value for each level are described as follows:

Level 1 - Quoted prices are available in active markets for identical investments as of the reporting date. Publicly listed equities and debt securities, publicly listed derivatives, money market/short-term investment funds and foreign currency are generally included in Level 1. The Master Fund does not adjust the quoted price for these investments.

Level 2 - Valuation inputs are other than quoted prices in active markets, which are either directly or indirectly observable as of the reporting date, and fair value is determined through the use of models or other valuation methodologies. In certain cases, debt and equity securities are valued on the basis of prices from orderly transactions for similar investments in active markets between market participants and provided by reputable dealers or independent pricing services. In determining the value of a particular investment, independent pricing services may use certain information with respect to transactions in such investments, quotations from multiple dealers or brokers, pricing matrices, market transactions in comparable investments and various relationships between investments. Investments generally included in this category are corporate bonds and loans.

Level 3 - Valuation inputs are unobservable for the investment and include situations where there is little, if any, market activity for the investment. The inputs into the determination of fair value require significant judgment or estimation. Investments generally included in this category are illiquid corporate bonds and loans and preferred stock investments that lack observable market pricing.

In certain cases, the inputs used to measure fair value may fall within different levels of the fair value hierarchy. In such cases, an investment’s level within the fair value hierarchy is based on the lowest level of input that is significant to the fair value measurement. Depending on the relative liquidity in the markets for certain investments, the Master Fund may transfer assets to Level 3 if it determines that observable quoted prices, obtained directly or indirectly, are severely limited, or not available, or otherwise not reliable. The Master Fund’s assessment of the significance of a particular input to the fair value measurement requires judgment, and the consideration of factors specific to the investment.

30

Notes to Consolidated Financial Statements (Unaudited)

Investments for which market quotations are readily available are valued using market quotations, which are generally obtained from independent pricing services, broker-dealers or market makers. With respect to the Master Fund’s portfolio investments for which market quotations are not readily available, the Master Fund's board of trustees ("Board of Trustees"), including our trustees who are not "interested persons" as defined in the 1940 Act (the "Independent Trustees"), is responsible for determining in good faith the fair value of the Master Fund’s portfolio investments in accordance with the valuation policy and procedures approved by the Board of Trustees, based on, among other things, the input of Guggenheim and management, its audit committee and independent third-party valuation firms. The Master Fund and the Board of Trustees conduct their fair value determination process on a quarterly basis and any other time when a decision regarding the fair value of the portfolio investments is required.

The valuation techniques used by the Master Fund for the assets that are classified as Level 3 in the fair value hierarchy are described below.

Senior Debt and Subordinated Debt: Senior debt and subordinated debt investments are valued at initial transaction price and are subsequently valued using (i) market data for similar instruments (e.g., recent transactions or indicative broker quotes), and/or (ii) valuation models. Valuation models may be based on investment yield analysis and discounted cash flow techniques, where the key inputs include risk-adjusted discount rates and required rates of return, based on the analysis of similar debt investments issued by similar issuers.

Equity/Other Investments: Equity/other investments are valued at initial transaction price and are subsequently valued using valuation models in the absence of readily observable market prices. Valuation models are generally based on (i) market and income (discounted cash flow) approaches, in which various internal and external factors are considered, and (ii) earnings before interest, taxes, depreciation and amortization ("EBITDA") multiples analysis. Factors include key financial inputs and recent public and private transactions for comparable investments. Key inputs used for the discounted cash flow approach include the weighted average cost of capital and investment terminal values derived from EBITDA multiples. An illiquidity discount may be applied where appropriate.

The Master Fund utilizes several valuation techniques that use unobservable pricing inputs and assumptions in determining the fair value of its Level 3 investments. The valuation techniques, as well as the key unobservable inputs that have a significant impact on the Master Fund’s investments classified and valued as Level 3 in the valuation hierarchy, are described in Note 5. Fair Value of Financial Instruments. The unobservable inputs and assumptions may differ by asset and in the application of the Master Fund’s valuation methodologies. The reported fair value estimates could vary materially if the Master Fund had chosen to incorporate different unobservable pricing inputs and assumptions.

The determination of fair value involves subjective judgments and estimates. Due to the inherent uncertainty of determining the fair value of portfolio investments that do not have a readily available market value, the fair value of investments may differ materially from the values that would have been determined had a readily available market value existed for such investments. Further, such investments are generally less liquid than publicly traded securities. If the Master Fund was required to liquidate a portfolio investment that does not have a readily available market value in a forced or liquidation sale, the Master Fund could realize significantly less value than the value recorded by the Master Fund.

Security Transactions and Realized/Unrealized Gains or Losses

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

31

Notes to Consolidated Financial Statements (Unaudited)

Interest Income

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

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

If the portfolio company's valuation indicates the value of the PIK security is not sufficient to cover the contractual PIK interest, the Master Fund will not accrue additional PIK interest income and will record an allowance for any accrued PIK interest receivable as a reduction of interest income in the period the Master Fund determines it is not collectible.

Debt securities are placed on non-accrual status when principal or interest payments are at least 90 days past due or when there is reasonable doubt that principal or interest will be collected. Generally, accrued interest is reversed against interest income when a debt security is placed on non-accrual status. Interest payments received on debt securities on non-accrual status may be recognized as interest income or applied to principal based on management’s judgment. Debt securities on non-accrual status are restored to accrual status when past due principal and interest are paid, and, in management’s judgment, such securities are likely to remain current on interest payment obligations. The Master Fund may make exceptions to this treatment if the debt security has sufficient collateral value and is in the process of collection.

Dividend Income

Dividend income on preferred equity securities is recorded as dividend income on an accrual basis to the extent that such amounts are payable by the portfolio company and are expected to be collected. Dividend income on equity securities is recorded on the record date for private portfolio companies or on the ex-dividend date for publicly traded portfolio companies. Each distribution received from limited liability company (“LLC”) and limited partnership (“LP”) equity investments is evaluated to determine if the distribution should be recorded as dividend income or a return of capital. Generally, the Master Fund will not record distributions from equity investments in LLCs and LPs as dividend income unless there are sufficient accumulated tax basis earnings and profits in the LLC or LP prior to the distribution. Distributions that are classified as a return of capital are recorded as a reduction in the cost basis of the investment.

Fee Income

Guggenheim, or its affiliates, may provide financial advisory services to portfolio companies and in return may receive fees for capital structuring services. Guggenheim is obligated to remit to the Master Fund any earned capital structuring fees based on the pro rata portion of the Master Fund’s investment in originated co-investment transactions. These fees are generally non-recurring and are recognized as fee income by the Master Fund upon the earlier of the investment commitment date or investment closing date. The Master Fund may also receive fees for investment commitments, amendments to credit agreements and other services rendered to portfolio companies. Such fees are recognized as fee income when earned or when the services are rendered.

Derivative Instruments

Derivative instruments solely consist of foreign currency forward contracts. The Master Fund recognizes all derivative instruments as assets or liabilities at fair value in its consolidated financial statements. Foreign currency forward contracts entered into by the Master Fund are not designated as hedging instruments, and as a result, the Master Fund presents changes in fair value through net change in unrealized appreciation (depreciation) on foreign currency forward contracts in the consolidated statements of operations. Realized gains and losses that occur upon the cash settlement of the foreign currency forward contracts are included in net realized gains (losses) on foreign currency forward contracts on the consolidated statements of operations.

32

Notes to Consolidated Financial Statements (Unaudited)

Foreign Currency Translation, Transactions and Gains (Losses)

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

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

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

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

Investment Advisory Fees

The Master Fund incurs investment advisory fees including: (i) a base management fee and (ii) a performance-based incentive fee which includes (a) an incentive fee on income and (b) an incentive fee on capital gains, due to Guggenheim pursuant to an investment advisory agreement between the Master Fund and Guggenheim (the "Investment Advisory Agreement") as described in Note 6. Related Party Agreements and Transactions. The two components of the performance-based incentive fee will be combined and expensed in the consolidated statements of operations and accrued in the consolidated statements of assets and liabilities as accrued performance-based incentive fee. Pursuant to the terms of the Investment Advisory Agreement, the incentive fee on capital gains is determined and payable in arrears as of the end of each calendar year (or upon termination of the Investment Advisory Agreement) based on the Master Fund’s realized capital gains on acumulative basis from inception, net of all realized capital losses and unrealized depreciation on a cumulative basis, less the aggregate amount of any previously paid capital gains incentive fees. Although the terms of the Investment Advisory Agreement do not provide for the inclusion of unrealized gains in the calculation of the incentive fee on capital gains, the Master Fund includes unrealized gains in the calculation of the incentive fee on capital gains in accordance with GAAP. Therefore the accrued amount, if any, represents an estimate of the incentive fees that may be payable to Guggenheim if the Master Fund’s entire investment portfolio was liquidated at its fair value as of the date of the consolidated statements of assets and liabilities, even though Guggenheim is not entitled to any incentive fee based on unrealized appreciation unless and until such unrealized appreciation is realized.

Deferred Financing Costs

Deferred financing costs represent fees and other direct incremental costs incurred in connection with the arrangement of the Master Fund's borrowings. These costs are presented in the consolidated statements of assets and liabilities as a direct deduction of the debt liability to which the costs pertain. These costs are amortized using the effective interest method and are included in interest expense on the consolidated statements of operations over the life of the borrowings.

Distributions

Distributions to the Master Fund's common shareholders are periodically declared by its Board of Trustees and recognized as a liability on the record date.

33

Notes to Consolidated Financial Statements (Unaudited)

Federal Income Taxes

Beginning with its tax year ended December 31, 2015, the Master Fund has elected to be treated for federal income tax purposes, and thereafter intends to maintain its qualification, as a regulated investment company ("RIC") under Subchapter M of the Internal Revenue Code of 1986, as amended (the "Code"). Generally, a RIC is not subject to federal income taxes on distributed income and gains if it distributes dividends in a timely manner out of assets legally available for distributions to its shareholders of an amount generally at least equal to 90% of its “Investment Company Taxable Income,” as defined in the Code. The Master Fund intends to distribute sufficient dividends to maintain its RIC status each year and it does not anticipate paying a material level of federal income taxes.

The Master Fund is generally subject to nondeductible federal excise taxes if it does not distribute dividends to its shareholders in respect of each calendar year of an amount at least equal to the sum of (i) 98% of its net ordinary income (taking into account certain deferrals and elections) for the calendar year, (ii) 98.2% of its capital gain net income (i.e., capital gains in excess of capital losses), adjusted for certain ordinary losses, for the one-year period generally ending on October 31st of the calendar year and (iii) any net ordinary income and capital gain net income for preceding calendar years that were not distributed during such calendar years and on which the Master Fund paid no federal income tax. The Master Fund may, at its discretion, pay a 4% nondeductible federal excise tax on under-distribution of taxable ordinary income and capital gains.

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 September 30, 2020, open U.S. Federal and state income tax years include the tax years ended December 31, 2016 through December 31, 2019. The Master Fund has no examinations in progress. Management’s determinations regarding ASC 740 may be subject to review and adjustment at a later date based upon factors including, but not limited to, an on-going analysis of tax laws, regulations and interpretations thereof.

Recent Accounting Pronouncements

In March 2020, the FASB issued Accounting Standards Update No. 2020-04, “Reference Rate Reform (Topic 848): Facilitation of the Effects of Reference Rate Reform on Financial Reporting.” The guidance provides optional expedients and exceptions for applying GAAP to contracts, hedging relationships, and other transactions affected by reference rate reform if certain criteria are met. The amendments apply only to contracts, hedging relationships, and other transactions that reference LIBOR or another reference rate expected to be discontinued because of reference rate reform. ASU 2020-04 is effective for all entities as of March 12, 2020 through December 31, 2022. The Master Fund is evaluating the potential impact that the adoption of this guidance will have on the Master Fund’s financial statements.

SEC Disclosure Update and Simplification

In August 2020, the U.S. Securities and Exchange Commission (“SEC”) issued Final Rule Release No. 33-10825 and No.34-89670, collectively referred to as 'Modernization of Regulation S-X Items 101, 103 and 105’. These rules amend certain SEC disclosure requirements to improve disclosure for investors and to simplify compliance for registrants, including new requirements for human capital disclosures and a summary of risk factors. The final rules are effective for all filings on or after November 9, 2020. The Master Fund has evaluated the impact of the amendments and determined the effect of the adoption of the simplification rules on the financial statements would mostly affect the Form 10-K.

Note 3. Investments

The following table presents the composition of the investment portfolio at amortized cost and fair value as of September 30, 2020 and December 31, 2019, respectively, with corresponding percentages of total investments at fair value:

34

Notes to Consolidated Financial Statements (Unaudited)

	September 30, 2020						December 31, 2019
	Amortized Cost		Fair Value		Percentage of Investments at Fair Value		Amortized Cost		Fair Value		Percentage of Investments at Fair Value
Senior secured loans - first lien	$	297,870	$	279,664	85.0	%	$	279,872	$	268,678	72.2	%
Senior secured loans - second lien	37,050		32,958		10.0		56,913		56,651		15.2
Senior secured bonds	7,486		5,823		1.8		12,996		12,223		3.3
Senior unsecured debt	3,206		2,073		0.6		22,253		21,537		5.8
Total senior debt	$	345,612	$	320,518	97.4	%	$	372,034	$	359,089	96.5	%
Equity and other	11,425		8,683		2.6		13,768		13,104		3.5
Total investments	$	357,037	$	329,201	100.0	%	$	385,802	$	372,193	100.0	%

The following table presents the composition of the investment portfolio by industry classifications at amortized cost and fair value as of September 30, 2020 and December 31, 2019, respectively, with corresponding percentages of total investments at fair value:

	September 30, 2020						December 31, 2019
Industry Classification	Amortized Cost		Fair Value		Percentage of Investments at Fair Value		Amortized Cost		Fair Value		Percentage of Investments at Fair Value
Technology	$	79,146	$	75,636	23.0	%	$	81,806	$	81,726	22.0	%
Services: Business	41,278		39,134		11.9		40,279		40,115		10.8
Beverage, Food & Tobacco	29,940		29,755		9.0		24,104		24,555		6.6
Automotive	27,054		24,702		7.5		24,095		21,938		5.9
Media: Advertising, Printing & Publishing	20,958		19,058		5.8		24,566		24,432		6.6
Chemicals, Plastics & Rubber	18,792		18,816		5.7		20,010		20,072		5.4
Consumer goods: Non-durable	17,152		17,317		5.3		4,548		4,553		1.2
Containers, Packaging & Glass	16,468		14,236		4.3		13,259		12,233		3.3
Retail	19,342		13,742		4.2		29,511		22,880		6.1
Construction & Building	13,807		13,601		4.1		14,832		14,818		4.0
Banking, Finance, Insurance & Real Estate (1)	11,794		11,690		3.6		11,021		11,191		3.0
Healthcare & Pharmaceuticals	10,394		10,467		3.2		41,194		41,101		11.0
Aerospace & Defense	7,580		7,547		2.3		7,274		6,877		1.8
Energy: Oil & Gas	15,166		6,733		2.0		15,266		11,778		3.2
Utilities: Electric	5,918		5,880		1.8		8,786		8,508		2.3
Utilities: Oil & Gas	5,739		5,289		1.6		5,784		5,881		1.6
Metals & Mining	4,830		4,657		1.4		—		—		—
Telecommunications	4,682		4,321		1.3		4,697		4,718		1.3
Hotel, Gaming & Leisure	3,664		3,431		1.0		6,711		6,824		1.8
Capital Equipment	2,000		1,930		0.6		2,000		1,995		0.5
Consumer Goods: Durable	1,236		1,159		0.4		1,281		1,284		0.3
Transportation: Consumer	97		100		—		—		—		—
Transportation: Cargo	—		—		—		4,778		4,714		1.3
Total investments	$	357,037	$	329,201	100.0	%	$	385,802	$	372,193	100.0	%

______________

35

Notes to Consolidated Financial Statements (Unaudited)

(1)Portfolio companies included in this classification may include insurance brokers that are not classified as insurance companies.

The following table presents the geographic dispersion of the investment portfolio as a percentage of total investments at fair value as of September 30, 2020 and December 31, 2019.

Geographic Dispersion	September 30, 2020		December 31, 2019
United States of America	87.3	%	85.5	%
United Kingdom	8.1		9.2
Canada	3.0		2.8
Italy	1.6		1.5
Ireland	—		1.0
Total investments	100.0	%	100.0	%

Note 4. Derivative Instruments

The Master Fund may enter into foreign currency forward contracts from time to time to facilitate settlement of purchases and sales of investments denominated in foreign currencies and to economically hedge the impact that an adverse change in foreign exchange rates would have on the value of the Master Fund's investments denominated in foreign currencies. A foreign currency forward contract is a commitment to purchase or sell a foreign currency at a future date at a negotiated forward rate. These contracts are marked-to-market by recognizing the difference between the contract forward exchange rate and the forward market exchange rate on the last day of the period presented as unrealized appreciation or depreciation. Realized gains or losses are recognized when forward contracts are settled. Risks arise as a result of the potential inability of the counterparties to meet the terms of their contracts; the Master Fund attempts to limit counterparty risk by only dealing with well-known counterparties and those that it believes have the financial resources to honor their obligations. The foreign currency forward contracts open at the end of the period are generally indicative of the volume of activity during the period.

The following tables present the Master Fund's open foreign currency forward contracts as of September 30, 2020 and December 31, 2019:

September 30, 2020
Foreign Currency	Settlement Date	Statement Location	Counterparty	Amount Transacted		Notional Value at Settlement		Notional Value at Period End		Fair Value
EUR	October 16, 2020	Unrealized appreciation on foreign currency forward contracts	JPMorgan Chase Bank, N.A.	€	1,051	$	1,245	$	1,233	$	12
GBP	October 16, 2020	Unrealized depreciation on foreign currency forward contracts	JPMorgan Chase Bank, N.A.	£	19,225	24,600		24,809		(209)
Total						$	25,845	$	26,042	$	(197)

December 31, 2019
Foreign Currency	Settlement Date	Statement Location	Counterparty	Amount Transacted		Notional Value at Settlement		Notional Value at Period End		Fair Value
EUR	January 14, 2020	Unrealized depreciation on foreign currency forward contracts	JPMorgan Chase Bank, N.A.	€	694	$	772	$	779	$	(7)
GBP	January 14, 2020	Unrealized depreciation on foreign currency forward contracts	JPMorgan Chase Bank, N.A.	£	18,878	24,936		25,016		(80)
Total						$	25,708	$	25,795	$	(87)

36

Notes to Consolidated Financial Statements (Unaudited)

The following table presents the net realized and unrealized gains and losses on derivative instruments recorded by the Master Fund for the three and nine months ended September 30, 2020and September 30, 2019:

		For the Three Months Ended September 30,				For the Nine Months Ended September 30,
	Statement Location	2020		2019		2020		2019
Net realized gains (losses)
Foreign currency forward contracts	Net realized gains (losses) on foreign currency forward contracts	$	(383)	$	752	$	668	$	626
Net change in unrealized appreciation (depreciation)
Foreign currency forward contracts	Net change in unrealized appreciation (depreciation) on foreign currency forward contracts	(605)		144		(110)		523
Net realized and unrealized gains (losses) on foreign currency forward contracts		$	(988)	$	896	$	558	$	1,149

For derivatives traded under an International Swaps and Derivatives Association Master Agreement ("ISDA Master Agreement"), the collateral requirements are typically calculated by netting the mark-to-market amount for each transaction under such agreement and comparing that amount to the value of any collateral currently pledged by the Master Fund and/or the counterparty. Cash collateral that has been pledged, if any, to cover obligations of the Master Fund and cash collateral received from the counterparty, if any, is reported on the consolidated statements of assets and liabilities as collateral deposits (received) for foreign currency forward contracts. Generally, the amount of collateral due from or to a party has to exceed a minimum transfer amount threshold before a transfer is required. To the extent amounts due to the Master Fund from a counterparty are not fully collateralized, the Master Fund bears the risk of loss from counterparty non-performance.

The following table presents the Master Fund's derivative assets and liabilities by counterparty, net of amounts available for offset under a master netting agreement or similar arrangement, and net of related collateral received by the Master Fund for assets or pledged for liabilities as of September 30, 2020 and December 31, 2019:

As of	Counterparty	Gross Derivative Assets in Statement of Assets and Liabilities		Gross Derivative Liabilities in Statement of Assets and Liabilities		Collateral Pledged		Net position of Derivative Assets, Liabilities and Pledged Collateral
September 30, 2020	JP Morgan Chase Bank, N.A.	$	12	$	(209)	$	—	$	(197)
December 31, 2019	JP Morgan Chase Bank, N.A.	$	—	$	(87)	$	(320)	$	(407)

Note 5. Fair Value of Financial Instruments

The following tables present the segmentation of the investment portfolio at fair value, as of September 30, 2020 and December 31, 2019, according to the fair value hierarchy as described inNote 2. Significant Accounting Policies:

	September 30, 2020
	Level 1			Level 2			Level 3			Total
Investments
Senior secured loans - first lien	$	—		$	86,896		$	192,768		$	279,664
Senior secured loans - second lien	—			5,052			27,906			32,958
Senior secured bonds	—			5,823			—			5,823
Senior unsecured debt	—			677			1,396			2,073
Total senior debt	$	—		$	98,448		$	222,070		$	320,518
Equity and other	35			—			8,648			8,683
Total investments	$	35		$	98,448		$	230,718		$	329,201
Percentage	0.0		%	29.9		%	70.1		%	100.0		%
Derivative Instruments
Foreign currency forward contracts	$	—		$	(197)		$	—		$	(197)

37

Notes to Consolidated Financial Statements (Unaudited)

	December 31, 2019
	Level 1			Level 2			Level 3			Total
Investments
Senior secured loans - first lien	$	—		$	80,704		$	187,974		$	268,678
Senior secured loans - second lien	—			14,364			42,287			56,651
Senior secured bonds	—			12,223			—			12,223
Senior unsecured debt	—			4,739			16,798			21,537
Total senior debt	$	—		$	112,030		$	247,059		$	359,089
Equity and other	90			—			13,014			13,104
Total investments	$	90		$	112,030		$	260,073		$	372,193
Percentage	0.0		%	30.1		%	69.9		%	100.0		%
Derivative Instruments
Foreign currency forward contracts	$	—		$	(87)		$	—		$	(87)

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 September 30, 2020 and December 31, 2019:

September 30, 2020
Asset Category	Fair Value		Valuation Techniques (1)	Unobservable Inputs (2)	Weighted Average	Range (3)	Impact to Valuation from an Increase in Input (4)
Senior secured loans - first lien	$	159,437	Yield analysis	Yield	7.93%	4.23% - 32.59%	Decrease
	$	1,642	Transacted value	Cost	99.50	99.50	Increase
	$	4,710	Transacted value	Bid	54.28	54.28	Increase
			Discounted cash flow	Discount Rate	17.50%	17.50%	Decrease
			Discounted cash flow	Perpetuity Growth Rate	(10.00)%	(10.00)%	Increase
			Discounted cash flow	Terminal EBITDA Multiple	7.2x	7.2x	Increase
Senior secured loans - second lien	$	16,874	Yield analysis	Yield	9.00%	8.18% - 9.54%	Decrease
Senior unsecured debt	$	1,396	Yield analysis	Yield	38.37%	38.37%	Decrease
Equity and other	$	30	Transacted value	Cost(5)	15.36	15.36	Increase
	$	5,363	Market comparable	Capitalization Rate	7.00%	7.00%	Increase
	$	578	Market comparable	Cash Flow Multiple	2.6x	2.6x	Increase
			Market comparable	Oil production multiple (6)	13377x	13377x	Increase
			Market comparable	Oil reserve multiple (7)	5.2x	5.2x	Increase
	$	2,677	Discounted cash flow	Discount Rate	16.00%	13.24% - 17.5%	Decrease
			Discounted cash flow	EBITDA multiple	14.9x	14.5x - 15.8x	Increase
			Discounted cash flow	Perpetuity Growth Rate	6.00%	5% - 8%	Increase
			Discounted cash flow	Terminal EBITDA Multiple	8.2x	5x - 13x	Increase
Total	$	192,707

______________

(1)For the investments that have more than one valuation technique, the Master Fund may rely on the stated techniques individually or in the aggregate based on a weight ascribed to each valuation technique, ranging from 0% to 100%.

38

Notes to Consolidated Financial Statements (Unaudited)

(2)The Master Fund generally uses prices provided by an independent pricing service, or directly from an independent broker, which are non-binding indicative prices on or near the valuation date as the primary basis for the fair valuation determinations for quoted senior secured bonds and loans. Since these prices are non-binding, they may not be indicative of fair value. Each quoted price is evaluated by Guggenheim in conjunction with additional information compiled by it, including financial performance, recent business developments and various other factors. Investments with fair values determined in this manner were not included in the table above. As of September 30, 2020, the Master Fund had investments of this nature measured at fair value totaling $38.0 million.

(3)A range is not provided when there is only one investment within the classification or multiple investments that have the same unobservable input; weighted average amounts are based on the estimated fair values.

(4)This column represents the directional change in the fair value of the Level 3 investments that would result from an increase to the corresponding unobservable input. A decrease to the unobservable input would have the opposite effect. Significant changes in these inputs in isolation could result in significantly higher or lower fair value measurements.

(5)Investments may be valued at cost for a period of time after acquisition as the best indicator of fair value.

(6)Oil production multiple is valued based on thousand barrels of oil equivalent per day (MBOE/d).

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

December 31, 2019
Asset Category	Fair Value		Valuation Techniques (1)	Unobservable Inputs (2)	Weighted Average	Range (3)	Impact to Valuation from an Increase in Input (4)
Senior secured loans - first lien	$	121,594	Yield analysis	Yield	8.44%	4.64% - 12.05%	Decrease
	$	5,722	Transacted value	Potential transaction	100.00	100.00	Increase
	$	14,656	Yield analysis	Yield	7.88%	6.47% - 8.5%	Decrease
			Transacted value	Potential transaction	101.73	100 - 105.57	Increase
	$	5,795	Yield analysis	Yield	20.23%	20.23%	Decrease
			Transacted value	Bid	61.27	61.27	Increase
			Discounted cash flow	Discount Rate	17.50%	17.50%	Decrease
			Discounted cash flow	Perpetuity Growth Rate	(10.00)%	(10.00)%	Increase
			Discounted cash flow	Terminal EBITDA Multiple	5.9x	5.9x	Increase
Senior secured loans - second lien	$	16,904	Yield analysis	Yield	9.91%	7.67% - 11.27%	Decrease
	$	15,492	Transacted value	Potential transaction	101.00	101.00	Increase
	$	4,386	Yield analysis	Yield	11.46%	11.46%	Decrease
			Transacted value	Potential transaction	100.00	100.00	Increase
Senior unsecured debt	$	16,798	Yield analysis	Yield	12.44%	11.53% - 14.33%	Decrease
Equity and other	$	30	Transacted value	Cost (5)	15.36	15.36	Increase
	$	3,303	Transacted value	Potential transaction	1,116.45	1,116.45	Increase
	$	4,752	Market comparable	Capitalization Rate	7.00%	7.00%	Increase
	$	81	Discounted cash flow	EBITDA multiple	16.7x	16.7x	Increase
	$	2,081	Market comparable	Cash Flow Multiple	3.6x	3.6x	Increase
			Market comparable	Oil production multiple (6)	19,650x	19,650x	Increase
			Market comparable	Oil reserve multiple (7)	6.6x	6.6x	Increase
	$	2,767	Discounted cash flow	Discount Rate	20.01%	14.08% - 15%	Decrease
			Discounted cash flow	EBITDA multiple	14.5x	13.2x - 15.4x	Increase
			Discounted cash flow	Perpetuity Growth Rate	6.74%	5% - 8%	Increase
			Discounted cash flow	Terminal EBITDA Multiple	8.2x	7.5x - 13x	Increase
Total	$	214,361

_______________

39

Notes to Consolidated Financial Statements (Unaudited)

(1)For the investments that have more than one valuation technique, the Master Fund may rely on the stated techniques individually or in the aggregate based on a weight ascribed to each valuation technique, ranging from 0% to 100%.

(2)The Master Fund generally uses prices provided by an independent pricing service, or directly from an independent broker, which are non-binding indicative prices on or near the valuation date as the primary basis for the fair valuation determinations for quoted senior secured bonds and loans. Since these prices are non-binding, they may not be indicative of fair value. Each quoted price is evaluated by Guggenheim in conjunction with additional information compiled by it, including financial performance, recent business developments and various other factors. Investments with fair values determined in this manner were not included in the table above. As of December 31, 2019, the Master Fund had investments of this nature measured at fair value totaling $45.7 million.

(3)A range is not provided when there is only one investment within the classification or multiple investments that have the same unobservable input; weighted average amounts are based on the estimated fair values.

(4)This column represents the directional change in the fair value of the Level 3 investments that would result from an increase to the corresponding unobservable input. A decrease to the unobservable input would have the opposite effect. Significant changes in these inputs in isolation could result in significantly higher or lower fair value measurements.

(5)Investments may be valued at cost for a period of time after acquisition as the best indicator of fair value.

(6)Oil production multiple is valued based on thousand barrels of oil equivalent per day (MBOE/d).

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

In addition to the Level 3 valuation methodologies and unobservable inputs noted above, the Master Fund, in accordance with its valuation policy, may also use other valuation techniques and methodologies when determining the fair value estimates for its investments.

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 nine months ended September 30, 2020 and September 30, 2019:

	For the Three Months Ended September 30, 2020
	Senior Secured Loans - First Lien		Senior Secured Loans - Second Lien		Senior Unsecured Debt		Equity and Other		Total
Balance as of July 1, 2020	$	198,457	$	27,598	$	1,498	$	7,621	$	235,174
Additions (1)	5,384		29		—		214		5,627
Sales and repayments (2)	(7,082)		—		—		—		(7,082)
Net realized gains (3)	392		—		—		—		392
Net change in unrealized appreciation (depreciation) on investments (4)	434		325		(105)		813		1,467
Net discount accretion	132		(46)		3		—		89
Transfers into Level 3 (5)	3,925		—		—		—		3,925
Transfers out of Level 3 (6)	(8,874)		—		—		—		(8,874)
Fair value balance as of September 30, 2020	$	192,768	$	27,906	$	1,396	$	8,648	$	230,718
Change in net unrealized appreciation (depreciation) on investments held as of September 30, 2020	$	713	$	324	$	(105)	$	813	$	1,745

40

Notes to Consolidated Financial Statements (Unaudited)

	For the Nine Months Ended September 30, 2020
	Senior Secured Loans - First Lien		Senior Secured Loans - Second Lien		Senior Unsecured Debt		Equity and Other		Total
Balance as of January 1, 2020	$	187,974	$	42,287	$	16,798	$	13,014	$	260,073
Additions (1)	41,890		2,195		—		615		44,700
Sales and repayments (2)	(29,019)		(19,881)		(15,354)		(3,375)		(67,629)
Net realized gains (3)	13		425		465		417		1,320
Net change in unrealized depreciation on investments (4)	(9,355)		(3,325)		(532)		(2,023)		(15,235)
Net discount accretion	467		(75)		19		—		411
Transfers into Level 3 (5)	34,033		10,230		—		—		44,263
Transfers out of Level 3 (6)	(33,235)		(3,950)		—		—		(37,185)
Fair value balance as of September 30, 2020	$	192,768	$	27,906	$	1,396	$	8,648	$	230,718
Change in net unrealized depreciation on investments held as of September 30, 2020	$	(5,838)	$	(1,389)	$	(484)	$	(1,597)	$	(9,308)

___________

(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 on investments on the consolidated statements of operations.

(4)Included in net change in unrealized appreciation (depreciation) on investments on the consolidated statements of operations.

(5)For the three and nine months ended September 30, 2020, investments were transferred from Level 2 to Level 3 as valuation coverage was reduced to one independent pricing service without any corroborating recent trade or another broker quotation.

(6)For the three and nine months ended September 30, 2020, investments were transferred from Level 3 to Level 2 as valuation coverage was initiated by more than one independent pricing services or by one independent pricing service with a corroborating recent trade or another broker quotation.

41

Notes to Consolidated Financial Statements (Unaudited)

	For the Three Months Ended September 30, 2019
	Senior Secured Loans - First Lien		Senior Secured Loans - Second Lien		Senior Unsecured Debt		Equity and Other		Total
Balance as of July 1, 2019	$	176,521	$	46,452	$	16,867	$	13,318	$	253,158
Additions (1)	15,566		—		—		185		15,751
Sales and repayments (2)	(7,431)		—		—		(520)		(7,951)
Net realized gains (3)	110		—		—		—		110
Net change in unrealized depreciation on investments (4)	(3,752)		(172)		(94)		(23)		(4,041)
Net discount accretion	153		24		9		—		186
Transfers into Level 3 (5)	12,417		—		—		—		12,417
Transfers out of Level 3 (6)	(10,245)		(2,955)		—		—		(13,200)
Fair value balance as of September 30, 2019	$	183,339	$	43,349	$	16,782	$	12,960	$	256,430
Change in net unrealized depreciation on investments held as of September 30, 2019	$	(3,752)	$	(172)	$	(94)	$	(23)	$	(4,041)

	For the Nine Months Ended September 30, 2019
	Senior Secured Loans - First Lien		Senior Secured Loans - Second Lien		Senior Unsecured Debt		Equity and Other		Total
Balance as of January 1, 2019	$	204,558	$	51,898	$	16,666	$	10,325	$	283,447
Additions (1)	29,417		4,469		—		3,208		37,094
Sales and repayments (2)	(21,813)		(2,674)		—		(636)		(25,123)
Net realized gains (losses) (3)	253		(4,501)		—		—		(4,248)
Net change in unrealized appreciation (depreciation) on investments (4)	(4,784)		3,946		87		63		(688)
Net discount accretion	481		70		29		—		580
Transfers into Level 3 (5)	27,507		533		—		—		28,040
Transfers out of Level 3 (6)	(52,280)		(10,392)		—		—		(62,672)
Fair value balance as of September 30, 2019	$	183,339	$	43,349	$	16,782	$	12,960	$	256,430
Change in net unrealized appreciation (depreciation) on investments held as of September 30, 2019	$	(5,273)	$	(203)	$	87	$	(400)	$	(5,789)

______________

(1)Includes increases in the cost basis of investments resulting from new and incremental portfolio investments, including the capitalization of PIK income.

(2)Includes principal payments/paydowns on debt investments and proceeds from sales of investments.

(3)Included in net realized gains (losses) on investments on the consolidated statements of operations.

(4)Included in net change in unrealized appreciation (depreciation) on investments on the consolidated statements of operations.

(5)For the three and nine months ended September 30, 2019, investments were transferred from Level 2 to Level 3 as valuation coverage was reduced to one independent pricing service without any corroborating recent trade.

(6)For the three and nine months ended September 30, 2019, investments were transferred from Level 3 to Level 2 as valuation coverage was initiated by more than one independent pricing services or by one independent pricing service with a corroborating recent trade.

Financial Instruments Disclosed, But Not Carried at Fair Value

The fair value of the credit facility payable, which would have been categorized as Level 3 within the fair value hierarchy as of September 30, 2020, approximates its carrying value.

42

Notes to Consolidated Financial Statements (Unaudited)

Note 6. Related Party Agreements and Transactions

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

Two of the Master Fund’s executive officers, Kevin Robinson, Senior Vice President and Brian Binder, Senior Vice President, serve as executive officers of Guggenheim. All of the Master Fund's executive officers also serve as executive officers of the Feeder Funds.

Guggenheim and/or its affiliates 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.

43

Notes to Consolidated Financial Statements (Unaudited)

Administrative Services Agreement

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

The Administrative Services Agreement may be terminated at any time, without the payment of any penalty: (i) by the Master Fund upon 60 days' written notice to the Administrator upon the vote of the Master Fund's Independent Trustees, or (ii) by the Administrator upon not less than 120 days' written notice to the Master Fund. Unless earlier terminated, the Administrative Services Agreement will remain in effect for two years, and thereafter shall continue automatically for successive one-year periods if approved annually by a majority of the Board of Trustees and the Master Fund's Independent Trustees.

Dealer Manager Agreement

The Master fund is party to a dealer manager agreement, as amended (the "Dealer Manager Agreement") with Guggenheim Funds Distributors, LLC ("GFD") an affiliate of Guggenheim. Under the terms of the Dealer Manager Agreement, GFD is to act on a best efforts basis as the exclusive dealer manager for (i) GCIF 2016T's and GCIF 2019's public offerings of common shares and (ii) the public offering of common shares for future feeder funds affiliated with the Master Fund. The Master Fund is not responsible for the compensation of GFD pursuant to the terms of the Dealer Manager Agreement; therefore, fees compensating GFD are not presented in this periodic report. As to a Feeder Fund, the Deal Manager Agreement may be terminated by a Feeder Fund or GFD upon 60 calendar days' written notice to the other party.

Capital Structuring Fees and Administrative Agency Fees

Guggenheim and its affiliates are obligated to remit to the Master Fund any earned capital structuring fees and administrative agency fees (i.e. loan administration fees) based on the Master Fund's pro rata portion of the co-investment transactions or originated investments in which the Master Fund participates.

Summary of Related Party Transactions

The following table presents the related party fees, expenses and transactions for the three and nine months ended September 30, 2020and September 30, 2019:

Related Party (1) (2)		For the Three Months Ended September 30,				For the Nine Months Ended September 30,
	Source Agreement & Description	2020		2019		2020		2019
	Expenses:
Guggenheim	Investment Advisory Agreement - management fee	$	1,549	$	1,759	$	4,710	$	5,171
Guggenheim	Administrative Services Agreement - expense reimbursement	151		203		499		623
	Income:
Guggenheim	Share on capital structuring fees and administrative agency fees	10		8		26		160

____________________

(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.

(2)As of September 30, 2020 and September 30, 2019, the Master Fund had accumulated net realized capital losses and net unrealized depreciation and therefore, Guggenheim did not earn any performance-based incentive fee during the period.

44

Notes to Consolidated Financial Statements (Unaudited)

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 September 30, 2020, management believes that the risk of incurring any losses for such indemnifications is remote.

Note 7. Borrowings

Hamilton Credit Facility

On December 17, 2015, Hamilton initially entered into a senior-secured term loan, as amended (the “Hamilton Credit Facility”) with JPMorgan Chase Bank, National Association ("JPM"), as administrative agent, each of the lenders from time to time party thereto, and U.S. Bank National Association, as collateral agent, collateral administrator and securities intermediary. As of September 30, 2020, the Hamilton Credit Facility provided for (i) borrowings in an aggregate principal amount of $175.0 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 ends December 29, 2021, (v) a stated maturity date of December 29, 2022, (vi) undrawn fees payable during the draw-down term of 250 basis points on all undrawn amounts below the minimum utilization amount and (vii) unused commitment fees payable during the draw-down term of 100 basis points on all undrawn amounts above the minimum utilization amount. All investments owned by, and all cash on hand with, Hamilton are held as collateral for the Hamilton Credit Facility.

Hamilton and JPM amended the Hamilton Credit Facility on June 29, 2018 to, among other things, (i) extend the term from December 17, 2019 to December 29, 2022, (ii) extend the draw-down term from December 17, 2018 to December 29, 2021, (iii) reduce the interest rate from 3-month LIBOR +2.65% per annum to 3-month LIBOR +2.50% per annum, (iv) include a revolving feature on all amounts above the minimum utilization amount and (v) reduce the undrawn fee charged on all amounts below the facility's minimum utilization amount from 265 basis points per annum to 250 basis points per annum.

Hamilton's borrowings as of September 30, 2020 and December 31, 2019 were as follows:

	Hamilton Credit Facility - Borrowing Summary
As of	Principal Amount Committed		Principal Amount Outstanding		Carrying Value (1)		Interest Rate (2)		Maturity Date	Maturity Term
September 30, 2020	$	175,000	$	151,000	$	150,147	2.75	%	12/29/22	2.2	years
December 31, 2019	$	175,000	$	172,000	$	170,862	4.40	%	12/29/22	3.0	years

_________________

(1)Carrying value is equal to outstanding principal amount net of unamortized financing costs.

(2)Interest rate as of the end of the reporting period (3-month LIBOR +2.50% as of September 30, 2020 and December 31, 2019) is subject to quarterly reset. Interest rate is calculated as the weighted average interest rates of all tranches currently outstanding. Interest rate does not include the amortization of upfront fees, undrawn or unused fees and expenses that were incurred in connection with the Hamilton Credit Facility.

45

Notes to Consolidated Financial Statements (Unaudited)

The components of the Master Fund's interest expense and other financing costs for the three and nine months ended September 30, 2020and September 30, 2019 were as follows:

	For the Three Months Ended September 30,						For the Nine Months Ended September 30,
	2020			2019			2020			2019
Stated interest expense	$	1,110		$	2,081		$	4,150		$	6,050
Unused/undrawn fees	50			19			124			131
Amortization of deferred financing costs	95			96			285			284
Total interest expense and other financing costs	$	1,255		$	2,196		$	4,559		$	6,465
Average borrowings	$	155,663		$	167,543		$	158,861		$	157,802
Weighted average interest rate (1)	2.92		%	4.91		%	3.53		%	5.17		%
Amortized financing costs	0.24		%	0.22		%	0.24		%	0.24		%
Total borrowing cost	3.16		%	5.13		%	3.77		%	5.41		%

_________________

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

46

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 September 30, 2020 and December 31, 2019, the Master Fund’s unfunded commitments consisted of the following:

	Total Unfunded Commitments
Category / Portfolio Company (1)	September 30, 2020		December 31, 2019
Aceto Chemical (Revolver)	$	560	$	800
Acquia Inc. (Revolver)	211		211
Advicent Solutions (Revolver)	339		—
Alexander Mann Solutions (Revolver) (2)	446		446
Allvue Systems (Revolver)	132		132
Apptio, Inc. (Revolver)	326		326
Arcline FM Holdings LLC (Revolver)	436		—
Boats Group (Revolver)	1,000		1,000
GAL Manufacturing (Revolver)	260		260
Galls LLC (Delayed Draw)	—		1,518
Galls LLC (Revolver)	287		113
Gladman Developments Ltd. (Delayed Draw) (2)	706		706
Hersha Hospitality Management (Delayed Draw)	1,671		—
Lytx, Inc. (Delayed Draw)	1,540		368
Mavis Tire Express Services Corp. (Delayed Draw)	—		319
Mavis Tire Express Services Corp. (Revolver)	217		189
Onyx CenterSource (Revolver)	—		329
Polyvision Corp. (Delayed Draw)	325		—
Polyvision Corp. (Revolver)	706		—
PSI Services LLC (Delayed Draw)	239		239
PSI Services LLC (Delayed Draw)	—		168
PSI Services LLC (Revolver)	195		269
Seal For Life Industries US LLC (Revolver)	433		390
Trader Interactive (Revolver)	346		346
Velocity Holdings US (Revolver)	185		—
Wide Orbit (Revolver)	293		—
Total Unfunded Commitments	$	10,853	$	8,129

______________________

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

(2)This commitment is in foreign currency and has been converted to USD using the September 30, 2020 and December 31, 2019 exchange rates, respectively.

Indemnification

In the normal course of business, the Master Fund enters into contracts and agreements that contain a variety of representations and warranties that provide general indemnifications. The Master Fund's maximum exposure under these arrangements is unknown, as these involve future claims that may be made against the Master Fund but that have not occurred. The Master Fund expects the risk of any future obligations under these indemnifications to be remote.

47

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 nine months ended September 30, 2020and September 30, 2019:

	For the Nine Months Ended September 30,
	2020			2019
PER COMMON SHARE OPERATING PERFORMANCE
Net asset value, beginning of period	$	7.78		$	8.09
Net investment income (1)	0.40			0.47
Net realized gains (losses) (1)	0.02			(0.20)
Net change in unrealized depreciation (2)	(0.52)			—
Net increase (decrease) resulting from operations	(0.10)			0.27
Distributions to Common Shareholders (3)
Distributions from net investment income	(0.40)			(0.46)
Distributions from realized gains	—			(0.01)
Distribution in excess of net investment income	(0.01)			—
Net decrease resulting from distributions	(0.41)			(0.47)
Net asset value, end of period	$	7.27		$	7.89
INVESTMENT RETURNS
Total investment return (4)	(1.03)		%	3.38		%
RATIOS/SUPPLEMENTAL DATA
Net assets, end of period	$	196,382		$	225,699
Average net assets (5)	$	196,433		$	233,075
Common Shares outstanding, end of period	27,014,903			28,613,345
Weighted average Common Shares outstanding	27,224,991			28,997,077
Ratios-to-average net assets: (5)
Total expenses	5.64		%	5.85		%
Net investment income	5.56		%	5.82		%
Average outstanding borrowings (5)	$	158,861		$	157,802
Portfolio turnover rate (5) (6)	18		%	14		%
Asset coverage ratio (7)	2.30			2.35

_____________________

(1)The per Common Share data was derived by using the weighted average Common Shares outstanding during the period presented.

(2)The amount shown at this caption is the balancing figure derived from the other figures in the schedule. The amount shown at this caption for a Common Share outstanding throughout the period may not agree with the change in the aggregate appreciation and depreciation in portfolio securities for the period because of the timing of sales of the Master Fund’s Common Shares in relation to fluctuating market values for the portfolio.

(3)The per Common Share data for distributions is the actual amount of distributions declared per Common Share outstanding during the entire period; distributions per Common Share are rounded to the nearest $0.01. For income tax purposes, distributions made to shareholders are reported as ordinary income, capital gains, non-taxable return of capital or a combination thereof, based on taxable income calculated in accordance with income tax regulations which may differ from amounts determined under GAAP. As of September 30, 2020, the Master Fund estimated distributions to be composed mostly of ordinary income. The final determination of the tax character of distributions will not be made until we file our tax return.

48

Notes to Consolidated Financial Statements (Unaudited)

(4)Total investment return is based on (i) the purchase of Common Shares at net asset value on the first day of the period, (ii) the sale at the net asset value per Common Share on the last day of the period, of (A) all purchased Common Shares plus (B) any fractional Common Shares issued in connection with the reinvestment of distributions and (iii) distributions payable relating to the ownership of Common Shares, if any, on the last day of the period. The total investment return calculation assumes that cash distributions are reinvested concurrent with the issuance of Common Shares at the most recent transaction price on or prior to each distribution payment date. Since there is no public market for the Master Fund’s Common Shares, then the terminal sales price per Common Share is assumed to be equal to net asset value per Common Share on the last day of the period. Total investment return is not annualized. The Master Fund’s performance changes over time and currently may be different than that shown above. Past performance is no guarantee of future results.

(5)The computation of average net assets, average outstanding borrowings and average value of portfolio securities during the period is based on averaging the amount on the first day of the first month of the period and the last day of each month during the period. Ratios-to-average net assets are not annualized.

(6)Portfolio turnover is calculated as the lesser of (i) purchases of portfolio securities or (ii) the aggregate total of sales of portfolio securities plus any repayments received divided by the monthly average of the value of investment portfolio owned by the Master Fund during the period.

(7)Asset coverage ratio is equal to (i) the sum of (A) net assets at the end of the period and (B) total senior securities issued at the end of the period, divided by (ii) total senior securities at the end of the period.

49

Notes to Consolidated Financial Statements (Unaudited)

Note 10. Distributions

The following table summarizes the distributions that the Master Fund declared on its Common Shares during the nine months ended September 30, 2020and September 30, 2019:

Record Date	Payment Date	Distribution Per Common Share at Record Date		Distribution Per Common Share at Payment Date		Cash Distribution
For Calendar Year 2020
January 2, 6, 13, 20	January 22	$	0.01100	$	0.04400	$	1,195
January 27, February 3, 10, 17	February 19	0.01100		0.04400		1,217
February 24, March 2, 9, 14, 23	March 25	0.01000		0.05000		1,383
March 30, April 6, 13, 20	April 22	0.01000		0.04000		1,084
April 27, May 4, 11, 18 ,25, June 1	June 2	0.01000		0.06000		1,625
June 8, 15, 22, 29	July 2	0.01100		0.04400		1,186
July 6, 13, 20, 27, August 3	August 4	0.00950		0.04750		1,285
August 10, 17, 24, 31	September 2	0.01000		0.04000		1,089
September 7, 14, 21, 28	October 1	0.00980		0.03920		1,063
				$	0.40870	$	11,127
For Calendar Year 2019
January 7, 14, 21, 28	January 30	$	0.01346	$	0.05384	$	1,572
February 4, 11, 18, 25	February 27	0.01346		0.05384		1,572
March 4, 11, 18, 25	March 27	0.01346		0.05384		1,573
April 1, 8, 15, 22, 29	May 1	0.01346		0.06730		1,971
May 6, 13, 20, 27	May 29	0.01346		0.05384		1,576
June 3, 10, 17, 24	June 26	0.01346		0.05384		1,559
July 1, 8, 15, 22, 29	July 31	0.01346		0.06730		1,926
August 5, 12, 19, 26	August 28	0.00776		0.03104		888
September 2, 9, 16, 23, 30	October 2	0.00776		0.03880		1,110
				$	0.47364	$	13,747

Note 11. Subsequent Events

Management has evaluated subsequent events through the date of issuance of these consolidated financial statements and has determined that there are no subsequent events outside the ordinary scope of business that require adjustment to, or disclosure in, the consolidated financial statements except for the one below.

To facilitate the orderly liquidation of GCIF 2016T, one of the Master Fund's feeder funds, in light of the disruption caused by the COVID-19 pandemic, the Board of Trustees of GCIF 2016T, as permitted by the terms of the offering, has approved extending GCIF 2016T's liquidity event date recommendation deadline to on or before December 31, 2022.

50

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

(amounts in thousands, except share and per share data, percentages and as otherwise indicated; for example, with the word “million” or otherwise)

The information contained in this Item 2 should be read in conjunction with our unaudited consolidated financial statements and related notes thereto appearing elsewhere in this Report. Capitalized terms used in this Item 2 have the same meaning as in the accompanying consolidated financial statements presented in Part I. Item 1. Consolidated Financial Statements (Unaudited), unless otherwise defined herein.

Overview

We are a specialty finance investment company focused on lending to middle market companies. We were formed on September 5, 2014 as a statutory trust under the laws of the State of Delaware and commenced investment operations on April 2, 2015. In addition, we have elected to be treated as a BDC under 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 separate closed-end management investment company that has adopted our investment objectives and strategies, invests substantially all of its equity capital in our 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.

We have elected to be treated for federal income tax purposes as a RIC under Subchapter M of the Code.

Investment Objectives and Investment Strategy

Our investment objectives are to provide our shareholders with current income, capital preservation, and, to a lesser extent, long-term capital appreciation. There can be no assurances that any of these investment objectives will be achieved. Our investment strategy is continuously focused on growing an investment portfolio that generates superior risk adjusted returns by carefully selecting investments through rigorous due diligence and actively managing and monitoring our investment portfolio. When evaluating an investment and the related portfolio company, we use the resources of Guggenheim to develop an investment thesis and a proprietary view of a potential portfolio company’s intrinsic value and its expected risks and rewards.

We primarily focus on the following investment types that may be available within the capital structure of portfolio companies:

•Senior Debt. Senior debt investments generally take a security interest in the available assets of the portfolio company, including equity interests in any of its subsidiaries. The senior debt classification includes first lien senior secured loans, second lien senior secured loans, senior secured bonds, and senior unsecured debt. In some circumstances, the secured lien could be subordinated to the claims of other creditors. The first lien senior secured loans may include traditional first lien senior secured loans or unitranche loans. Unitranche loans combine characteristics of traditional first lien senior secured loans as well as second lien and/or mezzanine debt ("Junior Debt"). Unitranche loans will expose us to the risks associated with first lien loans and Junior Debt. While there is no specific collateral associated with senior unsecured debt, such positions are senior in payment priority over subordinated debt investments.

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

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

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We intend to meet our investment objectives by investing primarily in large, privately-negotiated loans to private middle market U.S. companies. Specifically, we expect a typical borrower to have earnings before interest, taxes, depreciation, and amortization ("EBITDA") of $25 million to $100 million and annual revenue ranging from $50 million to $1 billion. We seek to invest in businesses that have a strong reason to exist and have demonstrated competitive and strategic advantages. These companies generally possess distinguishing business characteristics, such as a leading competitive position in a well-defined market niche, unique brands, sustainable profitability and cash flow, and experienced management. We anticipate that a majority of our investments will be classified as senior debt in a borrower’s capital structure and have repayment priority over other parts of a borrower’s capital structure (i.e., subordinated debt, preferred and common equity). By investing in a more senior attachment point of a borrower's capital structure, we expect to protect our principal with less risk, which we believe provides for a distinctive risk/return profile as compared to that of a typical middle market or private equity alternative investment.

In addition to privately-negotiated loans, we invest in more broadly syndicated assets, such as bank loans and corporate bonds. Our portfolio is more heavily weighted towards floating-rate investments, whose interest payment obligations may increase in a rising interest rate environment. We may also invest in fixed-rate investments, options, or other forms of equity participation, and, to a limited extent and not as a principal investment strategy, structured products such as collateralized loan obligations (“CLOs”) and collateralized debt obligations (“CDOs”). We seek to make investments which have favorable characteristics, including closing fees, prepayment premiums, lender-friendly control provisions, and lender-friendly covenants.

Our portfolio may include “covenant-lite” loans which generally refer to loans that do not have a complete set of financial maintenance covenants. Generally, “covenant-lite” loans provide borrower companies more freedom to negatively impact lenders because their covenants are incurrence-based, which means they are only tested and can only be breached following an affirmative action of the borrower, rather than by a deterioration in the borrower’s financial condition. Accordingly, to the extent we invest in “covenant-lite” loans, we may have fewer rights against a borrower and may have a greater risk of loss on such investments as compared to investments in or exposure to loans with financial maintenance covenants.

Our portfolio includes investments in securities that are rated below investment grade (e.g., junk bonds) by rating agencies, or that would be rated below investment grade if they were rated and have predominantly speculative characteristics with respect to the issuer’s capacity to pay interest and repay principal. These investments may also be illiquid and feature variances in opinions of fair value and market prices. A material amount of our debt investments in portfolio companies may contain interest rate reset provisions that may present challenges for the borrowers to continue paying periodic interest to us. In addition, a material amount of our debt investments may not pay down principal until the end of their lifetimes, which could result in a substantial loss to us if the portfolio companies are unable to refinance or repay their debts at maturity.

Our investment strategy leverages the skills and depth of Guggenheim's research team and credit investment platform which features a relative value perspective across all corporate credit asset types. We believe these elements create a larger, proprietary opportunity set and increase the potential for the generation of a wide spectrum of value-risk investment ideas. We intend for our investment strategy to access investments with attractive combinations of reward and risk, better economics and stronger lender protections than those offered in traditional loan transactions. We also intend to deploy our direct loan origination investment platform and apply it to our portfolio company business relationships.

Our investment activity can and does vary substantially from period to period depending on many factors, including: the demand for capital from creditworthy privately-owned U.S. companies, the level of merger, acquisition and refinancing activity involving private companies, the availability of credit to finance merger and acquisition transactions, the general economic environment, the competitive investment environment for the types of investments we currently seek and intend to seek in the future, the amount of equity capital we raise from the sale of our Shares, and the amount of capital we may borrow.

We acquire our portfolio investments through the following investment access channels:

•Direct Originations: This channel consists of investments that are directly originated through Guggenheim's relationship network. Such investments are originated and/or structured by Guggenheim and are not generally available to the broader investment market. These investments may include both debt and equity investment components.

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•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 will continue to borrow money from time to time within the borrowing limits stipulated by the 1940 Act, which generally allows us to incur leverage of up to 50% of our total assets, less liabilities and indebtedness not represented by senior securities. The use of borrowed funds and/or the proceeds of preferred stock offering to finance investments would have its own specific set of benefits and risks, and all of the costs of borrowing funds or issuing preferred stock are borne by our shareholders.

Revenues

We generate revenues primarily in the form of interest on the debt securities of portfolio companies that we acquire and hold for investment purposes. Our investments in debt securities generally have expected maturities of one to eight years, although we have no lower or upper constraint on maturity, and typically earn interest at floating and fixed interest rates. Interest on our debt securities is generally payable to us quarterly or semi-annually. The outstanding principal amount of our debt securities and any accrued but unpaid interest will generally become due at the respective maturity dates. In addition, we may generate revenue in the form of dividends from preferred and common equity investments, amortization of original issue discount, prepayment fees, commitment fees, origination fees and fees for providing significant managerial assistance.

Operating Expenses

Our primary operating expenses include a management fee and, depending on our operating results, a performance-based incentive fee, interest expense, administrative services, related party reimbursements, custodian and accounting services and other third-party professional services fees and expenses. The management and performance-based incentive fees compensate Guggenheim for its services in identifying, evaluating, negotiating, closing and monitoring our investments.

Financial and Operating Highlights

The following tables present financial and operating highlights (i) as of September 30, 2020 and December 31, 2019 and (ii) for the nine months ended September 30, 2020 and September 30, 2019:

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

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	For the Nine Months Ended September 30,
	2020		2019
Average net assets	$	196,433	$	233,075
Average borrowings	$	158,861	$	157,802
Cost of investments purchased	$	60,476	$	59,264
Sales of investments	$	18,782	$	35,509
Principal payments	$	72,676	$	16,963
Net investment income	$	10,920	$	13,568
Net realized gains (losses)	$	658	$	(5,893)
Net change in unrealized appreciation (depreciation)	$	(14,335)	$	221
Net increase (decrease) in net assets resulting from operations	$	(2,757)	$	7,896
Total distributions to shareholders	$	11,127	$	13,747
Net investment income per Common Share - basic and diluted	$	0.40	$	0.47
Earnings (loss) per Common Share - basic and diluted	$	(0.10)	$	0.27
Distributions per Common Share	$	0.41	$	0.47

Portfolio and Investment Activity for the Three and Nine Months ended September 30, 2020

The following table presents our new investment commitments for the three and nine months ended September 30, 2020:

	For the Three Months Ended September 30, 2020				For the Nine Months Ended September 30, 2020
Investment activity segmented by access channel:	Amount		Percentage		Amount		Percentage
Direct originations	$	2,051	82.7	%	$	28,335	59.2	%
Syndicated transactions	430		17.3	%	19,488		40.8	%
Total investment commitments entered during the period	$	2,481	100.0	%	$	47,823	100.0	%

The following table presents our portfolio company activity for the three and nine months ended September 30, 2020:

	For the Three Months Ended September 30, 2020	For the Nine Months Ended September 30, 2020
Portfolio companies at beginning of period	89	86
Number of added portfolio companies	2	9
Number of exited portfolio companies	(2)	(6)
Portfolio companies at period end	89	89
Number of debt investments at period end	142	142
Number of equity/other investments at period end	8	8

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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 the nine months ended September 30, 2020:

	Balance as of January 1, 2020		Purchases		Sales and Repayments		Other Changes in Fair Value (1)		Balance as of September 30, 2020
Senior secured loans - first lien	$	268,678	$	57,880	$	(39,601)	$	(7,293)	$	279,664
Senior secured loans - second lien	56,651		2,166		(22,440)		(3,419)		32,958
Senior secured bonds	12,223		430		(6,613)		(217)		5,823
Senior unsecured debt	21,537		—		(19,429)		(35)		2,073
Total senior debt	$	359,089	$	60,476	$	(88,083)	$	(10,964)	$	320,518
Equity and other	13,104		—		(3,375)		(1,046)		8,683
Total	$	372,193	$	60,476	$	(91,458)	$	(12,010)	$	329,201

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

The following table presents selected information regarding our investment portfolio as of September 30, 2020 and December 31, 2019:

	As of
	September 30, 2020			December 31, 2019
Weighted average portfolio company EBITDA (1)	$	86,056		$	100,514
Median portfolio company EBITDA (1)	$	52,855		$	71,592
Weighted average purchase price of debt investments (2)	96.3		%	96.7		%
Weighted average duration of debt investments (3)	1.5		years	0.3		years
Debt investments on non-accrual status as a percentage of amortized cost of total debt investments	1.7		%	1.0		%
Debt investments on non-accrual status as a percentage of fair value of total debt investments	0.4		%	0.5		%
Number of debt investments on non-accrual status	2			1
Floating interest rate debt investments:
Percent of debt portfolio (4)	97.5		%	94.8		%
Percent of floating rate debt investments with interest rate floors (4)	73.5		%	74.3		%
Weighted average interest rate floor	1.0		%	1.0		%
Weighted average coupon spread to base interest rate	591		bps	637		bps
3-month LIBOR	23		bps	191		bps
Fixed interest rate debt investments:
Percent of debt portfolio (4)	2.5		%	5.2		%
Weighted average coupon rate	7.7		%	8.7		%
Weighted average years to maturity	3.2		years	3.8		years
Weighted average effective yields
Senior secured loans - first lien (5)	7.5		%	8.3		%
Senior secured loans - second lien (5)	8.7		%	10.5		%
Senior secured bonds (5)	6.3		%	10.4		%
Senior unsecured debt (5)	11.1		%	12.0		%
Total debt investments (5)	7.6		%	8.9		%
Total investments (6)	7.6		%	8.9		%

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(1)Based on trailing twelve months EBITDA as most recently reported by portfolio companies, but not as of September 30, 2020 or December 31, 2019. Weighted average portfolio company EBITDA is calculated using weights based on fair value. The inputs and computations of EBITDA are not consistent across all portfolio companies. EBITDA is a non-GAAP financial measure. For a particular portfolio company, EBITDA is generally defined as net income before net interest expense, income tax expense, depreciation and amortization. EBITDA amounts are estimated from the most recent portfolio company's financial statements, have not been independently verified by the Master Fund or its Advisor, may reflect a normalized or adjusted amount, typically exclude expenses deemed unusual or non-recurring and typically include add backs for items deemed appropriate to present normalized earnings. Accordingly, neither the Master Fund nor its Advisor makes any representation or warranty in respect of this information.

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

(3)Duration is a measure of a debt investment's price sensitivity to 100 basis points ("bps") change in interest rates. It represents an inverse relationship between price and the change in interest rates. For example, if a bond has a duration of 5.0 years and interest rates increase by 100 bps, then the bond price is expected to decrease by 5%. Weighted average duration is calculated using weights based on amortized cost.

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

(5)Weighted average effective yield by investment type is calculated as the effective yield of each investment and weighted by its amortized cost as compared to the aggregate amortized cost of all investments of that investment type. Effective yield is the return earned on an investment net of any discount, premium or issuance costs. The total debt portfolio yield is calculated before considering the impact of leverage or any operating expenses.

(6)The total investment portfolio yield is calculated before considering the impact of leverage or any operating expenses, and includes all income generating investments, non-income generating investments and investments on non-accrual status.

All of our floating interest rate debt investments have base interest rate reset frequencies of twelve months or less, with the majority resetting at least quarterly. LIBOR ranged between 0.15% for the 1 Month LIBOR to0.26% for the 6 Month LIBOR on September 30, 2020. Base interest rate resets for floating interest rate debt investments will only result in increases in interest income when the base interest rate exceeds the associated interest rate floor (e.g., 1.0%).

The following table presents the maturity schedule of our debt investments, excluding unfunded commitments, based on their principal amount as of September 30, 2020 and December 31, 2019:

	September 30, 2020				December 31, 2019
Maturity Year	Principal Amount		Percentage of Portfolio		Principal Amount		Percentage of Portfolio
2020	$	—	—	%	$	2,892	0.8	%
2021	23,120		6.5		20,454		5.3
2022	31,404		8.8		31,823		8.3
2023	65,810		18.5		118,222		31.0
2024	96,121		27.0		99,195		26.0
2025	92,452		26.0		66,614		17.4
2026	47,091		13.2		42,707		11.2
Total	$	355,998	100.0	%	$	381,907	100.0	%

Impact of COVID-19

In late 2019 and early 2020, a novel coronavirus (SARS-CoV-2) and related respiratory disease ("COVID-19") emerged and spread rapidly across the world, including to the U.S., bringing with it one of the most volatile quarters for the leveraged loan market in history.

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

With respect to our investments, we are taking steps in actively overseeing all of our individual portfolio companies. These measures include, among other things, enhanced monitoring/credit analysis of our portfolio, assessment of each portfolio company’s operational and liquidity exposure and outlook, and frequent communication with our portfolio company management teams, industry consultants, and other lenders to understand the expected financial performance impact of the COVID-19 pandemic.

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

The reduction in our net asset value as of September 30, 2020 as compared to our net asset value as of December 31, 2019 is the result of significant unrealized depreciation across the fair value of our investments due primarily to the negative economic impact and the increased uncertainty caused by COVID-19 pandemic.

Results of Operations

Operating results for the three and nine months ended September 30, 2020and September 30, 2019 were as follows:

	For the Three Months Ended September 30,				For the Nine Months Ended September 30,
	2020		2019		2020		2019
Total investment income	$	6,696	$	9,162	$	22,005	$	27,199
Total expenses	3,390		4,595		11,085		13,631
Net investment income	3,306		4,567		10,920		13,568
Net realized gains (losses)	81		952		658		(5,893)
Net change in unrealized appreciation (depreciation)	6,299		(5,926)		(14,335)		221
Net increase (decrease) in net assets resulting from operations	$	9,686	$	(407)	$	(2,757)	$	7,896

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Investment Income

Interest and dividend income consisted of the following components for the three and nine months ended September 30, 2020 and September 30, 2019:

	For the Three Months Ended September 30,						For the Nine Months Ended September 30,
	2020			2019			2020			2019
Interest income on debt securities:
Cash interest	$	5,732		$	8,398		$	19,136		$	24,834
PIK interest	395			66			930			154
Net accretion/amortization of discounts/premiums	305			446			987			1,153
Total interest on debt securities	6,432			8,910			21,053			26,141
PIK dividend	214			244			670			783
Total interest and dividend income	$	6,646		$	9,154		$	21,723		$	26,924
Average Investments at cost	$	357,399		$	383,741		$	358,407		$	389,634
Average Income Generating Investments at cost (1)	$	345,384		$	373,651		$	343,637		$	380,972
Income return (2)	1.9		%	2.4		%	6.3		%	7.1		%

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(1)Income Generating Investments pertains to investments with stated interest rate or preferred returns and includes investments on non-accrual.

(2)Income return is calculated using the total interest and dividend income over the average income generating investments at cost for the period presented.

The decrease in interest and dividend income was mainly driven by the decrease in the size of our income generating investments and decrease in the yield on our portfolio of investments. As of September 30, 2020and September 30, 2019, yield on debt investments at cost was7.6% and 9.2%, 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 nine months ended September 30, 2020 and September 30, 2019:

	For the Three Months Ended September 30,				For the Nine Months Ended September 30,
	2020		2019		2020		2019
Capital structuring fees	$	—	$	—	$	—	$	136
Administrative agency fees	10		8		26		24
Amendment fees and other	40		—		256		115
Total fee income	$	50	$	8	$	282	$	275

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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 nine months ended September 30, 2020and September 30, 2019:

	For the Three Months Ended September 30,				For the Nine Months Ended September 30,
	2020		2019		2020		2019
Fixed operating expenses:
Related party reimbursements (1)	$	151	$	203	$	499	$	623
Trustees fees	88		92		262		252
Professional services fees (2)	218		214		651		703
Other expenses	67		58		200		183
Total fixed operating expenses	524		567		1,612		1,761
Variable operating expenses:
Interest expense (3)	1,255		2,196		4,559		6,465
Administrative services (4)	39		50		132		151
Management fee	1,549		1,759		4,710		5,171
Custody services	23		23		72		72
Total variable operating expenses	2,866		4,028		9,473		11,859
Performance-dependent expenses:
Performance-based incentive fee	—		—		—		11
Total performance-dependent expenses	—		—		—		11
Total expenses	$	3,390	$	4,595	$	11,085	$	13,631

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(1)Related party reimbursements decreased to due to decrease in resource allocation to Master Fund.

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

(3)The composition of our interest expense for the three and nine months ended September 30, 2020 and September 30, 2019 is reported in Note 7. Borrowings. The decrease in interest expense is primarily due to decrease in interest rates.

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

The decrease in total expenses for the three months ended September 30, 2020 compared to the three months ended September 30, 2019 was primarily due to the decrease in interest expense associated with the Hamilton Credit Facility resulting from a decrease in interest rates. For the three months ended September 30, 2020and September 30, 2019, total borrowing costs were 3.16% and 5.13%, respectively. For the three months ended September 30, 2020 and September 30, 2019, average borrowings for the period were $155,663and$167,543, respectively.

The decrease in total expenses for the nine months ended September 30, 2020 compared to the nine months ended September 30, 2019 was primarily due to the decrease in interest expense associated with the Hamilton Credit Facility resulting from a decrease in interest rates. For the nine months ended September 30, 2020and September 30, 2019, total borrowing costs were 3.77% and 5.41%, respectively. For the nine months ended September 30, 2020 and September 30, 2019, average borrowings for the period were $158,861and$157,802, respectively.

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Net Realized Gains (Losses)

For the three months ended September 30, 2020, we had dispositions and principal repayments of $9.7 million, resulting in net realized gains of $0.5 million. For the nine months ended September 30, 2020, we had dispositions and principal repayments of $91.5 million, resulting in net realized losses of $(0.2) million. For the three and nine months ended September 30, 2020, we had realized gains (losses) from our foreign currency forward contracts of $(0.4) million and $0.7 million, respectively, primarily due the movement of the U.S. dollar against the British pound.

For the three months ended September 30, 2019, we had dispositions and principal repayments of $15.1 million, resulting in net realized gains of $0.2 million. For the nine months ended September 30, 2019, we had dispositions and principal repayments of $52.5 million, resulting in net realized losses of $(6.6) million, which primarily pertains to the realization of previously recorded unrealized depreciation of $(6.6) million from a restructuring of one of our portfolio companies. For the three and nine months ended September 30, 2019, we had realized gains from our foreign currency forward contracts of $0.8 million and $0.6 million, respectively, primarily due the movement of the U.S. dollar against the British pound.

For the three and nine months ended September 30, 2020 and September 30, 2019, the components of total realized gains (losses) were comprised of the following:

	For the Three Months Ended September 30,				For the Nine Months Ended September 30,
	2020		2019		2020		2019
Investments	$	454	$	205	$	(181)	$	(6,600)
Foreign currency forward contracts	(383)		752		668		626
Foreign currency transactions	10		(5)		171		81
Net realized gains (losses)	$	81	$	952	$	658	$	(5,893)

Changes in Unrealized Appreciation (Depreciation)

For the three and nine months ended September 30, 2020 and September 30, 2019, the components of total net change in unrealized appreciation (depreciation) were comprised of the following:

	For the Three Months Ended September 30,				For the Nine Months Ended September 30,
	2020		2019		2020		2019
Investments (1)	$	6,901	$	(6,070)	$	(14,227)	$	(285)
Foreign currency forward contracts	(605)		144		(110)		523
Foreign currency transactions	3		—		2		(17)
Net change in unrealized appreciation (depreciation)	$	6,299	$	(5,926)	$	(14,335)	$	221

(1)The increase in net unrealized appreciation for the three months ended September 30, 2020 was primarily due to partial market recovery from the negative economic impact and the increased uncertainty caused by COVID-19 from the prior quarter.

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For the three and nine months ended September 30, 2020and September 30, 2019, 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 September 30,				For the Nine Months Ended September 30,
	2020		2019		2020		2019
Unrealized appreciation on all investments (1)	$	9,763	$	1,043	$	34,094	$	14,744
Unrealized depreciation on all investments (1)	(2,862)		(7,113)		(48,321)		(15,029)
Total net change in unrealized appreciation (depreciation) on all investments	$	6,901	$	(6,070)	$	(14,227)	$	(285)
Unrealized appreciation on Level 3 investments only (1)	$	3,681	$	369	$	13,121	$	7,097
Unrealized depreciation on Level 3 investments only (1)	(2,214)		(4,410)		(28,356)		(7,785)
Total net change in unrealized appreciation (depreciation) on Level 3 investments only	$	1,467	$	(4,041)	$	(15,235)	$	(688)

__________________

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

Annual Investment Returns and Total Returns Since Commencement

Our initial investors, who each invested at $9.00 per share, have seen a cumulative 16.44% increase in the value of their investment, or an annualized return of 2.66%, assuming reinvestment of distributions.

The table below presents returns for our shareholders for the nine months ended September 30, 2020and September 30, 2019, and the period from commencement to September 30, 2020. Our performance changes over time and currently may be different than that shown below. Past performance is no guarantee of future results. The returns for shareholders of the affiliated Feeder Funds are different from the returns for our direct shareholders.

		Total Investment Return-Net Asset Value(1)
		For the Nine Months Ended September 30,				Since Commencement
Company	Date Operations Commenced (2)	2020		2019		Cumulative		Annualized
Guggenheim Credit Income Fund	12/19/2014	(1.03)	%	3.38	%	16.44	%	2.66	%

___________________

(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.

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GUGGENHEIM CREDIT INCOME FUND

CONSOLIDATED SCHEDULE OF INVESTMENTS (UNAUDITED)

Off-Balance Sheet Arrangements

Unfunded Commitments

Unfunded commitments to provide funds to portfolio companies are not recorded 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 September 30, 2020, we had twenty two unfunded commitments totaling $10.9 million as compared to nineteen unfunded commitments totaling $8.1 million as of December 31, 2019. See Note 8. Commitments and Contingencies for specific identification of the unfunded commitments. We believe we maintain sufficient liquidity in the form of cash (including restricted cash), receivables and borrowing capacity to fund these unfunded commitments should the need arise. See Financial Condition, Liquidity and Capital Resources.

Financial Condition, Liquidity and Capital Resources

Our primary sources of cash may include: (i) the sale of our Shares to affiliated feeder funds, (ii) borrowings under various financing arrangements, (iii) cash flows from interest, dividends and transaction fees earned from investment in portfolio companies and (iv) principal repayments and sale proceeds from our investments.

Our primary uses of cash may include: (i) investments in portfolio companies, (ii) payments of operating expenses, (iii) interest payments on, and repayment of, borrowings, (iv) cash distributions to our shareholders and (v) periodic repurchases of our Shares pursuant to our share repurchase program.

Liquidity

Operating liquidity is our ability to meet our short term liquidity needs. The following table presents our operating liquidity position as of September 30, 2020 and December 31, 2019:

	As of
	September 30, 2020		December 31, 2019
Cash	$	8,099	$	1,454
Restricted cash (1)	8,634		7,512
Unused borrowing capacity	24,000		3,000
Principal receivable	1,215		—
Unfunded investment commitments	(10,853)		(8,129)
Payable for investments purchased	(729)		—
Other net working capital (2)	131		703
Total operational liquidity	$	30,497	$	4,540

__________________

(1)Restricted cash consists of demand deposits held at a major U.S. financial institution on behalf of Hamilton. Hamilton may be restricted in the distribution of cash 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.

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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:

	September 30, 2020
	Total		< 1 year		1-3 years		3-5 years		> 5 years
Financings-Hamilton Credit Facility:
Debt - principal repayment	$	151,000	$	—	$	151,000	$	—	$	—
Interest on borrowings (1) (2)	9,445		4,204		5,241		—		—
Unused commitment fee (1)	303		243		60		—		—
Total - Financings	$	160,748	$	4,447	$	156,301	$	—	$	—
Liquidation of Feeder Funds' Investments:
GCIF 2016T (3)	$	128,829	$	—	$	128,829	$	—	$	—
GCIF 2019 (3)	39,598		—		—		—		39,598
Total Liquidation of Feeder Funds' Investments	$	168,427	$	—	$	128,829	$	—	$	39,598

______________

(1)Interest on borrowings and unused commitment fees are based on the amount drawn on the Hamilton Credit Facility as of September 30, 2020 and consideration of (i) contractual minimum utilization commitments and (ii) the maximum commitment amount. Incremental borrowings after September 30, 2020 would (i) increase interest expense and (ii) reduce unused commitment fees. See Note 7. Borrowings for a detailed description of undrawn and unused commitment fees.

(2)The forecast of interest expense on borrowings is based on the prevailing interest rate as of the most recent interest reset date (LIBOR+2.50%) and it is subject to quarterly base interest rate changes.

(3)The Feeder Fund investment liquidity amounts are based on the net asset value of each Feeder Fund's ownership interest in the Master Fund as of September 30, 2020. GCIF 2016T and GCIF 2019 have declared that they intend to provide liquidity to their shareholders from a liquidation of their ownership interest of the Master Fund on or before December 31, 2021 and December 31, 2026, respectively, subject to each Feeder Fund's pursuit of other liquidity alternatives and timing adjustments.

As of September 30, 2020, GCIF 2016T owned 65.6% of our outstanding Common Shares and GCIF 2019 owned 20.2% of our outstanding Common Shares. The two initial investors accounted for the remaining 14.2%of our outstanding Common Shares.

Critical Accounting Policies

Valuation of Investments

Our investments consist primarily of investments in senior and subordinated debt of private middle market U.S. companies and are presented in our consolidated financial statements at fair value. SeeNote 3. Investments for more information on our investments. As described more fully in Note 2. Significant Accounting Policies andNote 5. Fair Value of Financial Instruments, a valuation hierarchy based on the level of independent, objective evidence available regarding value is used to measure the fair value of our investments. Investments for which market quotations are readily available are valued using market quotations, which are generally obtained from independent pricing services, broker-dealers or market makers. With respect to our portfolio investments for which market quotations are not readily available, our Board of Trustees is responsible for determining in good faith the fair value of our portfolio investments in accordance with, and through the consistent application of, the valuation policy and procedures approved by our Board of Trustees, based on, among other things, the input of Guggenheim and any independent third-party valuation firms.

We utilize valuation techniques that use unobservable inputs and assumptions in determining the fair value of our investments classified as Level 3 within the valuation hierarchy. For senior debt and subordinated debt classified as Level 3 fair value investments, we initially value the investment at its initial transaction price and subsequently value the investment using (i) market data for similar instruments (e.g., recent transactions or indicative broker quotes) and/or (ii) valuation models. Valuation models are based on EBITDA multiples to determine enterprise value and debt multiple ratios where the key inputs are based on relative value analysis of similar credit investments issued by similar portfolio companies. The valuation techniques used by us for other types of assets that are classified as Level 3 investments are described inNote 2. Significant Accounting Policies. The unobservable inputs and assumptions may differ by asset and in the application of our valuation methodologies. The reported fair value estimates could vary materially if we had chosen to incorporate different unobservable inputs and assumptions.

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We and our Board of Trustees conduct our fair value determination process on a quarterly basis and any other time when a material decision regarding the fair value of our portfolio investments is required, including in connection with ensuring our compliance with the 1940 Act's requirements regarding the price at which we issue our Shares. A determination of fair value involves subjective judgments and estimates. Due to the inherent uncertainty of determining the fair value of portfolio investments that do not have a readily available market value, the fair value of these portfolio investments may differ materially from the values that would have been determined had a readily available market value existed for such investments. Further, such investments are generally less liquid than exchange-traded securities. If we were required to liquidate a portfolio investment that does not have a readily available market value in a forced or liquidation sale, we could realize significantly less than the fair value recorded by us.

The table below presents information on investments classified as Level 3 according to the valuation hierarchy within the investment portfolio on September 30, 2020 and December 31, 2019:

	As of
	September 30, 2020			December 31, 2019
Investments classified as Level 3 fair value	$	230,718		$	260,073
Total investments at fair value	$	329,201		$	372,193
Total assets	$	349,802		$	384,100
Percentage of investment portfolio classified as Level 3 fair value	70.1		%	69.9		%
Percentage of total assets classified as Level 3 fair value	66.0		%	67.7		%

The ranges of unobservable inputs used in the fair value measurement of our investments classified as Level 3 fair valued as of September 30, 2020 and December 31, 2019 are presented inNote 5. Fair Value of Financial Instruments, as well as the directional impact to the investments' valuation from an increase or decrease in the associated unobservable inputs.

In addition to impacting the estimated fair value recorded for our investments 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 September 30, 2020 and September 30, 2019:

	September 30, 2020		September 30, 2019
Fair Value of Level 3 Investments at Period End	$	230,718	$	256,430
Fair Value Assuming a 5% Increase in Value	242,254		269,252
Increase in unrealized appreciation	11,536		12,822
(Increase) in management fees (1)	(152)		(167)
(Increase) in performance based incentive fee (2)	(2,307)		(2,564)
Increase in net assets resulting from operations	$	9,077	$	10,091
Weighted average Common Shares outstanding (basic and diluted)	27,224,991		28,997,077
Common Shares outstanding at the end of the period	27,014,903		28,613,345
Increase in earnings per Common Share	$	0.33	$	0.35
Increase in net asset value per Common Share	$	0.34	$	0.35

_______________

(1)Increases in management fees for the periods ended September 30, 2020 and September 30, 2019 represent only nine 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.

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Investment Advisory Fees

SeeNote 2. Significant Accounting Policies.

Recent Accounting Standards

SeeNote 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. SeeNote 6. Related Party Agreements and Transactions for a more detailed description of the Investment Advisory Agreement. If the Investment Advisory Agreement is terminated, our costs may increase under any replacement investment advisory agreement that we subsequently enter into. We would also likely incur expenses in identifying and evaluating candidates to provide the services we expect to receive under any successor investment advisory agreement and administrative services agreement. Any successor investment advisory agreement would also be subject to approval by our shareholders.

In 2015, Hamilton, a wholly-owned, special purpose financing subsidiary of the Master Fund, initially entered into the Hamilton Credit Facility with JPMorgan Chase Bank, National Association, as administrative agent, each of the lenders from time to time party thereto, and U.S. Bank National Association, as collateral agent, collateral administrator and securities intermediary. The Hamilton Credit Facility provides for delayed-draw borrowings in an aggregate principal amount of $175.0 million on a committed basis. On June 29, 2018, the Hamilton Credit facility was amended to extend the term from December 17, 2019 to December 29, 2022 and to extend the draw-down term from December 17, 2018 to December 29, 2021 among other things. As of September 30, 2020 and December 31, 2019, we had borrowed $151.0 million and $172.0 million, respectively, and such amounts are due and payable no later than December 29, 2022. SeeNote 7. Borrowings.

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. SeeNote 6. Related Party Agreements and Transactions for a discussion of related partytransactions, 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.

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Item 3. Quantitative and Qualitative Disclosures About Market Risk.

Interest Rate Risk

We are subject to financial market risks, including changes in interest rates. As of September 30, 2020, 97.5% of our debt investments (95.0% of our total investments), or $312.6 million measured at fair value, are subject to floating interest rates. Our sole credit facility is also subject to changes in its 3-Month LIBOR base interest rate. A rise in the general level of interest rates can be expected to lead to (i) higher interest income from our floating rate debt investments, (ii) value declines for fixed interest rate investments we may hold and (iii) higher interest expense in connection with our floating rate credit facility. Since a majority of our investments consist of floating rate investments, an increase in interest rates could also make it more difficult for borrowers to repay their loans, and a rise in interest rates may also make it easier for Guggenheim to meet or exceed the quarterly threshold for performance-based incentive fees as described inNote 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 September 30, 2020.

Basis Points (bps) Increase	Annualized Interest Income Increase (Decrease)		Annualized Interest Expense Increase (Decrease)		Annualized Net Increase (Decrease)		Net Increase (Decrease) per Share
-50 bps	$	(417)	$	(755)	$	338	$	0.01
+50 bps	425		755		(330)		(0.01)
+100 bps	1,337		1,510		(173)		(0.01)
+150 bps	2,984		2,265		719		0.03
+200 bps	4,675		3,020		1,655		0.06

We regularly measure our exposure to interest rate risk. We assess interest rate risk and manage our interest rate exposure on an ongoing basis by comparing our interest rate sensitive assets to our interest rate sensitive liabilities. Based on that review, we determine whether or not any hedging transactions are necessary to mitigate exposure to changes in interest rates.

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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 September 30, 2020, have concluded that our disclosure controls and procedures, as defined in Rule 13a-15(e) under the Exchange Act, were effective as of September 30, 2020 at a reasonable level of assurance.

Changes in Internal Control over Financial Reporting

During the most recent fiscal quarter, there was no change in our internal controls over financial reporting, as defined under Rule 13a-15(f) under the Exchange Act, that has materially affected, or is reasonably likely to materially affect, our internal controls over financial reporting.

PART II. OTHER INFORMATION

Item 1. Legal Proceedings.

As of November 10, 2020, 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.

As of September 30, 2020, there have been no material changes from the risk factors set forth in our annual report on Form 10-K dated March 13, 2020, except for the additional risk disclosures related to COVID-19 included in the following sections.

Cybersecurity risks and cyber incidents may adversely affect our business by causing a disruption to our operations, a compromise or corruption of our confidential information and/or damage to our business relationships, all of which could negatively impact our business, results of operations or financial condition.

A cyber incident is considered to be any adverse event that threatens the confidentiality, integrity or availability of our information resources. These incidents may be an intentional attack or an unintentional event and could involve gaining unauthorized access to our information systems for purposes of misappropriating assets, stealing confidential information, corrupting data or causing operational disruption. The result of these incidents may include disrupted operations, misstated or unreliable financial data, liability for stolen information, misappropriation of assets, increased cybersecurity protection and insurance costs, litigation and damage to our business relationships. Any such attack could result in significant losses, reputational damage, litigation, regulatory fines or penalties, or otherwise adversely affect our business, financial condition or results of operations. In addition, we may be required to expend significant additional resources to modify our protective measures and to investigate and remediate vulnerabilities or other exposures arising from operational and security risks. We face risks posed to our information systems, both internal and those provided to us by third-party service providers. We, our Advisor and its affiliates have implemented processes, procedures and internal controls to help mitigate cybersecurity risks and cyber intrusions, but these measures, as well as our increased awareness of the nature and extent of a risk of a cyber incident, may be ineffective and do not guarantee that a cyber incident will not occur or that our financial results, operations or confidential information will not be negatively impacted by such an incident.

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Third parties with which we do business (including those that provide services to us) may also be sources or targets of cybersecurity or other technological risks. We outsource certain functions and these relationships allow for the storage and processing of our information and assets, as well as certain investor, counterparty, employee and borrower information. While we engage in actions to reduce our exposure resulting from outsourcing, ongoing threats may result in unauthorized access, loss, exposure or destruction of data, or other cybersecurity incidents, with increased costs and other consequences, including those described above. Privacy and information security laws and regulation changes, and compliance with those changes, may also result in cost increases due to system changes and the development of new administrative processes. The Company and its service providers are currently impacted by quarantines and similar measures being enacted by governments in response to COVID-19, which are obstructing the regular functioning of business workforces (including requiring employees to work from external locations and their homes). Accordingly, the risks described above are heightened under current conditions.

Global capital markets could enter a period of severe disruption and instability. These conditions have historically affected and could again materially and adversely affect debt and equity capital markets in the United States and around the world and could negatively impact our business, financial condition and results of operations.

Market and macro-economic disruptions may, in the future, affect the U.S. capital markets, which could adversely affect our business and that of our portfolio companies. These market disruptions may also affect the broader financial and credit markets and may reduce the availability of debt and equity capital for the market as a whole and to financial firms, in particular. At various times, these macro-disruptions have resulted in, and may in the future result in, a lack of liquidity in parts of the debt capital markets, significant write-offs in the financial services sector and the repricing of credit risk. These conditions may reoccur for a prolonged period of time again or materially worsen in the future, including as a result of further downgrades to the U.S. government’s sovereign credit rating or the perceived credit worthiness of the United States or other large global economies. Unfavorable macro-economic conditions, including future recessions, also could increase our funding costs, limit our access to the capital markets or result in a decision by lenders not to extend credit to us. We may in the future have difficulty accessing debt and equity capital on attractive terms, or at all, and a severe disruption and instability in the global financial markets or deteriorations in credit and financing conditions may cause us to reduce the volume of loans we originate and/or fund, adversely affect the value of our portfolio investments or otherwise have a material adverse effect on our business, financial condition, results of operations and cash flows. There has been ongoing discussion and commentary regarding potential significant changes to U.S. trade policies, treaties and tariffs. The current U.S. presidential administration, along with the U.S. Congress, has created significant uncertainty about the future relationship between the United States and other countries with respect to trade policies, treaties and tariffs. These developments, or the perception that any of them could occur, may have a material adverse effect on global economic conditions and the stability of global financial markets, and may significantly reduce global trade and, in particular, trade between the impacted nations and the United States. The spread of an epidemic or pandemic and efforts to contain it may result in severe disruptions to financial markets, supply chains, availability of raw materials, goods, and services. For example, the outbreak of COVID-19 is causing materially reduced consumer demand and economic output, disrupting supply chains, resulting in market closures, travel restrictions and quarantines, and adversely impacting local and global economies. As with other serious economic disruptions, governmental authorities and regulators are responding to this crisis with significant fiscal and monetary policy changes, including by providing direct capital infusions into companies, introducing new monetary programs and considerably lowering interest rates, which, in some cases resulted in negative interest rates. These actions, including their possible unexpected or sudden reversal or potential ineffectiveness, could further increase volatility in securities and other financial markets, reduce market liquidity, heighten investor uncertainty and adversely affect the value of our investments and our overall performance. In addition, uncertainty arising from the United Kingdom's decision to leave the European Union ("Brexit") could lead to further market disruptions and currency volatility, potentially weakening consumer, corporate and financial confidence and resulting in lower economic growth for companies that rely significantly on Europe for their business activities and revenues. Any of these factors could depress economic activity and restrict our portfolio companies' access to suppliers or customers and have a material adverse effect on their business, financial condition and results of operations, which in turn would negatively impact us.

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The lack of liquidity in our investments may adversely affect our business.

We may acquire a significant percentage of our portfolio company investments from privately-held companies in directly negotiated transactions. The securities of private companies are not publicly traded or actively traded on the secondary market and are, instead, traded on a privately-negotiated, over-the-counter secondary market for institutional investors, if at all. These over-the-counter secondary markets may be inactive during an economic downturn or a credit crisis. In addition, the securities in these companies will be subject to legal and other restrictions on resale or will otherwise be less liquid than publicly-traded securities. We typically would be unable to exit these investments unless and until the portfolio company has a liquidity event such as a sale, refinancing, or initial public offering.

The illiquidity of our investments may make it difficult or impossible for us to sell such investments if the need arises. In addition, if we are required to liquidate all or a portion of our portfolio quickly, we may realize significantly less than the value at which we have previously recorded our investments, which could have a material adverse effect on our business, financial condition, and results of operations.

Moreover, securities purchased by us that are liquid at the time of purchase may subsequently become illiquid due to events relating to the issuer of the securities, market events, economic conditions, or investor perceptions.

We may also face other restrictions on our ability to liquidate an investment in a portfolio company to the extent that we, Guggenheim, or any of its affiliates have material nonpublic information regarding such portfolio company, or where the sale would be an impermissible joint transaction. The reduced liquidity of our investments may make it difficult for us to dispose of them at a favorable price, and, as a result, we may suffer losses.

Dislocations in certain parts of markets are resulting in reduced liquidity for certain investments. It is uncertain when financial markets will improve. Liquidity of financial markets may also be affected by government intervention.

We may not have the funds or ability to make additional investments in our portfolio companies or to fund our unfunded commitments.

After our initial investment in a portfolio company, we may be called upon from time to time to provide additional funds to such company or have the opportunity to increase our investment through the exercise of a warrant or other right to purchase common stock. There is no assurance that we will make, or will have sufficient funds to make, follow-on investments. Even if we have sufficient capital to make a desired follow-on investment, we may elect not to make a follow-on investment because we may not want to increase our level of risk, we prefer other opportunities, we are limited in our ability to do so by compliance with BDC requirements, or we desire to maintain our RIC status. Our ability to make follow-on investments may also be limited by our Advisor's allocation policies. Any decisions not to make a follow-on investment or any inability on our part to make such an investment may have a negative impact on a portfolio company in need of such an investment, may result in a missed opportunity for us to increase our participation in a successful operation, or may reduce the expected return on the investment. During periods of market disruption, portfolio companies may be more likely to seek to draw on unfunded commitments we have made, and the risk of being unable to fund such commitments is heightened during such periods.

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

(a) None.

(b) Not applicable.

(c) The Master Fund has implemented a share repurchase program, whereby it conducts tender offers each calendar quarter. The Master Fund's Board may amend, suspend or terminate the share repurchase program.

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The following table provides information concerning our repurchases of Common Shares for the quarter ended September 30, 2020:

Period		Total Number of Shares Purchased	Price Paid per Share	Total Number of Shares Purchased as Part of Publicly Announced Plans or Programs	Maximum Number of Shares that May Yet Be Purchased Under the Plans or Programs(1)
July 1 to July 31, 2020		—	—	—	—
August 1 to August 31, 2020		—	—	—	—
September 1 to September 30, 2020	(1)	227,625	7.24	227,625	—
Total		227,625		227,625	—

___________________

(1)The maximum number of shares available for repurchase on September 14, 2020 was 227,625 shares.

Item 3. Defaults Upon Senior Securities.

(a) None.

(b) Not applicable.

Item 5. Other Information.

None.

Item 6. Exhibits.

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

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SIGNATURES

Pursuant to the requirements of 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:	November 16, 2020	By:	/s/ Matthew S. Bloom
			MATTHEW S. BLOOM
			President and Chief Executive Officer
			(Principal Executive Officer)
Date:	November 16, 2020	By:	/s/ Cielo M. Ordonez
			CIELO M. ORDONEZ
			Chief Financial Officer
			(Principal Financial Officer)

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EXHIBIT INDEX

The following exhibits are filed or incorporated as part of this Report.

3.1	Certificate of Trust of the Registrant. (Incorporated by reference to Exhibit 3.1 filed with the Registrant's Form 10 as filed on November 5, 2014.)
3.2	Amended and Restated Declaration of Trust of the Registrant. (Incorporated by reference to Exhibit 3.2 filed with the Registrant's Form 8-K (File No. 814-01117) as filed on March 16, 2016.)
3.3	Certificate of Amendment to Certificate of Trust (Incorporated by reference to Exhibit 3.1 filed with the Registrant's Form 8-K (File No. 814-01117) as filed October 23, 2017.)
3.4	Amended and Restated Bylaws of the Registrant (Incorporated by reference to Exhibit 3.3 filed with the Registrant's Form 8-K (File No. 814-01117) as filed on March 16, 2016.)
10.1	Amended and Restated Investment Advisory Agreement by and between the Registrant and Carey Credit Advisors, LLC. (Incorporated by reference to Exhibit 99 (g)(1) filed with Post-Effective Amendment No. 5 to Guggenheim Credit Income Fund - I's registration statement on Form N-2 (File No. 333-198667) filed on April 25, 2017.)
10.2	Amended and Restated Investment Sub-Advisory Agreement by and among the Registrant, Carey Credit Advisors, LLC and Guggenheim Partners Investment Management, LLC. (Incorporated by reference to Exhibit 99 (g)(2) filed with Post-Effective Amendment No. 5 to Guggenheim Credit Income Fund - I's registration statement on Form N-2 (File No. 333-198667) filed on April 25, 2017.)
10.3	Interim Investment Advisory Agreement between Registrant and Guggenheim Partners Investment Management, LLC. (Incorporated by reference to Exhibit 99.1 filed with Form 8-K on August 15, 2017.)
10.4	Investment Advisory Agreement by and between the Registrant and Guggenheim Partners Investment Management, LLC. (Incorporated by reference to Exhibit 99.1 filed with the Registrant's Form 8-K (File No. 814-01117) as filed October 23, 2017.)
10.5	Amended and Restated Administrative Services Agreement by and between the Registrant and Carey Credit Advisors, LLC. (Incorporated by reference to Exhibit 10.3 filed with the Registrant's Form 10-Q as filed on May 12, 2017.)
10.6	Administrative Services Agreement by and between Registrant and Guggenheim Partners Investment Management, LLC. (Incorporated by reference to Exhibit 99.2 filed with Form 8-K on August 15, 2017.)
10.7	Amendment No 1. to Administrative Services Agreement by and between the Registrant, Guggenheim Credit Income Fund, and Guggenheim Partners Investment Management, LLC. (Incorporated by reference to Exhibit 10.7 filed with the Registrants Form 10-K (File No. 814-01117) as filed on March 12, 2019.)
10.8	Second Amended and Restated Dealer Manager Agreement by and among the Registrant, Guggenheim Credit Income Fund 2016 T and Carey Financial, LLC. (Incorporated by reference to Exhibit 10.4 filed with Guggenheim Credit Income Fund 2016 T's Form 10-K (File No. 814-01094) filed on April 17, 2017.)
10.9	Assignment and Assumption Agreement for Dealer Manager Agreement by and among the Registrant, Carey Financial, LLC, and Guggenheim Funds Distributors, LLC. (Incorporated by reference to Exhibit 99.4 filed with Form 8-K on August 15, 2017.)
10.10	Form of Organization and Offering Expense Reimbursement Agreement by and among the Registrant, Carey Credit Advisors, LLC, and Guggenheim Partners Investment Management, LLC. (Incorporated by reference to Exhibit 99 (k)(4) filed with Pre-Effective Amendment No. 4 to Guggenheim Credit Income Fund 2016 T's registration statement on Form N-2 (File 333-198882) filed on July 17, 2015.)
10.11	Form of Amended and Restated Organization and Offering Expense Reimbursement Agreement by and among the Registrant, Carey Credit Advisors, LLC and Guggenheim Partners Investment Management, LLC. (Incorporated by reference to Exhibit 99.3 filed with Form 8-K on August 15, 2017.)
10.12	Second Amended and Restated Loan Agreement, dated as of June 29, 2018, by and among Hamilton Finance LLC, as borrower, JPMorgan Chase Bank, National Association, as administrative agent, each of the lenders from time to time party thereto, and U.S. Bank National Association, as collateral agent, collateral administrator and securities intermediary. (Incorporated by reference to Exhibit 10.1 filed with Form 8-K on July 6, 2018.)

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14.1	Code of Ethics of the Registrant. (Filed herewith.)
14.2	Code of Ethics of Guggenheim Partners Investment Management, LLC. (Filed herewith).
31.1	Certification of Chief Executive Officer pursuant to Section 302 of the Sarbanes-Oxley Act of 2002. (Filed herewith.)
31.2	Certification of Chief Financial Officer pursuant to Section 302 of the Sarbanes-Oxley Act of 2002. (Filed herewith.)
32	Certification of Chief Executive Officer and Chief Financial Officer pursuant to Section 906 of the Sarbanes-Oxley Act of 2002. (Filed herewith.)

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