Edgar Filing: Guggenheim Build America Bonds Managed Duration Trust

gug58351-ncsr.htm

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number 811-22437

Guggenheim Build America Bonds Managed Duration Trust

(Exact name of registrant as specified in charter)

2455 Corporate West Drive, Lisle, IL 60532

(Address of principal executive offices) (Zip code)

Amy J. Lee

2455 Corporate West Drive, Lisle, IL 60532

(Name and address of agent for service)

Registrant's telephone number, including area code: (630) 505-3700

Date of fiscal year end: May 31

Date of reporting period: June 1, 2013 – November 30, 2013

Item 1. Reports to Stockholders.

The registrant's annual report transmitted to shareholders pursuant to Rule 30e-1 under the Investment Company Act of 1940, as amended (the “Investment Company Act”), is as follows:

GUGGENHEIMINVESTMENTS.COM/GBAB

... YOUR WINDOW TO THE LATEST, MOST UP-TO-DATE INFORMATION ABOUT THE GUGGENHEIM BUILD AMERICA BONDS MANAGED DURATION TRUST

The shareholder report you are reading right now is just the beginning of the story. Online at guggenheiminvestments.com/gbab, you will find:

•	Daily, weekly and monthly data on share prices, net asset values, distributions and more

•	Monthly portfolio overviews and performance analyses

•	Announcements, press releases and special notices

•	Fund and adviser contact information

Guggenheim Partners Investment Management, LLC and Guggenheim Funds Investment Advisors, LLC are continually updating and expanding shareholder information services on the Trust’s website in an ongoing effort to provide you with the most current information about how your Trust’s assets are managed and the results of our efforts. It is just one more small way we are working to keep you better informed about your investment in the Trust.

November 30, 2013

DEAR SHAREHOLDER

We thank you for your investment in the Guggenheim Build America Bonds Managed Duration Trust (the “Trust”). This report covers the Trust’s performance for the six-month period ended November 30, 2013.

All Trust returns cited—whether based on net asset value (“NAV”) or market price—assume the reinvestment of all distributions. For the six-month period ended November 30, 2013, the Trust provided a total return based on market price of -11.98% and a total return based on NAV of -4.04%. As of November 30, 2013, the Trust’s market price of $19.19 per share represented a discount of 12.05% to its NAV of $21.82 per share. As of May 31, 2013, the Trust’s market price of $22.70 per share represented a discount of 3.85% to its NAV of $23.61 per share. The market value of the Trust’s shares fluctuates from time to time and it may be higher or lower than the Trust’s NAV. NAV performance data reflects fees and expenses of the Fund.

The Fund made a monthly distribution of $0.13817 for each month of the period. The dividend as of November 30, 2013, represents an annualized distribution rate of 8.64% based on the Trust’s closing market price of $19.19 on November 30, 2013.

Guggenheim Funds Investment Advisors, LLC (“GFIA” or the “Adviser”) serves as the investment adviser to the Trust. Guggenheim Partners Investment Management, LLC (“GPIM” or the “Sub-Adviser”) serves as the Trust’s investment sub-adviser and is responsible for the management of the Trust’s portfolio of investments. Each of the Adviser and the Sub-Adviser is an affiliate of Guggenheim Partners, LLC (“Guggenheim”), a global diversified financial services firm.

We encourage shareholders to consider the opportunity to reinvest their distributions from the Trust through the Dividend Reinvestment Plan (“DRIP”), which is described in detail on page 33 of this report. When shares trade at a discount to NAV, the DRIP takes advantage of the discount by reinvesting the monthly dividend distribution in common shares of the Trust purchased in the market at a price less than NAV. Conversely, when the market price of the Trust’s common shares is at a premium above NAV, the DRIP reinvests participants’ dividends in newly-issued common shares at the greater of NAV per share of 95% of the market price per share. The DRIP provides a cost effective means to accumulate additional shares and enjoy the benefits of compounding returns over time. Since the Trust endeavors to maintain a steady monthly distribution rate, the DRIP effectively provides an income averaging technique, which causes shareholders to accumulate a larger number of Trust shares when the share price is lower than when the price is higher.

To learn more about the Trust’s performance and investment strategy for the semiannual period ended November 30, 2013, we encourage you to read the Questions & Answers section of this report, which begins on page 4. We are honored that you have chosen the Guggenheim Build America Bonds Managed Duration Trust as part of your investment portfolio. For the most up-to-date information regarding your investment, please visit the Trust’s website at guggenheiminvestments.com/gbab.

Sincerely,

Donald C. Cacciapaglia

Chief Executive Officer

Guggenheim Build America Bonds Duration Trust

December 31, 2013

GBAB l GUGGENHEIM BUILD AMERICA BONDS MANAGED DURATION TRUST SEMIANNUAL REPORT l 3

QUESTIONS & ANSWERS

November 30, 2013

Guggenheim Build America Bonds Managed Duration Trust (the “Trust”) is managed by a team of seasoned professionals at Guggenheim Partners Investment Management, LLC (“GPIM” or the “Sub-Adviser”). This team includes B. Scott Minerd, Global Chief Investment Officer; Anne B. Walsh, CFA, JD, Senior Managing Director; and James E. Pass, Senior Managing Director. In the following interview, the investment team discusses the market environment and the Trust’s strategy and performance for the six-month period ended November 30, 2013.

What were the most important developments in the Trust over the past six months?

The Trust continues to rank at or near the top of its peer group, generally driven by two factors: The portfolio construction within the Build America Bonds (BABs) segment has been a source of excess performance, with security selection and a lower duration target adding value over the past six months. Additionally, the Trust’s design, investing at least 80% of its Managed assets (net assets plus leverage) (“Managed Assets”) in BABs and up to 20% of its Managed Assets in securities other than BABs, provides an anchor to returns and mitigates the interest rate risk embedded in long-duration bonds. This structure has consistently enabled the portfolio managers to generate both higher absolute returns and lower risk than both peers and benchmarks, resulting in risk-adjusted performance which markedly outperforms competing products and indexes. Although the Trust had negative return for the period, it outperformed its benchmark, the Bank of America Merrill Lynch Build America Bond Index, by 54 basis points.

What is the Trust’s investment objective and how is it pursued?

The Trust’s primary investment objective is to provide current income with a secondary objective of long-term capital appreciation. The Trust seeks to achieve its investment objectives by investing primarily in a diversified portfolio of taxable municipal securities known as Build America Bonds or BABs. Under normal market conditions, the Trust invests at least 80% of its Managed Assets in BABs. The Trust may invest up to 20% of its Managed Assets in securities other than BABs, including taxable municipal securities that do not qualify for federal subsidy payments under the American Recovery and Reinvestment Act of 2009 (the “Act”), municipal securities, the interest income from which is exempt from regular federal income tax (sometimes referred to as “tax-exempt municipal securities”), asset-backed securities (“ABS”), senior loans and other income-producing securities.

At least 80% of the Trust’s Managed Assets are invested in securities that, at the time of investment, are investment grade quality. The Trust may invest up to 20% of its Managed Assets in securities that, at the time of investment, are below investment grade quality. Securities of below investment grade quality are regarded as having predominantly speculative characteristics with respect to capacity to pay interest and repay principal.

The Trust does not invest more than 25% of its Managed Assets in municipal securities in any one state of origin or more than 15% of its Managed Assets in municipal securities that, at the time of investment, are illiquid.

BABs are taxable municipal securities that include bonds issued by state and local governments to finance capital projects such as public schools, roads, transportation infrastructure, bridges, ports and public buildings, pursuant to the Act. In contrast to traditional municipal bonds, interest received on BABs is subject to federal income tax and may be subject to state income tax. However, issuers of Direct Payment BABs are eligible to receive a subsidy from the U.S. Treasury of up to 35% of the interest paid on the bonds, allowing such issuers to issue BABs that pay interest rates that are competitive with the rates typically paid by private bond issuers in the taxable fixed-income market.

The Sub-Adviser employs investment and trading strategies to seek to maintain the leverage-adjusted duration of the Trust’s portfolio to generally less than 10 years. (Duration is a measure of a bond’s price sensitivity to changes in interest rates, expressed in years. Duration is a weighted average of the times that interest payments and the final return of principal are received. The weights are the amounts of the payments discounted by the yield to maturity of the bond.)

In addition, the Sub-Adviser may seek to manage the duration of the Trust’s portfolio through the use of derivative instruments, including U.S. Treasury swaps, credit default swaps, total return swaps and futures contracts, in an attempt to reduce the overall volatility of the Trust’s portfolio to changes in market interest rates. The Sub-Adviser does not currently use such derivative instruments to manage the duration of the Trust’s portfolio but may do so in the future. The Sub-Adviser may seek to manage the Trust’s duration in a flexible and opportunistic manner based primarily on then-current market conditions and interest rate levels. The Trust may incur costs in implementing the duration management strategy, but such strategy will seek to reduce the volatility of the Trust’s portfolio.

What were the significant events affecting the economy and market environment over the past six months?

Speculation on the future of quantitative easing dominated financial headlines for much of the period, causing increased interest rate volatility and driving investor demand for shorter duration assets. The yield on the 10-year Treasury note hit a two-year high of 3.0% in early September, about 140 basis points above the lows seen in May.

The Federal Reserve (the “Fed”) surprised most market participants on September 18, 2013 with its inaction on what was expected to be the beginning of tapering its $85 billion per month asset purchase program. Given sluggish job growth and malaise in the housing data in recent

4 l GBAB l GUGGENHEIM BUILD AMERICA BONDS MANAGED DURATION TRUST SEMIANNUAL REPORT

QUESTIONS & ANSWERS continued

November 30, 2013

months, the Fed announced that it would continue to maintain the pace of purchases until there was significant improvement in the aforementioned areas. Investors that were positioned in longer-duration fixed income assets benefitted as benchmark 10-year U.S. Treasury bond yields declined in the wake of the Fed announcement, closing the third quarter at 2.6%. The soft patch in economic growth added downward pressure to interest rates in the short term, but reacceleration is expected to ultimately push interest rates higher over the long term.

The fundamental outlook for the global economy continues to improve. We are seeing a synchronous global economic expansion for the first time since 2007. In Europe, the periphery has struggled through several years of contraction, but lower prices and unit labor costs have led to the start of a recovery. Germany’s economy has been weighed down by the peripheral nations, but overall, Europe has shown signs of expansion from recent manufacturing data. Asian economies, notably China and Japan, have seen substantial monetary accommodation from their respective regimes and look to return to higher levels of growth in the coming years.

Here in the United States, we continue to see strong evidence of seasonal strength in the stock market. The data-distorting effects of the October U.S. government shutdown are being flushed from the system, providing a truer reading of what is occurring domestically. Despite a shutdown that lasted far longer than originally anticipated, the U.S. economy held up fairly well, indicating a high degree of underlying strength.

At period end, the likelihood of the Fed tapering quantitative easing in December appeared to be remote. However, given strong employment data released in early December, many market participants placed a higher probability of the Fed reducing purchases in the next few meetings. (After the period end, on December 18, 2013, the Fed announced that it would begin to taper in January 2014, reducing monthly asset purchases from $85 billion to $75 billion). Our expectation is interest rates are likely to remain range bound into 2014 before continuing an ascent higher.

How did the Trust perform for the six months ended November 30, 2013?

The Trust made the following monthly distributions per share during the six-month period ended November 30, 2013:

Month	Distribution per Share
June 2013	$0.13817
July	$0.13817
August	$0.13817
September	$0.13817
October	$0.13817
November	$0.13817
Total	$0.82902

The Trust’s monthly distribution represents an annualized distribution rate of 8.64% based on the Trust’s closing market price of $19.19 on November 30, 2013. The Trust’s distribution rate is not constant and is subject to change based on the performance of the Trust.

What factors affected Trust performance during the six-month period ended November 30, 2013?

During the time period ending November 30, 2013, the taxable municipal market faced various macro issues such as the partial shutdown of the federal government, the debt ceiling debate, and taper talk from the Federal Reserve. Like other fixed income asset classes, the taxable municipal market experienced significant volatility but performed better when compared to the tax-exempt municipal market. Towards the end of the period, credit spreads tightened, reflecting the general consensus that the Federal Reserve would not taper until March 2014.

The portfolio lost value during the period largely because of the volatile rate environment prompted by speculation over the end of Federal Reserve tapering, and the ongoing effects of the sequestration. Earlier, it appeared sequestration might impose automatic spending cuts in state and local government aid and reduce BABs subsidies. There was also concern that such cuts could lead some issuers to refinance outstanding BABs through an extraordinary redemption provision (ERP). Although certain issues did elect to exercise their ERPs, refunding volume, as the Sub-Adviser expected, was limited and did not materially impact the BABs market during the period.

Nonetheless, we expect more issuers to review their BABs and other direct payment indentures for refinancing alternatives as sequestration appears to be here to stay. Although we continue to believe BABs refinancings will be limited, market valuations of certain BABs, Qualified School Construction Bonds (“QSCBs”) and other direct payment bonds will be volatile in the near term.

Other factors affecting BABs performance were lack of primary issuance, which creates scarcity that helps support prices. Existing issues also typically carry high dollar prices, which limits activity in the sector.

GBAB l GUGGENHEIM BUILD AMERICA BONDS MANAGED DURATION TRUST SEMIANNUAL REPORT l 5

QUESTIONS & ANSWERS continued

May 31, 2013

Describe how the Trust’s assets are invested.

As of November 30, 2013, approximately 84% of the Trust’s long-term investments were in BABs and QSCBs, which are qualifying investments for purposes of the Trust’s policy of investing at least 80% of its managed assets in BABs. The taxable municipal sector was a detractor from return for the period.

The rest of the Trust’s assets, approximately 16% of the Trust’s long-term investments as of November 30, 2013, were invested in non-BABs securities. These include asset-backed securities, bank loans, corporate bonds (including high yield bonds) and other securities, by which we were able to add incremental yield. The non-BABs portion of the portfolio was a contributor to return for the period.

The most significant change within non-BABs over the period was a decrease in below-investment-grade corporate debt and in bank loans as some assets were called away for refinancing. The Trust continues to seek new floating rate assets, primarily bank loans.

The Trust believes there is sufficient liquidity within non-BABs holdings to manage a decline in the BABs holdings, should a widespread increase in interest rates cause BABs to lose sufficient value to approach the 80% minimum.

How did other markets perform in this environment?

The return of the Bank of America Merrill Lynch Build America Bond Index was -4.58% for the six months ended November 30, 2013. The return of the Barclays U.S. Treasury Composite Index, which includes Treasury securities of all maturities, was -0.85% for the same period.

The Barclays U.S. Aggregate Bond Index (the “Barclays Aggregate”), which is a proxy for the U.S. investment grade bond market, returned -0.56% for the period, while the Barclays U.S. Corporate High Yield Index returned 2.61%.

Reflecting the Federal Reserve’s (“the Fed”) continuing accommodative monetary policy, interest rates on short-term securities remained at their lowest levels in many years; the return of the Barclays 1–3 Month U.S. Treasury Bill Index was 0.02% for the period.

What is the Trust’s exposure to bonds associated with Detroit or Puerto Rico?

Following Detroit’s bankruptcy filing in July, Federal courts were deciding if the bankruptcy could proceed. (In December, after the period end, a Federal judge ruled that the bankruptcy could proceed and that the city’s pensions would be treated the same as any other contract in bankruptcy.)

Puerto Rico has been coping with a weak economy, a huge debt burden and a constant flow of negative headlines from the financial press and media pundits. This has caused its municipal bonds to fall in value in 2013 as investors feared its financial condition could lead to a default.

The Trust owned and purchased bonds that fund the Detroit Public Schools through the Michigan School Bond Qualification and Loan Program (“Program”). These securities are not directly involved in the Detroit’s bankruptcy filing, as, under the Program, the State shall lend to Detroit Public Schools in amounts sufficient to pay debt service. However, the market has been treating them as impaired, which we believe creates investment opportunities for the Trust. The portfolio managers conduct continuous market analysis to ensure these bonds meet the Trust’s investment criteria, and they continue to perform as expected. On the other hand, the Trust does not have any exposure to Puerto Rico municipal credits but may do so in the future, if investment opportunities arise.

What is the Trust’s leverage strategy?

Since leverage adds to performance when the cost of leverage is less than the total return generated by investments, the use of leverage detracted from the Trust’s total return during this period. The Trust utilizes leverage (borrowing) as part of its investment strategy, to finance the purchase of additional securities that provide increased income and potentially greater appreciation potential to common shareholders than could be achieved from a portfolio that is not leveraged. Leverage will not exceed 331/3% of the Trust’s Managed Assets.

As of November 30, 2013, the Trust’s leverage was approximately 26% of Managed Assets, slightly more than six months ago. The Trust currently employs leverage through reverse repurchase agreements with at least three different counterparties and a credit facility with a major bank. Under the reverse repurchase agreements, securities are transferred to another party, such as a bank or broker-dealer, in return for cash which can be used for additional investments.

There is no guarantee that the Trust’s leverage strategy will be successful. The Trust’s use of leverage may cause the Trust’s NAV and market price of common shares to be more volatile and can magnify the effect of any losses.

What is the current outlook for the taxable municipal sector that includes Build America Bonds?

Since the 2010 expiration of the BABs and other federally sponsored programs, taxable municipal issuance has reverted back to historical figures – approximately $35 billion per year or roughly 10 percent of total municipal issuance. In 2011 and 2012, taxable issuance was approximately $35 billion and $38 billion, respectively.

The primary market has been relatively quiet as 2013 issuance remains on track to total approximately $35 billion, driven primarily by private and public universities, health care institutions and special purpose entities. Although issuance of taxable municipal bonds has been ahead of this pace through most of 2013, we expect a significant decline in activity given the rise in U.S. Treasury yields.

6 l GBAB l GUGGENHEIM BUILD AMERICA BONDS MANAGED DURATION TRUST SEMIANNUAL REPORT

QUESTIONS & ANSWERS continued

November 30, 2013

Secondary market activity was dominated by certain maturities of both State of California General Obligation Bonds and New York City General Obligation Bonds. However, the majority of this activity involved bonds with durations of 10 years and longer.

Against this backdrop, we continue to focus on revenue bonds, secured by a dedicated revenue stream, high grade general obligation bonds and story bonds rated BBB or better. Health care organizations, higher education institutions and large governmental issuers continue to garner the majority of our attention. In addition, we continue to monitor the market for investment opportunities involving BABs and QRSBs, respectively, as both type of direct payment obligations received negative media attention during the partial shutdown of the Federal government.

Index Definitions:

Indices are unmanaged and reflect no expenses. It is not possible to invest directly in an index.

The Bank of America Build America Bond Index is designed to track the performance of U.S. dollar-denominated Build America Bonds publicly issued by U.S. states and territories, and their political subdivisions, in the U.S. market.

The Barclays U.S. Treasury Composite Index includes public obligations of the U.S. Treasury. Treasury bills are excluded by the maturity constraint but are part of a separate Short Treasury Index. In addition, certain special issues, such as state and local government series bonds (SLGs), as well as U.S. Treasury TIPS, are excluded. STRIPS are excluded from the index because their inclusion would result in double-counting. Securities in the index roll up to the U.S. Aggregate, U.S. Universal, and Global Aggregate Indices. The U.S. Treasury Index was launched on January 1, 1973.

The Barclays U.S. Aggregate Bond Index represents securities that are U.S. domestic, taxable, and dollar denominated. The index covers the U.S. investment grade fixed rate bond market, with index components for government and corporate securities, mortgage pass-through securities, and asset-backed securities.

The Barclays U.S. Corporate High Yield Index is an unmanaged index of below investment grade bonds issued by U.S. corporations.

The Barclays 1-3 Month U.S. Treasury Bill Index tracks the performance of U.S. Treasury bills with a remaining maturity of one to three months. U.S. Treasury bills, which are short-term loans to the U.S. government, are full faith-and-credit obligations of the U.S. Treasury and are generally regarded as being free of any risk of default.

Risks and Other Considerations

The views expressed in this report reflect those of the portfolio managers only through the report period as stated on the cover. These views are subject to change at any time, based on market and other conditions and should not be construed as a recommendation of any kind. The material may also include forward looking statements that involve risk and uncertainty, and there is no guarantee that any predictions will come to pass. There can be no assurance that the Trust will achieve its investment objectives. The value of the Trust will fluctuate with the value of the underlying securities. Historically, closed-end funds often trade at a discount to their net asset value. There can be no assurance that the Trust will achieve its investment objectives.

Please see guggenheiminvestments.com/gbab for a detailed discussion of the Trust’s risks and considerations.

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TRUST SUMMARY (Unaudited)

November 30, 2013

Trust Statistics
Share Price		$	19.19
Common Share Net Asset Value		$	21.82
Premium/Discount to NAV			-12.05%
Net Assets Applicable to Common Shares ($000)		$	379,897

Total Returns
(Inception 10/28/10)	Market		NAV
Six Month	-11.98%		-4.04%
One Year	-10.94%		-1.76%
Three Year - Average Annual	5.82%		11.88%
Since Inception - Average Annual	5.64%		11.41%

Performance data quoted represents past performance, which is no guarantee of future results and current performance may be lower or higher than the figures shown. The NAV total returns reflect fees and expenses of the Trust. For the most recent month-end performance figures, please visit guggenheiminvestments.com/gbab. The investment return and principal value of an investment will fluctuate with changes in the market conditions and other factors so that an investor’s shares, when sold, may be worth more or less than their original cost.


	% of Municipal
State/Territory Allocations	Bonds
California	22.7%
Illinois	12.3%
Washington	9.5%
Indiana	6.4%
New Jersey	6.2%
Texas	6.1%
New York	5.8%
Ohio	5.2%
Michigan	5.1%
Florida	4.3%
Pennsylvania	4.2%
West Virginia	3.3%
Colorado	3.0%
Alabama	2.9%
Nevada	2.7%
Vermont	2.7%
Louisiana	2.5%
Mississippi	1.9%
South Carolina	1.4%
Georgia	1.3%
South Dakota	1.0%
Minnesota	0.9%

Portfolio composition and holdings are subject to change daily. For more information, please visit guggenheiminvestments.com/gbab. The above summaries are provided for informational purposes only and should not be viewed as recommendations. Past performance does not guarantee future results.

	% of Total
Portfolio Breakdown	Net Assets
Municipal Bonds	111.4%
Corporate Bonds	6.7%
Asset Backed Securities	5.6%
Term Loans	4.9%
Preferred Stock	2.0%
Collateralized Mortgage Obligations	0.7%
Closed-End Fund	0.3%
Warrants	0.0%	*
Common Stock	0.0%	*
Total Long-Term Investments	131.6%
Short-Term Investment	0.2%
Total Investments	131.8%
Other Assets in excess of Liabilities	2.6%
Borrowings	-10.5%
Reverse Repurchase Agreements	-23.9%
Total Net Assets	100.0%
* Less than 0.1%.

Ratings shown are assigned by one or more Nationally Recognized Statistical Credit Rating Organizations (“NRSRO”), such as Standard & Poor’s, Moody’s and Fitch. The ratings are an indication of an issuer’s credit-worthiness and typically range from AAA or Aaa (highest) to D (lowest). When two or more ratings are available, the lower rating is used; when only one is available, that rating is used. The Non-Rated category consists of securities that have not been rated by an NRSRO. U.S. Treasury securities and U.S. Government Agency securities are not rated but deemed to be equivalent to securities rated AA+/Aaa.

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PORTFOLIO OF INVESTMENTS (Unaudited)

November 30, 2013

	Principal					Optional Call
	Amount	Description	Rating *	Coupon	Maturity	Provisions**		Value
		Long-Term Investments – 131.6%
		Municipal Bonds – 111.4%
		Alabama – 2.9%
$	3,000,000	Alabama State University, General Tuition and Fee Revenue Bonds, Taxable Direct-Pay Build America Bonds, (Assured GTY)(a) (k)	AA–	7.100%	09/01/2035	09/01/20 @ 100	$	3,232,500
	5,000,000	Alabama State University, General Tuition and Fee Revenue Bonds, Taxable Direct-Pay Build America Bonds, (Assured GTY)(a) (k)	AA–	7.200%	09/01/2038	09/01/20 @ 100		5,412,250
	2,000,000	Alabama State University, General Tuition and Fee Revenue Bonds, Taxable Direct-Pay Build America Bonds, (Assured GTY)(a)	AA–	7.250%	09/01/2040	09/01/20 @ 100		2,168,100
	500,000	Jefferson County, Alabama, Sewer Revenue Warrants, Series 2013-A to Series 2013-F(AGM)	AA–	0.000%	10/01/2034	10/01/23 @ 51		133,030
								10,945,880

		California – 22.7%
	500,000	Alhambra Unified School District, Elementary Schools Improvement District, Los Angeles County, California, Election of 2008 General Obligation Bonds, Federally Taxable, Series B– 1(k)	A+	6.700%	02/01/2026	N/A		552,140
	10,000,000	California, General Obligation Bonds, Various Purpose, Taxable Build
		America Bonds(a)	A	7.700%	11/01/2030	11/01/20 @ 100		11,708,600
	3,000,000	Culver City Redevelopment Agency, California, Taxable Tax Allocation Bonds, Culver City Redevelopment Project, Series 2011B(k)	A	8.000%	11/01/2020	N/A		3,192,750
	340,000	Cypress Elementary School District (Orange County, California), General Obligation Bonds, Direct Pay Qualified School Construction Bonds, 2008 Election, Series B– 2(a) (k)	AA–	6.050%	08/01/2021	N/A		365,412
	660,000	Cypress Elementary School District (Orange County, California), General Obligation Bonds, Direct Pay Qualified School Construction Bonds, 2008 Election, Series B-2(k)	AA–	6.650%	08/01/2025	N/A		709,012
	7,500,000	Long Beach Unified School District, California, Qualified School Construction Bonds, Federally Taxable, Election of 2008, General Obligation Bonds, Series B-1(k)	AA–	5.914%	08/01/2025	N/A		8,686,500
	10,000,000	Los Angeles, California, Department of Water & Power Revenue, Taxable Build America Bonds(a)	AA–	7.000%	07/01/2041	07/01/21 @ 100		11,516,900
	10,000,000	Los Angeles, California, Department of Water & Power Revenue, Taxable Build America Bonds(a)	AA	7.003%	07/01/2041	07/01/20 @ 100		11,153,500
	5,000,000	Metropolitan Water District, Southern California, Water Revenue Bonds, 2010 Authorization, Taxable Build America Bonds, Series A(a)	AAA	6.947%	07/01/2040	07/01/20 @ 100		5,614,600
	1,025,000	Monrovia Unified School District, Los Angeles County, California, Election of 2006 General Obligation Bonds, Build America Bonds, Federally Taxable, Series C-1(a) (k)	A+	7.250%	08/01/2028	N/A		1,161,807
	10,000,000	Oakland Unified School District, County of Alameda, California, Taxable General Obligation Bonds, Election of 2006, Qualified School Construction Bonds, Series 2012B(k) (l)	NR	6.877%	08/01/2033	08/01/22 @ 100		9,575,900
	1,000,000	Placentia-Yorba Linda Unified School District (Orange County, California), General Obligation Bonds, Federally Taxable Direct-Pay Qualified School Construction Bonds, Election of 2008, Series E(k)	AA–	5.400%	02/01/2026	N/A		1,024,040
	5,000,000	Riverside Community College District, Riverside County, California, Election of 2004 General Obligation Bonds, Taxable Build America Bonds, Series 2010 D-1(a)	AA	7.021%	08/01/2040	08/01/20 @ 100		5,483,750
	2,245,000	Santa Ana Unified School District, California, General Obligation Bonds, Federal Taxable Build America Bonds(a)	Aa3	6.800%	08/01/2030	N/A		2,636,191
	7,755,000	Santa Ana Unified School District, California, General Obligation Bonds, Federal Taxable Build America Bonds(a)	Aa3	7.100%	08/01/2040	N/A		9,251,637
	3,330,000	Sonoma Valley Unified School District, General Obligation, Federally Taxable Bonds(k)	AA–	7.123%	08/01/2028	08/01/20 @ 100		3,542,221
								86,174,960

See notes to financial statements.
	GBAB l GUGGENHEIM BUILD AMERICA BONDS MANAGED DURATION TRUST SEMIANNUAL REPORT l 9

PORTFOLIO OF INVESTMENTS (Unaudited) continued

November 30, 2013

	Principal					Optional Call
	Amount	Description	Rating *	Coupon	Maturity	Provisions**		Value
		Colorado – 3.0%
$	7,500,000	Colorado, Building Excellent Schools Today, Certificates of Participation, Taxable Build America Bonds, Series 2010E(a)	AA–	7.017%	03/15/2031	03/15/21 @ 100	$	8,299,350
	2,500,000	Colorado, Building Excellent Schools Today, Certificates of Participation, Taxable Qualified School Construction, Series 2010-D	AA–	6.817%	03/15/2028	N/A		2,965,450
								11,264,800

		Florida – 4.3%
	10,000,000	Miami-Dade County, Florida, Transit Sales Surtax Revenue, Taxable Build America Bonds, Series B(a) (k)	AA	6.910%	07/01/2039	07/01/19 @ 100		10,833,000
	5,000,000	Orlando, Florida, Community Redevelopment Agency, Taxable Tax Increment Revenue Build America Bonds, Series 2010B(a) (k)	A	7.784%	09/01/2040	09/01/20 @ 100		5,445,100
								16,278,100

		Georgia – 1.3%
	5,000,000	Georgia Municipal Association, Inc., Certificates of Participation, DeKalb County Public Schools Project, (AGM)(k)	AA–	5.210%	12/01/2022	N/A		5,135,900

		Illinois – 12.3%
	5,000,000	Chicago, Illinois, Board of Education, Unlimited Tax General Obligation Bonds, Dedicated Revenues, Taxable Build America Bonds, Series 2010D(a) (k)	A+	6.519%	12/01/2040	N/A		4,549,400
	5,100,000	Chicago, Illinois, Second Lien Wastewater Transmission Revenue Project Bonds, Taxable Build America Bonds, Series 2010B(a) (k)	A+	6.900%	01/01/2040	N/A		5,713,020
	2,990,000	Chicago, Illinois, Second Lien Water Revenue Bonds, Taxable Build America Bonds, Series 2010B(a)	AA–	6.742%	11/01/2040	N/A		3,315,342
	5,000,000	Illinois, General Obligation Bonds, Taxable Build America Bonds, Series 2010-5(a)	A–	7.350%	07/01/2035	N/A		5,444,600
	7,140,000	Northern Illinois Municipal Power Agency, Power Project Taxable Revenue Bonds, Prairie State Project Build America Bonds(a) (k)	A2	7.620%	01/01/2030	N/A		8,329,381
	2,860,000	Northern Illinois Municipal Power Agency, Power Project Taxable Revenue Bonds, Prairie State Project Build America Bonds(a) (k)	A2	7.820%	01/01/2040	N/A		3,445,299
	4,500,000	Northern Illinois University, Auxiliary Facilities System Revenue Bonds, Build America Program, Taxable, Series 2010, (AGM)(a) (k)	A2	7.947%	04/01/2035	04/01/20 @ 100		5,084,235
	5,000,000	Northern Illinois University, Auxiliary Facilities System Revenue Bonds, Build America Program, Taxable, Series 2010, (AGM)(a)	A2	8.147%	04/01/2041	04/01/20 @ 100		5,707,700
	3,000,000	Southwestern Illinois, Development Authority, Taxable Local Government, Program Revenue Bonds, Flood Prevention District Council Project, Recovery Zone Economic Development Bonds, Series 2010C(k)	AA	7.230%	10/15/2035	04/15/20 @ 100		3,197,670
	2,000,000	Southwestern Illinois, Development Authority, Taxable Local Government, Program Revenue Bonds, Flood Prevention District Project, Build America Bonds, Series 2010-B(a) (k)	AA	7.030%	04/15/2032	04/15/20 @ 100		2,055,460
								46,842,107

		Indiana – 6.4%
	8,690,000	Evansville-Vanderburgh Independent School Building Corporation, Unlimited Taxable Ad Valorem Property Tax First Mortgage Bonds, Series 2010E	AA+	6.500%	01/15/2030	07/15/20 @ 100		9,797,888
	3,000,000	Knox County, Indiana, Good Samaritan Hospital Project, Taxable Economic Development Revenue Bonds, Qualified Energy Conservation Bonds - Direct Payment, Series 2012B(k)	A3	5.900%	04/01/2034	N/A		2,925,960
	10,000,000	Noblesville Multi-School Building Corporation, Hamilton County, Indiana, Taxable Unlimited Ad Valorem Property Tax First Mortgage Bonds, Build America Bonds, Series 2010, (a)	AA+	6.500%	07/15/2030	01/15/21 @ 100		11,577,700
								24,301,548

		Louisiana – 2.5%
	8,000,000	Orleans Parish, School Board of the Parish of Orleans, Louisiana, (AGM)(k)	AA–	4.400%	02/01/2021	N/A		8,413,040
	1,055,000	Tangipahoa Parish Hospital Service District No. 1, Louisiana, Taxable Hospital Revenue Bonds, North Oaks Health System Project, Build America Bonds, Series 2009A, (Assured GTY)(a)	AA+	7.200%	02/01/2042	02/01/20 @ 100		1,112,107
								9,525,147

See notes to financial statements.

10 l GBAB l GUGGENHEIM BUILD AMERICA BONDS MANAGED DURATION TRUST SEMIANNUAL REPORT

PORTFOLIO OF INVESTMENTS (Unaudited) continued

November 30, 2013

Principal

Optional Call

Amount

Description

Rating *

Coupon

Maturity

Provisions**

Value

Michigan – 5.1%

415,000

Comstock Park Public Schools, Kent County, Michigan, 2011 School Building

and Site Bonds, General Obligation - Unlimited Tax, Federally Taxable - Qualified

School Construction Bonds - Direct Payment, Series A, (Q-SBLF)(k)

AA–

6.300%

05/01/2026

05/01/21 @ 100

434,795

2,640,000

Detroit, Michigan, School District, Build America Bonds, (Q-SBLF)(a) (k)

AA–

7.747%

05/01/2039

N/A

2,753,441

5,000,000

Detroit, Michigan, School District, School Building and Site Bonds,

Unlimited Tax General Obligation Bonds, Taxable Build America Bonds,

Series 2010B, (Q-SBLF)(a)

AA–

6.845%

05/01/2040

05/01/20 @ 100

4,786,100

2,640,000

Detroit, Michigan, School District, School Building and Site Bonds,

Unlimited Tax General Obligation Bonds, Taxable Qualified School

Construction Bonds, Series 2010A, (Q-SBLF)(k)

AA–

6.645%

05/01/2029

N/A

2,586,118

3,000,000

Fraser Public School District, Macomb County, Michigan, General

Obligation Federally Taxable School Construction Bonds, 2011 School

Building and Site Bonds, Series B, (Q-SBLF)(k)

AA–

6.050%

05/01/2026

05/01/21 @ 100

3,138,810

1,000,000

Oakridge, Michigan, Public Schools, Unlimited Tax General Obligation

Bonds, (Q-SBLF)(k)

AA–

6.750%

05/01/2026

05/01/20 @ 100

1,046,450

2,500,000

Whitehall District Schools, Muskegon County, Michigan, 2010 School

Building and Site Bonds, General Obligation, Unlimited Tax Bonds, Taxable

Qualified School Construction Bonds, Series A, (Q-SBLF)(k)

AA–

6.100%

05/01/2026

05/01/20 @ 100

2,591,100

2,000,000

Whitehall District Schools, Muskegon County, Michigan, 2010 School Building

and Site Bonds, General Obligation, Unlimited Tax Bonds, Taxable Qualified

School Construction Bonds, Series A, (Q-SBLF)(k)

AA–

6.500%

05/01/2029

05/01/20 @ 100

2,067,580

19,404,394

Minnesota – 0.9%

1,660,000

St. Paul Housing & Redevelopment Authority, Federally Taxable Revenue Bonds(k) (l)

7.250%

02/01/2035

02/01/21 @ 100

1,741,074

1,540,000

St. Paul Housing & Redevelopment Authority, Federally Taxable Revenue Bonds(k) (l)

7.500%

02/01/2040

02/01/21 @ 100

1,614,536

3,355,610

Mississippi – 1.9%

5,000,000

Medical Center Educational Building Corporation, Taxable Build America

Bonds, University of Mississippi Medical Center Facilities Expansion and

Renovation Project, Series 2010A(a) (k)

AA–

6.842%

06/01/2035

06/01/20 @ 100

5,237,700

1,000,000

Mississippi, Hospital Equipment and Facilities Authority, Taxable Build America

Revenue Bonds, Forrest County General Hospital Project, Series 2010(a) (k)

7.265%

01/01/2032

01/01/20 @ 100

1,027,250

905,000

Mississippi, Hospital Equipment and Facilities Authority, Taxable Build America

Revenue Bonds, Forrest County General Hospital Project, Series 2010(a) (k)

7.390%

01/01/2040

01/01/20 @ 100

922,584

7,187,534

Nevada – 2.7%

1,425,000

Clark County, Nevada, Airport Revenue Bonds, Build America Bonds,

Series B(a) (k)

AA–

6.881%

07/01/2042

07/01/19 @ 100

1,525,349

1,200,000

Las Vegas Valley Water District, Nevada, Limited Tax General Obligation Water

Bonds, Taxable Build America Bonds, Series 2009A(a) (k)

AA+

7.100%

06/01/2039

06/01/19 @ 100

1,304,712

1,500,000

Nevada System of Higher Education University, Revenue Bonds, Build

America Bonds(a)

AA–

7.600%

07/01/2030

07/01/20 @ 100

1,671,120

5,050,000

Nevada System of Higher Education University, Revenue Bonds, Build

America Bonds(a)

AA–

7.900%

07/01/2040

07/01/20 @ 100

5,661,454

10,162,635

New Jersey – 6.2%

8,000,000

Camden County Improvement Authority, Camden County, New Jersey, Lease

Revenue Bonds, Cooper Medical School of Rowan University Project, Series 2010A(k)

A+

7.747%

07/01/2034

07/01/20 @ 100

8,437,440

2,000,000

Camden County Improvement Authority, Camden County, New Jersey, Lease

Revenue Bonds, Cooper Medical School of Rowan University Project, Series 2010A(k)

A+

7.847%

07/01/2035

07/01/20 @ 100

2,116,060

10,000,000

New Jersey Turnpike Authority, Turnpike Revenue Bonds, Federally Taxable

Issuer Subsidy, Build America Bonds, Series 2010A(a)

A+

7.102%

01/01/2041

N/A

13,060,200

23,613,700

See notes to financial statements.
	GBAB l GUGGENHEIM BUILD AMERICA BONDS MANAGED DURATION TRUST SEMIANNUAL REPORT l 11

PORTFOLIO OF INVESTMENTS (Unaudited) continued

November 30, 2013

Principal

Optional Call

Amount

Description

Rating *

Coupon

Maturity

Provisions**

Value

New York – 5.8%

5,000,000

Metropolitan Transportation Authority, New York, Transportation Revenue

Bonds, Taxable Build America Bonds, Series 2010E(a)

7.134%

11/15/2030

11/15/20 @ 100

5,506,700

5,000,000

Metropolitan Transportation Authority, New York, Transportation Revenue

Bonds, Taxable Build America Bonds, Series 2010B-1(a)

6.548%

11/15/2031

N/A

5,757,150

10,000,000

Westchester County Health Care Corporation, Revenue Bonds, Taxable Build

America Bonds, Series 2010(a) (k) (l)

BBB

8.572%

11/01/2040

N/A

10,994,400

22,258,250

Ohio – 5.2%

5,000,000

American Municipal Power, Inc., Combined Hydroelectric Projects Revenue

Bonds, New Clean Renewable Energy Bonds, Series 2010C(k)

7.334%

02/15/2028

N/A

5,965,050

1,950,000

Cuyahoga County, Ohio, Hospital Revenue Bonds, The Metrohealth System,

Build America Bonds, Taxable, Series 2009B(a) (k)

A–

8.223%

02/15/2040

N/A

2,187,179

2,500,000

Madison Local School District, Richland County, Ohio, School Improvement,

Taxable Build America Bonds, Series 2010A,(a) (k)

6.900%

12/01/2034

12/01/20 @ 100

2,585,550

2,500,000

Madison Local School District, Richland County, Ohio, School Improvement,

Taxable Build America Bonds, Series 2010A,(a) (k)

7.150%

12/01/2039

12/01/20 @ 100

2,580,550

2,500,000

Madison Local School District, Richland County, Ohio, School Improvement,

Taxable Build America Bonds, Series 2010A,(a) (k)

7.300%

12/01/2043

12/01/20 @ 100

2,580,125

2,500,000

Madison Local School District, Richland County, Ohio, School Improvement,

Taxable Qualified School Construction Bonds, Series 2010B(k)

6.650%

12/01/2029

12/01/20 @ 100

2,665,750

1,230,000

Toronto City School District, Ohio, Qualified School Construction Bonds

General Obligation Bonds(k)

7.000%

12/01/2028

12/01/20 @ 100

1,291,721

19,855,925

Pennsylvania – 4.2%

4,865,000

Lebanon, Pennsylvania, Sewer Revenue Bonds, Taxable Build America Bonds,

Series B of 2010(a) (k)

A+

7.140%

12/15/2035

06/15/20 @ 100

5,126,542

7,500,000

Pittsburgh, Pennsylvania, School District, Taxable Qualified School Construction

Bonds, Series D(k)

6.850%

09/01/2029

N/A

8,497,800

2,500,000

School District of Philadelphia, Pennsylvania, General Obligation Bonds, Series

2011A, Qualified School Construction Bonds - (Federally Taxable - Direct Subsidy)(k)

A+

5.995%

09/01/2030

N/A

2,491,725

16,116,067

South Carolina – 1.4%

5,000,000

Horry County, South Carolina, Taxable Airport Revenue Bonds, Recovery Zone

Economic Development Bonds, Series 2010B(k) (l)

A–

7.328%

07/01/2040

N/A

5,337,600

South Dakota – 1.0%

3,490,000

Pierre, South Dakota, Taxable Electric Revenue Bonds, Recovery Zone Economic

Development Bonds, Series 2010C(k)

7.500%

12/15/2040

12/15/19 @ 100

3,684,917

Texas – 6.1%

10,000,000

Dallas, Texas, Convention Center Hotel Development Corporation, Hotel

Revenue Bonds, Taxable Build America Bonds, Series 2009B(a) (k)

A+

7.088%

01/01/2042

N/A

11,564,500

10,000,000

El Paso, Texas, Combination Tax and Revenue Certification of Obligation,

Taxable Build America Bonds, Series 2010B(a)

6.700%

08/15/2036

08/15/20 @ 100

11,523,800

23,088,300

Vermont – 2.7%

2,155,000

Vermont State Colleges, Revenue Bonds, Taxable Build America Bonds,

Series 2010B,(a) (k)

A+

6.101%

07/01/2025

07/01/20 @ 100

2,236,631

7,500,000

Vermont State Colleges, Revenue Bonds, Taxable Build America Bonds,

Series 2010B(a) (k)

A+

7.211%

07/01/2040

07/01/20 @ 100

8,000,475

10,237,106

See notes to financial statements.

12 l GBAB l GUGGENHEIM BUILD AMERICA BONDS MANAGED DURATION TRUST SEMIANNUAL REPORT

PORTFOLIO OF INVESTMENTS (Unaudited) continued

November 30, 2013

Principal

Optional Call

Amount

Description

Rating *

Coupon

Maturity

Provisions**

Value

Washington – 9.5%

5,000,000

Anacortes, Washington, Utility System Improvement Revenue Bonds, Build

America Bonds, Series 2010B(a) (k)

AA–

6.479%

12/01/2030

12/01/20 @ 100

5,308,700

2,000,000

Auburn, Washington, Utility System Revenue Bonds, Taxable Build America

Bonds, Series 2010B(a) (k)

6.396%

12/01/2030

12/01/20 @ 100

2,156,140

5,000,000

Central Washington University, System Revenue Bonds, 2010, Taxable Build

America Bonds, Series B(a) (k)

6.500%

05/01/2030

N/A

5,221,350

5,800,000

Public Hospital District No. 1, King County, Washington, Valley Medical

Center, Hospital Facilities Revenue Bonds, Series 2010B(k)

BBB+

8.000%

06/15/2040

06/15/20 @ 100

6,184,424

5,000,000

Washington State Convention Center Public Facilities District, Lodging Tax

Bonds, Taxable Build America Bonds, Series 2010B(a)

A+

6.790%

07/01/2040

N/A

5,432,300

3,325,000

Washington State University, Housing and Dining System Revenue Bonds,

Taxable Build America Bonds, Series 2010B(a) (k)

A+

7.099%

04/01/2032

N/A

3,829,935

6,675,000

Washington State University, Housing and Dining System Revenue Bonds,

Taxable Build America Bonds, Series 2010B(a) (k)

A+

7.399%

04/01/2041

N/A

7,829,708

35,962,557

West Virginia – 3.3%

10,000,000

State of West Virginia, Higher Education Policy Commission, Revenue Bonds,

Federally Taxable Build America Bonds 2010, Series B(a)

A+

7.650%

04/01/2040

N/A

12,525,300

Total Municipal Bonds – 111.4%

(Cost $383,968,462)

423,258,337

Corporate Bonds – 6.7%

Advertising – 0.1%

375,000

Sitel, LLC / Sitel Finance Corp.(b) (k)

11.000%

08/01/2017

08/01/14 @ 106

404,062

Airlines – 1.0%

112,939

Atlas Air 1999-1 Pass-Through Trust, Series 1999-1, Class A-1(k) (l)

7.200%

1/2/19

N/A

120,280

1,641,422

Atlas Air 2000-1 Class A Pass Through Trust, Series 2000-1, Class A(k) (l)

8.707%

1/2/19

N/A

1,748,114

2,000,000

Delta Air Lines 2011-1 Class B Pass-Through Trust, Series 2011-1, Class B(k)

BB+

7.125%

10/15/14

N/A

2,040,000

3,908,394

Banks – 0.5%

1,700,000

Barclays PLC (United Kingdom)(d) (h)

B+

8.250%

–

12/15/18 @ 100

1,754,400

Chemicals – 0.1%

350,000

TPC Group, Inc.(b) (k)

8.750%

12/15/2020

12/15/16 @ 104

369,688

Coal – 0.1%

200,000

Penn Virginia Resource Partners, LP / Penn Virginia Resource Finance Corp. II(k)

B–

8.375%

06/01/2020

06/01/16 @ 104

221,000

Commercial Services – 0.1%

200,000

ADT Corp.(b)

BB–

6.250%

10/15/2021

N/A

208,750

2,000

RR Donnelley & Sons Co.

BB–

6.500%

11/15/2023

N/A

1,995

60,000

ServiceMaster Co.

CCC+

7.000%

08/15/2020

08/15/15 @ 105

57,375

268,120

Distribution & Wholesale – 0.2%

300,000

INTCOMEX, Inc.(k)

CCC

13.250%

12/15/2014

01/03/14 @ 100

291,000

Diversified Financial Services – 0.1%

125,000

Jefferies Finance, LLC / JFIN Co-Issuer Corp.(b) (k)

B+

7.375%

04/01/2020

04/01/16 @ 106

129,531

200,000

Jefferies Group, Inc.(k)

BBB

6.875%

04/15/2021

N/A

226,000

60,000

KCG Holdings, Inc.(b)

8.250%

06/15/2018

06/15/15 @ 104

61,725

31,200

LCP Dakota Fund, Series VI-P(k) (l)

10.000%

08/17/2015

N/A

31,200

140,000

Nationstar Mortgage, LLC / Nationstar Capital Corp.(k)

B+

9.625%

05/01/2019

05/01/15 @ 107

157,500

605,956

See notes to financial statements.
	GBAB l GUGGENHEIM BUILD AMERICA BONDS MANAGED DURATION TRUST SEMIANNUAL REPORT l 13

PORTFOLIO OF INVESTMENTS (Unaudited) continued

November 30, 2013

Principal

Optional Call

Amount

Description

Rating *

Coupon

Maturity

Provisions**

Value

Engineering & Construction – 0.6%

2,246,576

Alion Science and Technology Corp.(c)

B–

12.000%

11/01/2014

04/01/14 @ 100

2,297,124

Entertainment – 0.5%

1,600,000

Diamond Resorts Corp.(k)

B–

12.000%

08/15/2018

08/15/14 @ 106

1,776,000

Food – 0.0%***

100,000

KeHE Distributors, LLC / KeHE Finance Corp.(b)

7.625%

08/15/2021

08/15/17 @ 104

104,500

Health Care Services – 0.0%***

150,000

Symbion, Inc.(k)

8.000%

06/15/2016

06/15/14 @ 104

159,187

Healthcare-Services – 0.4%

1,500,000

Tufts Medical Center, Inc.

BBB

7.000%

01/01/2038

N/A

1,450,583

Internet – 0.8%

3,000,000

GXS Worldwide, Inc.(k)

9.750%

06/15/2015

06/15/14 @ 100

3,112,800

Leisure Time – 0.0%

75,000

Sabre, Inc.(b) (k)

8.500%

05/15/2019

05/15/15 @ 106

82,969

Machinery-Diversified – 0.1%

250,000

Tempel Steel Co.(b) (k)

B–

12.000%

08/15/2016

08/15/14 @ 106

241,250

Media – 0.0%***

485,000

Baker & Taylor Acquisitions Corp.(b) (k)

CCC

15.000%

04/01/2017

10/01/14 @ 108

413,462

200,000

Expo Event Transco, Inc.(b)

B–

9.000%

06/15/2021

06/15/16 @ 105

202,500

615,962

Mining – 0.1%

400,000

Midwest Vanadium Pty. Ltd. (Australia)(b) (k)

CCC

11.500%

02/15/2018

02/15/15 @ 106

332,000

150,000

Mirabela Nickel Ltd. (Australia)(b) (k) (l) (m)

8.750%

04/15/2018

04/15/15 @ 104

36,000

368,000

Oil & Gas – 0.3%

750,000

Midstates Petroleum Co., Inc. / Midstates Petroleum Co., LLC(k)

B–

10.750%

10/01/2020

10/01/16 @ 105

817,500

200,000

Summit Midstream Holdings, LLC / Summit Midstream Finance Corp.(b)

7.500%

07/01/2021

07/01/16 @ 106

209,000

1,026,500

Oil & Gas Services – 0.1%

200,000

Exterran Holdings, Inc.(k)

7.250%

12/01/2018

12/01/14 @ 104

211,500

Packaging & Containers – 0.1%

300,000

Pretium Packaging, LLC / Pretium Finance, Inc.(k)

B–

11.500%

04/01/2016

04/01/14 @ 106

320,250

Pharmaceuticals – 0.0%***

180,000

Valeant Pharmaceuticals International (Canada)(b)

6.750%

08/15/2018

08/15/15 @ 105

198,225

Real Estate Investment Trusts – 0.2%

750,000

Columbia Property Trust Operating Partnership, LP(k)

BBB–

5.875%

04/01/2018

N/A

788,944

Retail – 0.4%

150,000

Checkers Drive-In Restaurants, Inc.(b) (k)

B–

11.000%

12/01/2017

06/01/15 @ 108

166,875

980,000

GRD Holdings III Corp.(b) (k)

10.750%

06/01/2019

06/01/15 @ 108

1,068,200

125,000

Wok Acquisition Corp.(b) (k)

CCC

10.250%

06/30/2020

06/30/16 @ 105

135,000

1,370,075

Software – 0.2%

290,000

Aspect Software, Inc.(k)

CCC+

10.625%

05/15/2017

05/15/14 @ 105

296,525

200,000

Eagle Midco, Inc.(b) (f)

CCC+

9.000%

06/15/2018

12/15/14 @ 102

205,000

400,000

Infor US, Inc.(k)

B–

11.500%

07/15/2018

07/15/15 @ 106

462,000

963,525

See notes to financial statements.

14 l GBAB l GUGGENHEIM BUILD AMERICA BONDS MANAGED DURATION TRUST SEMIANNUAL REPORT

PORTFOLIO OF INVESTMENTS (Unaudited) continued

November 30, 2013

Principal

Optional Call

Amount

Description

Rating *

Coupon

Maturity

Provisions**

Value

Textiles – 0.0%***

140,000

Empire Today, LLC / Empire Today Finance Corp.(b)

B–

11.375%

02/01/2017

02/01/15 @ 103

138,950

Transportation – 0.7%

39,340

Atlas Air, Inc.(b) (k) (l)

8.707%

1/2/19

N/A

41,897

985,000

CEVA Group PLC (United Kingdom)(b) (k)

CCC+

8.375%

12/01/2017

12/01/14 @ 104

1,034,250

1,385,000

Marquette Transportation Co., LLC / Marquette Transportation Finance Corp.(k)

B–

10.875%

01/15/2017

01/15/14 @ 105

1,468,100

2,544,247

Total Corporate Bonds – 6.7%

(Cost $24,662,108)

25,593,211

Asset Backed Securities – 5.6%

Automobile – 0.0%***

23,331

Bush Truck Leasing, LLC, Series 2011-AA, Class C(b) (k)

5.000%

09/25/2018

N/A

23,219

Collateralized Debt Obligation – 1.6%

178,600

Cedarwoods, Series 2006-1A, Class A1(i)

AAA

0.435%

07/25/2051

N/A

144,410

73,041

Diversified Asset Securitization Holdings II LP, Series 1X, Class A1L

(Cayman Islands)(d)

BBB+

0.744%

09/15/2035

N/A

69,753

15,750

G-Star 2003-3 Ltd., Series 2003-A, Class A1 (Cayman Islands)(b) (d) (k)

BBB–

0.816%

03/13/2038

N/A

15,625

159,679

Highland Park CDO I Ltd., Series 2006-1A, Class A1 (Cayman Islands)(b) (d) (k)

B+

0.568%

11/25/2051

N/A

138,068

66,396

Independence I CDO Ltd., Series 1A, Class A (Cayman Islands)(b) (d) (k)

BB+

0.667%

12/30/2030

N/A

65,791

1,000,000

N-Star REL CDO VIII Ltd.(b) (d) (k)

0.529%

02/01/2041

N/A

774,763

4,110,636

Putnam Structured Product, Series 2003-1A, Class A1LB(b) (d) (k)

CCC

0.617%

10/15/2038

N/A

3,818,954

573,308

Putnam Structured Product CDO, Series 2002-1A, Class A2 (Cayman

Islands)(b) (d) (k)

CCC+

0.849%

01/10/2038

N/A

504,542

754,647

SRERS Funding Ltd., Series 2011-RS, Class A1B1 (Cayman Islands)(b) (d)

Baa3

0.418%

05/09/2046

N/A

678,982

6,210,888

Collateralized Loan Obligation – 2.1%

250,000

Ares XXV CLO Ltd., Series 2012-3A (Cayman Islands)(b) (g) (k)

0.000%

01/17/2024

N/A

202,050

250,000

ARES XXVI CLO Ltd., Series 2013-1A (Cayman Islands)(b) (g) (i) (k)

0.000%

04/15/2025

N/A

195,000

250,000

Atlas Senior Loan Fund II Ltd., Series 2012-2A (Cayman Islands)(b) (g) (i) (k)

0.000%

01/30/2024

N/A

223,844

100,000

BlackRock Senior Income Series Corp., Series 2004-1A (Cayman Islands)(b) (g)

0.000%

09/15/2016

N/A

9,750

250,000

Carlyle Global Market Strategies CLO 2012-3 Ltd., Series 2012-3A (Cayman

Islands)(b) (g) (k)

0.000%

10/14/2024

N/A

240,850

250,000

Cerberus Offshore Levered I LP, Series 2012-1A, Class C (Cayman

Islands)(b) (d) (k)

6.243%

11/30/2018

N/A

249,520

2,000,000

Churchill Financial Cayman Ltd., Series 2007-1A, Class C (Cayman

Islands)(b) (d) (k)

A+

1.494%

07/10/2019

N/A

1,842,943

1,000,000

Churchill Financial Cayman Ltd., Series 2007-1A, Class D1 (Cayman

Islands)(b) (d) (k)

BBB+

2.844%

07/10/2019

N/A

904,531

1,000,000

Churchill Financial Cayman Ltd., Series 2007-1A, Class D2 (Cayman

Islands)(b) (d) (k)

BBB+

8.370%

07/10/2019

N/A

1,008,329

300,000

Cratos CLO Ltd., Series 2007-1A, Class C (Cayman Islands)(b) (d) (k)

AA+

1.338%

05/19/2021

N/A

284,244

250,000

Divcore CLO Ltd., Series 2013-1A, Class B(d)

Baa3

4.100%

11/15/2032

N/A

249,081

550,000

Eastland CLO Ltd., Series 2007-1A, Class A2B (Cayman Islands)(b) (d) (k)

AA+

0.572%

05/01/2022

N/A

506,420

215,919

Emporia Preferred Funding I Corp., Series 2005-1A, Class C (Cayman

Islands)(b) (d) (k)

AAA

1.194%

10/12/2018

N/A

214,645

250,000

Finn Square CLO Ltd., Series 2012-1A (Cayman Islands)(b) (g)

0.000%

12/24/23

N/A

232,850

250,000

Great Lakes CLO 2012-1 Ltd., Series 2012-1A (Cayman Islands)(b) (g) (k)

0.000%

01/15/2023

N/A

231,693

200,000

Katonah IX CLO Ltd., Series 2006-9A, Class A3L (Cayman Islands)(b) (d) (k)

A+

0.958%

01/25/2019

N/A

186,264

500,000

KKR CLO Trust, Series 2007-1A, Class D (Cayman Islands)(b) (d) (k)

2.491%

05/15/2021

N/A

479,030

See notes to financial statements.
	GBAB l GUGGENHEIM BUILD AMERICA BONDS MANAGED DURATION TRUST SEMIANNUAL REPORT l 15

PORTFOLIO OF INVESTMENTS (Unaudited) continued

November 30, 2013

Principal

Optional Call

Amount

Description

Rating *

Coupon

Maturity

Provisions**

Value

Collateralized Loan Obligation (continued)

250,000

Newstar Commercial Loan Funding 2013-1, LLC(b) (d)

BBB

4.951%

09/20/2023

N/A

250,017

200,000

Summit Lake CLO Ltd., Series 2005-1A, Class C1A(b) (g)

0.000%

02/24/2018

N/A

69,798

250,000

T2 Income Fund CLO Ltd., Series 2007-1A, Class D (Cayman

Islands)(b) (d) (k)

A+

2.994%

07/15/2019

N/A

240,271

7,821,130

Commercial Receivables – 0.0%***

3,905

Leaf Receivables Funding 5, LLC, Series 2010-4, Class D(b) (k)

5.000%

01/20/2019

12/20/13 @ 100

3,864

Credit Card – 0.1%

245,154

Credit Card Pass-Through Trust 2012-BIZ, Series 2012-Biz A(b) (g) (h) (k)

CCC

0.000%

–

N/A

200,313

Insurance – 0.0%***

80,650

Insurance Note Capital VII, Series 2005-1R1A(b) (d) (k)

A–

0.489%

06/09/2033

N/A

75,005

Media – 0.9%

1,300,000

Adams Outdoor Advertising, LP, Series 2010-1, Class B(b) (k)

BBB

8.836%

12/20/2040

N/A

1,415,394

1,825,000

Adams Outdoor Advertising, LP, Series 2010-1, Class C(b) (k)

10.756%

12/20/2040

N/A

2,031,530

3,446,924

Other ABS – 0.5%

262,180

Aircraft Certificate Owner Trust, Series 2003-1A, Class D(b) (k) (l)

BBB

6.455%

09/20/2022

N/A

263,285

322,249

Bristol Bay Funding Ltd., Series 2004-1A, Class A2(b) (d)

AA+

1.242%

02/01/2016

N/A

319,027

1,097,389

Gramercy Real Estate CDO 2007-1 Ltd., Class A1(b) (d)

0.521%

08/15/2056

N/A

866,619

667,294

West Coast Funding Ltd., Series 2006-1A, Class A1A(b) (d)

Caa3

0.389%

11/02/2041

N/A

643,581

2,092,512

Transportation – 0.4%

11,885

Castle Trust, Series 2003-1AW, Class A1(b) (d) (k)

0.917%

05/15/2027

N/A

10,815

159,103

Raspro Trust, Series 2005-1A, Class G(b) (d) (k)

0.645%

03/23/2024

N/A

147,965

1,278,781

Vega Containervessel PLC, Series 2006-1A, Class A(b) (k)

Ba3

5.562%

02/10/2021

N/A

1,241,652

1,400,432

Total Asset Backed Securities – 5.6%

(Cost $20,268,959)

21,274,287

Collateralized Mortgage Obligations– 0.7%

Commercial Mortgage Backed Security – Traditional – 0.5%

2,000,000

GS Mortgage Securities Corp. II Trust 2007-EOP, Series 2007-EOP,

Class H(b) (d) (k)

BBB–

3.300%

03/06/2020

N/A

2,005,000

Residential Mortgage Backed Security – 0.2%

781,905

Nomura Resecuritization Trust, Series 2012-1R, Class A(b) (d) (k)

0.604%

08/27/2047

N/A

719,353

Total Collateralized Mortgage Obligations – 0.7%

(Cost $2,557,904)

2,724,353

Term Loans – 4.9%(e)

Aerospace & Defense – 0.2%

900,000

Nana Development

B+

8.000%

03/15/2018

N/A

913,500

Automotive – 0.1%

40,000

Fleetpride

CCC+

9.250%

05/15/2020

N/A

38,200

236,111

Navistar, Inc.

5.750%

08/17/2017

N/A

240,391

278,591

Consumer Products – 0.1%

330,469

Targus Group International, Inc.

12.000%

05/24/2016

N/A

285,135

85,583

Totes Isotoner Corp.

7.252%

07/07/2017

N/A

86,118

371,253

See notes to financial statements.

16 l GBAB l GUGGENHEIM BUILD AMERICA BONDS MANAGED DURATION TRUST SEMIANNUAL REPORT

PORTFOLIO OF INVESTMENTS (Unaudited) continued

November 30, 2013

	Principal					Optional Call
	Amount	Description	Rating *	Coupon	Maturity	Provisions**		Value
		Consumer Services – 0.4%
$	96,250	Edmentum, Inc.	BB–	6.000%	05/17/2018	N/A	$	96,906
	447,124	Endurance International Group	B	5.000%	11/09/2019	N/A		450,198
	93,750	Nab Holdings First Lien	BB+	7.000%	04/24/2018	N/A		94,395
	214,915	Patheon, Inc. - 1st Lien	B+	7.250%	12/14/2018	N/A		217,602
	182,576	Sutherland Global Cayman Tranche	BB–	7.250%	03/06/2019	N/A		183,032
	404,275	Sutherland Global U.S. Tranche	B	7.250%	03/06/2019	N/A		405,286
								1,447,419

		Diversified Manufacturing – 0.1%
	415,800	CPM Acquisition Corp.	B+	6.250%	08/29/2017	N/A		417,879

		Electric – 0.0%***
	98,750	Astoria Generating Co. Acquisitions	B	8.500%	10/26/2017	N/A		101,713

		Energy-Alternate Sources – 0.1%
	150,000	Atlas Energy, LP	B	6.500%	07/31/2019	N/A		153,750

		Entertainment – 0.0%***
	73,800	CKX Entertainment, Inc.(l)	B+	9.000%	06/21/2017	N/A		67,158

		Food & Beverage – 0.0%***
	35,000	Hostess Brands, Inc.	B–	6.750%	04/09/2020	N/A		36,116

		Health Care – 0.4%
	249,375	Apria Healthcare	BB–	6.750%	04/06/2020	N/A		250,829
	1,120,066	Merge Healthcare Inc. (l)	CCC	6.000%	04/23/2019	N/A		1,075,263
								1,326,092

		Insurance – 0.1%
	100,000	Cetera Financial Group, Lien 1	B+	6.500%	08/07/2019	N/A		101,000
	222,828	Confie Seguros	B–	6.500%	11/09/2018	N/A		223,664
	155,909	Cunningham	B–	9.250%	06/10/2020	N/A		155,714
								480,378

		Media – 0.1%
	119,372	Cengage Learning Acquisitions, Inc. (Thomson Learning)	D	0.000%	07/03/2014	N/A		90,325
	109,446	Cengage Learning Acquisitions, Inc. (Thomson Learning)	D	0.000%	07/31/2017	N/A		82,996
	223,125	Mitel US Holdings First Lien	B+	7.000%	02/27/2019	N/A		223,125
								396,446

		Oil Field Services – 0.3%
	225,205	Equipower Resources Holdings, LLC	BB	4.250%	12/21/2018	N/A		226,682
	399,000	Ocean RIG ASA	B+	5.500%	07/15/2016	N/A		404,654
	99,500	Rice Energy	CCC+	8.500%	10/25/2018	N/A		101,739
	198,500	Shelf Drilling Holdings Ltd.	B+	6.250%	05/31/2018	N/A		199,492
	195,500	Varel International Energy Funding Corp.	B	9.250%	07/17/2017	N/A		200,388
								1,132,955

		Other Finance – 0.4%
	917,986	Ceridian Corp.	B–	4.416%	05/09/2017	N/A		923,838
	199,000	First Advantage	B	6.250%	02/28/2019	N/A		199,373
	62,617	Knight/Getco, 1st Lien	BB–	5.750%	11/30/2017	N/A		63,008
								1,186,219

		Other Financial Institution – 0.5%
	2,000,000	AP Alternative Assets LP (l)	BB	6.677%	12/21/2015	N/A		2,005,000

See notes to financial statements.
	GBAB l GUGGENHEIM BUILD AMERICA BONDS MANAGED DURATION TRUST SEMIANNUAL REPORT l 17

PORTFOLIO OF INVESTMENTS (Unaudited) continued

November 30, 2013

	Principal					Optional Call
	Amount	Description	Rating *	Coupon	Maturity	Provisions**		Value
		Other Industrials – 0.1%
$	99,500	Hunter Fan Company 1st Lien	B+	6.500%	12/20/2017	N/A	$	99,707
	248,750	Sirva Worldwide, Inc.	B	7.500%	03/27/2019	N/A		254,347
								354,054

		Retail – 0.3%
	81,233	Container Store, Lien 1	B	4.250%	04/06/2019	N/A		81,672
	987,500	HD Supply	B+	4.500%	10/12/2017	N/A		995,030
								1,076,702

		Technology – 1.0%
	99,250	Ascensus, Inc.	B	8.000%	12/21/2018	N/A		101,235
	297,500	Aspect Software, Inc.	B	7.000%	05/07/2016	N/A		298,763
	650,000	Greenway Medical Tech	B+	6.000%	11/04/2020	N/A		650,000
	396,000	IPC Information Systems, Inc.	B–	7.750%	07/31/2017	N/A		393,772
	100,000	Misys PLC 2nd Lien	CCC+	12.000%	06/12/2019	N/A		115,375
	987,464	Misys PLC First Lien	B+	5.000%	12/12/2018	N/A		994,253
	1,128,621	Paradigm, Ltd. - First Lien(l)	B+	4.750%	07/30/2019	N/A		1,124,863
	19,750	Sophos TLB - Lien 1	B+	6.500%	05/10/2019	N/A		19,849
								3,698,110

		Transportation – 0.3%
	577,500	Evergreen Tank Solutions, Inc.	B–	9.500%	09/28/2018	N/A		576,056
	119,273	Global Aviation Holdings, Inc.(i) (l) (m)	NR	10.000%	07/13/2017	N/A		–
	38,602	Global Aviation Holdings, Inc.(i) (l) (m)	NR	3.000%	02/13/2018	N/A		–
	198,004	Sabre, Inc.	B	5.250%	02/19/2019	N/A		199,598
	399,000	US Shipping Corp.	B	9.000%	04/30/2018	N/A		410,970
	129,675	Travelport Holdings Ltd.	B	6.250%	06/26/2019	N/A		132,767
	204,108	Travelport Holdings, LTD 2nd Lien	CCC+	4.000%	12/01/2016	N/A		208,276
								1,527,667

		Wireless – 0.1%
	493,750	Zayo Group LLC	B	4.500%	07/02/2019	N/A		494,619

		Wirelines – 0.3%
	691,322	Avaya, Inc.	B	4.762%	10/26/2017	N/A		663,766
	346,971	Avaya, Inc.	B	8.000%	03/31/2018	N/A		346,366
								1,010,132

		Total Term Loans – 4.9%
		(Cost $18,340,461)						18,475,753

	Number
	of Shares	Description						Value
		Common Stock – 0.0%***
		Airlines – 0.0%***
	6,232	Global Aviation Holdings, Inc.(i) (j) (k) (l)						1
		(Cost $0)

		Preferred Stocks – 2.0%
		Diversified Financial Services – 0.6%
	1,900	Falcons Funding Trust I(b) (d) (k)						1,955,931
	475	GSC Partners CDO Fund Ltd./GSC Partners CDO Fund Corp.
		(Cayman Islands)(b) (d)						198,121
	200,000	WhiteHorse II Ltd., Series 2005-2A (Cayman Islands)(b) (d) (k)						112,000
								2,266,052

See notes to financial statements.

18 l GBAB l GUGGENHEIM BUILD AMERICA BONDS MANAGED DURATION TRUST SEMIANNUAL REPORT

PORTFOLIO OF INVESTMENTS (Unaudited) continued

November 30, 2013

Number

of Shares

Description

Value

Transportation – 1.4%

200,000

Seaspan Corp., Series C (Marshall Islands)(k)

9.500%

–

5,328,000

Total Preferred Stocks – 2.0%

(Cost $7,201,500)

7,594,052

Close End Fund – 0.3%

50,618

BlackRock Build America Bond Trust

931,877

(Cost $930,410)

Warrants – 0.0%***

Engineering & Construction – 0.0%***

1,550

Alion Science and Technology Corp.(i) (j) (l)

03/15/2017

–

(Cost $16)

Total Long-Term Investments – 131.6%

(Cost $457,929,820)

499,851,871

Short-Term Investments – 0.2%

Principal

Optional Call

Amount

Description

Rating *

Coupon

Maturity

Provisions**

Value

Municipal Bond – 0.2%

Michigan – 0.2%

1,000,000

Michigan Finance Authority, State Aid Revenue Notes, School District of the City of Detroit, Series 2013C(k)

SP-1

4.375%

08/20/2014

N/A

1,003,560

(Cost $1,000,000)

Total Investments – 131.8%

(Cost $458,929,820)

500,855,431

Other Assets in excess of Liabilities – 2.6%

9,911,812

Borrowings – (10.5%)

(39,963,936

)

Reverse Repurchase Agreements – (23.9%)

(90,906,742

)

Net Assets – 100.0%

379,896,565

AGM – Insured by Assured Guaranty Municipal Corporation

ASA – Stock Company

CDO – Collateralized Debt Obligation

CLO – Collateralized Loan Obligation

LLC – Limited Liability Company

LP – Limited Partnership

N/A – Not Applicable

PLC – Public Limited Company

Pty – Proprietary

*	Ratings shown are per Standard & Poor’s Rating Group, Moody’s Investor Services, Inc. or Fitch Ratings. Securities classified as NR are not rated. (For securities not rated by Standard & Poor’s Rating Group, the rating by Moody’s Investor Services, Inc. is provided. Likewise, for securities not rated by Standard & Poor’s Rating Group and Moody’s Investor Services, Inc., the rating by Fitch Ratings is provided.) All ratings are unaudited. The ratings apply to the credit worthiness of the issuers of the underlying securities and not to the Trust or its shares.

**	Date and price of the earliest optional call or put provision. There may be other call provisions at varying prices at later dates.

***	Less than 0.1%.

(a)	Taxable municipal bond issued as part of the Build America Bond program.

(b)	Securities are exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At November 30, 2013 these securities amounted to $31,585,282, which represents 8.3% of net assets.

(c)	The issuer of this security will accrue interest on the secured note at a rate of 12% annum and will make interest payments as follows: (1) 10% in cash and (2) 2% in-kind shares of the secured note.

(d)	Floating or variable rate coupon. The rate shown is as of November 30, 2013.

See notes to financial statements.
	GBAB l GUGGENHEIM BUILD AMERICA BONDS MANAGED DURATION TRUST SEMIANNUAL REPORT l 19

PORTFOLIO OF INVESTMENTS (Unaudited) continued

November 30, 2013

(e)	Term loans held by the Trust have a variable interest rate feature which is periodically adjusted based on an underlying interest rate benchmark. In addition, term loans may include mandatory and/or optional prepayment terms. As a result, the actual maturity dates of the loan may be different than the amounts disclosed in the portfolios of investments. Term loans may be considered restricted in that the Trust may be contractually obligated to secure approval from the Agent Bank and/or Borrower prior to the sale or disposition of loan.

(f)	Pay-in-kind toggle note.

(g)	Security had no stated coupon. However, it is expected to receive residual cash flow payments on deal defined payment dates.

(h)	Security is perpetual and, thus does not have a predetermined maturity date.

(i)	Security is valued in accordance with Fair Valuation procedures established in good faith by management and approved by the Board of Trustees. The total market value of such securities is $563,255, representing 0.1% in net assets.

(j)	Non-income producing security.

(k)	All or a portion of these securities have been physically segregated in connection with borrowings, reverse repurchase agreements, and unfunded loan commitments. As of November 30, 2013, the total amount segregated was $252,928,587.

(l)	Illiquid security.

(m)	Non-income producing as security is in default.

See notes to financial statements.

20 l GBAB l GUGGENHEIM BUILD AMERICA BONDS MANAGED DURATION TRUST SEMIANNUAL REPORT

STATEMENT OF ASSETS AND LIABILITIES (Unaudited)

November 30, 2013

Assets
Investments in securities, at value (cost $458,929,820)	$	500,855,431
Interest receivable		9,180,661
Cash		1,344,712
Receivable for securities sold		776,437
Other assets		21,553
Total assets		512,178,794
Liabilities
Reverse repurchase agreements		90,906,742
Borrowings		39,963,936
Payable for securities purchased		629,813
Advisory fee payable		250,787
Excise tax payable		250,000
Interest due on borrowings		70,773
Administrative fee payable		9,534
Accrued expenses and other liabilities		200,644
Total liabilities		132,282,229
Net Assets	$	379,896,565
Composition of Net Assets
Common stock, $.01 par value per share; unlimited number of shares authorized, 17,413,674 shares issued and outstanding	$	174,137
Additional paid-in capital		331,422,142
Undistributed net investment income		4,654,299
Accumulated net realized gain on investments		1,720,376
Net unrealized appreciation on investments and unfunded commitments		41,925,611
Net Assets	$	379,896,565
Net Asset Value (based on 17,413,674 common shares outstanding)	$	21.82

See notes to financial statements.
	GBAB l GUGGENHEIM BUILD AMERICA BONDS MANAGED DURATION TRUST SEMIANNUAL REPORT l 21

STATEMENT OF OPERATIONS For the six months ended November 30, 2013 (Unaudited)

November 30, 2013

Investment Income
Interest	$	17,237,828
Total income			$	17,237,828
Expenses
Advisory fee		1,546,529
Interest expense		655,890
Excise tax expense		250,000
Professional fees		69,621
Trust accounting		64,113
Administrative fee		58,718
Trustees’ fees and expenses		40,638
Custodian fee		12,507
Printing expenses		36,691
NYSE listing fee		11,895
Insurance expense		6,954
Transfer agent fee		9,189
Miscellaneous		835
Total expenses				2,763,580
Net investment income				14,474,248
Realized and Unrealized Gain (Loss) on Investments and Unfunded Commitments
Net realized loss on:
Investments				(140,770	)
Net change in unrealized appreciation (depreciation) on:
Investments				(31,135,679	)
Unfunded commitments				3
Net realized and unrealized gain (loss) on investments and unfunded commitments				(31,276,446	)
Net Decrease in Net Assets Resulting from Operations			$	(16,802,198	)

See notes to financial statements.

22 l GBAB l GUGGENHEIM BUILD AMERICA BONDS MANAGED DURATION TRUST SEMIANNUAL REPORT

STATEMENT OF CHANGES IN NET ASSETS

November 30, 2013


		For the Six Months
		Ended			For the Year
		November 30, 2013			Ended
		(unaudited	)		May 31, 2013
Increase (Decrease) in Net Assets from Operations
Net investment income	$	14,474,248		$	28,865,070
Net realized gain (loss) on investments		(140,770	)		1,496,339
Net change in unrealized appreciation (depreciation) on investments and unfunded commitments		(31,135,676	)		(441,200	)
Net increase (decrease) in net assets resulting from operations		(16,802,198	)		29,920,209
Distributions to Common Shareholders
From net investment income		(14,436,284	)		(27,845,259	)
Capital Share Transactions
Reinvestment of dividends		0			100,013
Net increase from capital share transactions		0			100,013
Total increase (decrease) in net assets		(31,238,482	)		2,174,963
Net Assets
Beginning of period		411,135,047			408,960,084
End of period (including undistributed net investment income of $4,654,299 and $4,616,335, respectively)	$	379,896,565		$	411,135,047

See notes to financial statements.
	GBAB l GUGGENHEIM BUILD AMERICA BONDS MANAGED DURATION TRUST SEMIANNUAL REPORT l 23

STATEMENT OF CASH FLOWS For the six months ended November 30, 2013 (Unaudited)

November 30, 2013

Cash Flows from Operating Activities:
Net decrease in net assets resulting from operations	$	(16,802,198	)
Adjustments to Reconcile Net Decrease in Net Assets Resulting from Operations to
Net Cash Provided by Operating and Investing Activities:
Net depreciation appreciation on investments		31,135,679
Net unrealized appreciation on unfunded commitments		(3	)
Net realized loss on investments		140,770
Paydowns received		(586,850	)
Net accretion of bond discount and amortization of bond premium		(170,510	)
Purchase of long-term investments		(26,547,069	)
Proceeds from sale of long-term investments		27,673,906
Net sales of short-term investments		174,430
Decrease in interest receivable		71,577
Increase in receivable for securities sold		(173,692	)
Increase in other assets		(21,553	)
Decrease in payable for securities purchased		(205,541	)
Decrease in advisory fee payable		(29,645	)
Increase in excise tax payable		250,000
Decrease in interest due on borrowings		(63,723	)
Decrease in administration fee payable		(850	)
Decrease in accrued expenses and other liabilities		(38,858	)
Net Cash Provided by Operating and Investing Activities		14,805,870
Cash Flows From Financing Activities:
Distributions to common shareholders		(14,436,284	)
Increase in reverse repurchase agreements		5,128,360
Proceeds from borrowings		22,500,000
Payments made on borrowings		(26,750,000	)
Net Cash Used in Financing Activities		(13,557,924	)
Net increase in cash		1,247,946
Cash at Beginning of Period		96,766
Cash at End of Period	$	1,344,712
Supplemental Disclosure of Cash Flow Information: Cash paid during the period for interest	$	719,613

See notes to financial statements.

24 l GBAB l GUGGENHEIM BUILD AMERICA BONDS MANAGED DURATION TRUST SEMIANNUAL REPORT

FINANCIAL HIGHLIGHTS

November 30, 2013

	For the Six Months										For the Period
		Ended			For the Year			For the Year		October 28, 2010*
Per share operating performance	November 30, 2013				Ended			Ended			through
for a common share outstanding throughout the period		(unaudited	)		May 31, 2013			May 31, 2012			May 31, 2011
Net asset value, beginning of period	$	23.61		$	23.49		$	20.65		$	19.10	(a)
Income from investment operations
Net investment income (b)		0.83			1.63			1.59			0.68
Net realized and unrealized gain (loss) on investments and unfunded commitments		(1.79	)		0.09			2.74			1.50
Total from investment operations		(0.96	)		1.72			4.33			2.18
Common shares’ offering expenses charged to paid-in capital		—			—			—			(0.04	)
Distributions to Common Shareholders
From net investment income		(0.83	)		(1.60	)		(1.49	)		(0.59	)
Net asset value, end of period	$	21.82		$	23.61		$	23.49		$	20.65
Market value, end of period	$	19.19		$	22.70		$	22.46		$	19.54
Total investment return (c)
Net asset value		-4.04	%		7.48	%		21.64	%		11.34	%
Market value		-11.98	%		8.27	%		23.35	%		0.80	%
Ratios and supplemental data
Net assets, end of period (thousands)	$	379,897		$	411,135		$	408,960		$	359,444
Ratios to Average Net Assets applicable to Common Shares:
Total expenses, excluding interest expense		1.09	%(d)		1.02	%		1.04	%		0.91	%(d)
Total expenses, including interest expense		1.43	%(d)		1.38	%		1.36	%		1.05	%(d)
Net investment income, including interest expense		7.51	%(d)		6.90	%		7.33	%		6.00	%(d)
Portfolio turnover rate (e)		5	%		12	%		7	%		3	%
Senior Indebtedness:
Total Borrowings outstanding (in thousands)	$	130,871		$	129,992		$	125,542		$	104,906
Asset Coverage per $1,000 of indebtedness(f)	$	3,903		$	4,163		$	4,258		$	4,426

*	Commencement of investment operations.

(a)	Before deduction of offering expenses charged to capital.

(b)	Based on average shares outstanding during the period.

(c)	Total investment return is calculated assuming a purchase of a common share at the beginning of the period and a sale on the last day of the period reported either at net asset value (“NAV”) or market price per share. Dividends and distributions are assumed to be reinvested at NAV for NAV returns or the prices obtained under the Trust’s Dividend Reinvestment Plan for market value returns. Total investment return does not reflect brokerage commissions. A return calculated for a period of less than one year is not annualized.

(d)	Annualized.

(e)	Portfolio turnover is not annualized for periods of less than one year.

(f)	Calculated by subtracting the Trust’s total liabilities (not including borrowings) from the Trust’s total assets and dividing by the total borrowings.

See notes to financial statements.
	GBAB l GUGGENHEIM BUILD AMERICA BONDS MANAGED DURATION TRUST SEMIANNUAL REPORT l 25

NOTES TO FINANCIAL STATEMENTS (Unaudited)

November 30, 2013

Note 1 – Organization:

Guggenheim Build America Bonds Managed Duration Trust (the “Trust”) was organized as a Delaware statutory trust on June 30, 2010. The Trust is registered as a diversified closed-end management investment company under the Investment Company Act of 1940, as amended.

The Trust’s primary investment objective is to provide current income with a secondary objective of long-term capital appreciation. There can be no assurance that the Trust will achieve its investment objectives. The Trust’s investment objectives are considered fundamental and may not be changed without shareholder approval.

Note 2 – Accounting Policies:

The preparation of the financial statements in accordance with U.S. generally accepted accounting principles (“GAAP”) requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from these estimates.

The following is a summary of significant accounting policies consistently followed by the Trust.

(a) Valuation of Investments

The Trust values equity securities at the last reported sale price on the principal exchange or in the principal over-the-counter (“OTC”) market in which such securities are traded, as of the close of regular trading on the New York Stock Exchange (“NYSE”) on the day the securities are being valued or, if there are no sales, at the mean between the last available bid and ask prices on that day. Securities traded on NASDAQ are valued at the NASDAQ Official Closing Price. The Trust values debt securities (including municipal securities, asset-backed securities, collateralized mortgage obligations and term loans) at the last available bid price for such securities or, if such prices are not available, at prices for securities of comparable maturity, quality, and type. Short-term securities with remaining maturities of 60 days or less are valued at amortized cost, which approximates fair value.

For those securities where quotations or prices are not available, the valuations are determined in accordance with procedures established in good faith by management and approved by the Board of Trustees (“Trustees”). A valuation committee consisting of representatives from investment management, fund administration, legal and compliance is responsible for the oversight of the valuation process of the Trust and convenes monthly, or more frequently as needed. The valuation committee reviews monthly Level 3 fair valued securities methodology, price overrides, broker quoted securities, price source changes, illiquid securities, unchanged valuations, halted securities, price challenges, fair valued securities sold and back testing trade prices in relation to prior day closing prices. On a quarterly basis, the valuations and methodologies of all Level 3 fair valued securities are presented to the Trust’s Trustees.

Valuations in accordance with these procedures are intended to reflect each security’s (or asset’s) fair value. Such fair value is the amount that the Trust might reasonably expect to receive for the security (or asset) upon its current sale. Each such determination is based on a consideration of all relevant factors, which are likely to vary from one pricing context to another. Examples of such factors may include, but are not limited to: (i) the type of security, (ii) the initial cost of the security, (iii) the existence of any contractual restrictions on the security’s disposition, (iv) the price and extent of public trading in similar securities of the issuer or of comparable companies, (v) quotations or evaluated prices from broker-dealers and/or pricing services, (vi) information obtained from the issuer, analysts, and/or the appropriate stock exchange (for exchange traded securities), (vii) an analysis of the company’s financial statements, and (viii) an evaluation of the forces that influence the issuer and the market(s) in which the security is purchased and sold (e.g. the existence of pending merger activity, public offerings or tender offers that might affect the value of the security).

For fixed income securities, fair valuations may include input from Guggenheim Partners Investment Management, LLC (“GPIM”) utilizing a wide variety of market data including yields or prices of investments of comparable quality, type of issue, coupon, maturity, rating, indications of value from security dealers, evaluations of anticipated cash flows or collateral, spread over Treasuries, and other information and analysis. GPIM also uses third party service providers to model certain securities using cash flow models to represent a fair market value.

There are three different categories for valuations. Level 1 valuations are those based upon quoted prices in active markets. Level 2 valuations are those based upon quoted prices in inactive markets or based upon significant observable inputs (e.g. yield curves; benchmark interest rates; indices). Level 3 valuations are those based upon unobservable inputs (e.g. discounted cash flow analysis; non-market based methods used to determine fair valuation).

The Trust values Level 1 securities using readily available market quotations in active markets. Money Market Funds are valued at Net Asset Value. The Trust values Level 2 fixed income securities using independent pricing providers who employ matrix pricing models utilizing market prices, broker quotes and prices of securities with comparable maturities and qualities. The Trust values Level 2 equity securities using independent pricing providers who employ models using various observable market inputs. The fair value estimate for the Level 3 security in the Trust is determined in accordance with the Trust’s valuation procedures described above.

Transfers between valuation levels, if any, are in comparison to the valuation levels at the end of the previous fiscal year, and are effective using the fair value as of the end of the current fiscal period.

26 l GBAB l GUGGENHEIM BUILD AMERICA BONDS MANAGED DURATION TRUST SEMIANNUAL REPORT

NOTES TO FINANCIAL STATEMENTS (Unaudited) continued

November 30, 2013

The following table represents the Trust’s investments carried on the Statement of Assets and Liabilities by caption and by level within the fair value hierarchy as of November 30, 2013.

Description		Level 1		Level 2		Level 3			Total
(value in $000s)
Assets:
Municipal Bonds	$	—	$	424,262	$	—		$	424,262
Corporate Bonds		—		25,593		—			25,593
Asset Backed
Securities:
Automobile		—		23		—			23
Collateralized Debt
Obligations		—		6,066		145			6,211
Collateralized Loan
Obligations		—		7,402		419			7,821
Commercial Receivables		—		4		—			4
Credit Card		—		200		—			200
Insurance		—		75		—			75
Media		—		3,447		—			3,447
Other ABS		—		2,093		—			2,093
Transportation		—		1,400		—			1,400
Collateralized Mortgage
Obligations		—		2,724		—			2,724
Preferred Stock		7,594		—		—			7,594
Term Loans		—		18,476		—	*		18,476
Common Stock		—		—		—	*		—	*
Closed End Fund		932		—		—			932
Warrants		—		—		—	*		—	*
Total	$	8,526	$	491,765	$	564		$	500,855

*	Market value is less than minimum amount disclosed.

The transfers in and out of the valuation levels for the Fund as of the report date when compared to the valuation levels at the end of the previous fiscal year are detailed below:

A collateralized loan obligation, Atlas Senior Loan Fund II, LTD. in the amount of $223,844, transferred from Level 2 to Level 3 due to the lack of a timely third-party price.

Two term loans, Global Aviation Holdings Inc. in the amount of $0 each, transferred from Level 2 to Level 3 due to liquidity issues of the company and the lack of a third-party price. The following table presents the activity for the Trust’s investments measured at fair value using significant unobservable inputs (Level 3 valuations) for the six months ended November 30, 2013.

Level 3 holdings
(value in $000s)
Beginning Balance at May 31, 2013
Warrants	$	—	*
Common Stock		—	*
Collateralized Loan Obligations		207
Net Purchases
Collateralized Debt Obligations		154
Transfers In
Collateralized Loan Obligation		224
Term Loans		—	*
Realized Gain/Loss
Collateralized Debt Obligations		3
Paydowns Received
Collateralized Debt Obligation		(13	)
Change in unrealized gain/loss
Warrants		—
Common Stock		—
Collateralized Debt Obligation		1
Collateralized Loan Obligations		(12	)
Ending Balance at November 30, 2013
Warrants		—	*
Common Stock		—	*
Collateralized Debt Obligation		145
Collateralized Loan Obligations		419
Term Loans		—	*
Total Level 3 holdings	$	564

The following table summarizes valuation techniques and inputs used in determining the fair value of Guggenheim Build America Bonds Managed Duration Trust holdings categorized as Level 3 at November 30, 2013:

Value as of

Investments,

November 30,

Valuation

Unobservable

at value

2013

Technique

Inputs

Common Stock:

Airlines

Model Price

Unlisted Security

0.0001

Warrant:

Engineering

and Construction

Model Price

Unlisted Security

0.0000

Asset Backed

Securities:

Collateralized

Debt Obligation

144,410

Third-Party

Single Broker

Pricing Vendor

Quote

80.8567

Collateralized

Loan Obligation

195,000

Third-Party

Single Broker

Pricing Vendor

Quote

78.0000

Collateralized

Loan Obligation

223,844

Third-Party

Single Broker

Pricing Vendor

Quote

89.5376

Term Loans:

Transportation

Model Price

Unlisted Security

0.0000

A significant change in unobservable inputs would have the following impact to Level 3 valuations:

	Impact to Value	Impact to Value
Unobservable Input	if Input Increases	if Input Decreases
Unlisted Security	Increases	Decreases
Single Broker Quote	Increases	Decreases

GBAB l GUGGENHEIM BUILD AMERICA BONDS MANAGED DURATION TRUST SEMIANNUAL REPORT l 27

NOTES TO FINANCIAL STATEMENTS (Unaudited) continued

November 30, 2013

(b) Investment Transactions and Investment Income

Investment transactions are accounted for on the trade date. Realized gains and losses on investments are determined on the identified cost basis. Paydown gains and losses on mortgage and asset-backed securities are treated as an adjustment to interest income. For the six-months ended November 30, 2013, the Trust recognized an increase of interest income and a decrease of net realized gain of $586,850. This reclassification is reflected on the Statement of Operations and had no effect on the net asset value of the Trust. Dividend income is recorded net of applicable withholding taxes on the ex-dividend date and interest income is recorded on an accrual basis. Discounts or premiums on debt securities purchased are accreted or amortized to interest income over the lives of the respective securities using the effective interest method.

A swap is an agreement to exchange the return generated by one instrument for the return generated by another instrument. The Trust may enter into swap agreements to manage its exposure to interest rates or to manage the duration of its portfolio. The swaps are valued daily at current market value and any unrealized gain or loss is included in the Statement of Operations. The Trust accrues for the interim payments on swap contracts on a daily basis, with the net amount recorded within unrealized appreciation/depreciation of swap contracts on the Statement of Assets and Liabilities. Once the interim payments are settled in cash, the net amount is recorded as realized gain/loss on swaps, in addition to realized gain/loss recorded upon the termination of swap contracts on the Statement of Operations. During the period that the swap agreement is open, the Trust may be subject to risk from the potential inability of the counterparty to meet the terms of the agreement. The swaps involve elements of both market and credit risk in excess of the amounts reflected on the Statement of Assets and Liabilities. During the six months ended November 30, 2013, there were no swaps outstanding.

(d) When-Issued and Delayed Delivery Transactions

The Trust may engage in when-issued or delayed delivery transactions. The Trust records when-issued securities on the trade date and maintains security positions such that sufficient liquid assets will be available to make payment for the securities purchased. Securities purchased on a when-issued or delayed delivery basis are marked to market daily and begin earning interest on the settlement date. Losses may occur on these transactions due to changes in a market conditions or the failure of counterparties to perform under the contract.

(e) Distributions

The Trust declares and pays monthly distributions to common shareholders. Any net realized long-term gains are distributed annually. Distributions to shareholders are recorded on the ex-dividend date. The amount and timing of distributions are determined in accordance with federal income tax regulations, which may differ from GAAP.

(f) Currency Translation

Assets and liabilities denominated in foreign currencies are translated into U.S. dollars at the mean of the bid and asked price of the respective exchange rates on the last day of the period. Purchases and sales of investments denominated in foreign currencies are translated at the mean of the bid and asked price of respective exchange rates on the date of the transaction.

Foreign exchange gain or loss resulting from holding of a foreign currency, expiration of a currency exchange contract, difference in the exchange rates between the trade date and settlement date of an investment purchased or sold, and the difference between dividends actually received compared to the amount shown in a Trust’s accounting records on the date of receipt are included as net realized gains or losses on foreign currency forwards and currency transactions in the Trust’s Statement of Operations.

Foreign exchange gain or loss on assets and liabilities, other than investments, is included in unrealized appreciation (depreciation) on foreign currency transactions. There were no currency gains or losses for the six months ended November 30, 2013.

Note 3 – Investment Advisory Agreement, Sub-Advisory Agreement and Other Agreements:

Pursuant to an Investment Advisory Agreement between the Trust and Guggenheim Funds Investment Advisors, LLC (“GFIA” or “the Adviser”), the Adviser furnishes offices, necessary facilities and equipment, provides administrative services, oversees the activities of Guggenheim Partners Investment Management, LLC (“GPIM”), provides personnel including certain officers required for the Trust’s administrative management and compensates the officers and trustees of the Trust who are affiliates of the Adviser. As compensation for these services, the Trust pays the Adviser a fee, payable monthly, in an amount equal to 0.60% of the Trust’s average daily managed assets (net assets applicable to common shareholders plus any assets attributable to financial leverage).

Pursuant to a Sub-Advisory Agreement among the Trust, the Adviser and GPIM, GPIM under the supervision of the Trust’s Board of Trustees and the Adviser, provides a continuous investment program for the Trust’s portfolio; provides investment research; makes and executes recommendations for the purchase and sale of securities; and provides certain facilities and personnel, including certain officers required for its administrative management and pays the compensation of all officers and trustees of the Trust who are GPIM ‘s affiliates. As compensation for its services, the Adviser pays GPIM a fee, payable monthly, in an annual amount equal to 0.30% of the Trust’s average daily managed assets.

Certain officers of the Trust may also be officers, directors and/or employees of the Adviser or GPIM. The Trust does not compensate its officers who are officers, directors and/or employees of the aforementioned firms.

Prior to May 14, 2013 under a separate Fund Administration agreement, the Adviser provided Fund Administration services to the Trust. Effective May 14, 2013, the Trustees approved Rydex Fund Services, LLC (“RFS”) as the Administrator of the Trust. The Adviser previously received and RFS currently receives a fund administration fee payable monthly at the annual rate set forth below as a percentage of the average daily managed assets of the Trust:

Managed Assets	Rate
First $200,000,000	0.0275%
Next $300,000,000	0.0200%
Next $500,000,000	0.0150%
Over $1,000,000,000	0.0100%

28 l GBAB l GUGGENHEIM BUILD AMERICA BONDS MANAGED DURATION TRUST SEMIANNUAL REPORT

NOTES TO FINANCIAL STATEMENTS (Unaudited) continued

November 30, 2013

There is no impact to the Trust as a result of this change.

For purposes of calculating the fees payable under the foregoing agreements, “average daily managed assets” means the average daily value of the Trust’s total assets minus the sum of its accrued liabilities. “Total assets” means all of the Trust’s assets and is not limited to its investment securities. “Accrued liabilities” means all of the Trust’s liabilities other than borrowings for investment purposes.

The Bank of New York Mellon (“BNY”) acts as the Trust’s custodian. As custodian, BNY is responsible for the custody of the Trust’s assets. Effective June 1, 2013, the Board of Trustees approved RFS to replace BNY as the accounting agent of the Trust. As accounting agent, RFS is responsible for maintaining the books and records of the Trust’s securities and cash. RFS receives an accounting fee payable monthly at the annual rate set forth below as a percentage of the average daily managed assets of the Trust:

Managed Assets	Rate
First $200,000,000	0.0300%
Next $300,000,000	0.0150%
Next $500,000,000	0.0100%
Over $1,000,000,000	0.0075%

Note 4 – Federal Income Taxes:

The Trust intends to comply with the requirements of Subchapter M of the Internal Revenue Code of 1986, as amended, applicable to regulated investment companies. Information on the components of net assets on a tax basis as of November 30, 2013, is as follows:


							Net Tax
Cost of							Unrealized
Investments		Gross Tax		Gross Tax			Appreciation
for Tax		Unrealized		Unrealized			on
Purposes		Appreciation		Depreciation			Investments
$ 458,564,828	$	43,725,719	$	(1,435,116	)	$	42,290,603

As of May 31, 2013, (the most recent fiscal year end for federal income tax purposes), the components of accumulated earnings/ (losses) (excluding paid-in capital) on a tax basis were as follows:


	Undistributed			Accumulated
	Ordinary			Long-Term
	Income/			Gains/
	(Accumulated			(Accumulated
	Ordinary Loss	)		Capital Loss	)
$	5,136,538		$	975,951

For the year ended May 31, 2013, the tax character of distributions paid to common shareholders as reflected in the statement of changes in net assets was as follows:

Distributions paid from			2013
Ordinary Income		$	27,845,259

For all open tax years and all major jurisdictions, management of the Trust has concluded that there are no significant uncertain tax positions that would require recognition in the financial statements. Uncertain tax positions are tax positions taken or expected to be taken in the course of preparing the Trust’s tax returns that would not meet a more-likely-than not threshold of being sustained by the applicable tax authority and would be recorded as a tax expense in the current year. Open tax years are those that are open for examination by taxing authorities (i.e. generally the last four tax year ends and the interim tax period since then). Furthermore, management of the Trust is also not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months.

Note 5 – Investments in Securities:

For the six months ended November 30, 2013, the cost of purchases and proceeds from sales of investments, excluding short-term securities, were $26,547,069 and $27,673,906, respectively.

Note 6 – Capital:

Common Shares

In connection with its organization process, the Trust sold 5,240 common shares of beneficial interest to Guggenheim Funds Distributors, LLC, an affiliate of the Adviser, for consideration of $100,084 at a price of $19.10 per share. The Trust has an unlimited amount of common shares, $0.01 par value, authorized and 17,413,674 issued and outstanding. Of this amount, the Trust issued 17,000,000 common shares in its initial public offering. These shares were issued at $19.10 per share after deducting the sales load but before offering expenses incurred by the Trust.

In connection with the initial public offering of the Trust’s common shares, the underwriters were granted an option to purchase additional common shares. On December 14, 2010, the underwriters purchased, at a price of $19.10 per common share (after deducting the sales load but before offering expenses incurred by the Trust.), 404,230 common shares of the Trust pursuant to the over-allotment option.

Offering costs, equal to $696,169 or $0.04 per share, in connection with the issuance of common shares have been borne by the Trust and were charged to paid-in capital. The Adviser and GPIM paid offering expenses (other than sales load, but including reimbursement of expenses to the underwriters) in excess of $0.04 per common share.

Transactions in common shares were as follows:

	Six Months Ended	Year ended
	November 30, 2013	May 31, 2013
Beginning Shares	17,413,674	17,409,470
Shares issued through
dividend reinvestment	—	4,204
Ending Shares	17,413,674	17,413,674

Note 7 – Leverage:

Reverse Repurchase Agreements

The Trust may enter into reverse repurchase agreements as part of its financial leverage strategy. Under a reverse repurchase agreement, the Trust temporarily transfers possession of a portfolio instrument to another party, such as a bank or broker-dealer, in return for cash. At the same time, the Trust agrees to repurchase the instrument at an agreed upon time and price, which reflects an interest payment. Such agreements have the

GBAB l GUGGENHEIM BUILD AMERICA BONDS MANAGED DURATION TRUST SEMIANNUAL REPORT l 29

NOTES TO FINANCIAL STATEMENTS (Unaudited) continued

November 30, 2013

economic effect of borrowings. The Trust may enter into such agreements when it is able to invest the cash acquired at a rate higher than the cost of the agreement, which would increase earned income. When the Trust enters into a reverse repurchase agreement, any fluctuations in the market value of either the instruments transferred to another party or the instruments in which the proceeds may be invested would affect the market value of the Trust’s assets. As a result, such transactions may increase fluctuations in the market value of the Trust’s assets. For the six months ended November 30, 2013, the average daily balance for which reverse repurchase agreements were outstanding amounted to $88,503,520. The weighted average interest rate was 0.71%. As of November 30, 2013, there was $90,906,742 in reverse repurchase agreements outstanding. At November 30, 2013, the Trust had outstanding reverse repurchase agreements with various counterparties. Details of the reverse repurchase agreements by counterparty are as follows:

	Range of	Range of
	Interest	Maturity		Face
Counterparty	Rates	Dates		Value
BNP Paribas	0.78%	4/16/14	$	60,081,742
Credit Suisse Securities, LLC	0.64%-0.75%	08/23/2013-01/15/2014		4,497,000
Royal Bank of Canada	0.49%-0.55%	06/24/2013-02/28/2014		26,328,000
			$	90,906,742

Borrowings

On December 7, 2011, the Trust entered into a $125,000,000 credit facility agreement. The interest rate on the amount borrowed is based on the 1 month LIBOR plus 90 basis points. An unused fee of 25 basis points is charged on the difference between the $125,000,000 and the amount borrowed. At November 30, 2013, there was $39,963,936 outstanding in connection with the Trust’s credit facility. The average daily amount of borrowings on the credit facility during the six months ended was $41,405,457 with a related average interest rate of 1.08%. The maximum amount outstanding during the year ended was $47,713,936. As of November 30, 2013, the total value of securities segregated and pledged as collateral in connection with borrowings was $59,695,129.

Note 8 – Loan Commitments

Pursuant to the terms of certain Term Loan agreements, the Trust held unfunded loan commitments of as of May 31, 2013. The Trust is obligated to fund these loan commitments at the borrower’s discretion. The Trust intends to segregate against such contingent obligations by designating cash, liquid assets. As of November 30, 2013, the total amount segregated in connection with reverse repurchase agreements and unfunded commitments was $193,233,458.

At November 30, 2013, the Trust had the following unfunded loan commitments which could be extended at the option of the borrower:

				Unrealized
		Principal		Appreciation/
Borrower		Amount		(Depreciation	)
Darling International	$	4,200,000	$	—
	$	4,200,000	$	—

Note 9 – Indemnifications:

In the normal course of business, the Trust enters into contracts that contain a variety of representations, which provide general indemnifications. The Trust’s maximum exposure under these arrangements is unknown, as this would require future claims that may be made against the Trust that have not yet occurred. However, the Trust expects the risk of loss to be remote.

Note 10 – Subsequent Event:

The Trust evaluated subsequent events through the date the financial statements were available for issue and determined there were no additional material events that would require disclosure in the Trust’s financial statements, except as noted below.

On December 2, 2013, the Trust declared a monthly dividend of $0.13817 per common share. The dividend was payable on December 31, 2013, to shareholders of record on December 13, 2013.

On January 2, 2014, the Trust declared a monthly dividend of $0.13817 per common share. The dividend is payable on January 31, 2014, to shareholders of record on January 15, 2014.

30 l GBAB l GUGGENHEIM BUILD AMERICA BONDS MANAGED DURATION TRUST SEMIANNUAL REPORT

SUPPLEMENTAL INFORMATION (Unaudited)

November 30, 2013

Federal Income Tax Information

In January 2014, you will be advised on IRS Form 1099 DIV or substitute 1099 DIV as to the federal tax status of the distributions received by you in the calendar year 2013.

Trustees

The Trustees of the Guggenheim Build America Bonds Managed Duration Trust (the “Trust”) and their principal occupations during the past five years:

Name, Address*,			Number of
Year of Birth and	Term of Office**		Portfolios in the
Position(s) Held	and Length	Principal Occupations during the Past Five Years and	Fund Complex***	Other Directorships
with Registrant	of Time Served	Other Affiliations	Overseen by Trustee	Held by Trustee
Independent Trustees:
Randall C. Barnes Year of Birth: 1951 Trustee	Since 2010	Private Investor (2001-present). Formerly, Senior Vice President and Treasurer, PepsiCo, Inc. (1993-1997), President, Pizza Hut International (1991-1993) and Senior Vice President, Strategic Planning and New Business Development of PepsiCo, Inc. (1987-1990).	52	None.
Roman Friedrich III Year of birth: 1946 Trustee	Since 2010	Founder and President of Roman Friedrich & Company, a U.S. and Canadian-based business, which provides investment banking to the mining industry (1998-present). Formerly, Senior Managing Director of MLV & Co., LLC, an investment bank and institutional broker-dealer specializing in capital intensive industries such as energy, metals and mining (2010-2011).	48	Director of Mercator Minerals Ltd. (September 2013-present), First Americas Gold Corp. (2012-present) and Zincore Metals, Inc. (2009 – present). Previously, Director of Blue Sky Uranium Corp. (formerly, Windstorm Resources Inc.) (2011– 2012); Axiom Gold and Silver Corp. (2011-2012); Stratagold Corp. (2003-2009); Gateway Gold Corp. (2004-2008) and GFM Resources Ltd. (2005-2010).
Robert B. Karn III Year of Birth: 1942 Trustee	Since 2010	Consultant (1998-present). Formerly, Arthur Andersen (1965-1997) and Managing Partner, Financial and Economic Consulting, St. Louis office (1987-1997).	48	Director of Peabody Energy Company (2003-present) and GP Natural Resource Partners LLC (2002-present).
Ronald A. Nyberg Year of birth: 1953 Trustee	Since 2010	Partner of Nyberg & Cassioppi, LLC, a law firm specializing in corporate law, estate planning and business transactions (2000-present). Formerly, Executive Vice President, General Counsel and Corporate Secretary of Van Kampen Investments (1982-1999).	54	None.
Ronald E. Toupin, Jr. Year of birth: 1958 Trustee	Since 2010	Portfolio Consultant (2010-present). Formerly, Vice President, Manager and Portfolio Manager of Nuveen Asset Management (1998-1999), Vice President of Nuveen Investment Advisory Corp. (1992-1999), Vice President and Manager of Nuveen Unit Investment Trusts (1991-1999), and Assistant Vice President and Portfolio Manager of Nuveen Unit Investment Trusts (1988-1999), each of John Nuveen & Co., Inc. (1982-1999).	51	Previously, Trustee, Bennett Group of Funds (2011-September/2013).

Interested Trustee:
Donald C. Cacciapaglia† Year of Birth: 1951 Trustee, Chief Executive Officer	Since 2012	Senior Managing Director of Guggenheim Investments (2010-present); Chief Executive Officer of Guggenheim Funds Services, LLC (2012-present); Chief Executive Officer (2012-present) and President (2010-present), Guggenheim Funds Distributors, LLC and Guggenheim Funds Investment Advisors, LLC; Chief Executive Officer of certain funds in the Fund Complex (2012-present); President and Director of SBL Fund, Security Equity Fund, Security Income Fund, Security Large Cap Value Fund, and Security Mid Cap Growth Fund (2012-present); President, CEO and Trustee of Rydex Dynamic Funds, Rydex ETF Trust, Rydex Series Funds and Rydex Variable Trust (2012-present); Formerly, Chairman and CEO of Channel Capital Group Inc. and Channel Capital Group LLC (2002-2010).	212	Trustee, Rydex Dynamic Funds, Rydex ETF Trust, Rydex Series Funds and Rydex Variable Trust (2012-present); Independent Board Member, Equitrust Life Insurance Company, Guggenheim Life and Annuity Company, and Paragon Life Insurance Company of Indiana 2011-present).

*	Address for all Trustees: 2455 Corporate West Drive, Lisle, IL 60532

**	After a Trustee’s initial term, each Trustee is expected to serve a three-year term concurrent with the class of Trustees for which he serves:

-	Messrs. Barnes and Cacciapaglia are Class I Trustees. The Class I Trustees are expected to stand for election or re-election at the Trust’s annual meeting of shareholders for fiscal year ending May 31, 2014.

-	Messrs. Friedrich and Nyberg are Class II Trustees. The Class II Trustees are expected to stand for re-election at the Trust’s annual meeting of shareholders for fiscal year ending May 31, 2015.

-	Messrs. Karn and Toupin are Class III Trustees. The Class III Trustees are expected to stand for re-election at the Trust’s annual meeting of shareholders for fiscal year ending May 31, 2016.

***	As of period end. The Guggenheim Investments Fund Complex consists of U.S. registered investment companies advised or serviced by Guggenheim Funds Investment Advisors, LLC, Guggenheim Funds Distributors, LLC and/or its affiliates.

†	Mr. Donald C. Cacciapaglia is an “interested person” (as defined in section 2(a)(19) of the 1940 Act) (“Interested Trustee”) of the Trust because of his position as the President and CEO of the Adviser.

GBAB l GUGGENHEIM BUILD AMERICA BONDS MANAGED DURATION TRUST SEMIANNUAL REPORT l 31

SUPPLEMENTAL INFORMATION (Unaudited) continued

November 30, 2013

Officers

The officers of the Guggenheim Build America Bonds Managed Duration Trust who are not trustees, and their principal occupations during the past five years:

Name, Address*, Year of Birth and	Term of Office** and	Principal Occupations During the Past Five Years and
Position(s) Held with Registrant	Length of Time Served	Other Affiliations
Officers:
Amy J. Lee Year of Birth: 1961 Chief Legal Officer	Since 2013	Managing Director, Guggenheim Investments (2012-present); Senior Vice President & Secretary, Security Investors, LLC (2010-present); Secretary & Chief Compliance Officer, Security Distributors, Inc. (1987-2012); Vice President, Associate General Counsel & Assistant Secretary, Security Benefit Life Insurance Company and Security Benefit Corporation (1987-2012); Vice President & Secretary, Rydex Series Funds, Rydex ETF Trust, Rydex Dynamic Funds, and Rydex Variable Trust (2008-present). Officer of certain funds in the Fund Complex (2012-present).
John L. Sullivan Year of Birth: 1955 Chief Financial Officer, Chief Accounting Officer, and Treasurer	Since 2010	Senior Managing Director – Fund Administration, Guggenheim Investments (2010-present). Chief Financial Officer, Chief Accounting Officer and Treasurer of certain funds in the Fund Complex. Formerly, Chief Compliance Officer, Van Kampen Funds (2004-2010). Head of Fund Accounting, Morgan Stanley Investment Management (2002-2004). Chief Financial Officer, Treasurer, Van Kampen Funds (1996-2004).
Joanna M. Catalucci Year of birth: 1966 Chief Compliance Officer	Since 2012	Managing Director of Compliance and Fund Board Relations, Guggenheim Investments (2012-present). Formerly, Chief Compliance Officer & Secretary, SBL Fund; Security Equity Fund; Security Income Fund; Security Large Cap Value Fund & Security Mid Cap Growth Fund; Vice President, Rydex Holdings, LLC; Vice President, Security Benefit Asset Management Holdings, LLC; and Senior Vice President & Chief Compliance Officer, Security Investors, LLC (2010-2012); Security Global Investors, LLC, Senior Vice President (2010-2011); Rydex Advisors, LLC (f/k/a PADCO Advisors, Inc.) and Rydex Advisors II, LLC (f/k/a PADCO Advisors II, Inc.), Chief Compliance Officer and Senior Vice President (2010-2011); Rydex Capital Partners I, LLC & Rydex Capital Partners II, LLC, Chief Compliance Officer (2006-2007); and Rydex Fund Services, LLC (f/k/a Rydex Fund Services, Inc.), Vice President (2001-2006). Chief Compliance Officer of certain funds in the Fund Complex.
Mark E. Mathiasen Year of birth: 1978 Secretary	Since 2010	Director, Associate General Counsel of Guggenheim Funds Services, LLC (2007-present). Secretary of certain funds in the Fund Complex.

*	Address for all Officers: 2455 Corporate West Drive, Lisle, IL 60532

**	Officers serve at the pleasure of the Board of Trustees and until his or her successor is appointed and qualified or until his or her earlier resignation or removal.

32 l GBAB l GUGGENHEIM BUILD AMERICA BONDS MANAGED DURATION TRUST SEMIANNUAL REPORT

DIVIDEND REINVESTMENT PLAN (Unaudited)

November 30, 2013

Unless the registered owner of common shares elects to receive cash by contacting The Computershare Shareowner Services LLC (the “Plan Administrator”), all dividends declared on common shares of the Trust will be automatically reinvested by the Plan Administrator, administrator for shareholders in the Trust’s Dividend Reinvestment Plan (the “Plan”), in additional common shares of the Trust. Participation in the Plan is completely voluntary and may be terminated or resumed at any time without penalty by notice if received and processed by the Plan Administrator prior to the dividend record date; otherwise such termination or resumption will be effective with respect to any subsequently declared dividend or other distribution. Some brokers may automatically elect to receive cash on your behalf and may re-invest that cash in additional common shares of the Trust for you. If you wish for all dividends declared on your common shares of the Trust to be automatically reinvested pursuant to the Plan, please contact your broker.

The Plan Administrator will open an account for each common shareholder under the Plan in the same name in which such common shareholder’s common shares are registered. Whenever the Trust declares a dividend or other distribution (together, a “Dividend”) payable in cash, non-participants in the Plan will receive cash and participants in the Plan will receive the equivalent in common shares. The common shares will be acquired by the Plan Administrator for the participants’ accounts, depending upon the circumstances described below, either (i) through receipt of additional unissued but authorized common shares from the Trust (“Newly Issued Common Shares”) or (ii) by purchase of outstanding common shares on the open market (“Open-Market Purchases”) on the New York Stock Exchange or elsewhere. If, on the payment date for any Dividend, the closing market price plus estimated brokerage commission per common share is equal to or greater than the net asset value per common share, the Plan Administrator will invest the Dividend amount in Newly Issued Common Shares on behalf of the participants. The number of Newly Issued Common Shares to be credited to each participant’s account will be determined by dividing the dollar amount of the Dividend by the net asset value per common share on the payment date; provided that, if the net asset value is less than or equal to 95% of the closing market value on the payment date, the dollar amount of the Dividend will be divided by 95% of the closing market price per common share on the payment date. If, on the payment date for any Dividend, the net asset value per common share is greater than the closing market value plus estimated brokerage commission, the Plan Administrator will invest the Dividend amount in common shares acquired on behalf of the participants in Open-Market Purchases.

If, before the Plan Administrator has completed its Open-Market Purchases, the market price per common share exceeds the net asset value per common share, the average per common share purchase price paid by the Plan Administrator may exceed the net asset value of the common shares, resulting in the acquisition of fewer common shares than if the Dividend had been paid in Newly Issued Common Shares on the Dividend payment date. Because of the foregoing difficulty with respect to Open-Market Purchases, the Plan provides that if the Plan Administrator is unable to invest the full Dividend amount in Open-Market Purchases during the purchase period or if the market discount shifts to a market premium during the purchase period, the Plan Administrator may cease making Open-Market Purchases and may invest the uninvested portion of the Dividend amount in Newly Issued Common Shares at net asset value per common share at the close of business on the Last Purchase Date provided that, if the net asset value is less than or equal to 95% of the then current market price per common share; the dollar amount of the Dividend will be divided by 95% of the market price on the payment date.

The Plan Administrator maintains all shareholders’ accounts in the Plan and furnishes written confirmation of all transactions in the accounts, including information needed by shareholders for tax records. Common shares in the account of each Plan participant will be held by the Plan Administrator on behalf of the Plan participant, and each shareholder proxy will include those shares purchased or received pursuant to the Plan. The Plan Administrator will forward all proxy solicitation materials to participants and vote proxies for shares held under the Plan in accordance with the instruction of the participants.

There will be no brokerage charges with respect to common shares issued directly by the Trust. However, each participant will pay a pro rata share of brokerage commission incurred in connection with Open-Market Purchases. The automatic reinvestment of Dividends will not relieve participants of any Federal, state or local income tax that may be payable (or required to be withheld) on such Dividends.

The Trust reserves the right to amend or terminate the Plan. There is no direct service charge to participants with regard to purchases in the Plan; however, the Trust reserves the right to amend the Plan to include a service charge payable by the participants.

All correspondence or questions concerning the Plan should be directed to the Plan Administrator, Computershare Shareowner Services LLC, P.O. Box 30170, College Station, TX 77842-3170; Attention Shareholder Services Department, Phone Number: 866-488-3559.

GBAB l GUGGENHEIM BUILD AMERICA BONDS MANAGED DURATION TRUST SEMIANNUAL REPORT l 33

This Page Intentionally Left Blank.

TRUST INFORMATION

November 30, 2013

Board of Trustees

Randall C. Barnes

Donald C. Cacciapaglia*

Roman Friedrich III

Robert B. Karn III

Ronald A. Nyberg

Ronald E. Toupin, Jr.,

Chairperson

* Trustee is an “interested

person” (as defined in section

2(a)(19) of the 1940 Act)

(“Interested Trustee”) of the

Trust because of his position

as the President and CEO of

the Adviser.

Officers

Donald C. Cacciapaglia

Chief Executive Officer

Amy J. Lee

Chief Legal Officer

John L. Sullivan

Chief Financial Officer,

Chief Accounting Officer

and Treasurer

Joanna M. Catalucci

Chief Compliance Officer

Mark E. Mathiasen

Secretary

Investment Adviser

Guggenheim Funds

Investment Advisors, LLC

Lisle, Illinois

Investment Sub-Adviser

Guggenheim Partners

Investment

Management, LLC

Santa Monica, California

Administrator and

Accounting Agent

Rydex Fund

Services, LLC

Rockville, Maryland

Custodian

The Bank of New York Mellon

New York, New York

Legal Counsel

Skadden, Arps, Slate,

Meagher & Flom LLP

New York, New York

Independent Registered

Public Accounting Firm

Ernst & Young LLP

Chicago, Illinois

Privacy Principles of Guggenheim Build America Bonds Managed Duration Trust for Shareholders

The Trust is committed to maintaining the privacy of its shareholders and to safeguarding its non-public personal information. The following information is provided to help you understand what personal information the Trust collects, how we protect that information and why, in certain cases, we may share information with select other parties.

Generally, the Trust does not receive any non-public personal information relating to its shareholders, although certain non-public personal information of its shareholders may become available to the Trust. The Trust does not disclose any non-public personal information about its shareholders or former shareholders to anyone except as permitted by law or as is necessary in order to service shareholder accounts (for example, to a transfer agent or third party administrator).

The Trust restricts access to non-public personal information about the shareholders to Guggenheim Funds Investment Advisors, LLC employees with a legitimate business need for the information. The Trust maintains physical, electronic and procedural safeguards designed to protect the non-public personal information of its shareholders.

Questions concerning your shares of Guggenheim Build America Bonds Managed Duration Trust?


•	If your shares are held in a Brokerage Account, contact your Broker.

•	If you have physical possession of your shares in certificate form, contact the Trust’s Transfer Agent: Computershare Shareowner Services LLC, P.O. Box 30170, College Station, TX 77842-3170; (866) 488-3559

This report is sent to shareholders of Guggenheim Build America Bonds Managed Duration Trust for their information. It is not a Prospectus, circular or representation intended for use in the purchase or sale of shares of the Trust or of any securities mentioned in this report.

A description of the Trust’s proxy voting policies and procedures related to portfolio securities is available without charge, upon request, by calling the Trust at (866) 392-3004.

Information regarding how the Trust voted proxies for portfolio securities, if applicable, during the most recent 12-month period ended June 30, is also available, without charge and upon request by calling (866) 392-3004, by visiting the Trust’s website at guggenheiminvestments.com/gbab or by accessing the Trust’s Form N-PX on the U.S. Securities and Exchange Commission’s (SEC) website at www.sec.gov.

The Trust files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Trust’s Form N-Q is available on the SEC website at www.sec.gov or the Trust’s website at guggenheiminvestments.com/gbab. The Trust’s Form N-Q may also be viewed and copied at the SEC’s Public Reference Room in Washington, DC; information on the operation of the Public Reference Room may be obtained by calling (800) SEC-0330.

Notice to Shareholders

Notice is hereby given in accordance with Section 23(c) of the Investment Company Act of 1940, as amended, that the Trust from time to time may purchase shares of its common stock in the open market.

GBAB l GUGGENHEIM BUILD AMERICA BONDS MANAGED DURATION TRUST SEMIANNUAL REPORT l 35

ABOUT THE TRUST MANAGERS

Guggenheim Partners Investment Management, LLC

Guggenheim Partners Investment Management, LLC (“GPIM”) is an indirect subsidiary of Guggenheim Partners, LLC, a diversified financial services firm. The firm provides capital markets services, portfolio and risk management expertise, wealth management, and investment advisory services. Clients of Guggenheim Partners, LLC subsidiaries are an elite mix of individuals, family offices, endowments, foundations, insurance companies and other institutions.

Investment Philosophy

GPIM’s investment philosophy is predicated upon the belief that thorough research and independent thought are rewarded with performance that has the potential to outperform benchmark indexes with both lower volatility and lower correlation of returns over time as compared to such benchmark indexes.

Investment Process

GPIM’s investment process is a collaborative effort between various groups including the Portfolio Construction Group, which utilize proprietary portfolio construction and risk modeling tools to determine allocation of assets among a variety of sectors, and its Sector Specialists, who are responsible for security selection within these sectors and for implementing securities transactions, including the structuring of certain securities directly with the issuers or with investment banks and dealers involved in the origination of such securities.

Guggenheim Funds Distributors, LLC

2455 Corporate West Drive

Lisle, IL 60532

Member FINRA/SIPC

(01/14)

NOT FDIC-INSURED l NOT BANK-GUARANTEED l MAY LOSE VALUE

CEF-GBAB-SAR-1113

Item 2. Code of Ethics.

Not applicable for a semi-annual reporting period.

Item 3. Audit Committee Financial Expert.

Not applicable for a semi-annual reporting period.

Item 4. Principal Accountant Fees and Services.

Not applicable for a semi-annual reporting period.

Item 5. Audit Committee of Listed Registrants.

Not applicable for a semi-annual reporting period.

Item 6. Schedule of Investments.

The Schedule of Investments is included as part of Item 1.

Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.

Not applicable for a semi-annual reporting period.

Item 8. Portfolio Managers of Closed-End Management Investment Companies.

(a) Not applicable for a semi-annual reporting period.

(b) There has been no change, as of the date of filing, in any of the Portfolio Managers identified in response to paragraph (a)(1) of this Item in the registrant’s most recent annual report on Form N-CSR.

Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.

None.

Item 10. Submission of Matters to a Vote of Security Holders.

The registrant has not made any material changes to the procedures by which shareholders may recommend nominees to the registrant’s Board of Trustees.

Item 11. Controls and Procedures.

(a) The registrant's principal executive officer and principal financial officer have evaluated the registrant's disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act) as of a date within 90 days of this filing and have concluded based on such evaluation, as required by Rule 30a-3(b) under the Investment Company Act, that the registrant's disclosure controls and procedures were effective, as of that date, in ensuring that information required to be disclosed by the registrant in this Form N-CSR was recorded, processed, summarized, and reported within the time periods specified in the Securities and Exchange Commission’s rules and forms.

(b) There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act) that occurred during the registrant’s second fiscal quarter of the period covered by this report that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.

Item 12. Exhibits.

(a)(1) Not applicable

(a)(2) Certifications of principal executive officer and principal financial officer pursuant to Rule 30a-2(a) under the Investment Company Act.

(a)(3) Not applicable.

(b) Certification of principal executive officer and principal financial officer pursuant to Rule 30a-2(b) under the Investment Company Act and Section 906 of the Sarbanes-Oxley Act of 2002.

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

(Registrant) Guggenheim Build America Bonds Managed Duration Trust

By: /s/ Donald C. Cacciapaglia

Name: Donald C. Cacciapaglia

Title: Chief Executive Officer

Date: February 6, 2014

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

By: /s/ Donald C. Cacciapaglia

Name: Donald C. Cacciapaglia

Title: Chief Executive Officer

Date: February 6, 2014

By: /s/ John L. Sullivan

Name: John L. Sullivan

Title: Chief Financial Officer, Chief Accounting Officer and Treasurer

Date: February 6, 2014