# EDGAR Filing Document

**Accession Number:** 0001601445
**File Stem:** 0000940400-26-009418
**Filing Date:** 2026-3
**Character Count:** 45545
**Document Hash:** dcfa5eaa580092d9697693a9423876ab
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0000940400-26-009418.hdr.sgml**: 20260302

**ACCESSION NUMBER**: 0000940400-26-009418

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 2

**CONFORMED PERIOD OF REPORT**: 20251231

**FILED AS OF DATE**: 20260302

**DATE AS OF CHANGE**: 20260227

**PERIOD START**: 20260930

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** Guggenheim Strategy Funds Trust
- **CENTRAL INDEX KEY:** 0001601445

**ORGANIZATION NAME:**
- **EIN:** 000000000
- **STATE OF INCORPORATION:** DE
- **FISCAL YEAR END:** 0930

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-22946
- **FILM NUMBER:** 26703011

**BUSINESS ADDRESS:**
- **STREET 1:** 702 KING FARM BOULEVARD
- **STREET 2:** SUITE 200
- **CITY:** ROCKVILLE
- **STATE:** MD
- **ZIP:** 20850
- **BUSINESS PHONE:** 301-296-5100

**MAIL ADDRESS:**
- **STREET 1:** 702 KING FARM BOULEVARD
- **STREET 2:** SUITE 200
- **CITY:** ROCKVILLE
- **STATE:** MD
- **ZIP:** 20850

## Series and Classes Contracts Data

### Guggenheim Variable Insurance Strategy Fund III (Series ID: S000045498)

| Class ID   | Class Name                                      | Ticker Symbol   |
|:---|:---|:---|
| C000141592 | Guggenheim Variable Insurance Strategy Fund III |  |

## Form NPORT-P: Monthly Portfolio Investments Report

### NPORT-P: Part A: General Information

**Item A.1. Information about the Registrant.**

- **a. Name of Registrant:** Guggenheim Strategy Funds Trust

- **b. Investment Company Act file number:** 811-22946

- **c. CIK number of Registrant:** 0001601445

- **d. LEI of Registrant:** 5493007THUTJ3GMETL84

- **e. Address and telephone number of Registrant.**

  - **Street Address 1:** 702 KING FARM BOULEVARD

  - **City:** ROCKVILLE

  - **State:** MD

  - **Foreign country:** US

  - **Zip / Postal Code:** 20850

  - **Telephone number:** 301-296-5100

**Item A.2. Information about the Series.**

- **a. Name of Series:** Guggenheim Variable Insurance Strategy Fund III

- **b. EDGAR series identifier (if any):** S000045498

- **c. LEI of Series:** 549300XSJSZ9XNVJEJ14

**Item A.3. Reporting period.**

- **a. Date of fiscal year-end:** 2026-09-30

- **b. Date as of which information is reported:** 2025-12-31

**Item A.4. Final filing**

Does the Fund anticipate that this will be its final filing on Form N-PORT? **No**

### Fund Information

**Total Assets:** $31564824.03

**Total Liabilities:** $449366.36

**Net Assets:** $31115457.67

**Delayed Delivery Securities:** $150000.00

**Cash Not Reported:** $1611498.86

**Currency Risk Metrics (dv01):**

- 

**Credit Spread Risk - Investment Grade (dv01):**

- **3-Month:** 734.98710508 | **1-Year:** 2309.93801182 | **5-Year:** 1677.54979626 | **10-Year:** 422.67617404 | **30-Year:** 88.67736876

**Credit Spread Risk - Non-Investment Grade (dv01):**

- **3-Month:** 8.56706338 | **1-Year:** 114.48233311 | **5-Year:** 333.42727584 | **10-Year:** 41.90762467 | **30-Year:** 0.00000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000141592 | 0.48%                | 0.29%                | 0.21%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $5630.24                 | $-3434.46                                  |
| Month 2  | $0.79                    | $-17092.56                                 |
| Month 3  | $-5290.42                | $-46487.11                                 |

**Designated Index Information**

- **Index Name:** Portfolio (ExDerivative)

- **Index Identifier:** N/A

### Schedule of Portfolio Investments

| Name                                              | Title                                                                       | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |   Balance | Units   | Value (USD)   | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| CHICAGO MERCANTILE EXCHANGE INC.                  | IRS USD                                                                     | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |         1 | NC      | $122566.63    | 0.39%             |  |  |  | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                        | Verus Securitization Trust 2021-3                                           | CUSIP: 92539LAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     58113 | PA      | $51314.75     | 0.16%             | 2066-06-25      | Variable      | 1.44%                 | Yes           |                  2 | On Loan: No      |
| THL Credit Lake Shore MM CLO I                    | THL Credit Lake Shore MM CLO I LTD                                          | CUSIP: 510800AC9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    366634 | PA      | $366742.38    | 1.18%             | 2033-04-15      | Floating      | 5.87%                 | Yes           |                  2 | On Loan: No      |
| Cascade Funding Mortgage Trust                    | CFMT 2022-HB9 LLC                                                           | CUSIP: 12530GAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    209219 | PA      | $206457.16    | 0.66%             | 2037-09-25      | Variable      | 3.25%                 | Yes           |                  2 | On Loan: No      |
| GMAC Commercial Mortgage Asset                    | GMAC Commercial Mortgage Asset Corp                                         | CUSIP: 817935AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    239383 | PA      | $258332.58    | 0.83%             | 2036-08-10      | Fixed         | 7.15%                 | Yes           |                  2 | On Loan: No      |
| BX Trust                                          | BX Commercial Mortgage Trust 2022-LP2                                       | CUSIP: 05610HAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    350000 | PA      | $349563.48    | 1.12%             | 2039-02-15      | Floating      | 5.31%                 | Yes           |                  2 | On Loan: No      |
| WMRK Commercial Mortgage Trust                    | WMRK Commercial Mortgage Trust 2022-WMRK                                    | CUSIP: 929342AB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1005956 | PA      | $1008513.54   | 3.24%             | 2027-11-15      | Floating      | 7.19%                 | Yes           |                  2 | On Loan: No      |
| Soundview Home Equity Loan Tru                    | Soundview Home Loan Trust 2006-OPT5                                         | CUSIP: 83612CAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    215406 | PA      | $210692.39    | 0.68%             | 2036-07-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MERRILL LYNCH BANCO MULTIPLO S.A. | BOFA SECURITIES INC TRI PARTY                                               | CUSIP: 000000000<br>LEI: KPTCWFWJ4GW0WZNEMH59 | Long             | RA               | CORP              | US        |   1539730 | PA      | $1539730.00   | 4.95%             |  |  |  | No            |                  2 | On Loan: No      |
| BX Trust                                          | BX Trust 2025-VOLT                                                          | CUSIP: 05619PAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $100062.20    | 0.32%             | 2044-12-15      | Floating      | 5.45%                 | Yes           |                  2 | On Loan: No      |
| Cerberus                                          | Cerberus Loan Funding XXXII LP                                              | CUSIP: 15674LAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    911833 | PA      | $911768.86    | 2.93%             | 2033-04-22      | Floating      | 5.79%                 | Yes           |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                  | IRS USD                                                                     | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |         1 | NC      | $-145148.61   | -0.47%            |  |  |  | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                        | Verus Securitization Trust 2025-12                                          | CUSIP: 92490FAM2<br>LEI: 2138009XAW9T934GL239 | Long             | ABS-MBS          | CORP              | US        |    250000 | PA      | $250525.86    | 0.81%             | 2070-12-25      | Variable      | 5.37%                 | Yes           |                  2 | On Loan: No      |
| GCAT                                              | GCAT 2024-NQM2 Trust                                                        | CUSIP: 36831CAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    360612 | PA      | $364355.48    | 1.17%             | 2059-06-25      | Variable      | 6.08%                 | Yes           |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                          | OBX 2025-R1 Trust                                                           | CUSIP: 67123GAE5<br>LEI: 254900UIO03AL696QM79 | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $99819.38     | 0.32%             | 2062-09-25      | Variable      | 5.19%                 | Yes           |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mor                    | JP Morgan Chase Commercial Mortgage Securities Trust 2021-NYAH              | CUSIP: 46654EAG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    350000 | PA      | $309037.05    | 0.99%             | 2038-06-15      | Floating      | 5.66%                 | Yes           |                  2 | On Loan: No      |
| Archwest Mortgage Trust                           | Archwest Mortgage Trust 2025-RTL1                                           | CUSIP: 039966AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $100122.46    | 0.32%             | 2040-10-25      | Variable      | 5.20%                 | Yes           |                  2 | On Loan: No      |
| Owl Rock CLO I, Ltd                               | Owl Rock CLO IV Ltd                                                         | CUSIP: 691200AC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    699294 | PA      | $699179.11    | 2.25%             | 2033-08-20      | Floating      | 5.75%                 | Yes           |                  2 | On Loan: No      |
| Textainer Marine Containers Li                    | Textainer Marine Containers VII Ltd                                         | CUSIP: 88315LAE8<br>LEI: 549300X48KLHDDGPK024 | Long             | ABS-O            | CORP              | BM        |     99086 | PA      | $96010.79     | 0.31%             | 2045-08-21      | Fixed         | 2.73%                 | Yes           |                  2 | On Loan: No      |
| Oak Street Investment Grade Ne                    | Oak Street Investment Grade Net Lease Fund Series 2020-1                    | CUSIP: 67181DAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    977329 | PA      | $888802.39    | 2.86%             | 2050-11-20      | Fixed         | 1.85%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                           | CUSIP: 3136BQRA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    206084 | PA      | $210110.02    | 0.68%             | 2049-04-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| BR SECONDARIES & LQDITY SOLUTIONS                 | BR SECONDARIES & LQDITY SOLUTIONS                                           | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     88794 | PA      | $88784.28     | 0.29%             | 2030-06-15      | Floating      | 6.27%                 | No            |                  3 | On Loan: No      |
| Achieve Mortgage                                  | ACHM Trust 2025-HE3                                                         | CUSIP: 00449VAB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    100000 | PA      | $100109.10    | 0.32%             | 2055-11-25      | Variable      | 5.45%                 | Yes           |                  2 | On Loan: No      |
| BrightSpire Capital, Inc                          | BRSP 2021-FL1 Ltd                                                           | CUSIP: 05591XAE1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $499075.65    | 1.60%             | 2038-08-19      | Floating      | 5.75%                 | Yes           |                  2 | On Loan: No      |
| Greensky Home Improvement Issu                    | GreenSky Home Improvement Issuer Trust 2025-3                               | CUSIP: 39571WAE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    100000 | PA      | $100192.35    | 0.32%             | 2060-12-27      | Fixed         | 4.86%                 | Yes           |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities                     | GS Mortgage-Backed Securities Trust 2020-NQM1                               | CUSIP: 36259WAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     40171 | PA      | $38347.32     | 0.12%             | 2060-09-27      | Variable      | 1.38%                 | Yes           |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                          | Angel Oak Mortgage Trust 2023-1                                             | CUSIP: 03465WAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    221138 | PA      | $220282.64    | 0.71%             | 2067-09-26      | Variable      | 4.75%                 | Yes           |                  2 | On Loan: No      |
| Imperial Fund LLC                                 | Imperial Fund Mortgage Trust 2022-NQM2                                      | CUSIP: 45276PAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    542576 | PA      | $512598.86    | 1.65%             | 2067-03-25      | Variable      | 4.02%                 | Yes           |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                      | CSMC 2021-RPL7 Trust                                                        | CUSIP: 12598JAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    189778 | PA      | $188996.07    | 0.61%             | 2061-07-27      | Variable      | 4.21%                 | Yes           |                  2 | On Loan: No      |
| GCAT                                              | GCAT 2023-NQM2 Trust                                                        | CUSIP: 36169DAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    431175 | PA      | $429708.02    | 1.38%             | 2067-11-25      | Variable      | 5.84%                 | Yes           |                  2 | On Loan: No      |
| FIGRE Trust                                       | FIGRE Trust 2025-HE8                                                        | CUSIP: 30191WAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    150000 | PA      | $149970.96    | 0.48%             | 2055-11-25      | Variable      | 5.46%                 | Yes           |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                      | CSMC 2020-NQM1 Trust                                                        | CUSIP: 126401AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    126768 | PA      | $121954.91    | 0.39%             | 2065-05-25      | Variable      | 2.21%                 | Yes           |                  2 | On Loan: No      |
| CLI Funding LLC                                   | CLI Funding VIII LLC                                                        | CUSIP: 12565KAA5<br>LEI: 254900Z4P82YK31RVL27 | Long             | ABS-O            | CORP              | US        |    332817 | PA      | $309810.00    | 1.00%             | 2046-02-18      | Fixed         | 1.64%                 | Yes           |                  2 | On Loan: No      |
| OWS Structured Asset Trust                        | OSAT 2021-RPL1 Trust                                                        | CUSIP: 67114HAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    931124 | PA      | $931123.79    | 2.99%             | 2065-05-25      | Variable      | 6.12%                 | Yes           |                  2 | On Loan: No      |
| LRECS 2025-CRE1 LLC                               | LRECS 2025-CRE1 LLC                                                         | CUSIP: 50230AAC8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    100000 | PA      | $100180.17    | 0.32%             | 2043-08-19      | Floating      | 5.75%                 | Yes           |                  2 | On Loan: No      |
| Progress Residential Trust                        | Progress Residential 2025-SFR6 Trust                                        | CUSIP: 74334EAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    150000 | PA      | $142996.77    | 0.46%             | 2042-12-17      | Fixed         | 4.00%                 | Yes           |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                          | OBX 2023-NQM2 Trust                                                         | CUSIP: 670843AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    318797 | PA      | $318238.46    | 1.02%             | 2062-01-25      | Variable      | 6.32%                 | Yes           |                  2 | On Loan: No      |
| JANE STREET GROUP LLC                             | JANE STREET GROUP LLC                                                       | CUSIP: 47077DAM2<br>LEI: 5493002N1IVX6KHGYO08 | Long             | LON              | CORP              | US        |     98196 | PA      | $97660.69     | 0.31%             | 2031-12-15      | Floating      | 5.82%                 | No            |                  2 | On Loan: No      |
| WENDYS FUNDING LLC                                | Wendy's Funding LLC                                                         | CUSIP: 95058XAR9<br>LEI: 5493009DRVSTWJOXUL48 | Long             | ABS-O            | CORP              | US        |    100000 | PA      | $99704.38     | 0.32%             | 2055-12-15      | Fixed         | 5.42%                 | Yes           |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                         | Towd Point Mortgage Trust 2018-2                                            | CUSIP: 89175VAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     56376 | PA      | $55879.42     | 0.18%             | 2058-03-25      | Variable      | 3.25%                 | Yes           |                  2 | On Loan: No      |
| Life Financial Services Trust                     | Life 2021-BMR Mortgage Trust                                                | CUSIP: 53218CAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     37380 | PA      | $37220.56     | 0.12%             | 2038-03-15      | Floating      | 4.96%                 | Yes           |                  2 | On Loan: No      |
| New Residential Mortgage Loan                     | New Residential Mortgage Loan Trust 2018-2                                  | CUSIP: 64828CAG4<br>LEI: 549300U1MV4J7YQZG974 | Long             | ABS-MBS          | CORP              | US        |    204700 | PA      | $195927.47    | 0.63%             | 2058-02-25      | Variable      | 3.50%                 | Yes           |                  2 | On Loan: No      |
| AREIT CRE Trust                                   | AREIT 2025-CRE11                                                            | CUSIP: 04002DAC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    250000 | PA      | $249998.70    | 0.80%             | 2043-07-25      | Floating      | 5.75%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley Residential Mor                    | Morgan Stanley Residential Mortgage Loan Trust 2025-NQM9                    | CUSIP: 61779VAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     98055 | PA      | $98207.90     | 0.32%             | 2070-09-25      | Variable      | 5.22%                 | Yes           |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                          | OBX 2024-NQM7 Trust                                                         | CUSIP: 67119FAA1<br>LEI: 254900FVMB3WTXJGGR91 | Long             | ABS-MBS          | CORP              | US        |    382413 | PA      | $386714.52    | 1.24%             | 2064-03-25      | Variable      | 6.24%                 | Yes           |                  2 | On Loan: No      |
| CITADEL SECURITIES LP                             | CITADEL SECURITIES LP                                                       | CUSIP: 17288YAN2<br>LEI: 549300NV5RXBUS3X7L47 | Long             | LON              | CORP              | US        |    118207 | PA      | $118783.60    | 0.38%             | 2031-10-31      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| SG Capital Partners                               | SG Residential Mortgage Trust 2025-1                                        | CUSIP: 81880NAH7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    250000 | PA      | $250314.62    | 0.80%             | 2065-12-25      | Variable      | 5.35%                 | Yes           |                  2 | On Loan: No      |
| Planet Fitness Master Issuer L                    | Planet Fitness Master Issuer LLC                                            | CUSIP: 72703PAG8<br>LEI: 549300NX9W3U2DO53T22 | Long             | ABS-O            | CORP              | US        |     98750 | PA      | $102267.48    | 0.33%             | 2054-06-05      | Fixed         | 6.24%                 | Yes           |                  2 | On Loan: No      |
| GCAT                                              | GCAT 2023-NQM3 Trust                                                        | CUSIP: 36169GAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    146128 | PA      | $147582.35    | 0.47%             | 2068-08-25      | Variable      | 6.89%                 | Yes           |                  2 | On Loan: No      |
| Structured Asset Securities Co                    | Structured Asset Securities Corp Mortgage Loan Trust 2007-BC4               | CUSIP: 86365DAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    280695 | PA      | $274025.63    | 0.88%             | 2037-11-25      | Floating      | 3.37%                 | No            |                  2 | On Loan: No      |
| CMFT Net Lease Master Issuer L                    | CMFT Net Lease Master Issuer LLC                                            | CUSIP: 12575AAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    191541 | PA      | $164450.65    | 0.53%             | 2051-07-20      | Fixed         | 2.57%                 | Yes           |                  2 | On Loan: No      |
| CEAMER FINANCE IV LLC                             | CEAMER FINANCE IV LLC                                                       | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $100000.00    | 0.32%             | 2040-12-15      | Floating      | 6.17%                 | No            |                  3 | On Loan: No      |
| Legacy Mortgage Asset Trust                       | Legacy Mortgage Asset Trust 2021-GS3                                        | CUSIP: 52474XAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    389152 | PA      | $389175.54    | 1.25%             | 2061-07-25      | Variable      | 5.75%                 | Yes           |                  2 | On Loan: No      |
| BXHPP Trust                                       | BXHPP Trust 2021-FILM                                                       | CUSIP: 05609JAL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    250000 | PA      | $234224.28    | 0.75%             | 2036-08-15      | Floating      | 4.96%                 | Yes           |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                          | Angel Oak Mortgage Trust 2022-1                                             | CUSIP: 03464BAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    161199 | PA      | $146228.29    | 0.47%             | 2066-12-25      | Variable      | 3.29%                 | Yes           |                  2 | On Loan: No      |
| BXMT Ltd                                          | BXMT 2020-FL2 LTD                                                           | CUSIP: 12434LAC8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $990082.40    | 3.18%             | 2038-02-15      | Floating      | 5.25%                 | Yes           |                  2 | On Loan: No      |
| Argent Securities Inc.                            | Argent Securities Inc Asset-Backed Pass-Through Certificates Series 2005-W2 | CUSIP: 040104ND9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     44392 | PA      | $44127.89     | 0.14%             | 2035-10-25      | Floating      | 4.58%                 | No            |                  3 | On Loan: No      |
| HarborView Mortgage Loan Trust                    | HarborView Mortgage Loan Trust 2006-14                                      | CUSIP: 41162NAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    410168 | PA      | $389664.26    | 1.25%             | 2047-01-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                          | Benchmark 2019-B14 Mortgage Trust                                           | CUSIP: 08162YAK8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8523413 | PA      | $166908.03    | 0.54%             | 2062-12-15      | Variable      | 0.75%                 | No            |                  2 | On Loan: No      |
| Sound Point CLO LTD                               | SOUND POINT CLO XIX Ltd                                                     | CUSIP: 83610JAA4<br>LEI: 5493001QI7ZD0IPL4A34 | Long             | ABS-CBDO         | CORP              | KY        |    136621 | PA      | $136589.64    | 0.44%             | 2031-04-15      | Floating      | 5.17%                 | Yes           |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                          | OBX 2024-NQM6 Trust                                                         | CUSIP: 67118XAA3<br>LEI: 254900LMIQVUH9BFZJ05 | Long             | ABS-MBS          | CORP              | US        |    398851 | PA      | $404141.16    | 1.30%             | 2064-02-25      | Variable      | 6.45%                 | Yes           |                  2 | On Loan: No      |
| Home Equity Loan Trust                            | Home Equity Loan Trust                                                      | CUSIP: 43710XAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    445985 | PA      | $426398.56    | 1.37%             | 2037-04-25      | Floating      | 4.04%                 | No            |                  2 | On Loan: No      |
| Triton Container Finance LLC                      | Triton Container Finance VIII LLC                                           | CUSIP: 89680HAE2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    596250 | PA      | $554279.13    | 1.78%             | 2046-03-20      | Fixed         | 1.86%                 | Yes           |                  2 | On Loan: No      |
| Textainer Marine Containers Li                    | Textainer Marine Containers VII Ltd                                         | CUSIP: 88315LAS7<br>LEI: 549300X48KLHDDGPK024 | Long             | ABS-O            | CORP              | BM        |     66000 | PA      | $59173.42     | 0.19%             | 2046-08-20      | Fixed         | 1.94%                 | Yes           |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                          | OBX 2024-NQM5 Trust                                                         | CUSIP: 67448NAA6<br>LEI: 254900RDM4XSF0B1E373 | Long             | ABS-MBS          | CORP              | US        |    701346 | PA      | $707346.02    | 2.27%             | 2064-01-25      | Variable      | 5.99%                 | Yes           |                  2 | On Loan: No      |
| Servpro Master Issuer, LLC                        | SERVPRO Master Issuer LLC                                                   | CUSIP: 817743AL1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    150000 | PA      | $149282.58    | 0.48%             | 2055-10-25      | Fixed         | 5.53%                 | Yes           |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                          | JP Morgan Mortgage Trust 2021-12                                            | CUSIP: 46592WAN6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    433246 | PA      | $409121.22    | 1.31%             | 2052-02-25      | Variable      | 2.50%                 | Yes           |                  2 | On Loan: No      |
| Apollo Aviation Securitization                    | AASET MT-1 Ltd                                                              | CUSIP: 00039NAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |    248878 | PA      | $249193.67    | 0.80%             | 2050-02-16      | Fixed         | 5.24%                 | Yes           |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Secu                    | Bear Stearns Asset Backed Securities I Trust 2006-HE9                       | CUSIP: 07389MAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    239444 | PA      | $236337.13    | 0.76%             | 2036-11-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                          | Angel Oak Mortgage Trust 2024-4                                             | CUSIP: 034943AA8<br>LEI: 25490046TFINGL6XED11 | Long             | ABS-MBS          | CORP              | US        |    228370 | PA      | $231053.91    | 0.74%             | 2069-01-25      | Variable      | 6.20%                 | Yes           |                  2 | On Loan: No      |
| Starwood Commercial Mortgage T                    | STWD 2025-FL4 LLC                                                           | CUSIP: 863922AC4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    300000 | PA      | $299715.42    | 0.96%             | 2042-11-19      | Floating      | 5.43%                 | Yes           |                  2 | On Loan: No      |
| Banc of America Commercial Mor                    | Bank of America Merrill Lynch Commercial Mortgage Trust 2017-BNK3           | CUSIP: 06427DAT0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  19433514 | PA      | $115384.54    | 0.37%             | 2050-02-15      | Variable      | 1.00%                 | No            |                  2 | On Loan: No      |
| Eldridge CLO Ltd                                  | Eldridge CLO 2025-2 Ltd                                                     | CUSIP: 28473AAG1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    150000 | PA      | $150000.00    | 0.48%             | 2039-01-20      | Floating      | 5.50%                 | Yes           |                  2 | On Loan: No      |
| CF Hippolyta Issuer LLC                           | CF Hippolyta Issuer LLC                                                     | CUSIP: 12530MAG0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    282734 | PA      | $172102.41    | 0.55%             | 2061-03-15      | Fixed         | 1.98%                 | Yes           |                  2 | On Loan: No      |
| Legacy Mortgage Asset Trust                       | Legacy Mortgage Asset Trust 2021-GS4                                        | CUSIP: 52475WAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    280716 | PA      | $280930.95    | 0.90%             | 2060-11-25      | Variable      | 5.65%                 | Yes           |                  2 | On Loan: No      |
| Navigator Aircraft ABS LLC                        | Navigator Aircraft ABS Ltd                                                  | CUSIP: 63943BAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |    168505 | PA      | $161699.64    | 0.52%             | 2046-11-15      | Variable      | 3.57%                 | Yes           |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                          | OBX 2024-NQM8 Trust                                                         | CUSIP: 67119CAA8<br>LEI: 254900Y1YRD8JNADSC78 | Long             | ABS-MBS          | CORP              | US        |    401375 | PA      | $406085.36    | 1.31%             | 2064-05-25      | Variable      | 6.23%                 | Yes           |                  2 | On Loan: No      |
| COLT Funding LLC                                  | COLT 2023-3 Mortgage Loan Trust                                             | CUSIP: 19688RAA7<br>LEI: 213800MIPEZY1A8W1N28 | Long             | ABS-MBS          | CORP              | US        |    143448 | PA      | $145031.13    | 0.47%             | 2068-09-25      | Variable      | 7.18%                 | Yes           |                  2 | On Loan: No      |
| New Residential Mortgage Loan                     | New Residential Mortgage Loan Trust 2020-1                                  | CUSIP: 64830TAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    222533 | PA      | $210009.34    | 0.67%             | 2059-10-25      | Variable      | 3.50%                 | Yes           |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                          | Angel Oak Mortgage Trust 2025-12                                            | CUSIP: 03466KAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     99166 | PA      | $99388.52     | 0.32%             | 2070-12-25      | Variable      | 5.14%                 | Yes           |                  2 | On Loan: No      |
| Novastar Home Equity Loan                         | NovaStar Mortgage Funding Trust Series 2007-2                               | CUSIP: 66989EAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    227108 | PA      | $224724.80    | 0.72%             | 2037-09-25      | Floating      | 4.05%                 | No            |                  2 | On Loan: No      |
| TERRAFORM GLOBAL OPERATI                          | Terraform Global Operating LP                                               | CUSIP: 88104UAC7<br>LEI: 549300LC7QMVR79H5O86 | Long             | DBT              | CORP              | US        |     78000 | PA      | $77444.61     | 0.25%             | 2026-03-01      | Fixed         | 6.12%                 | Yes           |                  2 | On Loan: No      |
| Starwood Mortgage Residential                     | Starwood Mortgage Residential Trust 2020-1                                  | CUSIP: 85573AAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     20492 | PA      | $19588.52     | 0.06%             | 2050-02-25      | Variable      | 2.27%                 | Yes           |                  3 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                        | J.P. MORGAN SECURITIES LLC TRI PARTY                                        | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | Long             | RA               | CORP              | US        |   1129135 | PA      | $1129135.00   | 3.63%             |  |  |  | No            |                  2 | On Loan: No      |
| SOLRR Aircraft 2021-1 Limited                     | Lunar 2021-1 Structured Aircraft Portfolio Notes                            | CUSIP: 83438LAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | IE        |    166777 | PA      | $159392.55    | 0.51%             | 2046-10-15      | Fixed         | 3.43%                 | Yes           |                  2 | On Loan: No      |
| BNP PARIBAS                                       | BNP PARIBAS TRI PARTY                                                       | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | RA               | CORP              | US        |   1154797 | PA      | $1154797.00   | 3.71%             |  |  |  | No            |                  2 | On Loan: No      |
| Textainer Marine Containers Li                    | Textainer Marine Containers VII Ltd                                         | CUSIP: 88315LAL2<br>LEI: 549300X48KLHDDGPK024 | Long             | ABS-O            | CORP              | BM        |    183999 | PA      | $173205.22    | 0.56%             | 2046-02-20      | Fixed         | 1.68%                 | Yes           |                  2 | On Loan: No      |
| Residential Mortgage Loan Trus                    | Residential Mortgage Loan Trust 2020-1                                      | CUSIP: 76119CAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     13010 | PA      | $12931.41     | 0.04%             | 2060-01-26      | Variable      | 2.38%                 | Yes           |                  3 | On Loan: No      |
| Saluda Grade Alternative Mortg                    | Saluds Grade Alternative Mortgage Trust 2025-RRTL1                          | CUSIP: 79582NAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $99979.47     | 0.32%             | 2040-10-25      | Variable      | 5.66%                 | Yes           |                  2 | On Loan: No      |
| Dreyfus Treasury Obligations Cash Management Fund | Dreyfus Treasury Obligations Cash Management Fund                           | CUSIP: 261908107<br>LEI: 549300MKKM9KT7BF6329 | Long             | STIV             | RF                | US        |    763993 | NS      | $763992.88    | 2.46%             |  |  |  | No            |                  1 | On Loan: No      |
| MTN Commercial Mortgage Trust                     | MTN Commercial Mortgage Trust 2022-LPFL                                     | CUSIP: 62475WAG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    800000 | PA      | $800232.72    | 2.57%             | 2039-03-15      | Floating      | 6.70%                 | Yes           |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                      | CSMC 2021-RPL4 Trust                                                        | CUSIP: 12662GAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    284696 | PA      | $283596.60    | 0.91%             | 2060-12-27      | Variable      | 4.15%                 | Yes           |                  2 | On Loan: No      |
| Castlelake Aircraft Structured                    | Castlelake Aircraft Securitization Trust 2018-1                             | CUSIP: 14856CAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    102780 | PA      | $101752.27    | 0.33%             | 2043-06-15      | Fixed         | 4.12%                 | Yes           |                  2 | On Loan: No      |
| Aligned Data Centers Issuer LL                    | Aligned Data Centers Issuer LLC                                             | CUSIP: 01627AAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $491043.10    | 1.58%             | 2046-08-15      | Fixed         | 1.94%                 | Yes           |                  2 | On Loan: No      |
| STORE Master Funding LLC                          | Store Master Funding I-VII                                                  | CUSIP: 86212VAE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     90701 | PA      | $90279.86     | 0.29%             | 2048-10-20      | Fixed         | 4.29%                 | Yes           |                  2 | On Loan: No      |
| Legacy Mortgage Asset Trust                       | Legacy Mortgage Asset Trust 2021-GS2                                        | CUSIP: 52476DAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    134741 | PA      | $134786.76    | 0.43%             | 2061-04-25      | Variable      | 5.75%                 | Yes           |                  2 | On Loan: No      |
| Anchorage Credit Funding Ltd.                     | Anchorage Credit Funding 4 Ltd                                              | CUSIP: 03329TAG9<br>LEI: 549300VR9XUOV1E0U888 | Long             | ABS-CBDO         | CORP              | KY        |   1250000 | PA      | $1189197.38   | 3.82%             | 2039-04-27      | Fixed         | 2.72%                 | Yes           |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Secu                    | Bear Stearns Asset Backed Securities I Trust 2006-HE9                       | CUSIP: 07389MAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    160732 | PA      | $158731.57    | 0.51%             | 2036-11-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2026-02-27

**Name of Applicant:** Guggenheim Strategy Funds Trust

**Signature:** James Howley

**Name of Signer:** James Howley

**Title:** Chief Financial Officer