# EDGAR Filing Document

**Accession Number:** 0001601445
**File Stem:** 0000940400-26-022563
**Filing Date:** 2026-6
**Character Count:** 92099
**Document Hash:** 590791a74043e09d89e72b2ed58238c2
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0000940400-26-022563.hdr.sgml**: 20260601

**ACCESSION NUMBER**: 0000940400-26-022563

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20260331

**FILED AS OF DATE**: 20260601

**DATE AS OF CHANGE**: 20260601

**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:** 261048170

**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 Strategy Fund II (Series ID: S000045496)

| Class ID   | Class Name                  | Ticker Symbol   |
|:---|:---|:---|
| C000141590 | Guggenheim Strategy Fund II |  |

## 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 Strategy Fund II

- **b. EDGAR series identifier (if any):** S000045496

- **c. LEI of Series:** 549300MHRGBLZPUQ5G89

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

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

- **b. Date as of which information is reported:** 2026-03-31

**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:** $130834124.94

**Total Liabilities:** $3383903.76

**Net Assets:** $127450221.18

**Delayed Delivery Securities:** $300000.00

**Cash Not Reported:** $2261798.26

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 2030.35709400 | **1-Year:** 8915.71682420 | **5-Year:** 8178.69538920 | **10-Year:** 1790.98955910 | **30-Year:** 281.19045050

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

- **3-Month:** 104.52189770 | **1-Year:** 926.18157660 | **5-Year:** 1294.37583700 | **10-Year:** 71.62082010 | **30-Year:** 0.00000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000141590 | 0.54%                | 0.39%                | 0.01%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $3918.85                 | $51085.90                                  |
| Month 2  | $34350.48                | $1714.02                                   |
| Month 3  | $5580.06                 | $-826530.38                                |

**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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| THE TORONTO-DOMINION BANK                                        | SWOP IRS USD                                                  | CUSIP: 000000000<br>LEI: PT3QB789TSUIDF371261 | N/A              | DIR              | CORP              | CA        |    163000 | NC      | $605.03       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Medline Borrower LP                                              | MEDIND 3.875 04/01/29 144A                                    | CUSIP: 62482BAA0<br>LEI: 254900QT3R363TVK6F09 | Long             | DBT              | CORP              | US        |    190000 | PA      | $183798.74    | 0.14%             | 2029-04-01      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| BARCLAYS BANK PLC                                                | SWOP IRS USD                                                  | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DIR              | CORP              | GB        |   -272000 | NC      | $-1035.31     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Lincoln Financial Global Funding                                 | LNC 4.2 01/12/29 144A                                         | CUSIP: 53359KAD3<br>LEI: 984500OC010458395923 | Long             | DBT              | CORP              | US        |    700000 | PA      | $692169.10    | 0.54%             | 2029-01-12      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| Match Group Holdings II LLC                                      | MTCHII 4.125 08/01/30 144A                                    | CUSIP: 57665RAL0<br>LEI: 5493003RFFE030RC9167 | Long             | DBT              | CORP              | US        |    150000 | PA      | $139009.70    | 0.11%             | 2030-08-01      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Cooperatieve Rabobank U.A.                                       | RABOBK V4.655 08/22/28 144A                                   | CUSIP: 74977RDR2<br>LEI: DG3RU1DBUFHT4ZF9WN62 | Long             | DBT              | CORP              | NL        |    850000 | PA      | $851693.12    | 0.67%             | 2028-08-22      | Fixed         | 4.66%                 | No            |                  2 | On Loan: No      |
| THE TORONTO-DOMINION BANK                                        | SWOP IRS USD                                                  | CUSIP: 000000000<br>LEI: PT3QB789TSUIDF371261 | N/A              | DIR              | CORP              | CA        |   -214000 | NC      | $-626.71      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                      | SWOP IRS USD                                                  | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DIR              | CORP              | FR        |    327000 | NC      | $1213.78      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Cross 2026 NQM2 Mortgage Trust                                   | CROSS 2026-NQM3 A1                                            | CUSIP: 227925AA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    200000 | PA      | $200285.98    | 0.16%             | 2071-03-25      | Variable      | 5.12%                 | No            |                  2 | On Loan: No      |
| OBX 2024-NQM6 TRUST                                              | OBX 2024-NQM6 A1                                              | CUSIP: 67118XAA3<br>LEI: 254900LMIQVUH9BFZJ05 | Long             | ABS-O            | CORP              | US        |    886279 | PA      | $894522.90    | 0.70%             | 2064-02-25      | Variable      | 6.45%                 | No            |                  2 | On Loan: No      |
| BARCLAYS BANK PLC                                                | SWOP IRS USD                                                  | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DIR              | CORP              | GB        |    271000 | NC      | $1483.98      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Host Hotels & Resorts, L.P.                                      | HST 4.25 12/15/28                                             | CUSIP: 44107TBE5<br>LEI: FXB7X4WXVA8QPMNOGS12 | Long             | DBT              | CORP              | US        |    325000 | PA      | $321148.33    | 0.25%             | 2028-12-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| JPMDB COMMERCIAL MORTGAGE SECURITIES TRUST 2018-C8               | JPMDB 2018-C8 XA                                              | CUSIP: 46591ABC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  32723825 | PA      | $320320.43    | 0.25%             | 2051-06-16      | Variable      | 0.59%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2021-NYAH   | JPMCC 2021-NYAH D                                             | CUSIP: 46654EAG6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3900000 | PA      | $3406534.95   | 2.67%             | 2038-06-15      | Variable      | 5.58%                 | No            |                  2 | On Loan: No      |
| Newell Brands Inc.                                               | NWL 6.375 09/15/27                                            | CUSIP: 651229BC9<br>LEI: 549300LWGYFM1TVO1Z12 | Long             | DBT              | CORP              | US        |     84000 | PA      | $84410.68     | 0.07%             | 2027-09-15      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| GOLUB CAPITAL PARTNERS CLO 49M-R2 LTD                            | GOCAP 2020-49A A2R2                                           | CUSIP: 38181HAE3<br>LEI: 254900HDEN0DKV4B8U17 | Long             | ABS-CBDO         | CORP              | US        |    300000 | PA      | $300016.65    | 0.24%             | 2038-07-20      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP                                     | BAFC 2015-R2 3A2                                              | CUSIP: 05990TAG2<br>LEI: 54930023UHZHF7UJ8596 | Long             | ABS-O            | CORP              | US        |     14672 | PA      | $14657.50     | 0.01%             | 2037-04-29      | Floating      | 4.05%                 | No            |                  3 | On Loan: No      |
| MORGAN STANLEY RESIDENTIAL MORTGAGE LOAN TRUST 2025-NQM9         | MSRM 2025-NQM9 A2                                             | CUSIP: 61779VAD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    559488 | PA      | $556467.11    | 0.44%             | 2070-09-25      | Variable      | 5.22%                 | No            |                  2 | On Loan: No      |
| BXMT 2020-FL2 LTD                                                | BXMT 2020-FL2 AS                                              | CUSIP: 12434LAC8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2500000 | PA      | $2492563.75   | 1.96%             | 2038-02-18      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | GNR 2026-28 BP                                                | CUSIP: 38385NCV4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    650000 | PA      | $637062.99    | 0.50%             | 2056-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BX Trust 2018-Bilt                                               | BX 2025-VOLT A                                                | CUSIP: 05619PAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    450000 | PA      | $448593.75    | 0.35%             | 2044-12-15      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| Buckeye Partners LP                                              | BPL 3.95 12/01/26                                             | CUSIP: 118230AQ4<br>LEI: 549300C1PQJLVEIUBK50 | Long             | DBT              | CORP              | US        |    250000 | PA      | $247482.83    | 0.19%             | 2026-12-01      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Madison Pk Fdg XLVIII Ltd / Llc                                  | MDPK 2021-48A BR                                              | CUSIP: 55821UAQ7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    650000 | PA      | $649321.01    | 0.51%             | 2039-01-19      | Variable      | 5.22%                 | No            |                  2 | On Loan: No      |
| AREIT 2025-CRE10 Ltd. / AREIT 2025-CRE10 LLC                     | AREIT 2025-CRE11 AS                                           | CUSIP: 04002DAC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    300000 | PA      | $299018.52    | 0.23%             | 2043-07-25      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| 1011778 B.C. Unlimited Liability Company / New Red Finance, Inc. | BCULC 3.875 01/15/28 144A                                     | CUSIP: 68245XAH2<br>LEI: 549300RHSHNRWI5LLA86 | Long             | DBT              | CORP              | CA        |    150000 | PA      | $146621.85    | 0.12%             | 2028-01-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| HOMES 2025-NQM3 TRUST                                            | HOMES 2026-NQM1 A1                                            | CUSIP: 437922AA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    479337 | PA      | $475530.24    | 0.37%             | 2070-09-25      | Variable      | 4.80%                 | No            |                  2 | On Loan: No      |
| Jabil Inc                                                        | JBL 1.7 04/15/26                                              | CUSIP: 466313AL7<br>LEI: 5493000CGCQY2OQU7669 | Long             | DBT              | CORP              | US        |    250000 | PA      | $249679.64    | 0.20%             | 2026-04-15      | Fixed         | 1.70%                 | No            |                  2 | On Loan: No      |
| NYMT LOAN TRUST 2025-CP1                                         | NYMT 2025-CP1 A2                                              | CUSIP: 67121VAB0<br>LEI: 254900JF85A0S614L988 | Long             | ABS-O            | CORP              | US        |    700000 | PA      | $654106.53    | 0.51%             | 2069-11-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                                 | IRS USD                                                       | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |         1 | NC      | $-458365.34   | -0.36%            |  |  |  | No            |                  2 | On Loan: No      |
| THE TORONTO-DOMINION BANK                                        | SWOP IRS USD                                                  | CUSIP: 000000000<br>LEI: PT3QB789TSUIDF371261 | N/A              | DIR              | CORP              | CA        |    163000 | NC      | $745.08       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BXMT 2026-FL6 LTD                                                | BXMT 2026-FL6 AS                                              | CUSIP: 05620AAC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    100000 | PA      | $99198.89     | 0.08%             | 2043-08-19      | Variable      | 5.43%                 | No            |                  2 | On Loan: No      |
| Algonquin Power & Utilities Corporation                          | AQNCN 5.365 06/15/26                                          | CUSIP: 015857AF2<br>LEI: 549300K5VIUTJXQL7X75 | Long             | DBT              | CORP              | CA        |   1750000 | PA      | $1751442.60   | 1.37%             | 2026-06-15      | Fixed         | 5.37%                 | No            |                  2 | On Loan: No      |
| ANGEL OAK MORTGAGE TRUST 2025-12                                 | AOMT 2025-12 A2                                               | CUSIP: 03466KAD8<br>LEI: 254900ZULW8CAJ29C630 | Long             | ABS-O            | CORP              | US        |    192058 | PA      | $190622.49    | 0.15%             | 2070-12-25      | Variable      | 5.14%                 | No            |                  2 | On Loan: No      |
| PRPM 2026-1 LLC                                                  | PRPM 2026-1 A1                                                | CUSIP: 74449BAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    196097 | PA      | $194026.77    | 0.15%             | 2031-02-25      | Variable      | 5.18%                 | No            |                  2 | On Loan: No      |
| TRITON CONTAINER FINANCE VIII LLC                                | TCF 2021-1A A                                                 | CUSIP: 89680HAE2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1725000 | PA      | $1593911.02   | 1.25%             | 2046-03-20      | Fixed         | 1.86%                 | No            |                  2 | On Loan: No      |
| HLEND CLO 2025-3 LLC                                             | HLEND 2025-3A A                                               | CUSIP: 403961AA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    250000 | PA      | $248952.13    | 0.20%             | 2037-01-20      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| GCAT 2023-NQM3 TRUST                                             | GCAT 2023-NQM3 A1                                             | CUSIP: 36169GAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    273350 | PA      | $275000.89    | 0.22%             | 2068-08-25      | Variable      | 6.89%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, NATIONAL ASSOCIATION                            | SWOP IRS USD                                                  | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DIR              | CORP              | US        |   -163000 | NC      | $-619.07      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FIRSTKEY HOMES 2022-SFR1 TRUST                                   | FKH 2022-SFR1 B                                               | CUSIP: 33768NAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    750000 | PA      | $745566.08    | 0.58%             | 2039-05-19      | Fixed         | 4.49%                 | No            |                  2 | On Loan: No      |
| PROGRESS RESIDENTIAL 2025-SFR1 TRUST                             | PROG 2025-SFR6 C                                              | CUSIP: 74334EAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    650000 | PA      | $613616.84    | 0.48%             | 2042-12-18      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Rocket Mortgage LLC / Rocket Mortgage Co-Issuer Inc.             | RKT 2.875 10/15/26 144A                                       | CUSIP: 77313LAA1<br>LEI: 549300FGXN1K3HLB1R50 | Long             | DBT              | CORP              | US        |    900000 | PA      | $890264.25    | 0.70%             | 2026-10-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Aegon Funding Company LLC                                        | AEGON 5.5 04/16/27 144A                                       | CUSIP: 00775VAA2<br>LEI: KEIOKM01PSK5VZ5CCI74 | Long             | DBT              | CORP              | US        |   2600000 | PA      | $2622865.49   | 2.06%             | 2027-04-16      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| NOVASTAR MORTGAGE FUNDING TRUST SERIES 2007-2                    | NHEL 2007-2 A1A                                               | CUSIP: 66989EAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    658913 | PA      | $652804.23    | 0.51%             | 2037-09-25      | Floating      | 3.99%                 | No            |                  2 | On Loan: No      |
| PMT LOAN TRUST 2025-INV8                                         | PMTLT 2025-INV8 A7                                            | CUSIP: 73015EAG4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    286097 | PA      | $289749.64    | 0.23%             | 2056-07-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| ANGEL OAK MORTGAGE TRUST 2022-1                                  | AOMT 2022-1 A3                                                | CUSIP: 03464BAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    441623 | PA      | $400110.34    | 0.31%             | 2066-12-25      | Variable      | 3.29%                 | No            |                  2 | On Loan: No      |
| ACHM TRUST 2025-HE3                                              | ACHM 2025-HE3 A                                               | CUSIP: 00449VAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     95050 | PA      | $94273.56     | 0.07%             | 2055-11-25      | Variable      | 5.20%                 | No            |                  2 | On Loan: No      |
| Castlelake Aircraft Structured Trust 2018-1                      | CLAST 2018-1 A                                                | CUSIP: 14856CAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    275029 | PA      | $273659.36    | 0.21%             | 2043-06-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| GS REFT 2026-FL1 Issuer Ltd. / GS REFT 2026-FL1 Co-issuer LLC    | GSREFT 2026-FL1 A                                             | CUSIP: 36274DAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    150000 | PA      | $150000.00    | 0.12%             | 2043-10-19      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| OWL ROCK CLO XXIV LLC                                            | OR 2026-24A A                                                 | CUSIP: 69122KAA1<br>LEI: 254900KMIN8B894DGS50 | Long             | ABS-CBDO         | CORP              | US        |    600000 | PA      | $597154.08    | 0.47%             | 2038-01-22      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| OSAT 2021-RPL1 TRUST                                             | OSAT 2021-RPL1 A1                                             | CUSIP: 67114HAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1245636 | PA      | $1246334.83   | 0.98%             | 2065-05-25      | Variable      | 6.12%                 | No            |                  2 | On Loan: No      |
| Jane Street Group                                                | Jane Street Group Term Loan B 200 2031-12-01                  | CUSIP: 47077DAM2<br>LEI: 5493002N1IVX6KHGYO08 | Long             | LON              | CORP              | US        |    293814 | PA      | $288105.56    | 0.23%             | 2031-12-15      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                                       | J.P. MORGAN SECURITIES LLC TRI PARTY                          | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | Long             | RA               | CORP              | US        |   1443600 | PA      | $1443600.00   | 1.13%             |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale S.A.                                            | SOCGEN V5.519 01/19/28 144A                                   | CUSIP: 83368RBV3<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |    800000 | PA      | $805325.62    | 0.63%             | 2028-01-19      | Fixed         | 5.52%                 | No            |                  2 | On Loan: No      |
| THE TORONTO-DOMINION BANK                                        | SWOP IRS USD                                                  | CUSIP: 000000000<br>LEI: PT3QB789TSUIDF371261 | N/A              | DIR              | CORP              | CA        |   -163000 | NC      | $-475.19      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LG Electronics Inc.                                              | LGELEC 5.625 04/24/27 144A                                    | CUSIP: 50186QAC7<br>LEI: 988400RMQFTGZIOG0609 | Long             | DBT              | CORP              | KR        |    850000 | PA      | $859940.70    | 0.67%             | 2027-04-24      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| GCAT 2025-NQM4 Trust                                             | GCAT 2025-NQM4 A1                                             | CUSIP: 367923AC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    256477 | PA      | $257353.01    | 0.20%             | 2070-06-25      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| Barclays PLC                                                     | BACR V4.219 05/24/30                                          | CUSIP: 06738EDG7<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |   1050000 | PA      | $1033717.81   | 0.81%             | 2030-05-24      | Fixed         | 4.22%                 | No            |                  2 | On Loan: No      |
| CSMC 2020-NQM1 TRUST                                             | CSMC 2020-NQM1 A1                                             | CUSIP: 126401AA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    303860 | PA      | $291806.05    | 0.23%             | 2065-05-25      | Variable      | 2.21%                 | No            |                  2 | On Loan: No      |
| CLI FUNDING VIII LLC                                             | CLIF 2021-1A A                                                | CUSIP: 12565KAA5<br>LEI: 254900Z4P82YK31RVL27 | Long             | ABS-O            | CORP              | US        |    739239 | PA      | $685315.15    | 0.54%             | 2046-02-18      | Fixed         | 1.64%                 | No            |                  2 | On Loan: No      |
| CEAMER FINANCE IV LLC                                            | CEAMER FINANCE IV LLC                                         | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    300000 | PA      | $298378.19    | 0.23%             | 2040-12-15      | Floating      | 6.18%                 | No            |                  3 | On Loan: No      |
| Cno Global Funding                                               | CNO 5.875 06/04/27 144A                                       | CUSIP: 18977W2D1<br>LEI: 6354008GTNR4833ULD48 | Long             | DBT              | CORP              | US        |   1060000 | PA      | $1074494.37   | 0.84%             | 2027-06-04      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                 | FHR 5644 BA                                                   | CUSIP: 3137HR5X3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   1000000 | PA      | $998832.00    | 0.78%             | 2055-07-25      | Fixed         | 5.00%                 | No            |                  3 | On Loan: No      |
| ARCHWEST 2025-RTL1                                               | ARCHW 2025-RTL1 A1                                            | CUSIP: 039966AA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    400000 | PA      | $399139.48    | 0.31%             | 2040-10-25      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, NATIONAL ASSOCIATION                            | SWOP IRS USD                                                  | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DIR              | CORP              | US        |    163000 | NC      | $891.26       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Sound point clo xix ltd                                          | SNDPT 2018-1A A                                               | CUSIP: 83610JAA4<br>LEI: 5493001QI7ZD0IPL4A34 | Long             | ABS-CBDO         | CORP              | KY        |     62104 | PA      | $62057.38     | 0.05%             | 2031-04-15      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| Wmrk Commercial Mortgage Trust 2022-Wmrk                         | WMRK 2022-WMRK B                                              | CUSIP: 929342AB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2493022 | PA      | $2493021.63   | 1.96%             | 2027-11-15      | Floating      | 7.11%                 | No            |                  2 | On Loan: No      |
| CITIGROUP COMMERCIAL MORTGAGE TRUST 2018-C6                      | CGCMT 2018-C6 XA                                              | CUSIP: 17327GAU8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  41993803 | PA      | $681907.97    | 0.54%             | 2051-11-10      | Variable      | 0.76%                 | No            |                  2 | On Loan: No      |
| United States Treasury Bills                                     | B 0 04/14/26                                                  | CUSIP: 912797TH0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    750000 | PA      | $749013.49    | 0.59%             | 2026-04-14      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Cars Db4 LP                                                      | CAUTO 2024-2A A1                                              | CUSIP: 12510HAV2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    563000 | PA      | $562702.85    | 0.44%             | 2054-05-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                            | FNR 2023-54 GA                                                | CUSIP: 3136BQRA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    486468 | PA      | $490473.16    | 0.38%             | 2049-04-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| ALTERNATIVE LOAN TRUST 2007-OA7                                  | CWALT 2007-OA7 A1B                                            | CUSIP: 126680AB3<br>LEI: 549300QTQ6MX6ER06N64 | Long             | ABS-O            | CORP              | US        |    546376 | PA      | $506880.40    | 0.40%             | 2047-05-25      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| Weir Group PLC                                                   | WEIRLN 2.2 05/13/26 144A                                      | CUSIP: 94876QAA4<br>LEI: 549300KDR56WHY9I3D10 | Long             | DBT              | CORP              | GB        |    950000 | PA      | $946755.05    | 0.74%             | 2026-05-13      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| CERBERUS LOAN FUNDING 53 LLC                                     | CERB 2025-4A B                                                | CUSIP: 15674YAC2<br>LEI: 635400YQBXB1DKX6JK08 | Long             | ABS-CBDO         | CORP              | US        |    650000 | PA      | $647947.50    | 0.51%             | 2038-01-15      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| STWD 2025-FL4 LLC                                                | STWD 2025-FL4 AS                                              | CUSIP: 863922AC4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1250000 | PA      | $1243775.00   | 0.98%             | 2042-11-19      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| STAR 2025-SFR6 TRUST                                             | STAR 2025-SFR6 A                                              | CUSIP: 85520EAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    750000 | PA      | $750000.00    | 0.59%             | 2042-08-19      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| Block Inc                                                        | XYZ 2.75 06/01/26                                             | CUSIP: 852234AN3<br>LEI: 549300OHIIUWSTIZME52 | Long             | DBT              | CORP              | US        |    150000 | PA      | $149316.11    | 0.12%             | 2026-06-01      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2021-12                                 | JPMMT 2021-12 A6                                              | CUSIP: 46592WAN6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    994670 | PA      | $931073.33    | 0.73%             | 2052-02-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| OWL ROCK CLO IV LTD                                              | OR 2020-4A A1R                                                | CUSIP: 691200AC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1654712 | PA      | $1653311.22   | 1.30%             | 2033-08-22      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| FTAI AIRCRAFT LEASING DDTL UNF                                   | FTAI AIRCRAFT LEASING DDTL UNF                                | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    202627 | PA      | $0.20         | 0.00%             | 2031-03-27      | Floating      | 0.00%                 | No            |                  3 | On Loan: No      |
| NLT 2026-NQM1 TRUST                                              | NLT 2026-NQM1 TRUST CMO 2071-02-25 USD                        | CUSIP: 62916WAJ1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    950000 | PA      | $993218.64    | 0.78%             | 2071-02-25      | Variable      | 6.61%                 | No            |                  2 | On Loan: No      |
| CITIBANK, NATIONAL ASSOCIATION                                   | SWOP IRS USD                                                  | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DIR              | CORP              | US        |    437000 | NC      | $2010.67      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Penske Truck Leasing Co LP / PTL Finance Corp.                   | PENSKE 5.35 01/12/27 144A                                     | CUSIP: 709599BY9<br>LEI: 549300ZX07JYMI8GHQ39 | Long             | DBT              | CORP              | US        |   1650000 | PA      | $1658825.39   | 1.30%             | 2027-01-12      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| THE TORONTO-DOMINION BANK                                        | SWOP IRS USD                                                  | CUSIP: 000000000<br>LEI: PT3QB789TSUIDF371261 | N/A              | DIR              | CORP              | CA        |   -163000 | NC      | $-473.36      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Provident Funding Mortgage Tru                                   | Provident Funding Mortgage Trust 2026-1                       | CUSIP: 74386PAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    147537 | PA      | $145528.94    | 0.11%             | 2056-01-25      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SECURITIES CORP TRUST 2007-9                    | SASC 2007-BC4 A1                                              | CUSIP: 86365DAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    662182 | PA      | $647854.01    | 0.51%             | 2037-11-25      | Floating      | 4.42%                 | No            |                  2 | On Loan: No      |
| Mizuho Financial Group Inc.                                      | MIZUHO V5.414 09/13/28                                        | CUSIP: 60687YCL1<br>LEI: 353800CI5L6DDAN5XZ33 | Long             | DBT              | CORP              | JP        |    800000 | PA      | $810787.66    | 0.64%             | 2028-09-13      | Fixed         | 5.41%                 | No            |                  2 | On Loan: No      |
| HSBC Holdings PLC                                                | HSBC V5.597 05/17/28                                          | CUSIP: 404280EF2<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |   1600000 | PA      | $1617974.06   | 1.27%             | 2028-05-17      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| COLT 2023-3 MORTGAGE LOAN TRUST                                  | COLT 2023-3 A1                                                | CUSIP: 19688RAA7<br>LEI: 213800MIPEZY1A8W1N28 | Long             | ABS-O            | CORP              | US        |    287859 | PA      | $289517.96    | 0.23%             | 2068-09-25      | Variable      | 7.18%                 | No            |                  2 | On Loan: No      |
| BARCLAYS MORTGAGE LOAN TRUST 2026-CES1                           | BARC 2026-CES1 A1A                                            | CUSIP: 06690CAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    196163 | PA      | $194247.72    | 0.15%             | 2056-01-25      | Variable      | 4.84%                 | No            |                  2 | On Loan: No      |
| Mutual Of Omaha Cps Global Funding                               | MUTOMA 5.35 04/09/27 144A                                     | CUSIP: 62829D2D1<br>LEI: 635400AL5J3F1ZPTAN95 | Long             | DBT              | CORP              | US        |   1750000 | PA      | $1765386.18   | 1.39%             | 2027-04-09      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| Citadel Enterprise                                               | Citadel Enterprise Term Loan B 200 2031-10-01                 | CUSIP: 17288YAN2<br>LEI: 549300NV5RXBUS3X7L47 | Long             | LON              | CORP              | US        |    323431 | PA      | $323612.06    | 0.25%             | 2031-10-31      | Floating      | 5.70%                 | No            |                  2 | On Loan: No      |
| US Foods Inc                                                     | USFOOD 7.25 01/15/32 144A                                     | CUSIP: 90290MAH4<br>LEI: 5493000JOOFAOUY1JZ87 | Long             | DBT              | CORP              | US        |    150000 | PA      | $155215.12    | 0.12%             | 2032-01-15      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, NATIONAL ASSOCIATION                            | SWOP IRS USD                                                  | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DIR              | CORP              | US        |   -272000 | NC      | $-1035.31     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Figre Trust 2023-HE1                                             | FIGRE 2024-HE5 A                                              | CUSIP: 31684FAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    351531 | PA      | $352991.34    | 0.28%             | 2054-10-25      | Variable      | 5.44%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                                 | Three-Month SOFR Futures, Dec-2026,ETH                        | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |       -26 | NC      | $34026.64     | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| ICON Investments Six DAC                                         | ICLR 5.809 05/08/27                                           | CUSIP: 45115AAA2<br>LEI: 635400FQ1M7J2CHLAS59 | Long             | DBT              | CORP              | IE        |   1600000 | PA      | $1608101.25   | 1.26%             | 2027-05-08      | Fixed         | 5.81%                 | No            |                  2 | On Loan: No      |
| BANK OF MONTREAL                                                 | BANK OF MONTREAL CHICAGO TRI PARTY                            | CUSIP: 000000000<br>LEI: NQQ6HPCNCCU6TUTQYE16 | Long             | RA               | CORP              | US        |    750672 | PA      | $750672.00    | 0.59%             |  |  |  | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TRUST 2005-4                            | HVMLT 2006-14 2A1A                                            | CUSIP: 41162NAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    487049 | PA      | $464663.60    | 0.36%             | 2047-01-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| CDW FINANCE CORP                                                 | CDW 2.67 12/01/26                                             | CUSIP: 12513GBG3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1450000 | PA      | $1433088.36   | 1.12%             | 2026-12-01      | Fixed         | 2.67%                 | No            |                  2 | On Loan: No      |
| FS RIALTO 2021-FL3 ISSUER LTD                                    | FSRIA 2021-FL3 B                                              | CUSIP: 30323CAE0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $1996845.80   | 1.57%             | 2036-11-18      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2019-B14 MORTGAGE TRUST                                | BMARK 2019-B14 XA                                             | CUSIP: 08162YAK8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  21262362 | PA      | $390795.83    | 0.31%             | 2062-12-15      | Variable      | 0.76%                 | No            |                  2 | On Loan: No      |
| Venture Global Plaquemines Lng LLC                               | VEGLPL 6.125 12/15/30 144A                                    | CUSIP: 922966AE6<br>LEI: 549300TKP4I6OJ02BF90 | Long             | DBT              | CORP              | US        |    125000 | PA      | $128553.25    | 0.10%             | 2030-12-15      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| Home Eqty Ln Tst                                                 | HELT 2007-FRE1 1AV1                                           | CUSIP: 43710XAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1232020 | PA      | $1174989.45   | 0.92%             | 2037-04-25      | Floating      | 3.98%                 | No            |                  2 | On Loan: No      |
| CITIBANK, NATIONAL ASSOCIATION                                   | SWOP IRS USD                                                  | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DIR              | CORP              | US        |   -437000 | NC      | $-1269.08     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Dreyfus Treasury Obligations Cash Management                     | Dreyfus Treasury Obligations Cash Management TREASURY INSTNAL | CUSIP: 261908107<br>LEI: 549300MKKM9KT7BF6329 | Long             | STIV             | RF                | US        |   2568880 | NS      | $2568880.11   | 2.02%             |  |  |  | No            |                  1 | On Loan: No      |
| BARCLAYS BANK PLC                                                | SWOP IRS USD                                                  | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DIR              | CORP              | GB        |    163000 | NC      | $891.26       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FIGRE TRUST 2026-HE2                                             | FIGRE 2026-HE2 A                                              | CUSIP: 31684VAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    150000 | PA      | $148763.13    | 0.12%             | 2056-01-25      | Variable      | 5.05%                 | No            |                  2 | On Loan: No      |
| American National Group Inc.                                     | ANGINC 5 06/15/27                                             | CUSIP: 025676AM9<br>LEI: 549300RK5RZQ740FPL83 | Long             | DBT              | CORP              | US        |    240000 | PA      | $238680.28    | 0.19%             | 2027-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Starwood Capital Group                                           | STAR 2026-SFR7 Trust                                          | CUSIP: 85520GAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    300000 | PA      | $300000.00    | 0.24%             | 2043-05-17      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                      | BNP PARIBAS TRI PARTY                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | RA               | CORP              | US        |   1299240 | PA      | $1299240.00   | 1.02%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2026-VIS1                               | JPMMT 2026-VIS1 A1                                            | CUSIP: 46660PAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    744740 | PA      | $738519.21    | 0.58%             | 2066-06-01      | Variable      | 4.79%                 | No            |                  2 | On Loan: No      |
| Salesforce Inc.                                                  | CRM 4.65 03/15/29                                             | CUSIP: 79466LAR5<br>LEI: RCGZFPDMRW58VJ54VR07 | Long             | DBT              | CORP              | US        |    300000 | PA      | $300621.27    | 0.24%             | 2029-03-15      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| Live Nation Entertainment, Inc.                                  | LYV 6.5 05/15/27 144A                                         | CUSIP: 538034AV1<br>LEI: 5493007B9BM9ZXJINO78 | Long             | DBT              | CORP              | US        |    900000 | PA      | $901144.80    | 0.71%             | 2027-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FIGRE TRUST 2023-HE1                                             | FIGRE 2026-HE1 B                                              | CUSIP: 30249NAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    481042 | PA      | $476118.65    | 0.37%             | 2056-01-25      | Variable      | 5.18%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. INTERNATIONAL PLC                           | SWOP IRS USD                                                  | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DIR              | CORP              | GB        |   -489000 | NC      | $-1861.27     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ALIGNED DATA CENTERS ISSUER LLC                                  | ADC 2021-1A A2                                                | CUSIP: 01627AAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1233000 | PA      | $1220407.99   | 0.96%             | 2046-08-15      | Fixed         | 1.94%                 | No            |                  2 | On Loan: No      |
| CFMT 2022-HB9 LLC                                                | CFMT 2022-HB9 A                                               | CUSIP: 12530GAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    352815 | PA      | $348136.19    | 0.27%             | 2037-09-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| GABX Leasing LLC                                                 | GATX 4.625 04/15/31 144A                                      | CUSIP: 36274FAA7<br>LEI: 25490085PXP0WGRIRI44 | Long             | DBT              | CORP              | US        |    300000 | PA      | $295744.28    | 0.23%             | 2031-04-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Acrec 2026-FL4 LLC                                               | ACREC 2026-FL4 AS                                             | CUSIP: 004970AB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    650000 | PA      | $647918.38    | 0.51%             | 2043-01-18      | Fixed         | 5.28%                 | No            |                  2 | On Loan: No      |
| FTAI AIRCRAFT LEASING DDTL FUNDED                                | FTAI AIRCRAFT LEASING DDTL FUNDED                             | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    147373 | PA      | $147373.21    | 0.12%             | 2031-03-27      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| THE TORONTO-DOMINION BANK                                        | SWOP IRS USD                                                  | CUSIP: 000000000<br>LEI: PT3QB789TSUIDF371261 | N/A              | DIR              | CORP              | CA        |    214000 | NC      | $984.63       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| OBX 2024-NQM1 TRUST                                              | OBX 2024-NQM1 A2                                              | CUSIP: 67448LAB8<br>LEI: 254900UI1468MQ7I8472 | Long             | ABS-O            | CORP              | US        |    386217 | PA      | $387554.62    | 0.30%             | 2063-11-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| OBX 2025-R1 TRUST                                                | OBX 2025-R1 A2                                                | CUSIP: 67123GAD7<br>LEI: 254900UIO03AL696QM79 | Long             | ABS-O            | CORP              | US        |     95977 | PA      | $95251.26     | 0.07%             | 2062-09-25      | Variable      | 5.09%                 | No            |                  2 | On Loan: No      |
| CROSS 2026-NQM1 MORTGAGE TRUST                                   | CROSS 2026-NQM1 A2                                            | CUSIP: 22758EAF4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    147617 | PA      | $145895.72    | 0.11%             | 2061-02-25      | Variable      | 4.95%                 | No            |                  2 | On Loan: No      |
| OBX TRUST2024-NQM5                                               | OBX 2024-NQM5 A1                                              | CUSIP: 67448NAA6<br>LEI: 254900RDM4XSF0B1E373 | Long             | ABS-O            | CORP              | US        |   1748820 | PA      | $1758010.38   | 1.38%             | 2064-01-25      | Variable      | 5.99%                 | No            |                  2 | On Loan: No      |
| Vontier Corporation                                              | VNT 1.8 04/01/26                                              | CUSIP: 928881AB7<br>LEI: 549300VVSQLG4P5K4639 | Long             | DBT              | CORP              | US        |    850000 | PA      | $850000.00    | 0.67%             | 2026-04-01      | Fixed         | 1.80%                 | No            |                  2 | On Loan: No      |
| FIGRE TRUST 2023-HE1                                             | FIGRE 2026-HE1 A                                              | CUSIP: 30249NAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    481042 | PA      | $477088.95    | 0.37%             | 2056-01-25      | Variable      | 4.98%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust 2018-2                       | NRZT 2018-2A A1B                                              | CUSIP: 64828CAG4<br>LEI: 549300U1MV4J7YQZG974 | Long             | ABS-O            | CORP              | US        |    569209 | PA      | $542664.28    | 0.43%             | 2058-02-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| OBX 2024-NQM7 TRUST                                              | OBX 2024-NQM7 A1                                              | CUSIP: 67119FAA1<br>LEI: 254900FVMB3WTXJGGR91 | Long             | ABS-O            | CORP              | US        |    854738 | PA      | $861410.72    | 0.68%             | 2064-03-25      | Variable      | 6.24%                 | No            |                  2 | On Loan: No      |
| BARCLAYS BANK PLC                                                | SWOP IRS USD                                                  | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DIR              | CORP              | GB        |   -163000 | NC      | $-619.07      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES I TRUST 2004-AC5            | BSABS 2006-HE9 2A                                             | CUSIP: 07389MAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    221739 | PA      | $219367.89    | 0.17%             | 2036-11-25      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| The Charles Schwab Corporation                                   | SCHW V4 PERP I                                                | CUSIP: 808513BK0<br>LEI: 549300VSGCJ7E698NM85 | Long             | DBT              | CORP              | US        |    200000 | PA      | $198639.40    | 0.16%             | N/A             | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Cushman & Wakefield U S Borrower LLC                             | CWK 6.75 05/15/28 144A                                        | CUSIP: 23166MAA1<br>LEI: 549300870CMN3WI5IF97 | Long             | DBT              | CORP              | US        |    300000 | PA      | $300433.13    | 0.24%             | 2028-05-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| BXHPP TRUST 2021-FILM                                            | BXHPP 2021-FILM C                                             | CUSIP: 05609JAL6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $433750.00    | 0.34%             | 2036-08-15      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| FIGRE TRUST 2025-HE8                                             | FIGRE 2025-HE8 A                                              | CUSIP: 30191WAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    275210 | PA      | $273484.77    | 0.21%             | 2055-11-25      | Variable      | 5.21%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. INTERNATIONAL PLC                           | SWOP IRS USD                                                  | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DIR              | CORP              | GB        |    489000 | NC      | $2677.73      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FactSet Research Systems Inc.                                    | FDS 2.9 03/01/27                                              | CUSIP: 303075AA3<br>LEI: 549300ZSJE7NBK6K9P30 | Long             | DBT              | CORP              | US        |   1500000 | PA      | $1474421.49   | 1.16%             | 2027-03-01      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2022-LP2                            | BX 2022-LP2 C                                                 | CUSIP: 05610HAE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    770000 | PA      | $769518.75    | 0.60%             | 2039-02-15      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| SLAM 2021-1 LLC                                                  | SLAM 2021-1A A                                                | CUSIP: 78449AAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    515900 | PA      | $489065.77    | 0.38%             | 2046-06-15      | Fixed         | 2.43%                 | No            |                  2 | On Loan: No      |
| HLEND CLO 2026-5 LLC                                             | HLEND 2026-5A A2                                              | CUSIP: 403967AC6<br>LEI: 529900N6JRXPABMGOA33 | Long             | ABS-CBDO         | CORP              | US        |    300000 | PA      | $299999.13    | 0.24%             | 2039-04-15      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| Legacy Mortgage Trust 2018-Rpl5                                  | LMAT 2021-GS2 A1                                              | CUSIP: 52476DAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    395752 | PA      | $396443.26    | 0.31%             | 2061-04-25      | Variable      | 5.75%                 | No            |                  2 | On Loan: No      |
| ACRES COMMERCIAL REALTY 2021-FL2 ISSUER LTD                      | ACRES 2026-FL4 AS                                             | CUSIP: 00501XAC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    650000 | PA      | $648314.23    | 0.51%             | 2044-08-18      | Variable      | 5.45%                 | No            |                  2 | On Loan: No      |
| SOLRR AIRCRAFT 2021-1 LTD                                        | SOLRR 2021-1 A                                                | CUSIP: 83438LAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |    673365 | PA      | $639493.77    | 0.50%             | 2046-10-15      | Fixed         | 2.64%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST 2021-3                                | VERUS 2021-3 A3                                               | CUSIP: 92539LAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    162292 | PA      | $145126.59    | 0.11%             | 2066-06-25      | Variable      | 1.44%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2026-CES1                               | JPMMT 2026-CES1 A1A                                           | CUSIP: 46660BAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    339631 | PA      | $336912.62    | 0.26%             | 2056-06-26      | Variable      | 4.91%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, NATIONAL ASSOCIATION                            | SWOP IRS USD                                                  | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DIR              | CORP              | US        |    272000 | NC      | $1244.97      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| OAK STREET INVESTMENT GRADE NET LEASE FUND SERIES 2020-1 LLC     | OAKIG 2020-1A A1                                              | CUSIP: 67181DAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2694066 | PA      | $2452375.76   | 1.92%             | 2050-11-20      | Fixed         | 1.85%                 | No            |                  2 | On Loan: No      |
| Kkr Clo 16 Ltd. / Kkr Clo 16 LLC                                 | KKR 16 A2R3                                                   | CUSIP: 48251BBG4<br>LEI: 254900VCKMCY079T6M57 | Long             | ABS-CBDO         | CORP              | KY        |    650000 | PA      | $647712.07    | 0.51%             | 2034-10-20      | Variable      | 5.27%                 | No            |                  2 | On Loan: No      |
| LPL Holdings Inc.                                                | LPLA 5.7 05/20/27                                             | CUSIP: 50212YAJ3<br>LEI: 549300Z5YF8CCRMYUL26 | Long             | DBT              | CORP              | US        |   1550000 | PA      | $1564313.57   | 1.23%             | 2027-05-20      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| OBX TRUST 2024-NQM8                                              | OBX 2024-NQM8 A1                                              | CUSIP: 67119CAA8<br>LEI: 254900Y1YRD8JNADSC78 | Long             | ABS-O            | CORP              | US        |    885567 | PA      | $892967.45    | 0.70%             | 2064-05-25      | Variable      | 6.23%                 | No            |                  2 | On Loan: No      |
| IMPERIAL FUND MTG                                                | IMPRL 2022-NQM2 A2                                            | CUSIP: 45276PAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1228056 | PA      | $1154631.54   | 0.91%             | 2067-03-25      | Variable      | 4.02%                 | No            |                  2 | On Loan: No      |
| GCAT 2024-NQM2                                                   | GCAT 2024-NQM2 A1                                             | CUSIP: 36831CAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    787410 | PA      | $792774.88    | 0.62%             | 2059-06-25      | Variable      | 6.08%                 | No            |                  2 | On Loan: No      |
| Air Canada                                                       | ACACN 3.875 08/15/26 144A                                     | CUSIP: 008911BK4<br>LEI: 4B4HI3CGXMBDC0G6BM51 | Long             | DBT              | CORP              | CA        |    330000 | PA      | $328355.15    | 0.26%             | 2026-08-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Cifc Funding 2015-IV Limited                                     | CIFC 2015-4A A2R3                                             | CUSIP: 12550TBL8<br>LEI: 549300ZXX0SJBZWIWI81 | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $497503.95    | 0.39%             | 2039-01-18      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL MORTGAGE LOAN TRUST 2020-1                           | RMLT 2020-1 A1                                                | CUSIP: 76119CAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      9919 | PA      | $9881.50      | 0.01%             | 2060-01-25      | Variable      | 2.38%                 | No            |                  3 | On Loan: No      |
| Triton Container International Ltd.                              | TRTN 2.05 04/15/26 144A                                       | CUSIP: 89680YAA3<br>LEI: 549300O4LZFLCX53XZ54 | Long             | DBT              | CORP              | BM        |    900000 | PA      | $899037.43    | 0.71%             | 2026-04-15      | Fixed         | 2.05%                 | No            |                  2 | On Loan: No      |
| ELDRIDGE CLO 2025-2 LTD                                          | ELD 2025-2A A2                                                | CUSIP: 28473AAC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    150000 | PA      | $149251.53    | 0.12%             | 2039-01-20      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| Brown & Brown Inc                                                | BRO 4.6 12/23/26                                              | CUSIP: 115236AH4<br>LEI: 549300PC8KTJ71XKFY89 | Long             | DBT              | CORP              | US        |    175000 | PA      | $175516.68    | 0.14%             | 2026-12-23      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| Jackson National Life Global Funding                             | JXN 5.6 04/10/26 144A                                         | CUSIP: 46849LUZ2<br>LEI: 635400PQXLYXWJI5QD78 | Long             | DBT              | CORP              | US        |   1600000 | PA      | $1600365.02   | 1.26%             | 2026-04-10      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| SLM CORP (SALLIE MAE)                                            | SLM 3.125 11/02/26                                            | CUSIP: 78442PGE0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    600000 | PA      | $594469.13    | 0.47%             | 2026-11-02      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| STARWOOD MORTGAGE RESIDENTIAL TRUST 2020-1                       | STAR 2020-1 A1                                                | CUSIP: 85573AAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     28711 | PA      | $27411.94     | 0.02%             | 2050-02-25      | Variable      | 2.27%                 | No            |                  3 | On Loan: No      |
| TRICON RESIDENTIAL 2025-SFR2 TRUST                               | TCN 2025-SFR2 B                                               | CUSIP: 89617FAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    174826 | PA      | $173538.95    | 0.14%             | 2044-08-18      | Fixed         | 5.42%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK, NATIONAL ASSOCIATION                        | SWOP IRS USD                                                  | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DIR              | CORP              | US        |   -326000 | NC      | $-946.72      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PFP 2026-13 LTD                                                  | PFP 2026-13 AS                                                | CUSIP: 716966AC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    650000 | PA      | $648881.81    | 0.51%             | 2043-08-18      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| HOMES TR 2024-AFC2                                               | HOMES 2024-AFC2 A1                                            | CUSIP: 437920AC5<br>LEI: 254900GDF2MBHUV58Z95 | Long             | ABS-O            | CORP              | US        |    354905 | PA      | $356030.80    | 0.28%             | 2059-10-25      | Variable      | 5.58%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK, NATIONAL ASSOCIATION                        | SWOP IRS USD                                                  | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DIR              | CORP              | US        |    326000 | NC      | $1490.16      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Standard Chartered PLC                                           | STANLN V5.688 05/14/28 144A                                   | CUSIP: 853254DB3<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |   1600000 | PA      | $1618924.06   | 1.27%             | 2028-05-14      | Fixed         | 5.69%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST 2021-6                                | VERUS 2021-6 A3                                               | CUSIP: 92538MAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    483446 | PA      | $423681.38    | 0.33%             | 2066-10-25      | Variable      | 1.89%                 | No            |                  2 | On Loan: No      |
| Nationwide Building Society                                      | NWIDE V4.649 07/14/29 144A                                    | CUSIP: 63861VAM9<br>LEI: 549300XFX12G42QIKN82 | Long             | DBT              | CORP              | GB        |    550000 | PA      | $550496.27    | 0.43%             | 2029-07-14      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| Element Fleet Management Corp                                    | EFNCN 6.271 06/26/26 144A                                     | CUSIP: 286181AH5<br>LEI: 5493000PGBS1C22ELQ16 | Long             | DBT              | CORP              | CA        |   1700000 | PA      | $1704428.14   | 1.34%             | 2026-06-26      | Fixed         | 6.27%                 | No            |                  2 | On Loan: No      |
| Global Payments Inc                                              | GPN 4.95 08/15/27                                             | CUSIP: 37940XAP7<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |   1600000 | PA      | $1602963.20   | 1.26%             | 2027-08-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| SG RESIDENTIAL MORTGAGE TRUST 2025-1                             | SGR 2025-1 A1                                                 | CUSIP: 81880NAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    197724 | PA      | $197021.06    | 0.15%             | 2065-12-26      | Variable      | 5.10%                 | No            |                  2 | On Loan: No      |
| Legacy Mortgage Asset Trust 2021-GS4                             | LMAT 2021-GS4 A1                                              | CUSIP: 52475WAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    822509 | PA      | $823019.35    | 0.65%             | 2060-11-25      | Variable      | 5.65%                 | No            |                  2 | On Loan: No      |
| CSMC 2020-West                                                   | CSMC 2021-RPL4 A1                                             | CUSIP: 12662GAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    414532 | PA      | $413074.55    | 0.32%             | 2060-12-27      | Variable      | 4.15%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST 2025-12                               | VERUS 2025-12 A3                                              | CUSIP: 92490FAM2<br>LEI: 2138009XAW9T934GL239 | Long             | ABS-O            | CORP              | US        |    294884 | PA      | $293680.25    | 0.23%             | 2070-12-25      | Variable      | 5.37%                 | No            |                  2 | On Loan: No      |
| Iqvia Inc                                                        | IQV 5 05/15/27 144A                                           | CUSIP: 46266TAA6<br>LEI: 549300PLWY28YB00C717 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $996219.40    | 0.78%             | 2027-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| LEGACY MORTGAGE ASSET TRUST 2021-GS3                             | LMAT 2021-GS3 A1                                              | CUSIP: 52474XAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1046031 | PA      | $1046363.98   | 0.82%             | 2061-07-25      | Variable      | 5.75%                 | No            |                  2 | On Loan: No      |
| FS RIALTO 2026-FL11 ISSUER LLC                                   | FSRIA 2026-FL11 AS                                            | CUSIP: 30343TAC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    100000 | PA      | $99657.70     | 0.08%             | 2044-01-19      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| MAPS TRUST 2026-1                                                | MAPSL 2026-1A A                                               | CUSIP: 55293WAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    246970 | PA      | $241240.56    | 0.19%             | 2051-01-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust 2020-1                       | NRZT 2020-1A A1B                                              | CUSIP: 64830TAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    627317 | PA      | $587421.89    | 0.46%             | 2059-10-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                      | BOFA SECURITIES INC TRI PARTY                                 | CUSIP: 000000000<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | RA               | CORP              | US        |   1732320 | PA      | $1732320.00   | 1.36%             |  |  |  | No            |                  2 | On Loan: No      |
| World Wide Technology Inc                                        | World Wide Technology Inc Term Loan B (Add-on) 225 2030-03-01 | CUSIP: 98164AAE3<br>LEI: 213800MTFQARCZL1PY64 | Long             | LON              | CORP              | US        |    218142 | PA      | $216916.28    | 0.17%             | 2030-03-01      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| VB-S1 ISSUER LLC                                                 | VBTEL 2026-1A C2                                              | CUSIP: 91825HAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $491272.45    | 0.39%             | 2056-03-15      | Fixed         | 4.69%                 | No            |                  2 | On Loan: No      |
| BARCLAYS BANK PLC                                                | SWOP IRS USD                                                  | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DIR              | CORP              | GB        |   -271000 | NC      | $-1031.50     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Brighthouse Financial Global Funding                             | BHF 5.55 04/09/27 144A                                        | CUSIP: 10921U2J6<br>LEI: 549300BLFX3KJ2IFOA78 | Long             | DBT              | CORP              | US        |   2700000 | PA      | $2717371.37   | 2.13%             | 2027-04-09      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| ANGEL OAK MORTGAGE TRUST 2024-4                                  | AOMT 2024-4 A1                                                | CUSIP: 034943AA8<br>LEI: 25490046TFINGL6XED11 | Long             | ABS-O            | CORP              | US        |    513644 | PA      | $517349.62    | 0.41%             | 2069-01-25      | Variable      | 6.20%                 | No            |                  2 | On Loan: No      |
| F&G Global Funding                                               | FG 5.875 06/10/27 144A                                        | CUSIP: 30321L2G6<br>LEI: 6354009CCUKJIZ7KFX73 | Long             | DBT              | CORP              | US        |   2100000 | PA      | $2124640.48   | 1.67%             | 2027-06-10      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Voya Global Funding                                              | VOYA 4.6 11/24/30 144A                                        | CUSIP: 92921LAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    150000 | PA      | $147734.45    | 0.12%             | 2030-11-24      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| CF HIPPOLYTA ISSUER LLC                                          | SORT 2021-1A B1                                               | CUSIP: 12530MAG0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    942448 | PA      | $574121.90    | 0.45%             | 2061-03-15      | Fixed         | 1.98%                 | No            |                  2 | On Loan: No      |
| LAKE SHORE MM CLO I LTD                                          | THLLS 2019-1A A1R                                             | CUSIP: 510800AC9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    540291 | PA      | $541631.87    | 0.42%             | 2033-04-15      | Floating      | 5.63%                 | No            |                  2 | On Loan: No      |
| PMT LOAN TRUST 2026-CNF3                                         | PMTLT 2026-CNF3 A5                                            | CUSIP: 69383XAE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    300000 | PA      | $299578.69    | 0.24%             | 2057-04-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| GREENSKY HOME IMPROVEMENT ISSUER TRUST 2025-3                    | GSKY 2025-3A C                                                | CUSIP: 39571WAE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    150000 | PA      | $149508.39    | 0.12%             | 2060-12-27      | Fixed         | 4.86%                 | No            |                  2 | On Loan: No      |
| TEXTAINER MARINE CONTAINERS VII LTD                              | TMCL 2020-1A A                                                | CUSIP: 88315LAE8<br>LEI: 549300X48KLHDDGPK024 | Long             | ABS-O            | CORP              | BM        |    215804 | PA      | $208034.06    | 0.16%             | 2045-08-20      | Fixed         | 2.73%                 | No            |                  2 | On Loan: No      |
| Soundview Home Loan Trust 2005-Opt1                              | SVHE 2006-OPT5 1A1                                            | CUSIP: 83612CAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    637121 | PA      | $624451.41    | 0.49%             | 2036-07-25      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| Universal Health Services, Inc.                                  | UHS 1.65 09/01/26                                             | CUSIP: 913903AZ3<br>LEI: 549300YGMGQDO0NMJD09 | Long             | DBT              | CORP              | US        |   1950000 | PA      | $1926699.26   | 1.51%             | 2026-09-01      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| PRPM 2026-2 LLC                                                  | PRPM 2026-2 A1                                                | CUSIP: 74390XAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    119288 | PA      | $118908.75    | 0.09%             | 2031-02-25      | Variable      | 5.09%                 | No            |                  2 | On Loan: No      |
| LRECS 2025-CRE1 LLC                                              | LRECS 2025-CRE1 AS                                            | CUSIP: 50230AAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    200000 | PA      | $199587.00    | 0.16%             | 2043-08-19      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| LG Energy Solution Ltd.                                          | LGENSO 5 04/02/29 144A                                        | CUSIP: 50205MAK5<br>LEI: 988400QX6P286XA6ZS85 | Long             | DBT              | CORP              | KR        |    400000 | PA      | $400543.85    | 0.31%             | 2029-04-02      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CERBERUS LOAN FUNDING XXXII LP                                   | CERB 2021-2A A                                                | CUSIP: 15674LAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    840999 | PA      | $841671.50    | 0.66%             | 2033-04-22      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| LIFE 2021-BMR MORTGAGE TRUST                                     | LIFE 2021-BMR C                                               | CUSIP: 53218CAE0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    101460 | PA      | $100445.26    | 0.08%             | 2038-03-15      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                                 | Three-Month SOFR Futures, Dec-2027,ETH                        | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |        26 | NC      | $-25804.20    | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| Federal National Mortgage Association                            | FNR 2025-64 BA                                                | CUSIP: 3136BWY91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    245764 | PA      | $245153.73    | 0.19%             | 2052-05-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Protective Life Corp.                                            | PROTLI 4.7 01/15/31 144A                                      | CUSIP: 743674BF9<br>LEI: 549300ZWIT8J8Y2EXL07 | Long             | DBT              | CORP              | US        |    300000 | PA      | $297109.67    | 0.23%             | 2031-01-15      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                      | SWOP IRS USD                                                  | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DIR              | CORP              | FR        |   -327000 | NC      | $-953.30      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NYMT LOAN TRUST 2026-INV2                                        | NYMT 2026-INV2 A2                                             | CUSIP: 62957XAF7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    175000 | PA      | $175963.10    | 0.14%             | 2061-04-25      | Variable      | 5.63%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2018-2                                 | TPMT 2018-2 A1                                                | CUSIP: 89175VAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    129940 | PA      | $128879.94    | 0.10%             | 2058-03-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| TEXTAINER MARINE CONTAINERS VII LTD                              | TMCL 2021-1A A                                                | CUSIP: 88315LAL2<br>LEI: 549300X48KLHDDGPK024 | Long             | ABS-O            | CORP              | BM        |    593333 | PA      | $557588.38    | 0.44%             | 2046-02-20      | Fixed         | 1.68%                 | No            |                  2 | On Loan: No      |
| Jabil Inc                                                        | JBL 4.25 05/15/27                                             | CUSIP: 466313AM5<br>LEI: 5493000CGCQY2OQU7669 | Long             | DBT              | CORP              | US        |    250000 | PA      | $249357.81    | 0.20%             | 2027-05-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2026-CES1                              | TPMT 2026-CES1 A1                                             | CUSIP: 89190LAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    635074 | PA      | $631102.13    | 0.50%             | 2066-01-25      | Variable      | 4.96%                 | No            |                  2 | On Loan: No      |
| Bravo Residential Funding Trust 2025-NQM7                        | BRAVO 2025-NQM7 A1                                            | CUSIP: 10570TAP0<br>LEI: 254900I1LYOO3G3UAT10 | Long             | ABS-O            | CORP              | US        |    129784 | PA      | $130197.87    | 0.10%             | 2065-07-25      | Variable      | 5.46%                 | No            |                  2 | On Loan: No      |
| BARCLAYS BANK PLC                                                | SWOP IRS USD                                                  | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DIR              | CORP              | GB        |    272000 | NC      | $1244.97      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2026-06-01

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

**Signature:** James Howley

**Name of Signer:** James Howley

**Title:** Chief Financial Officer