# EDGAR Filing Document

**Accession Number:** 0001601445
**File Stem:** 0000940400-26-009419
**Filing Date:** 2026-3
**Character Count:** 74449
**Document Hash:** 292dcb908865c973b12472742d9d142e
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0000940400-26-009419.hdr.sgml**: 20260302

**ACCESSION NUMBER**: 0000940400-26-009419

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 2

**CONFORMED PERIOD OF REPORT**: 20251231

**FILED AS OF DATE**: 20260302

**DATE AS OF CHANGE**: 20260227

**PERIOD START**: 20260930

**FILER**: 

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

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

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-22946
- **FILM NUMBER:** 26703012

**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 III (Series ID: S000045497)

| Class ID   | Class Name                   | Ticker Symbol   |
|:---|:---|:---|
| C000141591 | Guggenheim Strategy Fund III |  |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

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

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

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

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

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

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

  - **City:** ROCKVILLE

  - **State:** MD

  - **Foreign country:** US

  - **Zip / Postal Code:** 20850

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

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

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

- **b. EDGAR series identifier (if any):** S000045497

- **c. LEI of Series:** 549300QC2B06ET4AEJ54

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

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

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

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $131008811.38

**Total Liabilities:** $2247279.61

**Net Assets:** $128761531.77

**Delayed Delivery Securities:** $650000.00

**Cash Not Reported:** $3315822.78

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 2380.69864092 | **1-Year:** 9966.58898176 | **5-Year:** 5899.55981730 | **10-Year:** 2407.03838631 | **30-Year:** 333.64908874

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

- **3-Month:** 305.34711251 | **1-Year:** 390.73809732 | **5-Year:** 939.98442681 | **10-Year:** 110.59949327 | **30-Year:** 0.00000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000141591 | 0.45%                | 0.34%                | 0.29%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $15642.00                | $-11470.78                                 |
| Month 2  | $2080.57                 | $-2441.36                                  |
| Month 3  | $1231.53                 | $-231866.25                                |

**Designated Index Information**

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

- **Index Identifier:** N/A

### Schedule of Portfolio Investments

| Name                                              | Title                                                                       | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |   Balance | Units   | Value (USD)   | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| CHICAGO MERCANTILE EXCHANGE INC.                  | IRS USD                                                                     | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |         1 | NC      | $39920.22     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| PRIME SECURITY SERVICES BOR                       | PRIME SECURITY SERVICES BOR                                                 | CUSIP: 03765VAQ3<br>LEI: 549300O6QPZVWXV2DC15 | Long             | LON              | CORP              | US        |     99550 | PA      | $99232.57     | 0.08%             | 2032-03-08      | Floating      | 5.58%                 | No            |                  2 | On Loan: No      |
| F&G GLOBAL FUNDING                                | F&G Global Funding                                                          | CUSIP: 30321L2G6<br>LEI: 6354009CCUKJIZ7KFX73 | Long             | DBT              | CORP              | US        |   1900000 | PA      | $1939792.14   | 1.51%             | 2027-06-10      | Fixed         | 5.88%                 | Yes           |                  2 | On Loan: No      |
| ELEMENT FLEET MANAGEMENT                          | Element Fleet Management Corp                                               | CUSIP: 286181AH5<br>LEI: 5493000PGBS1C22ELQ16 | Long             | DBT              | CORP              | CA        |   1650000 | PA      | $1664615.50   | 1.29%             | 2026-06-26      | Fixed         | 6.27%                 | Yes           |                  2 | On Loan: No      |
| Greystone Commercial Real Esta                    | Greystone CRE Notes 2021-FL3 Ltd                                            | CUSIP: 39809PAE5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $992976.10    | 0.77%             | 2039-07-15      | Floating      | 5.51%                 | Yes           |                  2 | On Loan: No      |
| BX Trust                                          | BX Commercial Mortgage Trust 2022-LP2                                       | CUSIP: 05610HAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    735000 | PA      | $734083.31    | 0.57%             | 2039-02-15      | Floating      | 5.31%                 | Yes           |                  2 | On Loan: No      |
| WMRK Commercial Mortgage Trust                    | WMRK Commercial Mortgage Trust 2022-WMRK                                    | CUSIP: 929342AB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2536759 | PA      | $2543208.05   | 1.98%             | 2027-11-15      | Floating      | 7.19%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                           | CUSIP: 3136BWY91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    328147 | PA      | $328436.56    | 0.26%             | 2052-05-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| WORLD WIDE TECHNOLOGY HO                          | WORLD WIDE TECHNOLOGY HO                                                    | CUSIP: 000000000<br>LEI: 213800MTFQARCZL1PY64 | Long             | LON              | CORP              | US        |    262430 | PA      | $262595.39    | 0.20%             | 2030-03-01      | Floating      | 5.72%                 | No            |                  2 | On Loan: No      |
| Cerberus                                          | Cerberus Loan Funding XXXII LP                                              | CUSIP: 15674LAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    911833 | PA      | $911768.86    | 0.71%             | 2033-04-22      | Floating      | 5.79%                 | Yes           |                  2 | On Loan: No      |
| GCAT                                              | GCAT 2024-NQM2 Trust                                                        | CUSIP: 36831CAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    970879 | PA      | $980957.05    | 0.76%             | 2059-06-25      | Variable      | 6.08%                 | Yes           |                  2 | On Loan: No      |
| SG Capital Partners                               | SG Residential Mortgage Trust 2025-1                                        | CUSIP: 81880NAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    200000 | PA      | $200425.71    | 0.16%             | 2065-12-25      | Variable      | 5.10%                 | Yes           |                  2 | On Loan: No      |
| Verus Securitization Trust                        | Verus Securitization Trust 2021-3                                           | CUSIP: 92539LAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    135596 | PA      | $119734.43    | 0.09%             | 2066-06-25      | Variable      | 1.44%                 | Yes           |                  2 | On Loan: No      |
| Dominos Pizza Master Issuer LL                    | Domino's Pizza Master Issuer LLC                                            | CUSIP: 25755TAK6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1184375 | PA      | $1180902.77   | 0.92%             | 2048-07-25      | Fixed         | 4.33%                 | Yes           |                  2 | On Loan: No      |
| Archwest Mortgage Trust                           | Archwest Mortgage Trust 2025-RTL1                                           | CUSIP: 039966AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    400000 | PA      | $400489.84    | 0.31%             | 2040-10-25      | Variable      | 5.20%                 | Yes           |                  2 | On Loan: No      |
| Wingstop Funding LLC                              | Wingstop Funding LLC                                                        | CUSIP: 974153AB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    443250 | PA      | $429442.45    | 0.33%             | 2050-12-05      | Fixed         | 2.84%                 | Yes           |                  2 | On Loan: No      |
| STAR 2025-SFR6 Trust                              | STAR 2025-SFR6 Trust                                                        | CUSIP: 85520EAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    750000 | PA      | $752138.03    | 0.58%             | 2042-08-17      | Floating      | 5.15%                 | Yes           |                  2 | On Loan: No      |
| BR SECONDARIES & LQDITY SOLUTIONS                 | BR SECONDARIES & LQDITY SOLUTIONS                                           | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    236784 | PA      | $236758.06    | 0.18%             | 2030-06-15      | Floating      | 6.27%                 | No            |                  3 | On Loan: No      |
| HSBC HOLDINGS PLC                                 | HSBC Holdings PLC                                                           | CUSIP: 404280EF2<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |   1750000 | PA      | $1782705.30   | 1.38%             | 2028-05-17      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| AEGON FUNDING CO LLC                              | AEGON Funding Co LLC                                                        | CUSIP: 00775VAA2<br>LEI: KEIOKM01PSK5VZ5CCI74 | Long             | DBT              | CORP              | US        |   2650000 | PA      | $2691817.58   | 2.09%             | 2027-04-16      | Fixed         | 5.50%                 | Yes           |                  2 | On Loan: No      |
| Banc of America Funding Corpor                    | Banc of America Funding 2015-R2 Trust                                       | CUSIP: 05990TAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     69537 | PA      | $69323.71     | 0.05%             | 2037-04-29      | Floating      | 4.11%                 | Yes           |                  3 | On Loan: No      |
| Credit Suisse Mortgage Trust                      | CSMC 2021-RPL7 Trust                                                        | CUSIP: 12598JAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    542222 | PA      | $539988.75    | 0.42%             | 2061-07-27      | Variable      | 4.21%                 | Yes           |                  2 | On Loan: No      |
| GCAT                                              | GCAT 2023-NQM2 Trust                                                        | CUSIP: 36169DAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1108735 | PA      | $1104963.47   | 0.86%             | 2067-11-25      | Variable      | 5.84%                 | Yes           |                  2 | On Loan: No      |
| Capital Automotive Reit                           | Capital Automotive REIT                                                     | CUSIP: 12510HAV2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    563750 | PA      | $563456.12    | 0.44%             | 2054-05-15      | Fixed         | 4.90%                 | Yes           |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                         | Towd Point Mortgage Trust 2017-6                                            | CUSIP: 89175JAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    156922 | PA      | $154880.77    | 0.12%             | 2057-10-25      | Variable      | 2.75%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                    | Morgan Stanley Capital I Trust 2018-H3                                      | CUSIP: 61767YBA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  36980499 | PA      | $603052.09    | 0.47%             | 2051-07-15      | Variable      | 0.78%                 | No            |                  2 | On Loan: No      |
| CLI Funding LLC                                   | CLI Funding VIII LLC                                                        | CUSIP: 12565KAA5<br>LEI: 254900Z4P82YK31RVL27 | Long             | ABS-O            | CORP              | US        |    903360 | PA      | $840912.86    | 0.65%             | 2046-02-18      | Fixed         | 1.64%                 | Yes           |                  2 | On Loan: No      |
| TRITON CONTAINER                                  | Triton Container International Ltd                                          | CUSIP: 89680YAA3<br>LEI: 549300O4LZFLCX53XZ54 | Long             | DBT              | CORP              | BM        |    700000 | PA      | $694509.31    | 0.54%             | 2026-04-15      | Fixed         | 2.05%                 | Yes           |                  2 | On Loan: No      |
| JANE STREET GROUP LLC                             | JANE STREET GROUP LLC                                                       | CUSIP: 47077DAM2<br>LEI: 5493002N1IVX6KHGYO08 | Long             | LON              | CORP              | US        |    294588 | PA      | $292982.07    | 0.23%             | 2031-12-15      | Floating      | 5.82%                 | No            |                  2 | On Loan: No      |
| Ares Direct Lending CLO LLC                       | Ares Direct Lending CLO 8 LLC                                               | CUSIP: 039933AE6<br>LEI: 2549008VI9L2AN96MC59 | Long             | ABS-CBDO         | CORP              | KY        |    100000 | PA      | $99990.44     | 0.08%             | 2039-01-20      | Floating      | 5.42%                 | Yes           |                  2 | On Loan: No      |
| Life Financial Services Trust                     | Life 2021-BMR Mortgage Trust                                                | CUSIP: 53218CAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     80100 | PA      | $79758.34     | 0.06%             | 2038-03-15      | Floating      | 4.96%                 | Yes           |                  2 | On Loan: No      |
| ONEMAIN FINANCE CORP                              | OneMain Finance Corp                                                        | CUSIP: 85172FAN9<br>LEI: 5493008I795YYBFWFU90 | Long             | DBT              | CORP              | US        |    168000 | PA      | $169237.82    | 0.13%             | 2026-03-15      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| IRON MOUNTAIN INC                                 | IRON MOUNTAIN INC                                                           | CUSIP: 46284NAV1<br>LEI: SQL3F6CKNNBM3SQGHX24 | Long             | LON              | CORP              | US        |    199491 | PA      | $199241.73    | 0.15%             | 2031-01-31      | Floating      | 5.72%                 | No            |                  2 | On Loan: No      |
| AREIT CRE Trust                                   | AREIT 2025-CRE11                                                            | CUSIP: 04002DAC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    300000 | PA      | $299998.44    | 0.23%             | 2043-07-25      | Floating      | 5.75%                 | Yes           |                  2 | On Loan: No      |
| Cascade Funding Mortgage Trust                    | CFMT 2022-HB9 LLC                                                           | CUSIP: 12530GAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    418438 | PA      | $412914.31    | 0.32%             | 2037-09-25      | Variable      | 3.25%                 | Yes           |                  2 | On Loan: No      |
| New Residential Mortgage Loan                     | New Residential Mortgage Loan Trust 2018-2                                  | CUSIP: 64828CAG4<br>LEI: 549300U1MV4J7YQZG974 | Long             | ABS-MBS          | CORP              | US        |    503877 | PA      | $482283.01    | 0.37%             | 2058-02-25      | Variable      | 3.50%                 | Yes           |                  2 | On Loan: No      |
| Madison Park Funding Ltd                          | Madison Park Funding XLVIII Ltd                                             | CUSIP: 55821UAQ7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    650000 | PA      | $649930.65    | 0.50%             | 2039-01-19      | Floating      | 5.22%                 | Yes           |                  2 | On Loan: No      |
| GCAT                                              | GCAT 2025-NQM4 Trust                                                        | CUSIP: 367923AC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    278383 | PA      | $280878.72    | 0.22%             | 2070-06-25      | Variable      | 5.53%                 | Yes           |                  2 | On Loan: No      |
| GCAT                                              | GCAT 2023-NQM3 Trust                                                        | CUSIP: 36169GAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    292257 | PA      | $295164.68    | 0.23%             | 2068-08-25      | Variable      | 6.89%                 | Yes           |                  2 | On Loan: No      |
| UNITED AIRLINES INC                               | United Airlines Inc                                                         | CUSIP: 90932LAG2<br>LEI: K1OQBWM7XEOO08LDNP29 | Long             | DBT              | CORP              | US        |    900000 | PA      | $898875.72    | 0.70%             | 2026-04-15      | Fixed         | 4.38%                 | Yes           |                  2 | On Loan: No      |
| Legacy Mortgage Asset Trust                       | Legacy Mortgage Asset Trust 2021-GS3                                        | CUSIP: 52474XAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    868109 | PA      | $868160.80    | 0.67%             | 2061-07-25      | Variable      | 5.75%                 | Yes           |                  2 | On Loan: No      |
| New Economy Assets Phase 1 Iss                    | New Economy Assets - Phase 1 Sponsor LLC                                    | CUSIP: 643821AA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $834792.50    | 0.65%             | 2061-10-20      | Fixed         | 1.91%                 | Yes           |                  2 | On Loan: No      |
| GCAT                                              | GCAT 2022-NQM3 Trust                                                        | CUSIP: 36168MAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1405049 | PA      | $1346812.24   | 1.05%             | 2067-04-25      | Variable      | 4.35%                 | Yes           |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                          | OBX 2024-NQM1 Trust                                                         | CUSIP: 67448LAB8<br>LEI: 254900UI1468MQ7I8472 | Long             | ABS-MBS          | CORP              | US        |    419278 | PA      | $421876.41    | 0.33%             | 2063-11-25      | Variable      | 6.25%                 | Yes           |                  2 | On Loan: No      |
| AMERICAN NATIONAL GROUP                           | American National Group Inc                                                 | CUSIP: 025676AM9<br>LEI: 549300RK5RZQ740FPL83 | Long             | DBT              | CORP              | US        |    240000 | PA      | $241779.15    | 0.19%             | 2027-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BLOCK INC                                         | Block Inc                                                                   | CUSIP: 852234AN3<br>LEI: 549300OHIIUWSTIZME52 | Long             | DBT              | CORP              | US        |    100000 | PA      | $99402.93     | 0.08%             | 2026-06-01      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                          | Angel Oak Mortgage Trust 2022-1                                             | CUSIP: 03464BAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    451357 | PA      | $409439.24    | 0.32%             | 2066-12-25      | Variable      | 3.29%                 | Yes           |                  2 | On Loan: No      |
| firstkey homes 2020-sfr1 trust                    | FirstKey Homes 2022-SFR1 Trust                                              | CUSIP: 33768NAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    750000 | PA      | $747987.98    | 0.58%             | 2039-05-19      | Fixed         | 4.49%                 | Yes           |                  2 | On Loan: No      |
| ALGONQUIN PWR & UTILITY                           | Algonquin Power & Utilities Corp                                            | CUSIP: 015857AF2<br>LEI: 549300K5VIUTJXQL7X75 | Long             | DBT              | CORP              | CA        |   1750000 | PA      | $1758254.56   | 1.37%             | 2026-06-15      | Variable      | 5.37%                 | No            |                  2 | On Loan: No      |
| Argent Securities Inc.                            | Argent Securities Inc Asset-Backed Pass-Through Certificates Series 2005-W2 | CUSIP: 040104ND9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     88784 | PA      | $88255.79     | 0.07%             | 2035-10-25      | Floating      | 4.58%                 | No            |                  3 | On Loan: No      |
| Countrywide Alternative Loan T                    | Alternative Loan Trust 2007-OA7                                             | CUSIP: 126680AB3<br>LEI: 549300QTQ6MX6ER06N64 | Long             | ABS-MBS          | CORP              | US        |    458769 | PA      | $424053.87    | 0.33%             | 2047-05-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| Triton Container Finance LLC                      | Triton Container Finance VIII LLC                                           | CUSIP: 89680HAE2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1431000 | PA      | $1330269.91   | 1.03%             | 2046-03-20      | Fixed         | 1.86%                 | Yes           |                  2 | On Loan: No      |
| PENSKE TRUCK LEASING/PTL                          | Penske Truck Leasing Co Lp / PTL Finance Corp                               | CUSIP: 709599BY9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1650000 | PA      | $1668826.24   | 1.30%             | 2027-01-12      | Fixed         | 5.35%                 | Yes           |                  2 | On Loan: No      |
| Starwood Commercial Mortgage T                    | STWD 2025-FL4 LLC                                                           | CUSIP: 863922AC4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1300000 | PA      | $1298766.82   | 1.01%             | 2042-11-19      | Floating      | 5.43%                 | Yes           |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                          | Angel Oak Mortgage Trust 2024-4                                             | CUSIP: 034943AA8<br>LEI: 25490046TFINGL6XED11 | Long             | ABS-MBS          | CORP              | US        |    587238 | PA      | $594138.80    | 0.46%             | 2069-01-25      | Variable      | 6.20%                 | Yes           |                  2 | On Loan: No      |
| CF Hippolyta Issuer LLC                           | CF Hippolyta Issuer LLC                                                     | CUSIP: 12530MAG0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    706836 | PA      | $430256.03    | 0.33%             | 2061-03-15      | Fixed         | 1.98%                 | Yes           |                  2 | On Loan: No      |
| STANDARD CHARTERED PLC                            | Standard Chartered PLC                                                      | CUSIP: 853254DB3<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |   1700000 | PA      | $1734707.66   | 1.35%             | 2028-05-14      | Fixed         | 5.69%                 | Yes           |                  2 | On Loan: No      |
| Achieve Mortgage                                  | ACHM Trust 2025-HE3                                                         | CUSIP: 00449VAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    100000 | PA      | $100041.59    | 0.08%             | 2055-11-25      | Variable      | 5.20%                 | Yes           |                  2 | On Loan: No      |
| FIGRE Trust                                       | FIGRE Trust 2025-HE8                                                        | CUSIP: 30191WAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    300000 | PA      | $299950.41    | 0.23%             | 2055-11-25      | Variable      | 5.21%                 | Yes           |                  2 | On Loan: No      |
| VOYA GLOBAL FUNDING                               | Voya Global Funding                                                         | CUSIP: 92921LAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    150000 | PA      | $150736.15    | 0.12%             | 2030-11-24      | Fixed         | 4.60%                 | Yes           |                  2 | On Loan: No      |
| Legacy Mortgage Asset Trust                       | Legacy Mortgage Asset Trust 2021-GS4                                        | CUSIP: 52475WAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    842150 | PA      | $842794.92    | 0.65%             | 2060-11-25      | Variable      | 5.65%                 | Yes           |                  2 | On Loan: No      |
| PROTECTIVE LIFE CORP                              | Protective Life Corp                                                        | CUSIP: 743674BF9<br>LEI: 549300ZWIT8J8Y2EXL07 | Long             | DBT              | CORP              | US        |    300000 | PA      | $300945.17    | 0.23%             | 2031-01-15      | Fixed         | 4.70%                 | Yes           |                  2 | On Loan: No      |
| Novastar Home Equity Loan                         | NovaStar Mortgage Funding Trust Series 2007-2                               | CUSIP: 66989EAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    580975 | PA      | $574877.40    | 0.45%             | 2037-09-25      | Floating      | 4.05%                 | 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        |   2042199 | PA      | $2042199.00   | 1.59%             |  |  |  | No            |                  2 | On Loan: No      |
| Starwood Mortgage Residential                     | Starwood Mortgage Residential Trust 2020-1                                  | CUSIP: 85573AAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     25615 | PA      | $24485.58     | 0.02%             | 2050-02-25      | Variable      | 2.27%                 | Yes           |                  3 | On Loan: No      |
| Cerberus                                          | Cerberus Loan Funding 53 LLC                                                | CUSIP: 15674YAC2<br>LEI: 635400YQBXB1DKX6JK08 | Long             | ABS-CBDO         | CORP              | KY        |    650000 | PA      | $649987.00    | 0.50%             | 2038-01-15      | Floating      | 5.43%                 | Yes           |                  2 | On Loan: No      |
| BNP PARIBAS                                       | BNP PARIBAS TRI PARTY                                                       | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | RA               | CORP              | US        |   2088613 | PA      | $2088613.00   | 1.62%             |  |  |  | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan                     | New Residential Mortgage Loan Trust 2017-5                                  | CUSIP: 64828NAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    162742 | PA      | $162223.46    | 0.13%             | 2057-06-25      | Floating      | 5.35%                 | Yes           |                  3 | On Loan: No      |
| AIR CANADA                                        | Air Canada                                                                  | CUSIP: 008911BK4<br>LEI: 4B4HI3CGXMBDC0G6BM51 | Long             | DBT              | CORP              | CA        |    330000 | PA      | $328427.22    | 0.26%             | 2026-08-15      | Fixed         | 3.88%                 | Yes           |                  2 | On Loan: No      |
| Residential Mortgage Loan Trus                    | Residential Mortgage Loan Trust 2020-1                                      | CUSIP: 76119CAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     26019 | PA      | $25862.83     | 0.02%             | 2060-01-26      | Variable      | 2.38%                 | Yes           |                  3 | On Loan: No      |
| Dreyfus Treasury Obligations Cash Management Fund | Dreyfus Treasury Obligations Cash Management Fund                           | CUSIP: 261908107<br>LEI: 549300MKKM9KT7BF6329 | Long             | STIV             | RF                | US        |   2845970 | NS      | $2845970.03   | 2.21%             |  |  |  | No            |                  1 | On Loan: No      |
| CUSHMAN & WAKEFIELD US                            | Cushman & Wakefield US Borrower LLC                                         | CUSIP: 23166MAA1<br>LEI: 549300870CMN3WI5IF97 | Long             | DBT              | CORP              | US        |    300000 | PA      | $301592.70    | 0.23%             | 2028-05-15      | Fixed         | 6.75%                 | Yes           |                  2 | On Loan: No      |
| LG ELECTRONICS INC                                | LG Electronics Inc                                                          | CUSIP: 50186QAC7<br>LEI: 988400RMQFTGZIOG0609 | Long             | DBT              | CORP              | KR        |    900000 | PA      | $916750.93    | 0.71%             | 2027-04-24      | Fixed         | 5.62%                 | Yes           |                  2 | On Loan: No      |
| STORE Master Funding LLC                          | Store Master Funding I-VII                                                  | CUSIP: 86212VAE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    226753 | PA      | $225699.66    | 0.18%             | 2048-10-20      | Fixed         | 4.29%                 | Yes           |                  2 | On Loan: No      |
| FACTSET RESEARCH SYSTEMS                          | FactSet Research Systems Inc                                                | CUSIP: 303075AA3<br>LEI: 549300ZSJE7NBK6K9P30 | Long             | DBT              | CORP              | US        |   1450000 | PA      | $1428104.68   | 1.11%             | 2027-03-01      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| ROCKETMTGE CO-ISSUER INC                          | Rocket Mortgage LLC / Rocket Mortgage Co-Issuer Inc                         | CUSIP: 77313LAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    850000 | PA      | $837601.48    | 0.65%             | 2026-10-15      | Fixed         | 2.88%                 | Yes           |                  2 | On Loan: No      |
| CNO GLOBAL FUNDING                                | CNO Global Funding                                                          | CUSIP: 18977W2D1<br>LEI: 6354008GTNR4833ULD48 | Long             | DBT              | CORP              | US        |   1140000 | PA      | $1165197.36   | 0.90%             | 2027-06-04      | Fixed         | 5.88%                 | Yes           |                  2 | On Loan: No      |
| COOPERATIEVE RABOBANK UA                          | Cooperatieve Rabobank UA                                                    | CUSIP: 74977RDR2<br>LEI: DG3RU1DBUFHT4ZF9WN62 | Long             | DBT              | CORP              | NL        |    800000 | PA      | $808021.64    | 0.63%             | 2028-08-22      | Fixed         | 4.66%                 | Yes           |                  2 | On Loan: No      |
| BANK OF AMERICA MERRILL LYNCH BANCO MULTIPLO S.A. | BOFA SECURITIES INC TRI PARTY                                               | CUSIP: 000000000<br>LEI: KPTCWFWJ4GW0WZNEMH59 | Long             | RA               | CORP              | US        |   2784817 | PA      | $2784817.00   | 2.16%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                  | IRS USD                                                                     | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |         1 | NC      | $282846.06    | 0.22%             |  |  |  | No            |                  2 | On Loan: No      |
| Soundview Home Equity Loan Tru                    | Soundview Home Loan Trust 2006-OPT5                                         | CUSIP: 83612CAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    472082 | PA      | $461751.08    | 0.36%             | 2036-07-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| BX Trust                                          | BX Trust 2025-VOLT                                                          | CUSIP: 05619PAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    450000 | PA      | $450279.90    | 0.35%             | 2044-12-15      | Floating      | 5.45%                 | Yes           |                  2 | On Loan: No      |
| Verus Securitization Trust                        | Verus Securitization Trust 2025-12                                          | CUSIP: 92490FAM2<br>LEI: 2138009XAW9T934GL239 | Long             | ABS-MBS          | CORP              | US        |    300000 | PA      | $300631.04    | 0.23%             | 2070-12-25      | Variable      | 5.37%                 | Yes           |                  2 | On Loan: No      |
| ICON INVESTMENTS SIX DAC                          | Icon Investments Six DAC                                                    | CUSIP: 45115AAA2<br>LEI: 635400FQ1M7J2CHLAS59 | Long             | DBT              | CORP              | IE        |   1800000 | PA      | $1836623.38   | 1.43%             | 2027-05-08      | Fixed         | 5.81%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mor                    | JP Morgan Chase Commercial Mortgage Securities Trust 2021-NYAH              | CUSIP: 46654EAG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    850000 | PA      | $750518.55    | 0.58%             | 2038-06-15      | Floating      | 5.66%                 | Yes           |                  2 | On Loan: No      |
| JACKSON NATL LIFE GLOBAL                          | Jackson National Life Global Funding                                        | CUSIP: 46849LUZ2<br>LEI: 635400PQXLYXWJI5QD78 | Long             | DBT              | CORP              | US        |    750000 | PA      | $752987.51    | 0.58%             | 2026-04-10      | Fixed         | 5.60%                 | Yes           |                  2 | On Loan: No      |
| BROWN & BROWN INC                                 | Brown & Brown Inc                                                           | CUSIP: 115236AH4<br>LEI: 549300PC8KTJ71XKFY89 | Long             | DBT              | CORP              | US        |    175000 | PA      | $175872.18    | 0.14%             | 2026-12-23      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                      | Barclays PLC                                                                | CUSIP: 06738ECP8<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |   1650000 | PA      | $1679383.99   | 1.30%             | 2028-03-12      | Fixed         | 5.67%                 | No            |                  2 | On Loan: No      |
| Textainer Marine Containers Li                    | Textainer Marine Containers VII Ltd                                         | CUSIP: 88315LAE8<br>LEI: 549300X48KLHDDGPK024 | Long             | ABS-O            | CORP              | BM        |    217988 | PA      | $211223.75    | 0.16%             | 2045-08-21      | Fixed         | 2.73%                 | Yes           |                  2 | On Loan: No      |
| Owl Rock CLO I, Ltd                               | Owl Rock CLO IV Ltd                                                         | CUSIP: 691200AC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1398588 | PA      | $1398358.22   | 1.09%             | 2033-08-20      | Floating      | 5.75%                 | Yes           |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                  | IRS USD                                                                     | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |         1 | NC      | $40198.19     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Oak Street Investment Grade Ne                    | Oak Street Investment Grade Net Lease Fund Series 2020-1                    | CUSIP: 67181DAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2150124 | PA      | $1955365.26   | 1.52%             | 2050-11-20      | Fixed         | 1.85%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                           | CUSIP: 3136BQRA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    618253 | PA      | $630330.06    | 0.49%             | 2049-04-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| SILGAN HOLDINGS INC                               | Silgan Holdings Inc                                                         | CUSIP: 827048AX7<br>LEI: KAF673KJXD92C8KSLU49 | Long             | DBT              | CORP              | US        |    750000 | PA      | $743623.90    | 0.58%             | 2026-04-01      | Fixed         | 1.40%                 | Yes           |                  2 | On Loan: No      |
| Greensky Home Improvement Issu                    | GreenSky Home Improvement Issuer Trust 2025-3                               | CUSIP: 39571WAE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    150000 | PA      | $150288.53    | 0.12%             | 2060-12-27      | Fixed         | 4.86%                 | Yes           |                  2 | On Loan: No      |
| BrightSpire Capital, Inc                          | BRSP 2021-FL1 Ltd                                                           | CUSIP: 05591XAE1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2750000 | PA      | $2744916.08   | 2.13%             | 2038-08-19      | Floating      | 5.75%                 | Yes           |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                          | Angel Oak Mortgage Trust 2023-1                                             | CUSIP: 03465WAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    589702 | PA      | $587420.37    | 0.46%             | 2067-09-26      | Variable      | 4.75%                 | Yes           |                  2 | On Loan: No      |
| JPMDB Commercial Mortgage Secu                    | JPMDB Commercial Mortgage Securities Trust 2018-C8                          | CUSIP: 46591ABC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  21984877 | PA      | $242262.35    | 0.19%             | 2051-06-15      | Variable      | 0.59%                 | No            |                  2 | On Loan: No      |
| Imperial Fund LLC                                 | Imperial Fund Mortgage Trust 2022-NQM2                                      | CUSIP: 45276PAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1266010 | PA      | $1196063.99   | 0.93%             | 2067-03-25      | Variable      | 4.02%                 | Yes           |                  2 | On Loan: No      |
| NATIONWIDE BLDG SOCIETY                           | Nationwide Building Society                                                 | CUSIP: 63861VAM9<br>LEI: 549300XFX12G42QIKN82 | Long             | DBT              | CORP              | GB        |    550000 | PA      | $555223.76    | 0.43%             | 2029-07-14      | Fixed         | 4.65%                 | Yes           |                  2 | On Loan: No      |
| Verus Securitization Trust                        | Verus Securitization Trust 2021-6                                           | CUSIP: 92538MAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    503464 | PA      | $447262.37    | 0.35%             | 2066-10-25      | Variable      | 1.89%                 | Yes           |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                  | IRS USD                                                                     | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |         1 | NC      | $-729041.84   | -0.57%            |  |  |  | No            |                  2 | On Loan: No      |
| SLM CORP                                          | SLM Corp                                                                    | CUSIP: 78442PGE0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    600000 | PA      | $589777.44    | 0.46%             | 2026-11-02      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                      | CSMC 2020-NQM1 Trust                                                        | CUSIP: 126401AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    268162 | PA      | $257981.53    | 0.20%             | 2065-05-25      | Variable      | 2.21%                 | Yes           |                  2 | On Loan: No      |
| LRECS 2025-CRE1 LLC                               | LRECS 2025-CRE1 LLC                                                         | CUSIP: 50230AAC8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    200000 | PA      | $200360.34    | 0.16%             | 2043-08-19      | Floating      | 5.75%                 | Yes           |                  2 | On Loan: No      |
| Progress Residential Trust                        | Progress Residential 2025-SFR6 Trust                                        | CUSIP: 74334EAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    650000 | PA      | $619652.67    | 0.48%             | 2042-12-17      | Fixed         | 4.00%                 | Yes           |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                          | OBX 2023-NQM2 Trust                                                         | CUSIP: 670843AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    956392 | PA      | $954715.38    | 0.74%             | 2062-01-25      | Variable      | 6.32%                 | Yes           |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                         | Towd Point Mortgage Trust 2018-2                                            | CUSIP: 89175VAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    135303 | PA      | $134110.66    | 0.10%             | 2058-03-25      | Variable      | 3.25%                 | Yes           |                  2 | On Loan: No      |
| VONTIER CORP                                      | Vontier Corp                                                                | CUSIP: 928881AB7<br>LEI: 549300VVSQLG4P5K4639 | Long             | DBT              | CORP              | US        |    650000 | PA      | $645847.88    | 0.50%             | 2026-04-01      | Fixed         | 1.80%                 | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                  | Societe Generale SA                                                         | CUSIP: 83368RBV3<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |    800000 | PA      | $810148.33    | 0.63%             | 2028-01-19      | Fixed         | 5.52%                 | Yes           |                  2 | On Loan: No      |
| Verus Securitization Trust                        | Verus Securitization Trust 2021-4                                           | CUSIP: 92538HAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    248993 | PA      | $212782.67    | 0.17%             | 2066-07-25      | Variable      | 1.35%                 | Yes           |                  2 | On Loan: No      |
| KKR Financial CLO Ltd                             | KKR Clo 16 Ltd                                                              | CUSIP: 48251BBG4<br>LEI: 254900VCKMCY079T6M57 | Long             | ABS-CBDO         | CORP              | KY        |    700000 | PA      | $703125.57    | 0.55%             | 2034-10-20      | Floating      | 5.45%                 | Yes           |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                  | IRS USD                                                                     | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |         1 | NC      | $31734.89     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL PLAQUE                             | Venture Global Plaquemines LNG LLC                                          | CUSIP: 922966AE6<br>LEI: 549300TKP4I6OJ02BF90 | Long             | DBT              | CORP              | US        |    125000 | PA      | $127293.05    | 0.10%             | 2030-12-15      | Fixed         | 6.12%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley Residential Mor                    | Morgan Stanley Residential Mortgage Loan Trust 2025-NQM9                    | CUSIP: 61779VAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    588332 | PA      | $589247.42    | 0.46%             | 2070-09-25      | Variable      | 5.22%                 | Yes           |                  2 | On Loan: No      |
| HOST HOTELS & RESORTS LP                          | Host Hotels & Resorts LP                                                    | CUSIP: 44107TBE5<br>LEI: FXB7X4WXVA8QPMNOGS12 | Long             | DBT              | CORP              | US        |    325000 | PA      | $325318.58    | 0.25%             | 2028-12-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| ATHENE GLOBAL FUNDING                             | Athene Global Funding                                                       | CUSIP: 04685A3S8<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |   2050000 | PA      | $2054137.54   | 1.60%             | 2026-02-23      | Fixed         | 5.68%                 | Yes           |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                          | OBX 2025-R1 Trust                                                           | CUSIP: 67123GAD7<br>LEI: 254900UIO03AL696QM79 | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $99818.99     | 0.08%             | 2062-09-25      | Variable      | 5.09%                 | Yes           |                  2 | On Loan: No      |
| CITADEL SECURITIES LP                             | CITADEL SECURITIES LP                                                       | CUSIP: 17288YAN2<br>LEI: 549300NV5RXBUS3X7L47 | Long             | LON              | CORP              | US        |    325069 | PA      | $326654.90    | 0.25%             | 2031-10-31      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Co                    | Structured Asset Securities Corp Mortgage Loan Trust 2007-BC4               | CUSIP: 86365DAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    769647 | PA      | $751360.59    | 0.58%             | 2037-11-25      | Floating      | 3.37%                 | No            |                  2 | On Loan: No      |
| MUTUAL OF OMAHA GLOBAL                            | Mutual of Omaha Cos Global Funding                                          | CUSIP: 62829D2D1<br>LEI: 635400AL5J3F1ZPTAN95 | Long             | DBT              | CORP              | US        |   1750000 | PA      | $1776096.84   | 1.38%             | 2027-04-09      | Fixed         | 5.35%                 | Yes           |                  2 | On Loan: No      |
| CEAMER FINANCE IV LLC                             | CEAMER FINANCE IV LLC                                                       | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    350000 | PA      | $350000.00    | 0.27%             | 2040-12-15      | Floating      | 6.17%                 | No            |                  3 | On Loan: No      |
| GA GLOBAL FUNDING TRUST                           | GA Global Funding Trust                                                     | CUSIP: 36143L2A2<br>LEI: 54930029I8ROQ4OROZ88 | Long             | DBT              | CORP              | US        |    450000 | PA      | $449584.35    | 0.35%             | 2026-01-15      | Fixed         | 1.62%                 | Yes           |                  2 | On Loan: No      |
| Home Owner Mortgage Enhanced S                    | HOMES 2024-AFC2 Trust                                                       | CUSIP: 437920AC5<br>LEI: 254900GDF2MBHUV58Z95 | Long             | ABS-MBS          | CORP              | US        |    386888 | PA      | $389598.41    | 0.30%             | 2059-10-25      | Variable      | 5.58%                 | Yes           |                  2 | On Loan: No      |
| BXHPP Trust                                       | BXHPP Trust 2021-FILM                                                       | CUSIP: 05609JAL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $468448.55    | 0.36%             | 2036-08-15      | Floating      | 4.96%                 | Yes           |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust                    | HarborView Mortgage Loan Trust 2006-14                                      | CUSIP: 41162NAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    820335 | PA      | $779328.46    | 0.61%             | 2047-01-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| UNIVERSAL HEALTH SVCS                             | Universal Health Services Inc                                               | CUSIP: 913903AZ3<br>LEI: 549300YGMGQDO0NMJD09 | Long             | DBT              | CORP              | US        |   1950000 | PA      | $1916903.06   | 1.49%             | 2026-09-01      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| Sound Point CLO LTD                               | SOUND POINT CLO XIX Ltd                                                     | CUSIP: 83610JAA4<br>LEI: 5493001QI7ZD0IPL4A34 | Long             | ABS-CBDO         | CORP              | KY        |    341552 | PA      | $341474.10    | 0.27%             | 2031-04-15      | Floating      | 5.17%                 | Yes           |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                          | OBX 2024-NQM6 Trust                                                         | CUSIP: 67118XAA3<br>LEI: 254900LMIQVUH9BFZJ05 | Long             | ABS-MBS          | CORP              | US        |   1104511 | PA      | $1119160.13   | 0.87%             | 2064-02-25      | Variable      | 6.45%                 | Yes           |                  2 | On Loan: No      |
| IQVIA INC                                         | IQVIA Inc                                                                   | CUSIP: 46266TAA6<br>LEI: 549300PLWY28YB00C717 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $999726.40    | 0.78%             | 2027-05-15      | Fixed         | 5.00%                 | Yes           |                  2 | On Loan: No      |
| Home Equity Loan Trust                            | Home Equity Loan Trust                                                      | CUSIP: 43710XAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1083020 | PA      | $1035455.45   | 0.80%             | 2037-04-25      | Floating      | 4.04%                 | No            |                  2 | On Loan: No      |
| Textainer Marine Containers Li                    | Textainer Marine Containers VII Ltd                                         | CUSIP: 88315LAS7<br>LEI: 549300X48KLHDDGPK024 | Long             | ABS-O            | CORP              | BM        |     66000 | PA      | $59173.42     | 0.05%             | 2046-08-20      | Fixed         | 1.94%                 | Yes           |                  2 | On Loan: No      |
| CIFC Funding Ltd                                  | CIFC Funding 2015-IV Ltd                                                    | CUSIP: 12550TBL8<br>LEI: 549300ZXX0SJBZWIWI81 | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $500000.00    | 0.39%             | 2039-01-17      | Floating      | 0.01%                 | Yes           |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                          | OBX 2024-NQM5 Trust                                                         | CUSIP: 67448NAA6<br>LEI: 254900RDM4XSF0B1E373 | Long             | ABS-MBS          | CORP              | US        |   1963769 | PA      | $1980568.86   | 1.54%             | 2064-01-25      | Variable      | 5.99%                 | Yes           |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                          | OBX 2024-NQM7 Trust                                                         | CUSIP: 67119FAA1<br>LEI: 254900FVMB3WTXJGGR91 | Long             | ABS-MBS          | CORP              | US        |   1029574 | PA      | $1041154.48   | 0.81%             | 2064-03-25      | Variable      | 6.24%                 | Yes           |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Secu                    | Bear Stearns Asset Backed Securities I Trust 2006-HE9                       | CUSIP: 07389MAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    289854 | PA      | $286092.31    | 0.22%             | 2036-11-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| Eldridge CLO Ltd                                  | Eldridge CLO 2025-2 Ltd                                                     | CUSIP: 28473AAC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    150000 | PA      | $150000.00    | 0.12%             | 2039-01-20      | Floating      | 5.10%                 | Yes           |                  2 | On Loan: No      |
| Brown Group Holding LLC                           | BROWN GROUP HOLD 07/01/31                                                   | CUSIP: 11565HAD8<br>LEI: 25490094PF4HHK9QS109 | Long             | LON              | CORP              | US        |    199495 | PA      | $200388.69    | 0.16%             | 2031-07-01      | Floating      | 6.56%                 | No            |                  2 | On Loan: No      |
| JABIL INC                                         | Jabil Inc                                                                   | CUSIP: 466313AL7<br>LEI: 5493000CGCQY2OQU7669 | Long             | DBT              | CORP              | US        |    200000 | PA      | $198609.13    | 0.15%             | 2026-04-15      | Fixed         | 1.70%                 | No            |                  2 | On Loan: No      |
| BRIGHTHSE FIN GLBL FUND                           | Brighthouse Financial Global Funding                                        | CUSIP: 10921U2J6<br>LEI: 549300BLFX3KJ2IFOA78 | Long             | DBT              | CORP              | US        |   2750000 | PA      | $2788505.34   | 2.17%             | 2027-04-09      | Fixed         | 5.55%                 | Yes           |                  2 | On Loan: No      |
| Verus Securitization Trust                        | Verus Securitization Trust 2021-5                                           | CUSIP: 92538KAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    503998 | PA      | $441016.24    | 0.34%             | 2066-09-25      | Variable      | 1.37%                 | Yes           |                  2 | On Loan: No      |
| LPL HOLDINGS INC                                  | LPL Holdings Inc                                                            | CUSIP: 50212YAJ3<br>LEI: 549300Z5YF8CCRMYUL26 | Long             | DBT              | CORP              | US        |   1700000 | PA      | $1732573.82   | 1.35%             | 2027-05-20      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan                     | New Residential Mortgage Loan Trust 2020-1                                  | CUSIP: 64830TAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    548916 | PA      | $518023.03    | 0.40%             | 2059-10-25      | Variable      | 3.50%                 | Yes           |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                          | OBX 2024-NQM8 Trust                                                         | CUSIP: 67119CAA8<br>LEI: 254900Y1YRD8JNADSC78 | Long             | ABS-MBS          | CORP              | US        |   1080626 | PA      | $1093306.73   | 0.85%             | 2064-05-25      | Variable      | 6.23%                 | Yes           |                  2 | On Loan: No      |
| TERRAFORM GLOBAL OPERATI                          | Terraform Global Operating LP                                               | CUSIP: 88104UAC7<br>LEI: 549300LC7QMVR79H5O86 | Long             | DBT              | CORP              | US        |    210000 | PA      | $208504.72    | 0.16%             | 2026-03-01      | Fixed         | 6.12%                 | Yes           |                  2 | On Loan: No      |
| PMT Loan Trust                                    | PMT Loan Trust 2025-INV8                                                    | CUSIP: 73015EAG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    321963 | PA      | $327989.51    | 0.25%             | 2056-07-25      | Variable      | 6.00%                 | Yes           |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                          | Angel Oak Mortgage Trust 2025-12                                            | CUSIP: 03466KAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    198332 | PA      | $198777.02    | 0.15%             | 2070-12-25      | Variable      | 5.14%                 | Yes           |                  2 | On Loan: No      |
| WEIR GROUP PLC (THE)                              | Weir Group PLC/The                                                          | CUSIP: 94876QAA4<br>LEI: 549300KDR56WHY9I3D10 | Long             | DBT              | CORP              | GB        |   1091000 | PA      | $1081096.51   | 0.84%             | 2026-05-13      | Fixed         | 2.20%                 | Yes           |                  2 | On Loan: No      |
| Textainer Marine Containers Li                    | Textainer Marine Containers VII Ltd                                         | CUSIP: 88315LAL2<br>LEI: 549300X48KLHDDGPK024 | Long             | ABS-O            | CORP              | BM        |    429333 | PA      | $404146.40    | 0.31%             | 2046-02-20      | Fixed         | 1.68%                 | Yes           |                  2 | On Loan: No      |
| CDW LLC/CDW FINANCE                               | CDW LLC / CDW Finance Corp                                                  | CUSIP: 12513GBG3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1350000 | PA      | $1332067.38   | 1.03%             | 2026-12-01      | Fixed         | 2.67%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                      | CSMC 2021-RPL4 Trust                                                        | CUSIP: 12662GAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    427044 | PA      | $425394.90    | 0.33%             | 2060-12-27      | Variable      | 4.15%                 | Yes           |                  2 | On Loan: No      |
| LIVE NATION ENTERTAINMEN                          | Live Nation Entertainment Inc                                               | CUSIP: 538034AV1<br>LEI: 5493007B9BM9ZXJINO78 | Long             | DBT              | CORP              | US        |    875000 | PA      | $883028.13    | 0.69%             | 2027-05-15      | Fixed         | 6.50%                 | Yes           |                  2 | On Loan: No      |
| Castlelake Aircraft Structured                    | Castlelake Aircraft Securitization Trust 2018-1                             | CUSIP: 14856CAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    256950 | PA      | $254380.68    | 0.20%             | 2043-06-15      | Fixed         | 4.12%                 | Yes           |                  2 | On Loan: No      |
| FIGRE Trust                                       | FIGRE Trust 2024-HE5                                                        | CUSIP: 31684FAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    374776 | PA      | $379589.82    | 0.29%             | 2054-10-25      | Variable      | 5.44%                 | Yes           |                  2 | On Loan: No      |
| Aligned Data Centers Issuer LL                    | Aligned Data Centers Issuer LLC                                             | CUSIP: 01627AAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1300000 | PA      | $1276712.06   | 0.99%             | 2046-08-15      | Fixed         | 1.94%                 | Yes           |                  2 | On Loan: No      |
| Legacy Mortgage Asset Trust                       | Legacy Mortgage Asset Trust 2021-GS2                                        | CUSIP: 52476DAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    323378 | PA      | $323488.23    | 0.25%             | 2061-04-25      | Variable      | 5.75%                 | Yes           |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                          | JP Morgan Mortgage Trust 2021-12                                            | CUSIP: 46592WAN6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1107183 | PA      | $1045532.00   | 0.81%             | 2052-02-25      | Variable      | 2.50%                 | Yes           |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage                     | Citigroup COmmercial Mortgage Trust 2018-C6                                 | CUSIP: 17327GAU8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  39659923 | PA      | $753475.09    | 0.59%             | 2051-11-10      | Variable      | 0.76%                 | No            |                  2 | On Loan: No      |
| Anchorage Credit Funding Ltd.                     | Anchorage Credit Funding 4 Ltd                                              | CUSIP: 03329TAG9<br>LEI: 549300VR9XUOV1E0U888 | Long             | ABS-CBDO         | CORP              | KY        |   2250000 | PA      | $2140555.28   | 1.66%             | 2039-04-27      | Fixed         | 2.72%                 | Yes           |                  2 | On Loan: No      |
| BRAVO Residential Funding Trus                    | BRAVO Residential Funding Trust 2025-NQM7                                   | CUSIP: 10570TAP0<br>LEI: 254900I1LYOO3G3UAT10 | Long             | ABS-MBS          | CORP              | US        |    139306 | PA      | $140541.77    | 0.11%             | 2065-07-25      | Variable      | 5.46%                 | Yes           |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                          | Angel Oak Mortgage Trust 2021-6                                             | CUSIP: 03465JAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    965736 | PA      | $824670.09    | 0.64%             | 2066-09-25      | Variable      | 1.71%                 | Yes           |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Secu                    | Bear Stearns Asset Backed Securities I Trust 2006-HE9                       | CUSIP: 07389MAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    408011 | PA      | $402933.98    | 0.31%             | 2036-11-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| OWS Structured Asset Trust                        | OSAT 2021-RPL1 Trust                                                        | CUSIP: 67114HAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2511213 | PA      | $2511212.63   | 1.95%             | 2065-05-25      | Variable      | 6.12%                 | Yes           |                  2 | On Loan: No      |
| BXMT Ltd                                          | BXMT 2020-FL2 LTD                                                           | CUSIP: 12434LAC8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2250000 | PA      | $2227685.40   | 1.73%             | 2038-02-15      | Floating      | 5.25%                 | Yes           |                  2 | On Loan: No      |
| CORELOGIC INC                                     | CoreLogic Inc                                                               | CUSIP: 21870FBA6<br>LEI: 54930086CD8K2UIL0516 | Long             | LON              | CORP              | US        |    671930 | PA      | $671687.93    | 0.52%             | 2028-06-02      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| COLT Funding LLC                                  | COLT 2023-3 Mortgage Loan Trust                                             | CUSIP: 19688RAA7<br>LEI: 213800MIPEZY1A8W1N28 | Long             | ABS-MBS          | CORP              | US        |    372964 | PA      | $377080.96    | 0.29%             | 2068-09-25      | Variable      | 7.18%                 | Yes           |                  2 | On Loan: No      |
| THL Credit Lake Shore MM CLO I                    | THL Credit Lake Shore MM CLO I LTD                                          | CUSIP: 510800AC9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    549951 | PA      | $550113.57    | 0.43%             | 2033-04-15      | Floating      | 5.87%                 | Yes           |                  2 | On Loan: No      |

### Signature

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

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

**Signature:** James Howley

**Name of Signer:** James Howley

**Title:** Chief Financial Officer