# EDGAR Filing Document

**Accession Number:** 0001601445
**File Stem:** 0000940400-26-022568
**Filing Date:** 2026-6
**Character Count:** 107695
**Document Hash:** e9cdf68da37be58af4c344606bbb6d22
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0000940400-26-022568.hdr.sgml**: 20260601

**ACCESSION NUMBER**: 0000940400-26-022568

**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:** 261048175

**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:** 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:** $133140532.32

**Total Liabilities:** $3483081.21

**Net Assets:** $129657451.11

**Delayed Delivery Securities:** $300000.00

**Cash Not Reported:** $1750036.46

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 2449.18417260 | **1-Year:** 9068.35518600 | **5-Year:** 10507.21994700 | **10-Year:** 2941.24556110 | **30-Year:** 312.90452420

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

- **3-Month:** 139.42536630 | **1-Year:** 624.90474460 | **5-Year:** 1272.70315190 | **10-Year:** 101.83947970 | **30-Year:** 0.00000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000141591 | 0.50%                | 0.38%                | 0.05%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $5826.69                 | $63095.00                                  |
| Month 2  | $32458.42                | $-11012.58                                 |
| Month 3  | $7640.05                 | $-828961.23                                |

**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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| LEGACY MORTGAGE ASSET TRUST 2021-GS3                                        | LMAT 2021-GS3 A1                                              | CUSIP: 52474XAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    842636 | PA      | $842904.32    | 0.65%             | 2061-07-25      | Variable      | 5.75%                 | No            |                  2 | On Loan: No      |
| ICON Investments Six DAC                                                    | ICLR 5.809 05/08/27                                           | CUSIP: 45115AAA2<br>LEI: 635400FQ1M7J2CHLAS59 | Long             | DBT              | CORP              | IE        |   1800000 | PA      | $1809113.90   | 1.40%             | 2027-05-08      | Fixed         | 5.81%                 | 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        |    875000 | PA      | $876113.00    | 0.68%             | 2027-05-15      | Fixed         | 6.50%                 | 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      |
| Lincoln Financial Global Funding                                            | LNC 4.2 01/12/29 144A                                         | CUSIP: 53359KAD3<br>LEI: 984500OC010458395923 | Long             | DBT              | CORP              | US        |    700000 | PA      | $692169.10    | 0.53%             | 2029-01-12      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, NATIONAL ASSOCIATION                                       | SWOP IRS USD                                                  | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DIR              | CORP              | US        |   1105000 | NC      | $5057.69      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ALTERNATIVE LOAN TRUST 2007-OA7                                             | CWALT 2007-OA7 A1B                                            | CUSIP: 126680AB3<br>LEI: 549300QTQ6MX6ER06N64 | Long             | ABS-O            | CORP              | US        |    455313 | PA      | $422400.33    | 0.33%             | 2047-05-25      | Floating      | 4.07%                 | 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      |
| 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      |
| 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      |
| CERBERUS LOAN FUNDING XXXII LP                                              | CERB 2021-2A A                                                | CUSIP: 15674LAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    840999 | PA      | $841671.50    | 0.65%             | 2033-04-22      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| TEXTAINER MARINE CONTAINERS VII LTD                                         | TMCL 2021-1A A                                                | CUSIP: 88315LAL2<br>LEI: 549300X48KLHDDGPK024 | Long             | ABS-O            | CORP              | BM        |    415333 | PA      | $390311.65    | 0.30%             | 2046-02-20      | Fixed         | 1.68%                 | 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        |    405219 | PA      | $406223.90    | 0.31%             | 2033-04-15      | Floating      | 5.63%                 | 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      |
| 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      |
| Rocket Mortgage LLC / Rocket Mortgage Co-Issuer Inc.                        | RKT 2.875 10/15/26 144A                                       | CUSIP: 77313LAA1<br>LEI: 549300FGXN1K3HLB1R50 | Long             | DBT              | CORP              | US        |    850000 | PA      | $840805.13    | 0.65%             | 2026-10-15      | Fixed         | 2.88%                 | 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    | 0.50%             | 2043-08-18      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| BSPDF 2026-FL3 ISSUER LLC                                                   | BSPDF 2026-FL3 AS                                             | CUSIP: 05594VAC6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    300000 | PA      | $299078.13    | 0.23%             | 2043-09-18      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES I TRUST 2004-AC5                       | BSABS 2006-HE9 3A                                             | CUSIP: 07389MAE7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    246855 | PA      | $244131.30    | 0.19%             | 2036-11-25      | Floating      | 4.07%                 | 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      |
| CLI FUNDING VIII LLC                                                        | CLIF 2021-1A A                                                | CUSIP: 12565KAA5<br>LEI: 254900Z4P82YK31RVL27 | Long             | ABS-O            | CORP              | US        |    851245 | PA      | $789150.78    | 0.61%             | 2046-02-18      | Fixed         | 1.64%                 | 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      |
| FIGRE TRUST 2026-HE2                                                        | FIGRE 2026-HE2 A                                              | CUSIP: 31684VAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    150000 | PA      | $148763.13    | 0.11%             | 2056-01-25      | Variable      | 5.05%                 | 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        |    543859 | PA      | $547781.95    | 0.42%             | 2069-01-25      | Variable      | 6.20%                 | 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    | 0.15%             | N/A             | Fixed         | 4.00%                 | 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      |
| Acrec 2026-FL4 LLC                                                          | ACREC 2026-FL4 AS                                             | CUSIP: 004970AB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    650000 | PA      | $647918.38    | 0.50%             | 2043-01-18      | Fixed         | 5.28%                 | No            |                  2 | On Loan: No      |
| BARCLAYS BANK PLC                                                           | SWOP IRS USD                                                  | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DIR              | CORP              | GB        |    663000 | NC      | $3625.20      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Jabil Inc                                                                   | JBL 1.7 04/15/26                                              | CUSIP: 466313AL7<br>LEI: 5493000CGCQY2OQU7669 | Long             | DBT              | CORP              | US        |    200000 | PA      | $199743.71    | 0.15%             | 2026-04-15      | Fixed         | 1.70%                 | 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      |
| 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      |
| JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2021-NYAH              | JPMCC 2021-NYAH D                                             | CUSIP: 46654EAG6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    850000 | PA      | $742449.93    | 0.57%             | 2038-06-15      | Variable      | 5.58%                 | 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      |
| Dominos Pizza Inc.                                                          | DPABS 2018-1A A2II                                            | CUSIP: 25755TAK6<br>LEI: 25490005ZWM1IF9UXU57 | Long             | ABS-O            | CORP              | US        |   1184375 | PA      | $1175826.18   | 0.91%             | 2048-07-25      | Fixed         | 4.33%                 | 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    | 0.77%             | 2027-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Weir Group PLC                                                              | WEIRLN 2.2 05/13/26 144A                                      | CUSIP: 94876QAA4<br>LEI: 549300KDR56WHY9I3D10 | Long             | DBT              | CORP              | GB        |   1091000 | PA      | $1087273.43   | 0.84%             | 2026-05-13      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| BXMT 2020-FL2 LTD                                                           | BXMT 2020-FL2 AS                                              | CUSIP: 12434LAC8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2250000 | PA      | $2243307.38   | 1.73%             | 2038-02-18      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                              | MS V4.708 03/12/32                                            | CUSIP: 61747YGB5<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    250000 | PA      | $248316.73    | 0.19%             | 2032-03-12      | Fixed         | 4.71%                 | 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        |  21870044 | PA      | $214077.11    | 0.17%             | 2051-06-16      | Variable      | 0.59%                 | 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    | 0.22%             | 2031-12-15      | Floating      | 5.67%                 | 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      |
| FactSet Research Systems Inc.                                               | FDS 2.9 03/01/27                                              | CUSIP: 303075AA3<br>LEI: 549300ZSJE7NBK6K9P30 | Long             | DBT              | CORP              | US        |   1450000 | PA      | $1425274.11   | 1.10%             | 2027-03-01      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. INTERNATIONAL PLC                                      | SWOP IRS USD                                                  | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DIR              | CORP              | GB        |   1989000 | NC      | $10891.62     | 0.01%             |  |  |  | No            |                  2 | 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    | 0.77%             | 2071-02-25      | Variable      | 6.61%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                                 | SWOP IRS USD                                                  | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DIR              | CORP              | FR        |   1330000 | NC      | $4936.78      | 0.00%             |  |  |  | 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      |
| Nationwide Building Society                                                 | NWIDE V4.649 07/14/29 144A                                    | CUSIP: 63861VAM9<br>LEI: 549300XFX12G42QIKN82 | Long             | DBT              | CORP              | GB        |    550000 | PA      | $550496.27    | 0.42%             | 2029-07-14      | Fixed         | 4.65%                 | 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   | 1.36%             | 2027-04-09      | Fixed         | 5.35%                 | 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        |    425049 | PA      | $416597.03    | 0.32%             | 2036-07-25      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP                                                | BAFC 2015-R2 3A2                                              | CUSIP: 05990TAG2<br>LEI: 54930023UHZHF7UJ8596 | Long             | ABS-O            | CORP              | US        |     12380 | PA      | $12367.27     | 0.01%             | 2037-04-29      | Floating      | 4.05%                 | No            |                  3 | On Loan: No      |
| STARWOOD MORTGAGE RESIDENTIAL TRUST 2020-1                                  | STAR 2020-1 A1                                                | CUSIP: 85573AAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     23926 | PA      | $22843.01     | 0.02%             | 2050-02-25      | Variable      | 2.27%                 | No            |                  3 | On Loan: No      |
| BARCLAYS BANK PLC                                                           | SWOP IRS USD                                                  | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DIR              | CORP              | GB        |   1105000 | NC      | $6050.90      | 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      |
| IMPERIAL FUND MTG                                                           | IMPRL 2022-NQM2 A2                                            | CUSIP: 45276PAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1228056 | PA      | $1154631.54   | 0.89%             | 2067-03-25      | Variable      | 4.02%                 | No            |                  2 | On Loan: No      |
| Block Inc                                                                   | XYZ 2.75 06/01/26                                             | CUSIP: 852234AN3<br>LEI: 549300OHIIUWSTIZME52 | Long             | DBT              | CORP              | US        |    100000 | PA      | $99544.07     | 0.08%             | 2026-06-01      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST 2021-5                                           | VERUS 2021-5 A3                                               | CUSIP: 92538KAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    489718 | PA      | $424363.92    | 0.33%             | 2066-09-25      | Variable      | 1.37%                 | 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    | 0.33%             | 2036-08-15      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| STORE MASTER FUNDING I-VII                                                  | STR 2018-1A A2                                                | CUSIP: 86212VAE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    226128 | PA      | $223765.41    | 0.17%             | 2048-10-20      | Fixed         | 4.29%                 | 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        |   1154450 | PA      | $1153472.94   | 0.89%             | 2033-08-22      | Floating      | 5.52%                 | 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        |    348447 | PA      | $344720.97    | 0.27%             | 2036-11-25      | Floating      | 4.07%                 | 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    | 0.58%             | 2042-08-19      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| Energy Transfer LP                                                          | ET 4.55 01/15/31                                              | CUSIP: 29273VBJ8<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    320000 | PA      | $317094.54    | 0.24%             | 2031-01-15      | Fixed         | 4.55%                 | 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      |
| 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      |
| TOWD POINT MORTGAGE TRUST 2017-6                                            | TPMT 2017-6 A1                                                | CUSIP: 89175JAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    132412 | PA      | $130774.55    | 0.10%             | 2057-10-25      | Variable      | 2.75%                 | No            |                  2 | On Loan: No      |
| OBX TRUST 2024-NQM8                                                         | OBX 2024-NQM8 A1                                              | CUSIP: 67119CAA8<br>LEI: 254900Y1YRD8JNADSC78 | Long             | ABS-O            | CORP              | US        |    968588 | PA      | $976683.15    | 0.75%             | 2064-05-25      | Variable      | 6.23%                 | No            |                  2 | On Loan: No      |
| HSBC Holdings PLC                                                           | HSBC V5.597 05/17/28                                          | CUSIP: 404280EF2<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |   1750000 | PA      | $1769659.13   | 1.36%             | 2028-05-17      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| Barclays PLC                                                                | BACR V4.521 02/24/32                                          | CUSIP: 06738EDJ1<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |   1050000 | PA      | $1026998.28   | 0.79%             | 2032-02-24      | Fixed         | 4.52%                 | 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        |   2116766 | PA      | $1926866.67   | 1.49%             | 2050-11-20      | Fixed         | 1.85%                 | 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    | 0.47%             | 2042-12-18      | Fixed         | 4.00%                 | 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    | 0.15%             | 2071-03-25      | Variable      | 5.12%                 | 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      |
| United States Treasury Bills                                                | B 0 04/14/26                                                  | CUSIP: 912797TH0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    850000 | PA      | $848881.95    | 0.65%             | 2026-04-14      | None          | 0.00%                 | 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        |    750000 | PA      | $750171.11    | 0.58%             | 2026-04-10      | Fixed         | 5.60%                 | No            |                  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      | $348107.89    | 0.27%             | 2040-12-15      | Floating      | 6.18%                 | No            |                  3 | 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    | 0.49%             | 2066-01-25      | Variable      | 4.96%                 | 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      |
| J.P. MORGAN SECURITIES LLC                                                  | J.P. MORGAN SECURITIES LLC TRI PARTY                          | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | Long             | RA               | CORP              | US        |   1106341 | PA      | $1106341.00   | 0.85%             |  |  |  | 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        |    800000 | PA      | $801593.52    | 0.62%             | 2028-08-22      | Fixed         | 4.66%                 | 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        |    803631 | PA      | $766694.89    | 0.59%             | 2047-01-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, NATIONAL ASSOCIATION                                       | SWOP IRS USD                                                  | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DIR              | CORP              | US        |    663000 | NC      | $3625.20      | 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    | 0.27%             | 2054-10-25      | Variable      | 5.44%                 | No            |                  2 | On Loan: No      |
| Anchorage Credit Funding 4 Ltd.                                             | ANCHF 2016-4A AR                                              | CUSIP: 03329TAG9<br>LEI: 549300VR9XUOV1E0U888 | Long             | ABS-CBDO         | CORP              | KY        |   2250000 | PA      | $2173281.75   | 1.68%             | 2039-04-27      | Fixed         | 2.72%                 | 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   | 1.49%             | 2026-09-01      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| OSAT 2021-RPL1 TRUST                                                        | OSAT 2021-RPL1 A1                                             | CUSIP: 67114HAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2463592 | PA      | $2464973.32   | 1.90%             | 2065-05-25      | Variable      | 6.12%                 | No            |                  2 | On Loan: No      |
| CF HIPPOLYTA ISSUER LLC                                                     | SORT 2021-1A B1                                               | CUSIP: 12530MAG0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    706836 | PA      | $430591.43    | 0.33%             | 2061-03-15      | Fixed         | 1.98%                 | 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        |   2536759 | PA      | $2536758.85   | 1.96%             | 2027-11-15      | Floating      | 7.11%                 | 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    | 0.11%             | 2028-01-15      | Fixed         | 3.88%                 | 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        |    703569 | PA      | $688344.89    | 0.53%             | 2037-11-25      | Floating      | 4.42%                 | 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        |    340197 | PA      | $342157.58    | 0.26%             | 2068-09-25      | Variable      | 7.18%                 | No            |                  2 | On Loan: No      |
| ESAB Corp.                                                                  | ESAB 5.625 04/01/31 144A                                      | CUSIP: 29605JAB2<br>LEI: 549300ZNV0SWBXEIWT04 | Long             | DBT              | CORP              | US        |     25000 | PA      | $25175.25     | 0.02%             | 2031-04-01      | Fixed         | 5.62%                 | 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        |    229191 | PA      | $228049.47    | 0.18%             | 2043-06-15      | Fixed         | 4.12%                 | 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      |
| PRIME SECURITY SERVICES BORROWER LLC                                        | PRIME SECURITY SERVICES BOR                                   | CUSIP: 03765VAQ3<br>LEI: 549300O6QPZVWXV2DC15 | Long             | LON              | CORP              | US        |     99497 | PA      | $97958.26     | 0.08%             | 2032-03-08      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| BARCLAYS BANK PLC                                                           | SWOP IRS USD                                                  | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DIR              | CORP              | GB        |   1105000 | NC      | $5057.69      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS BANK PLC                                                           | SWOP IRS USD                                                  | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DIR              | CORP              | GB        |  -1105000 | NC      | $-4205.94     | -0.00%            |  |  |  | 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      |
| BX COMMERCIAL MORTGAGE TRUST 2022-LP2                                       | BX 2022-LP2 C                                                 | CUSIP: 05610HAE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    735000 | PA      | $734540.63    | 0.57%             | 2039-02-15      | Floating      | 5.23%                 | 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    | 0.21%             | 2068-08-25      | Variable      | 6.89%                 | 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    | 0.38%             | 2039-01-18      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| TEXTAINER MARINE CONTAINERS VII LTD                                         | TMCL 2021-3A A                                                | CUSIP: 88315LAS7<br>LEI: 549300X48KLHDDGPK024 | Long             | ABS-O            | CORP              | BM        |     63333 | PA      | $56250.26     | 0.04%             | 2046-08-20      | Fixed         | 1.94%                 | 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    | 0.50%             | 2044-08-18      | Variable      | 5.45%                 | No            |                  2 | On Loan: No      |
| AS MILEAGE PLAN IP LTD                                                      | ALK 5.308 10/20/31 144A                                       | CUSIP: 00218QAB6<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |    200000 | PA      | $195640.46    | 0.15%             | 2031-10-20      | Fixed         | 5.31%                 | No            |                  2 | On Loan: No      |
| GCAT 2024-NQM2                                                              | GCAT 2024-NQM2 A1                                             | CUSIP: 36831CAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    861229 | PA      | $867097.53    | 0.67%             | 2059-06-25      | Variable      | 6.08%                 | No            |                  2 | On Loan: No      |
| THE TORONTO-DOMINION BANK                                                   | SWOP IRS USD                                                  | CUSIP: 000000000<br>LEI: PT3QB789TSUIDF371261 | N/A              | DIR              | CORP              | CA        |    869000 | NC      | $3998.34      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. INTERNATIONAL PLC                                      | SWOP IRS USD                                                  | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DIR              | CORP              | GB        |  -1989000 | NC      | $-7570.69     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| THE TORONTO-DOMINION BANK                                                   | SWOP IRS USD                                                  | CUSIP: 000000000<br>LEI: PT3QB789TSUIDF371261 | N/A              | DIR              | CORP              | CA        |   -663000 | NC      | $-1925.40     | -0.00%            |  |  |  | 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        |    536892 | PA      | $531914.57    | 0.41%             | 2037-09-25      | Floating      | 3.99%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                                            | IRS USD                                                       | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |         1 | NC      | $18777.67     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LG Electronics Inc.                                                         | LGELEC 5.625 04/24/27 144A                                    | CUSIP: 50186QAC7<br>LEI: 988400RMQFTGZIOG0609 | Long             | DBT              | CORP              | KR        |    900000 | PA      | $910525.45    | 0.70%             | 2027-04-24      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| NEW YORK CITY MUNICIPAL WATER FINANCE AUTHORITY (NY)                        | USRE 2021-1 A1                                                | CUSIP: 643821AA9<br>LEI: 549300Q2EHQ6RJPQKP05 | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $839380.40    | 0.65%             | 2061-10-20      | Fixed         | 1.91%                 | No            |                  2 | On Loan: No      |
| Acore 2026-FL1 Issuer LLC                                                   | ACORE 2026-FL1 AS                                             | CUSIP: 00485EAC7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    100000 | PA      | $99839.07     | 0.08%             | 2043-08-20      | Floating      | 5.42%                 | 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    | 0.57%             | 2066-06-01      | Variable      | 4.79%                 | 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    | 0.25%             | 2026-08-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Vontier Corporation                                                         | VNT 1.8 04/01/26                                              | CUSIP: 928881AB7<br>LEI: 549300VVSQLG4P5K4639 | Long             | DBT              | CORP              | US        |    650000 | PA      | $650000.00    | 0.50%             | 2026-04-01      | Fixed         | 1.80%                 | 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      |
| 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    | 0.23%             | 2038-07-20      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| CITIBANK, NATIONAL ASSOCIATION                                              | SWOP IRS USD                                                  | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DIR              | CORP              | US        |   1778000 | NC      | $8180.71      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| THE TORONTO-DOMINION BANK                                                   | SWOP IRS USD                                                  | CUSIP: 000000000<br>LEI: PT3QB789TSUIDF371261 | N/A              | DIR              | CORP              | CA        |    663000 | NC      | $3030.59      | 0.00%             |  |  |  | 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    | 0.77%             | 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      |
| SLAM 2021-1 LLC                                                             | SLAM 2021-1A A                                                | CUSIP: 78449AAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    515200 | PA      | $488402.18    | 0.38%             | 2046-06-15      | Fixed         | 2.43%                 | No            |                  2 | On Loan: No      |
| Medline Borrower LP                                                         | MEDIND 3.875 04/01/29 144A                                    | CUSIP: 62482BAA0<br>LEI: 254900QT3R363TVK6F09 | Long             | DBT              | CORP              | US        |    200000 | PA      | $193472.36    | 0.15%             | 2029-04-01      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Sysco Corporation                                                           | SYY 4.4 07/25/31                                              | CUSIP: 871829BW6<br>LEI: 5RGWIFLMGH3YS7KWI652 | Long             | DBT              | CORP              | US        |    100000 | PA      | $96985.54     | 0.07%             | 2031-07-25      | Fixed         | 4.40%                 | 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        |   2750000 | PA      | $2767693.06   | 2.13%             | 2027-04-09      | Fixed         | 5.55%                 | 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      |
| HLEND CLO 2026-5 LLC                                                        | HLEND 2026-5A A2                                              | CUSIP: 403967AC6<br>LEI: 529900N6JRXPABMGOA33 | Long             | ABS-CBDO         | CORP              | US        |    300000 | PA      | $299999.13    | 0.23%             | 2039-04-15      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| BARCLAYS BANK PLC                                                           | SWOP IRS USD                                                  | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DIR              | CORP              | GB        |  -1105000 | NC      | $-4205.94     | -0.00%            |  |  |  | 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      |
| Wingstop Funding LLC                                                        | WSTOP 2020-1A A2                                              | CUSIP: 974153AB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    443250 | PA      | $429037.81    | 0.33%             | 2050-12-05      | Fixed         | 2.84%                 | 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    | 0.22%             | 2056-07-25      | Variable      | 6.00%                 | 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        |    261771 | PA      | $260299.54    | 0.20%             | 2030-03-01      | Floating      | 5.67%                 | 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    | 0.63%             | 2060-11-25      | Variable      | 5.65%                 | 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    | 0.46%             | 2026-11-02      | Fixed         | 3.12%                 | 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    | 0.23%             | 2028-05-15      | Fixed         | 6.75%                 | 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    | 0.50%             | 2038-01-15      | Floating      | 5.43%                 | No            |                  2 | 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    | 0.43%             | 2070-09-25      | Variable      | 5.22%                 | No            |                  2 | On Loan: No      |
| CITIBANK, NATIONAL ASSOCIATION                                              | SWOP IRS USD                                                  | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DIR              | CORP              | US        |  -1778000 | NC      | $-5163.44     | -0.00%            |  |  |  | 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        |    700000 | PA      | $697536.07    | 0.54%             | 2034-10-20      | Variable      | 5.27%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                       | FNR 2025-64 BA                                                | CUSIP: 3136BWY91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    280874 | PA      | $280175.70    | 0.22%             | 2052-05-25      | Fixed         | 5.00%                 | 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        |    126227 | PA      | $112876.23    | 0.09%             | 2066-06-25      | Variable      | 1.44%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, NATIONAL ASSOCIATION                                       | SWOP IRS USD                                                  | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DIR              | CORP              | US        |   -663000 | NC      | $-2518.04     | -0.00%            |  |  |  | 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        |   1650000 | PA      | $1654297.90   | 1.28%             | 2026-06-26      | Fixed         | 6.27%                 | No            |                  2 | On Loan: No      |
| ARES DIRECT LENDING CLO 8 LLC                                               | ARESDL 2025-4A B                                              | CUSIP: 039933AE6<br>LEI: 2549008VI9L2AN96MC59 | Long             | ABS-CBDO         | CORP              | US        |    100000 | PA      | $99669.08     | 0.08%             | 2039-01-20      | Floating      | 5.42%                 | 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      |
| 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      |
| THE TORONTO-DOMINION BANK                                                   | SWOP IRS USD                                                  | CUSIP: 000000000<br>LEI: PT3QB789TSUIDF371261 | N/A              | DIR              | CORP              | CA        |    662000 | NC      | $2457.25      | 0.00%             |  |  |  | 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      |
| Standard Chartered PLC                                                      | STANLN V5.688 05/14/28 144A                                   | CUSIP: 853254DB3<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |   1700000 | PA      | $1720106.82   | 1.33%             | 2028-05-14      | Fixed         | 5.69%                 | 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   | 1.28%             | 2027-01-12      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| VB-S1 ISSUER LLC                                                            | VBTEL 2026-1A C2                                              | CUSIP: 91825HAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    300000 | PA      | $294763.47    | 0.23%             | 2056-03-15      | Fixed         | 4.69%                 | No            |                  2 | On Loan: No      |
| GCAT 2023-NQM2 TRUST                                                        | GCAT 2023-NQM2 A1                                             | CUSIP: 36169DAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1036251 | PA      | $1032638.33   | 0.80%             | 2067-11-25      | Variable      | 5.84%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                                            | IRS USD                                                       | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |         1 | NC      | $306415.46    | 0.24%             |  |  |  | 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      |
| ANGEL OAK MORTGAGE TRUST 2023-1                                             | AOMT 2023-1 A2                                                | CUSIP: 03465WAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    576740 | PA      | $574547.56    | 0.44%             | 2067-09-25      | Variable      | 4.75%                 | No            |                  2 | 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    | 0.13%             | 2044-08-18      | Fixed         | 5.42%                 | No            |                  2 | On Loan: No      |
| CSMC 2020-NQM1 TRUST                                                        | CSMC 2020-NQM1 A1                                             | CUSIP: 126401AA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    249437 | PA      | $239542.28    | 0.18%             | 2065-05-25      | Variable      | 2.21%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK, NATIONAL ASSOCIATION                                   | SWOP IRS USD                                                  | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DIR              | CORP              | US        |   1328000 | NC      | $6070.34      | 0.00%             |  |  |  | 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        |   1380000 | PA      | $1275128.83   | 0.98%             | 2046-03-20      | Fixed         | 1.86%                 | 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    | 0.15%             | 2043-08-19      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| LPL Holdings Inc.                                                           | LPLA 5.7 05/20/27                                             | CUSIP: 50212YAJ3<br>LEI: 549300Z5YF8CCRMYUL26 | Long             | DBT              | CORP              | US        |   1700000 | PA      | $1715698.75   | 1.32%             | 2027-05-20      | Fixed         | 5.70%                 | 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      |
| 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      |
| 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      |
| ARGENT SECURITIES INC ASSET-BACKED PASS-THROUGH CERTIFICATES SERIES 2003-W5 | ARSI 2005-W2 M1                                               | CUSIP: 040104ND9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     23986 | PA      | $23919.27     | 0.02%             | 2035-10-25      | Floating      | 4.53%                 | No            |                  3 | On Loan: No      |
| THE TORONTO-DOMINION BANK                                                   | SWOP IRS USD                                                  | CUSIP: 000000000<br>LEI: PT3QB789TSUIDF371261 | N/A              | DIR              | CORP              | CA        |   -869000 | NC      | $-2544.92     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| STWD 2025-FL4 LLC                                                           | STWD 2025-FL4 AS                                              | CUSIP: 863922AC4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1300000 | PA      | $1293526.00   | 1.00%             | 2042-11-19      | Floating      | 5.38%                 | 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        |   1900000 | PA      | $1922293.76   | 1.48%             | 2027-06-10      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| OBX 2024-NQM6 TRUST                                                         | OBX 2024-NQM6 A1                                              | CUSIP: 67118XAA3<br>LEI: 254900LMIQVUH9BFZJ05 | Long             | ABS-O            | CORP              | US        |    966849 | PA      | $975843.16    | 0.75%             | 2064-02-25      | Variable      | 6.45%                 | 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    | 0.23%             | 2043-05-17      | Floating      | 5.38%                 | 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        |    527517 | PA      | $493968.40    | 0.38%             | 2059-10-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK, NATIONAL ASSOCIATION                                   | SWOP IRS USD                                                  | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DIR              | CORP              | US        |  -1328000 | NC      | $-3856.60     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                                 | SWOP IRS USD                                                  | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DIR              | CORP              | FR        |  -1330000 | NC      | $-3877.36     | -0.00%            |  |  |  | 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    | 0.50%             | 2039-01-19      | Variable      | 5.22%                 | No            |                  2 | On Loan: No      |
| GCAT 2022-NQM3 TRUST                                                        | GCAT 2022-NQM3 A3                                             | CUSIP: 36168MAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1388026 | PA      | $1319285.96   | 1.02%             | 2067-04-25      | Variable      | 4.35%                 | 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        |   2614142 | NS      | $2614142.46   | 2.02%             |  |  |  | No            |                  1 | On Loan: No      |
| BARCLAYS BANK PLC                                                           | SWOP IRS USD                                                  | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DIR              | CORP              | GB        |   -663000 | NC      | $-2518.04     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                 | BOFA SECURITIES INC TRI PARTY                                 | CUSIP: 000000000<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | RA               | CORP              | US        |   1327609 | PA      | $1327609.00   | 1.02%             |  |  |  | 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    | 0.11%             | 2030-11-24      | Fixed         | 4.60%                 | 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    | 0.43%             | 2054-05-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| TEXTAINER MARINE CONTAINERS VII LTD                                         | TMCL 2020-1A A                                                | CUSIP: 88315LAE8<br>LEI: 549300X48KLHDDGPK024 | Long             | ABS-O            | CORP              | BM        |    197820 | PA      | $190697.88    | 0.15%             | 2045-08-20      | Fixed         | 2.73%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, NATIONAL ASSOCIATION                                       | SWOP IRS USD                                                  | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DIR              | CORP              | US        |  -1105000 | NC      | $-4205.94     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BLACKSTONE STRATEGIC CAP HLDNG II                                           | BLACKSTONE STRATEGIC CAP HLDNG II                             | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    250000 | PA      | $250000.00    | 0.19%             | 2033-12-31      | Floating      | 5.64%                 | No            |                  3 | On Loan: No      |
| Cno Global Funding                                                          | CNO 5.875 06/04/27 144A                                       | CUSIP: 18977W2D1<br>LEI: 6354008GTNR4833ULD48 | Long             | DBT              | CORP              | US        |   1140000 | PA      | $1155588.28   | 0.89%             | 2027-06-04      | Fixed         | 5.88%                 | 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        |   2650000 | PA      | $2673305.21   | 2.06%             | 2027-04-16      | Fixed         | 5.50%                 | 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      | $400110.35    | 0.31%             | 2066-12-25      | Variable      | 3.29%                 | No            |                  2 | On Loan: No      |
| TransMontaigne                                                              | TransMontaigne Term Loan B 250 2028-11-01                     | CUSIP: 89376WAH1<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    125000 | PA      | $124718.75    | 0.10%             | 2028-11-17      | Floating      | 5.92%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                                            | IRS USD                                                       | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |         1 | NC      | $-456300.63   | -0.35%            |  |  |  | No            |                  2 | On Loan: No      |
| BROWN GROUP HOLDING LLC                                                     | BROWN GROUP HOLDING LLC                                       | CUSIP: 11565HAD8<br>LEI: 25490094PF4HHK9QS109 | Long             | LON              | CORP              | US        |    200000 | PA      | $200176.00    | 0.15%             | 2031-07-01      | Floating      | 6.17%                 | No            |                  2 | On Loan: No      |
| BANK OF MONTREAL                                                            | BANK OF MONTREAL CHICAGO TRI PARTY                            | CUSIP: 000000000<br>LEI: NQQ6HPCNCCU6TUTQYE16 | Long             | RA               | CORP              | US        |    575297 | PA      | $575297.00    | 0.44%             |  |  |  | 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    | 0.18%             | 2027-06-15      | Fixed         | 5.00%                 | 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      |
| CoreLogic                                                                   | CoreLogic Term Loan B 350 2028-03-28                          | CUSIP: 21870FBA6<br>LEI: 54930086CD8K2UIL0516 | Long             | LON              | CORP              | US        |    670175 | PA      | $639602.03    | 0.49%             | 2028-06-02      | Floating      | 7.28%                 | 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      |
| JP MORGAN MORTGAGE TRUST 2021-12                                            | JPMMT 2021-12 A6                                              | CUSIP: 46592WAN6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1064065 | PA      | $996031.93    | 0.77%             | 2052-02-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Iron Mountain                                                               | Iron Mountain Term Loan B (Incremental) 225 2030-11-29        | CUSIP: 46284NAV1<br>LEI: 5493009M0X1LQXGBWV02 | Long             | LON              | CORP              | US        |    198982 | PA      | $197489.82    | 0.15%             | 2031-01-31      | Floating      | 5.67%                 | 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      |
| Government National Mortgage Association                                    | GNR 2026-28 BP                                                | CUSIP: 38385NCV4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    650000 | PA      | $637062.99    | 0.49%             | 2056-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| THE TORONTO-DOMINION BANK                                                   | SWOP IRS USD                                                  | CUSIP: 000000000<br>LEI: PT3QB789TSUIDF371261 | N/A              | DIR              | CORP              | CA        |   -662000 | NC      | $-1929.93     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL I TRUST 2018-H3                                      | MSC 2018-H3 XA                                                | CUSIP: 61767YBA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  36541529 | PA      | $524447.68    | 0.40%             | 2051-07-17      | Variable      | 0.78%                 | No            |                  2 | On Loan: No      |
| Sound point clo xix ltd                                                     | SNDPT 2018-1A A                                               | CUSIP: 83610JAA4<br>LEI: 5493001QI7ZD0IPL4A34 | Long             | ABS-CBDO         | CORP              | KY        |     56322 | PA      | $56279.37     | 0.04%             | 2031-04-15      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| OBX 2024-NQM7 TRUST                                                         | OBX 2024-NQM7 A1                                              | CUSIP: 67119FAA1<br>LEI: 254900FVMB3WTXJGGR91 | Long             | ABS-O            | CORP              | US        |    934870 | PA      | $942167.97    | 0.73%             | 2064-03-25      | Variable      | 6.24%                 | 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        |    479334 | PA      | $456980.45    | 0.35%             | 2058-02-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| VB-S1 ISSUER LLC                                                            | VBTEL 2026-1A D                                               | CUSIP: 91825HAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    200000 | PA      | $196639.06    | 0.15%             | 2056-03-15      | Fixed         | 5.19%                 | No            |                  2 | On Loan: No      |
| Triton Container International Ltd.                                         | TRTN 2.05 04/15/26 144A                                       | CUSIP: 89680YAA3<br>LEI: 549300O4LZFLCX53XZ54 | Long             | DBT              | CORP              | BM        |    700000 | PA      | $699251.34    | 0.54%             | 2026-04-15      | Fixed         | 2.05%                 | 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        |  37143455 | PA      | $603146.56    | 0.47%             | 2051-11-10      | Variable      | 0.76%                 | 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    | 0.62%             | 2028-01-19      | Fixed         | 5.52%                 | 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    | 0.11%             | 2031-03-27      | Floating      | 0.00%                 | 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        |     80100 | PA      | $79298.89     | 0.06%             | 2038-03-15      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                                            | IRS USD                                                       | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |         1 | NC      | $19078.85     | 0.01%             |  |  |  | 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   | 1.35%             | 2026-06-15      | Fixed         | 5.37%                 | 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        |    676556 | PA      | $642524.55    | 0.50%             | 2046-10-15      | Fixed         | 2.64%                 | 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    | 0.23%             | 2029-03-15      | Fixed         | 4.65%                 | 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    | 0.50%             | 2069-11-25      | Variable      | 3.75%                 | 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      |
| BNP PARIBAS                                                                 | BNP PARIBAS TRI PARTY                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | RA               | CORP              | US        |    995707 | PA      | $995707.00    | 0.77%             |  |  |  | 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    | 0.46%             | 2038-01-22      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST 2021-4                                           | VERUS 2021-4 A3                                               | CUSIP: 92538HAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    236387 | PA      | $202806.60    | 0.16%             | 2066-07-25      | Variable      | 1.35%                 | 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        |   1300000 | PA      | $1286723.75   | 0.99%             | 2046-08-15      | Fixed         | 1.94%                 | 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      |
| Angel Oak Mortgage Trust 2021-6                                             | AOMT 2021-6 A3                                                | CUSIP: 03465JAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    933186 | PA      | $792604.52    | 0.61%             | 2066-09-25      | Variable      | 1.71%                 | 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        |    316601 | PA      | $317154.61    | 0.24%             | 2061-04-25      | Variable      | 5.75%                 | 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      |
| HOMES TR 2024-AFC2                                                          | HOMES 2024-AFC2 A1                                            | CUSIP: 437920AC5<br>LEI: 254900GDF2MBHUV58Z95 | Long             | ABS-O            | CORP              | US        |    354905 | PA      | $356030.80    | 0.27%             | 2059-10-25      | Variable      | 5.58%                 | 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      |
| KINETIC ABS ISSUER LLC                                                      | UNITK 2026-1A A2                                              | CUSIP: 49459AAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    100000 | PA      | $99715.11     | 0.08%             | 2056-02-25      | Fixed         | 5.22%                 | 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    | 0.19%             | 2037-01-20      | Floating      | 5.07%                 | 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        |    108069 | PA      | $107186.54    | 0.08%             | 2058-03-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| CDW FINANCE CORP                                                            | CDW 2.67 12/01/26                                             | CUSIP: 12513GBG3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1350000 | PA      | $1334254.68   | 1.03%             | 2026-12-01      | Fixed         | 2.67%                 | 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        |    350000 | PA      | $349508.47    | 0.27%             | 2057-04-25      | Variable      | 5.50%                 | 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      |
| CHICAGO MERCANTILE EXCHANGE INC.                                            | IRS USD                                                       | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |         1 | NC      | $40825.32     | 0.03%             |  |  |  | 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        |        27 | NC      | $-26874.49    | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| OBX TRUST2024-NQM5                                                          | OBX 2024-NQM5 A1                                              | CUSIP: 67448NAA6<br>LEI: 254900RDM4XSF0B1E373 | Long             | ABS-O            | CORP              | US        |   1748820 | PA      | $1758010.38   | 1.36%             | 2064-01-25      | Variable      | 5.99%                 | 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      |
| Home Eqty Ln Tst                                                            | HELT 2007-FRE1 1AV1                                           | CUSIP: 43710XAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1039840 | PA      | $991704.97    | 0.76%             | 2037-04-25      | Floating      | 3.98%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                                                     | BPCEGP V4.76 01/13/32 144A                                    | CUSIP: 05571ABE4<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |    325000 | PA      | $320496.41    | 0.25%             | 2032-01-13      | Fixed         | 4.76%                 | 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      |
| RESIDENTIAL MORTGAGE LOAN TRUST 2020-1                                      | RMLT 2020-1 A1                                                | CUSIP: 76119CAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      8817 | PA      | $8783.55      | 0.01%             | 2060-01-25      | Variable      | 2.38%                 | No            |                  3 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST 2017-5                                  | NRZT 2017-5A A1                                               | CUSIP: 64828NAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    152071 | PA      | $151525.56    | 0.12%             | 2057-06-25      | Variable      | 5.29%                 | No            |                  3 | 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      |
| CHICAGO MERCANTILE EXCHANGE INC.                                            | Three-Month SOFR Futures, Dec-2026,ETH                        | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |       -27 | NC      | $35417.67     | 0.03%             |  |  |  | No            |                  1 | 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