# EDGAR Filing Document

**Accession Number:** 0001601445
**File Stem:** 0000940400-26-022559
**Filing Date:** 2026-6
**Character Count:** 65781
**Document Hash:** 836fd8c48b2b61714b2ada12c179d630
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0000940400-26-022559.hdr.sgml**: 20260601

**ACCESSION NUMBER**: 0000940400-26-022559

**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:** 261048166

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

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

## Series and Classes Contracts Data

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

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

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

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

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

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

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

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

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

  - **City:** ROCKVILLE

  - **State:** MD

  - **Foreign country:** US

  - **Zip / Postal Code:** 20850

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

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

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

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

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

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

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

- **b. Date as of which information is reported:** 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:** $37171909.78

**Total Liabilities:** $823790.82

**Net Assets:** $36348118.96

**Delayed Delivery Securities:** $250000.00

**Cash Not Reported:** $515963.77

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 837.16635570 | **1-Year:** 2823.15385090 | **5-Year:** 4676.10524530 | **10-Year:** 779.13132850 | **30-Year:** 84.35713710

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

- **3-Month:** 11.48557280 | **1-Year:** 222.95808540 | **5-Year:** 462.28271910 | **10-Year:** 38.48100300 | **30-Year:** 0.00000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000141592 | 0.53%                | 0.50%                | -0.06%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $1932.94                 | $25226.13                                  |
| Month 2  | $2448.52                 | $62545.21                                  |
| Month 3  | $2954.50                 | $-260876.89                                |

**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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| BRSP 2026-FL3 Ltd / BRSP 2026-FL3 LLC                                       | BRSP 2026-FL3 C                                               | CUSIP: 116686AG1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    150000 | PA      | $149335.65    | 0.41%             | 2043-08-19      | Floating      | 5.78%                 | No            |                  2 | On Loan: No      |
| CF HIPPOLYTA ISSUER LLC                                                     | SORT 2021-1A B1                                               | CUSIP: 12530MAG0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    282734 | PA      | $172236.57    | 0.47%             | 2061-03-15      | Fixed         | 1.98%                 | No            |                  2 | On Loan: No      |
| SWITCH ABS ISSUER LLC                                                       | SWTCH 2026-1A A21                                             | CUSIP: 871044BA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    250000 | PA      | $249940.75    | 0.69%             | 2056-03-27      | Fixed         | 5.61%                 | No            |                  2 | On Loan: No      |
| GS REFT 2026-FL1 Issuer Ltd. / GS REFT 2026-FL1 Co-issuer LLC               | GSREFT 2026-FL1 C                                             | CUSIP: 36274DAG9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $250000.00    | 0.69%             | 2043-10-19      | Floating      | 5.82%                 | No            |                  2 | On Loan: No      |
| FS RIALTO 2026-FL11 ISSUER LLC                                              | FSRIA 2026-FL11 C                                             | CUSIP: 30343TAG4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    250000 | PA      | $248939.55    | 0.68%             | 2044-01-19      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| ACHM TRUST 2025-HE3                                                         | ACHM 2025-HE3 B                                               | CUSIP: 00449VAB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     95050 | PA      | $94122.80     | 0.26%             | 2055-11-25      | Variable      | 5.45%                 | 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        |    213858 | PA      | $200257.47    | 0.55%             | 2059-10-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                                 | BNP PARIBAS TRI PARTY                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | RA               | CORP              | US        |    352905 | PA      | $352905.00    | 0.97%             |  |  |  | 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        |    256596 | PA      | $251043.43    | 0.69%             | 2037-11-25      | Floating      | 4.42%                 | 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        |    216277 | PA      | $215455.33    | 0.59%             | 2067-09-25      | Variable      | 4.75%                 | 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        |     11993 | PA      | $11959.64     | 0.03%             | 2035-10-25      | Floating      | 4.53%                 | No            |                  3 | On Loan: No      |
| LIFE 2021-BMR MORTGAGE TRUST                                                | LIFE 2021-BMR C                                               | CUSIP: 53218CAE0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     37380 | PA      | $37006.15     | 0.10%             | 2038-03-15      | Floating      | 4.89%                 | 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        |    194730 | PA      | $185648.31    | 0.51%             | 2058-02-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| ACRES COMMERCIAL REALTY 2021-FL2 ISSUER LTD                                 | ACRES 2026-FL4 C                                              | CUSIP: 00501XAG6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $498498.45    | 1.37%             | 2044-08-18      | Variable      | 6.00%                 | 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        |    144733 | PA      | $0.14         | 0.00%             | 2031-03-27      | Floating      | 0.00%                 | No            |                  3 | On Loan: No      |
| ELDRIDGE CLO 2025-2 LTD                                                     | ELD 2025-2A C                                                 | CUSIP: 28473AAG1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    150000 | PA      | $150108.59    | 0.41%             | 2039-01-20      | Floating      | 5.49%                 | No            |                  2 | On Loan: No      |
| Series Trust-1 Trust                                                        | GMACN 2025-WPAFB A                                            | CUSIP: 817935AA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    235708 | PA      | $251091.92    | 0.69%             | 2036-08-10      | Fixed         | 7.15%                 | No            |                  3 | On Loan: No      |
| OBX TRUST2024-NQM5                                                          | OBX 2024-NQM5 A1                                              | CUSIP: 67448NAA6<br>LEI: 254900RDM4XSF0B1E373 | Long             | ABS-O            | CORP              | US        |    624578 | PA      | $627860.85    | 1.73%             | 2064-01-25      | Variable      | 5.99%                 | No            |                  2 | On Loan: No      |
| AASET MT-1 LTD                                                              | AASET 2025-3A A                                               | CUSIP: 00039NAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |    245141 | PA      | $241766.26    | 0.67%             | 2050-02-16      | Fixed         | 5.24%                 | 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        |     91676 | PA      | $91219.79     | 0.25%             | 2043-06-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Acore 2026-FL1 Issuer LLC                                                   | ACORE 2026-FL1 C                                              | CUSIP: 00485EAG8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    100000 | PA      | $99635.75     | 0.27%             | 2043-08-20      | Floating      | 5.92%                 | 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        |    400000 | PA      | $400000.00    | 1.10%             | 2033-12-31      | Floating      | 5.64%                 | No            |                  3 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2022-LP2                                       | BX 2022-LP2 C                                                 | CUSIP: 05610HAE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    350000 | PA      | $349781.25    | 0.96%             | 2039-02-15      | Floating      | 5.23%                 | 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        |     54097 | PA      | $48375.53     | 0.13%             | 2066-06-25      | Variable      | 1.44%                 | 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        |    274169 | PA      | $274339.12    | 0.75%             | 2060-11-25      | Variable      | 5.65%                 | No            |                  2 | On Loan: No      |
| IMPERIAL FUND MTG                                                           | IMPRL 2022-NQM2 A2                                            | CUSIP: 45276PAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    526310 | PA      | $494842.09    | 1.36%             | 2067-03-25      | Variable      | 4.02%                 | No            |                  2 | On Loan: No      |
| STARWOOD MORTGAGE RESIDENTIAL TRUST 2020-1                                  | STAR 2020-1 A1                                                | CUSIP: 85573AAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     19141 | PA      | $18274.45     | 0.05%             | 2050-02-25      | Variable      | 2.27%                 | No            |                  3 | 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    | 0.68%             | 2037-01-20      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| OBX 2025-R1 TRUST                                                           | OBX 2025-R1 A3                                                | CUSIP: 67123GAE5<br>LEI: 254900UIO03AL696QM79 | Long             | ABS-O            | CORP              | US        |     95977 | PA      | $95250.92     | 0.26%             | 2062-09-25      | Variable      | 5.19%                 | 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        |    193946 | PA      | $190089.05    | 0.52%             | 2036-07-25      | Floating      | 4.07%                 | 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        |    100000 | PA      | $99672.26     | 0.27%             | 2060-12-27      | Fixed         | 4.86%                 | 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        |    105267 | PA      | $105266.58    | 0.29%             | 2031-03-27      | Floating      | 0.00%                 | 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        |   1005956 | PA      | $1005956.10   | 2.77%             | 2027-11-15      | Floating      | 7.11%                 | 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        |    130845 | PA      | $131599.07    | 0.36%             | 2068-09-25      | Variable      | 7.18%                 | 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        |    350000 | PA      | $365922.66    | 1.01%             | 2071-02-25      | Variable      | 6.61%                 | No            |                  2 | On Loan: No      |
| OBX TRUST 2024-NQM8                                                         | OBX 2024-NQM8 A1                                              | CUSIP: 67119CAA8<br>LEI: 254900Y1YRD8JNADSC78 | Long             | ABS-O            | CORP              | US        |    359761 | PA      | $362768.02    | 1.00%             | 2064-05-25      | Variable      | 6.23%                 | No            |                  2 | On Loan: No      |
| Cars Db4 LP                                                                 | CAUTO 2026-1A A2                                              | CUSIP: 12510HBC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    249740 | PA      | $246075.36    | 0.68%             | 2056-02-15      | Fixed         | 5.07%                 | No            |                  3 | 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    | 2.32%             | 2033-04-22      | Floating      | 5.55%                 | 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        |    962166 | PA      | $875848.49    | 2.41%             | 2050-11-20      | Fixed         | 1.85%                 | No            |                  2 | On Loan: No      |
| Metronet Infrastructure Issuer LLC.                                         | MNET 2026-1A A2                                               | CUSIP: 59170JBK3<br>LEI: 5493000BIROCAEATAQ61 | Long             | ABS-O            | CORP              | US        |    125000 | PA      | $125404.25    | 0.35%             | 2056-04-20      | Fixed         | 5.27%                 | No            |                  2 | On Loan: No      |
| OBX Trust 2026-NQM2                                                         | OBX 2026-NQM4 A3                                              | CUSIP: 67124FAK2<br>LEI: 2549007DTHVTGCMU8X03 | Long             | ABS-O            | CORP              | US        |    250000 | PA      | $249459.38    | 0.69%             | 2066-02-25      | Variable      | 5.53%                 | 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        |    577225 | PA      | $576736.48    | 1.59%             | 2033-08-22      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| BSPDF 2026-FL3 ISSUER LLC                                                   | BSPDF 2026-FL3 C                                              | CUSIP: 05594VAG7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    100000 | PA      | $99359.88     | 0.27%             | 2043-09-18      | Floating      | 5.75%                 | 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        |    500000 | PA      | $494893.75    | 1.36%             | 2046-08-15      | Fixed         | 1.94%                 | 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        |    350000 | PA      | $305714.68    | 0.84%             | 2038-06-15      | Variable      | 5.58%                 | No            |                  2 | On Loan: No      |
| CSMC 2020-West                                                              | CSMC 2021-RPL4 A1                                             | CUSIP: 12662GAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    276355 | PA      | $275383.04    | 0.76%             | 2060-12-27      | Variable      | 4.15%                 | No            |                  2 | On Loan: No      |
| TEXTAINER MARINE CONTAINERS VII LTD                                         | TMCL 2021-1A A                                                | CUSIP: 88315LAL2<br>LEI: 549300X48KLHDDGPK024 | Long             | ABS-O            | CORP              | BM        |    178000 | PA      | $167276.06    | 0.46%             | 2046-02-20      | Fixed         | 1.68%                 | 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        |    150000 | PA      | $141603.89    | 0.39%             | 2042-12-18      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                       | FNR 2023-54 GA                                                | CUSIP: 3136BQRA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    162156 | PA      | $163491.06    | 0.45%             | 2049-04-25      | Fixed         | 6.50%                 | 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        |     45029 | PA      | $44661.04     | 0.12%             | 2058-03-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| Starwood Capital Group                                                      | STAR 2026-SFR7 Trust                                          | CUSIP: 85520GAE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    250000 | PA      | $250000.00    | 0.69%             | 2043-05-17      | Floating      | 5.68%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2026-CES1                                         | TPMT 2026-CES1 A2                                             | CUSIP: 89190LAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $496869.25    | 1.37%             | 2066-01-25      | Variable      | 5.32%                 | 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        |    203924 | PA      | $201673.68    | 0.55%             | 2036-11-25      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| Servpro Master Issuer Llc                                                   | SPRO 2025-1A A2                                               | CUSIP: 817743AL1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    149625 | PA      | $147965.12    | 0.41%             | 2055-10-25      | Fixed         | 5.53%                 | No            |                  2 | On Loan: No      |
| OBX 2024-NQM7 TRUST                                                         | OBX 2024-NQM7 A1                                              | CUSIP: 67119FAA1<br>LEI: 254900FVMB3WTXJGGR91 | Long             | ABS-O            | CORP              | US        |    347237 | PA      | $349948.11    | 0.96%             | 2064-03-25      | Variable      | 6.24%                 | No            |                  2 | On Loan: No      |
| CMFT NET LEASE MASTER ISSUER LLC                                            | CIMNL 2021-1 A2                                               | CUSIP: 12575AAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    191541 | PA      | $164866.77    | 0.45%             | 2051-07-20      | Fixed         | 2.57%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST 2026-3                                           | VERUS 2026-3 A3                                               | CUSIP: 92490HAK2<br>LEI: 213800DTJD5UKJR53O34 | Long             | ABS-O            | CORP              | US        |    250000 | PA      | $248042.91    | 0.68%             | 2066-02-25      | Variable      | 5.33%                 | No            |                  2 | On Loan: No      |
| BXHPP TRUST 2021-FILM                                                       | BXHPP 2021-FILM C                                             | CUSIP: 05609JAL6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    250000 | PA      | $216875.00    | 0.60%             | 2036-08-15      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| United States Treasury Bills                                                | B 0 04/14/26                                                  | CUSIP: 912797TH0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    170000 | PA      | $169776.39    | 0.47%             | 2026-04-14      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| CLI FUNDING VIII LLC                                                        | CLIF 2021-1A A                                                | CUSIP: 12565KAA5<br>LEI: 254900Z4P82YK31RVL27 | Long             | ABS-O            | CORP              | US        |    313617 | PA      | $290739.76    | 0.80%             | 2046-02-18      | Fixed         | 1.64%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2020-NQM1                               | GSMBS 2020-NQM1 A1                                            | CUSIP: 36259WAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     37280 | PA      | $35572.91     | 0.10%             | 2060-09-25      | Variable      | 1.38%                 | No            |                  2 | On Loan: No      |
| Home Eqty Ln Tst                                                            | HELT 2007-FRE1 1AV1                                           | CUSIP: 43710XAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    428204 | PA      | $408382.19    | 1.12%             | 2037-04-25      | Floating      | 3.98%                 | No            |                  2 | On Loan: No      |
| BX Trust 2018-Bilt                                                          | BX 2025-VOLT A                                                | CUSIP: 05619PAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    100000 | PA      | $99687.50     | 0.27%             | 2044-12-15      | Floating      | 5.37%                 | 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        |     93248 | PA      | $92744.52     | 0.26%             | 2070-09-25      | Variable      | 5.22%                 | No            |                  2 | On Loan: No      |
| PRPM 2026-2 LLC                                                             | PRPM 2026-2 A1                                                | CUSIP: 74390XAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     95430 | PA      | $95127.00     | 0.26%             | 2031-02-25      | Variable      | 5.09%                 | No            |                  2 | On Loan: No      |
| PLANET FITNESS MASTER ISSUER LLC SERIES 2018-1                              | PLNT 2024-1A A2II                                             | CUSIP: 72703PAG8<br>LEI: 549300NX9W3U2DO53T22 | Long             | ABS-O            | CORP              | US        |     98500 | PA      | $100217.47    | 0.28%             | 2054-06-05      | Fixed         | 6.24%                 | 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        |    250000 | PA      | $249182.10    | 0.69%             | 2043-07-25      | Floating      | 5.43%                 | 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        |    817307 | NS      | $817306.69    | 2.25%             |  |  |  | No            |                  1 | On Loan: No      |
| STORE MASTER FUNDING I-VII                                                  | STR 2018-1A A2                                                | CUSIP: 86212VAE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     90451 | PA      | $89506.16     | 0.25%             | 2048-10-20      | Fixed         | 4.29%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                 | BOFA SECURITIES INC TRI PARTY                                 | CUSIP: 000000000<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | RA               | CORP              | US        |    470540 | PA      | $470540.00    | 1.29%             |  |  |  | No            |                  2 | On Loan: No      |
| CEAMER FINANCE IV LLC                                                       | CEAMER FINANCE IV LLC                                         | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $99459.40     | 0.27%             | 2040-12-15      | Floating      | 6.18%                 | No            |                  3 | On Loan: No      |
| LEGACY MORTGAGE ASSET TRUST 2021-GS3                                        | LMAT 2021-GS3 A1                                              | CUSIP: 52474XAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    377734 | PA      | $377853.66    | 1.04%             | 2061-07-25      | Variable      | 5.75%                 | 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        |    211501 | PA      | $213026.25    | 0.59%             | 2069-01-25      | Variable      | 6.20%                 | No            |                  2 | On Loan: No      |
| PRPM 2026-1 LLC                                                             | PRPM 2026-1 A1                                                | CUSIP: 74449BAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    122561 | PA      | $121266.73    | 0.33%             | 2031-02-25      | Variable      | 5.18%                 | No            |                  2 | On Loan: No      |
| FIGRE TRUST 2025-HE8                                                        | FIGRE 2025-HE8 C                                              | CUSIP: 30191WAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    137605 | PA      | $136348.56    | 0.38%             | 2055-11-25      | Variable      | 5.46%                 | No            |                  2 | On Loan: No      |
| Wendys Funding Llc                                                          | WEN 2025-1A A2I                                               | CUSIP: 95058XAR9<br>LEI: 5493009DRVSTWJOXUL48 | Long             | ABS-O            | CORP              | US        |     99750 | PA      | $98732.46     | 0.27%             | 2055-12-15      | Fixed         | 5.42%                 | 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        |    137267 | PA      | $135799.17    | 0.37%             | 2036-11-25      | Floating      | 4.07%                 | 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     | 0.27%             | 2056-02-25      | Fixed         | 5.22%                 | 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        |    117611 | PA      | $117677.11    | 0.32%             | 2031-10-31      | Floating      | 5.70%                 | No            |                  2 | On Loan: No      |
| NYMT LOAN TRUST 2025-CP1                                                    | NYMT 2025-CP1 A2                                              | CUSIP: 67121VAB0<br>LEI: 254900JF85A0S614L988 | Long             | ABS-O            | CORP              | US        |    550000 | PA      | $513940.85    | 1.41%             | 2069-11-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| CASTLELAKE AIRCRAFT STRUCTURED TRUST 2026-1                                 | CLAST 2026-1A A                                               | CUSIP: 148924AA1<br>LEI: 5493003ADMTNWVTVWM43 | Long             | ABS-O            | CORP              | US        |    250000 | PA      | $245397.43    | 0.68%             | 2051-03-15      | Fixed         | 5.07%                 | 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        |    157723 | PA      | $142896.54    | 0.39%             | 2066-12-25      | Variable      | 3.29%                 | No            |                  2 | On Loan: No      |
| Sound point clo xix ltd                                                     | SNDPT 2018-1A A                                               | CUSIP: 83610JAA4<br>LEI: 5493001QI7ZD0IPL4A34 | Long             | ABS-CBDO         | CORP              | KY        |     22529 | PA      | $22511.75     | 0.06%             | 2031-04-15      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| LRECS 2025-CRE1 LLC                                                         | LRECS 2025-CRE1 AS                                            | CUSIP: 50230AAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    100000 | PA      | $99793.50     | 0.27%             | 2043-08-19      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| LHOME MORTGAGE TRUST 2026-RTL1                                              | LHOME 2026-RTL1 A1                                            | CUSIP: 50206JAA3<br>LEI: 52990026MRD22HI0T740 | Long             | ABS-O            | CORP              | US        |    250000 | PA      | $249041.83    | 0.69%             | 2041-01-25      | Variable      | 4.91%                 | No            |                  2 | On Loan: No      |
| SG RESIDENTIAL MORTGAGE TRUST 2025-1                                        | SGR 2025-1 A3                                                 | CUSIP: 81880NAH7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    247155 | PA      | $245776.72    | 0.68%             | 2065-12-26      | Variable      | 5.35%                 | 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        |    416373 | PA      | $389751.62    | 1.07%             | 2052-02-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MERRILL LYNCH COMMERCIAL MORTGAGE TRUST 2017-BNK3           | BACM 2017-BNK3 XA                                             | CUSIP: 06427DAT0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  18652041 | PA      | $62726.81     | 0.17%             | 2050-02-17      | Variable      | 1.00%                 | No            |                  2 | On Loan: No      |
| NAVIGATOR AIRCRAFT ABS LTD                                                  | NAVTR 2021-1 B                                                | CUSIP: 63943BAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |    156997 | PA      | $149219.16    | 0.41%             | 2046-11-15      | Fixed         | 3.57%                 | 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    | 0.66%             | 2051-01-15      | Fixed         | 5.20%                 | 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        |    159565 | PA      | $151538.81    | 0.42%             | 2046-10-15      | Fixed         | 2.64%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST 2025-12                                          | VERUS 2025-12 A3                                              | CUSIP: 92490FAM2<br>LEI: 2138009XAW9T934GL239 | Long             | ABS-O            | CORP              | US        |    245737 | PA      | $244733.55    | 0.67%             | 2070-12-25      | Variable      | 5.37%                 | No            |                  2 | On Loan: No      |
| HOMES 2025-NQM3 TRUST                                                       | HOMES 2026-NQM1 A3                                            | CUSIP: 437922AE7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    479337 | PA      | $474133.26    | 1.30%             | 2070-09-25      | Variable      | 5.16%                 | No            |                  2 | On Loan: No      |
| ARCHWEST 2025-RTL1                                                          | ARCHW 2025-RTL1 A1                                            | CUSIP: 039966AA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    100000 | PA      | $99784.87     | 0.27%             | 2040-10-25      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| VB-S1 ISSUER LLC                                                            | VBTEL 2026-1A F                                               | CUSIP: 91825HAE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    250000 | PA      | $251055.25    | 0.69%             | 2056-03-15      | Fixed         | 6.84%                 | 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     | 0.15%             | 2046-08-20      | Fixed         | 1.94%                 | No            |                  2 | On Loan: No      |
| CSMC 2020-NQM1 TRUST                                                        | CSMC 2020-NQM1 A1                                             | CUSIP: 126401AA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    117916 | PA      | $113238.17    | 0.31%             | 2065-05-25      | Variable      | 2.21%                 | No            |                  2 | On Loan: No      |
| FIDIUM LLC                                                                  | CNSL 2026-1A B                                                | CUSIP: 315961AJ1<br>LEI: 549300WW675Y48HDVX34 | Long             | ABS-O            | CORP              | US        |    100000 | PA      | $98631.13     | 0.27%             | 2056-03-20      | Fixed         | 5.42%                 | No            |                  2 | On Loan: No      |
| VB-S1 ISSUER LLC                                                            | VBTEL 2026-1A D                                               | CUSIP: 91825HAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    150000 | PA      | $147479.30    | 0.41%             | 2056-03-15      | Fixed         | 5.19%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                                            | IRS USD                                                       | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |         1 | NC      | $-90847.19    | -0.25%            |  |  |  | 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        |    575000 | PA      | $531303.68    | 1.46%             | 2046-03-20      | Fixed         | 1.86%                 | No            |                  2 | On Loan: No      |
| COMPASS DATACENTERS ISSUER III LLC                                          | CMDC 2026-1A A22                                              | CUSIP: 20469BAG2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    150000 | PA      | $146901.80    | 0.40%             | 2056-02-25      | Fixed         | 5.29%                 | 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        |      4408 | PA      | $4391.77      | 0.01%             | 2060-01-25      | Variable      | 2.38%                 | No            |                  3 | On Loan: No      |
| GCAT 2024-NQM2                                                              | GCAT 2024-NQM2 A1                                             | CUSIP: 36831CAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    319885 | PA      | $322064.80    | 0.89%             | 2059-06-25      | Variable      | 6.08%                 | No            |                  2 | On Loan: No      |
| GCAT 2023-NQM2 TRUST                                                        | GCAT 2023-NQM2 A1                                             | CUSIP: 36169DAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    402987 | PA      | $401581.58    | 1.10%             | 2067-11-25      | Variable      | 5.84%                 | No            |                  2 | On Loan: No      |
| TAILWIND 2019-1 AVIATION LTD                                                | TLWND 2019-1 A                                                | CUSIP: 87404LAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | IE        |    253263 | PA      | $249742.24    | 0.69%             | 2044-12-15      | Fixed         | 3.97%                 | 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        |    270146 | PA      | $270815.94    | 0.75%             | 2033-04-15      | Floating      | 5.63%                 | No            |                  2 | On Loan: No      |
| Phantom 2026-1 Aviation Ltd. / Phantom 2026-1 Aviation LLC                  | PHNTOM 2026-1A A                                              | CUSIP: 71711GAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |    249032 | PA      | $244142.16    | 0.67%             | 2051-01-15      | Fixed         | 5.24%                 | No            |                  2 | On Loan: No      |
| STWD 2025-FL4 LLC                                                           | STWD 2025-FL4 AS                                              | CUSIP: 863922AC4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    300000 | PA      | $298506.00    | 0.82%             | 2042-11-19      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| Cross 2026 NQM2 Mortgage Trust                                              | CROSS 2026-NQM3 A3                                            | CUSIP: 227925AG9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    200000 | PA      | $199959.04    | 0.55%             | 2071-03-25      | Variable      | 5.48%                 | 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        |    392117 | PA      | $392117.00    | 1.08%             |  |  |  | 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        |    401816 | PA      | $383347.47    | 1.05%             | 2047-01-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| PILATUS 1 CFO SR NOTES                                                      | PILATUS 1 CFO SR NOTES                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    250000 | PA      | $250000.00    | 0.69%             | 2040-03-31      | Fixed         | 6.46%                 | No            |                  3 | On Loan: No      |
| ANGEL OAK MORTGAGE TRUST 2025-12                                            | AOMT 2025-12 A2                                               | CUSIP: 03466KAD8<br>LEI: 254900ZULW8CAJ29C630 | Long             | ABS-O            | CORP              | US        |     96029 | PA      | $95311.24     | 0.26%             | 2070-12-25      | Variable      | 5.14%                 | 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        |     97938 | PA      | $96035.18     | 0.26%             | 2031-12-15      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| GCAT 2023-NQM3 TRUST                                                        | GCAT 2023-NQM3 A1                                             | CUSIP: 36169GAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    136675 | PA      | $137500.45    | 0.38%             | 2068-08-25      | Variable      | 6.89%                 | No            |                  2 | On Loan: No      |
| BXMT 2026-FL6 LTD                                                           | BXMT 2026-FL6 B                                               | CUSIP: 05620AAE6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    130000 | PA      | $128890.15    | 0.35%             | 2043-08-19      | Variable      | 5.63%                 | No            |                  2 | On Loan: No      |
| MAST 2026-1 LTD / MAST 2026-1 LLC                                           | MASTT 2026-1A A                                               | CUSIP: 57631AAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    248512 | PA      | $244280.79    | 0.67%             | 2051-02-15      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| PFP 2026-13 LTD                                                             | PFP 2026-13 C                                                 | CUSIP: 716966AG1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $500422.50    | 1.38%             | 2043-08-18      | Floating      | 5.68%                 | No            |                  2 | On Loan: No      |
| TEXTAINER MARINE CONTAINERS VII LTD                                         | TMCL 2020-1A A                                                | CUSIP: 88315LAE8<br>LEI: 549300X48KLHDDGPK024 | Long             | ABS-O            | CORP              | BM        |     89918 | PA      | $86680.85     | 0.24%             | 2045-08-20      | Fixed         | 2.73%                 | No            |                  2 | On Loan: No      |
| CROSS 2026-NQM1 MORTGAGE TRUST                                              | CROSS 2026-NQM1 A3                                            | CUSIP: 22758EAG2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     98411 | PA      | $97448.50     | 0.27%             | 2061-02-25      | Variable      | 5.16%                 | No            |                  2 | On Loan: No      |
| NAVIGATOR 2024-1 AVIATION LIMITED                                           | NAVTR 2024-1 A                                                | CUSIP: 63943DAA7<br>LEI: 984500UF8C3O89B30652 | Long             | ABS-O            | CORP              | KY        |    221726 | PA      | $220351.70    | 0.61%             | 2049-08-15      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| SVC ABS LLC                                                                 | SVC 2026-1A B                                                 | CUSIP: 78488JAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    250000 | PA      | $246651.25    | 0.68%             | 2056-03-20      | Fixed         | 5.79%                 | No            |                  2 | On Loan: No      |
| FIGRE TRUST 2023-HE1                                                        | FIGRE 2026-HE1 C                                              | CUSIP: 30249NAE7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    481042 | PA      | $476148.09    | 1.31%             | 2056-01-25      | Variable      | 5.43%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2019-B14 MORTGAGE TRUST                                           | BMARK 2019-B14 XA                                             | CUSIP: 08162YAK8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8504945 | PA      | $156318.33    | 0.43%             | 2062-12-15      | Variable      | 0.76%                 | 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        |    131917 | PA      | $132147.75    | 0.36%             | 2061-04-25      | Variable      | 5.75%                 | No            |                  2 | On Loan: No      |
| SALUDA GRADE ALTERNATIVE MORTGAGE TRUST 2025-RRTL1                          | GRADE 2025-RRTL1 A2                                           | CUSIP: 79582NAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    100000 | PA      | $99560.41     | 0.27%             | 2040-10-25      | Variable      | 5.66%                 | No            |                  2 | On Loan: No      |
| OSAT 2021-RPL1 TRUST                                                        | OSAT 2021-RPL1 A1                                             | CUSIP: 67114HAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    913467 | PA      | $913978.87    | 2.51%             | 2065-05-25      | Variable      | 6.12%                 | No            |                  2 | On Loan: No      |
| BANK OF MONTREAL                                                            | BANK OF MONTREAL CHICAGO TRI PARTY                            | CUSIP: 000000000<br>LEI: NQQ6HPCNCCU6TUTQYE16 | Long             | RA               | CORP              | US        |    203901 | PA      | $203901.00    | 0.56%             |  |  |  | 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        |    209876 | PA      | $207930.23    | 0.57%             | 2037-09-25      | Floating      | 3.99%                 | No            |                  2 | On Loan: No      |
| OBX 2024-NQM6 TRUST                                                         | OBX 2024-NQM6 A1                                              | CUSIP: 67118XAA3<br>LEI: 254900LMIQVUH9BFZJ05 | Long             | ABS-O            | CORP              | US        |    349140 | PA      | $352387.81    | 0.97%             | 2064-02-25      | Variable      | 6.45%                 | No            |                  2 | On Loan: No      |
| Acrec 2026-FL4 LLC                                                          | ACREC 2026-FL4 C                                              | CUSIP: 004970AD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $496742.45    | 1.37%             | 2043-01-18      | Fixed         | 5.68%                 | No            |                  2 | On Loan: No      |
| SURF INTERNET 2026-1 A2                                                     | SURF INTERNET 2026-1 A2                                       | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $100000.00    | 0.28%             | 2056-03-20      | Floating      | 5.56%                 | No            |                  3 | On Loan: No      |
| BXMT 2020-FL2 LTD                                                           | BXMT 2020-FL2 AS                                              | CUSIP: 12434LAC8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $997025.50    | 2.74%             | 2038-02-18      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| SLAM 2021-1 LLC                                                             | SLAM 2021-1A A                                                | CUSIP: 78449AAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    280000 | PA      | $265435.97    | 0.73%             | 2046-06-15      | Fixed         | 2.43%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                                            | IRS USD                                                       | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |         1 | NC      | $132780.03    | 0.37%             |  |  |  | No            |                  2 | On Loan: No      |
| MTN COMMERCIAL MORTGAGE TRUST 2022-LPFL                                     | MTN 2022-LPFL D                                               | CUSIP: 62475WAG0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    800000 | PA      | $798479.04    | 2.20%             | 2039-03-15      | Floating      | 6.62%                 | No            |                  2 | On Loan: No      |
| JERSEY MIKE'S FUNDING LLC                                                   | JMIKE 2026-1A A2II                                            | CUSIP: 476681AG6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    150000 | PA      | $147417.54    | 0.41%             | 2056-02-15      | Fixed         | 5.48%                 | No            |                  2 | On Loan: No      |
| CFMT 2022-HB9 LLC                                                           | CFMT 2022-HB9 A                                               | CUSIP: 12530GAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    176407 | PA      | $174068.09    | 0.48%             | 2037-09-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| Anchorage Credit Funding 4 Ltd.                                             | ANCHF 2016-4A AR                                              | CUSIP: 03329TAG9<br>LEI: 549300VR9XUOV1E0U888 | Long             | ABS-CBDO         | CORP              | KY        |   1250000 | PA      | $1207378.75   | 3.32%             | 2039-04-27      | Fixed         | 2.72%                 | No            |                  2 | On Loan: No      |
| FIGRE TRUST 2026-HE2                                                        | FIGRE 2026-HE2 C                                              | CUSIP: 31684VAE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    150000 | PA      | $148858.10    | 0.41%             | 2056-01-25      | Variable      | 5.55%                 | No            |                  2 | On Loan: No      |
| SOLRR AIRCRAFT 2021-1 LTD                                                   | SOLRR 2021-1 B                                                | CUSIP: 83438LAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |    162726 | PA      | $155022.84    | 0.43%             | 2046-10-15      | Fixed         | 3.43%                 | No            |                  2 | On Loan: No      |

### Signature

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

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

**Signature:** James Howley

**Name of Signer:** James Howley

**Title:** Chief Financial Officer