# EDGAR Filing Document

**Accession Number:** 0001601445
**File Stem:** 0001752724-25-209227
**Filing Date:** 2025-8
**Character Count:** 193095
**Document Hash:** c19cfb601b2f0be445d14a853dc3bf2d
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-25-209227.hdr.sgml**: 20250827

**ACCESSION NUMBER**: 0001752724-25-209227

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 2

**CONFORMED PERIOD OF REPORT**: 20250630

**FILED AS OF DATE**: 20250827

**DATE AS OF CHANGE**: 20250827

**PERIOD START**: 20250930

**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:** 251264192

**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 |  |

## Nport-Ex

---

| | |
|:---|:---|
| **Guggenheim Strategy Fund II** |  |
| **SCHEDULE OF INVESTMENTS**  ***(Unaudited)*** | **June 30, 2025** |

---

---

| | | |
|:---|:---|:---|
| | **Shares** | **Value** |
| **MONEY MARKET FUND<sup>\*\*\*,†</sup> - 2.6%** | | |
| Dreyfus Treasury Obligations Cash Management Fund — Institutional Shares, 4.19%<sup>1</sup> | 4017859 | $4017859 |
| **Total Money Market Fund** |  |  |
| &nbsp;&nbsp;&nbsp;(Cost $4,017,859) |  | 4017859 |

---

---

| | | |
|:---|:---|:---|
| | **Face<br> Amount** | |
| **CORPORATE BONDS<sup>††</sup> - 33.8%** | | |
| **Financial - 18.2%** |  |  |
| Brighthouse Financial Global Funding |  |  |
| &nbsp;&nbsp;&nbsp;5.55% due 04/09/27<sup>2</sup> | $2700000 | 2742342 |
| AEGON Funding Company LLC |  |  |
| &nbsp;&nbsp;&nbsp;5.50% due 04/16/27<sup>2</sup> | 2600000 | 2631582 |
| Athene Global Funding |  |  |
| &nbsp;&nbsp;&nbsp;5.68% due 02/23/26<sup>2</sup> | 2300000 | 2315882 |
| F&G Global Funding |  |  |
| &nbsp;&nbsp;&nbsp;5.88% due 06/10/27<sup>2</sup> | 2100000 | 2146347 |
| Mutual of Omaha Companies Global Funding |  |  |
| &nbsp;&nbsp;&nbsp;5.35% due 04/09/27<sup>2</sup> | 1750000 | 1777383 |
| Barclays plc |  |  |
| &nbsp;&nbsp;&nbsp;5.67% due 03/12/28<sup>3</sup> | 1700000 | 1732242 |
| Standard Chartered plc |  |  |
| &nbsp;&nbsp;&nbsp;5.69% due 05/14/28<sup>2,3</sup> | 1600000 | 1632073 |
| HSBC Holdings plc |  |  |
| &nbsp;&nbsp;&nbsp;5.60% due 05/17/28<sup>3</sup> | 1600000 | 1629966 |
| Jackson National Life Global Funding |  |  |
| &nbsp;&nbsp;&nbsp;5.60% due 04/10/26<sup>2</sup> | 1600000 | 1613514 |
| LPL Holdings, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;5.70% due 05/20/27 | 1550000 | 1579030 |
| Assurant, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;6.10% due 02/27/26 | 1450000 | 1457742 |
| CNO Global Funding |  |  |
| &nbsp;&nbsp;&nbsp;5.88% due 06/04/27<sup>2</sup> | 1060000 | 1088656 |
| Rocket Mortgage LLC / Rocket Mortgage Company-Issuer, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;2.88% due 10/15/26<sup>2</sup> | 900000 | 877743 |
| Cooperatieve Rabobank UA |  |  |
| &nbsp;&nbsp;&nbsp;4.66% due 08/22/28<sup>2,3</sup> | 850000 | 854900 |
| Mizuho Financial Group, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;5.41% due 09/13/28<sup>3</sup> | 800000 | 817794 |
| Societe Generale S.A. |  |  |
| &nbsp;&nbsp;&nbsp;5.52% due 01/19/28<sup>2,3</sup> | 800000 | 809905 |
| GA Global Funding Trust |  |  |
| &nbsp;&nbsp;&nbsp;1.63% due 01/15/26<sup>2</sup> | 600000 | 589818 |
| SLM Corp. |  |  |
| &nbsp;&nbsp;&nbsp;3.13% due 11/02/26 | 600000 | 588075 |
| United Wholesale Mortgage LLC |  |  |
| &nbsp;&nbsp;&nbsp;5.50% due 11/15/25<sup>2</sup> | 490000 | 489923 |
| American National Group, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;5.00% due 06/15/27 | 240000 | 240959 |
| Brown & Brown, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;4.60% due 12/23/26 | 175000 | 175817 |
| OneMain Finance Corp. |  |  |
| &nbsp;&nbsp;&nbsp;7.13% due 03/15/26 | 168000 | 170486 |
| **Total Financial** |  | 27962179 |
| **Consumer, Non-cyclical -6.6%** |  |  |
| Universal Health Services, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;1.65% due 09/01/26 | 1950000 | 1882637 |
| Element Fleet Management Corp. |  |  |
| &nbsp;&nbsp;&nbsp;6.27% due 06/26/26<sup>2</sup> | 1700000 | 1724080 |
| Icon Investments Six DAC |  |  |
| &nbsp;&nbsp;&nbsp;5.81% due 05/08/27 | 1600000 | 1633443 |
| Global Payments, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;4.95% due 08/15/27 | 1600000 | 1618768 |
| IQVIA, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;5.00% due 05/15/27<sup>2</sup> | 1000000 | 996623 |
| Triton Container International Ltd. |  |  |
| &nbsp;&nbsp;&nbsp;2.05% due 04/15/26<sup>2</sup> | 900000 | 881384 |
| JBS USA Holding Lux SARL/ JBS USA Food Company/ JBS Lux Co SARL |  |  |
| &nbsp;&nbsp;&nbsp;5.13% due 02/01/28 | 430000 | 438772 |
| AMN Healthcare, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;4.63% due 10/01/27<sup>2</sup> | 350000 | 340450 |
| Albertsons Companies Incorporated / Safeway Inc / New Albertsons Limited Partnership / Albertsons LLC |  |  |
| &nbsp;&nbsp;&nbsp;3.25% due 03/15/26<sup>2</sup> | 330000 | 325455 |
| Block, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;2.75% due 06/01/26 | 150000 | 146855 |
| Graham Holdings Co. |  |  |
| &nbsp;&nbsp;&nbsp;5.75% due 06/01/26<sup>2</sup> | 125000 | 124908 |
| **Total Consumer, Non-cyclical** |  | 10113375 |
| **Industrial - 3.2%** |  |  |
| Penske Truck Leasing Company Lp / PTL Finance Corp. |  |  |
| &nbsp;&nbsp;&nbsp;5.35% due 01/12/27<sup>2</sup> | 1650000 | 1668685 |
| Weir Group plc |  |  |
| &nbsp;&nbsp;&nbsp;2.20% due 05/13/26<sup>2</sup> | 950000 | 926460 |
| Silgan Holdings, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;1.40% due 04/01/26<sup>2</sup> | 950000 | 924381 |
| Vontier Corp. |  |  |
| &nbsp;&nbsp;&nbsp;1.80% due 04/01/26 | 850000 | 831166 |
| Jabil, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;4.25% due 05/15/27 | 250000 | 249313 |
| &nbsp;&nbsp;&nbsp;1.70% due 04/15/26 | 250000 | 244163 |
| **Total Industrial** |  | 4844168 |
| **Consumer, Cyclical - 2.4%** |  |  |
| Live Nation Entertainment, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;6.50% due 05/15/27<sup>2</sup> | 900000 | 913265 |
| United Airlines, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;4.38% due 04/15/26<sup>2</sup> | 900000 | 894050 |
| LG Electronics, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;5.63% due 04/24/27<sup>2</sup> | 850000 | 865296 |

---

---

| | |
|:---|:---|
| **Guggenheim Strategy Fund II** |  |
| **SCHEDULE OF INVESTMENTS**  ***(Unaudited)*** | **June 30, 2025** |

---

---

| | | |
|:---|:---|:---|
| | **Face<br> Amount** | **Value** |
| **CORPORATE BONDS<sup>††</sup> - 33.8% (continued)** | | |
| **Consumer, Cyclical - 2.4% (continued)** |  |  |
| International Game Technology plc |  |  |
| &nbsp;&nbsp;&nbsp;4.13% due 04/15/26<sup>2</sup> | $500000 | $499689 |
| Air Canada |  |  |
| &nbsp;&nbsp;&nbsp;3.88% due 08/15/26<sup>2</sup> | 330000 | 326667 |
| Walgreens Boots Alliance, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;3.45% due 06/01/26 | 150000 | 146764 |
| Newell Brands, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;6.38% due 09/15/27 | 84000 | 85128 |
| **Total Consumer, Cyclical** |  | 3730859 |
| **Utilities - 1.3%** |  |  |
| Algonquin Power & Utilities Corp. |  |  |
| &nbsp;&nbsp;&nbsp;5.37% due 06/15/26 | 1750000 | 1759318 |
| Terraform Global Operating, LP |  |  |
| &nbsp;&nbsp;&nbsp;6.13% due 03/01/26<sup>2</sup> | 264000 | 262403 |
| **Total Utilities** |  | 2021721 |
| **Communications - 1.0%** |  |  |
| FactSet Research Systems, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;2.90% due 03/01/27 | 1500000 | 1461625 |
| **Technology - 0.9%** |  |  |
| CDW LLC / CDW Finance Corp. |  |  |
| &nbsp;&nbsp;&nbsp;2.67% due 12/01/26 | 1450000 | 1413373 |
| **Energy - 0.2%** |  |  |
| Buckeye Partners, LP |  |  |
| &nbsp;&nbsp;&nbsp;3.95% due 12/01/26 | 250000 | 247082 |
| **Total Corporate Bonds** |  |  |
| &nbsp;&nbsp;&nbsp;(Cost $51,419,742) |  | 51794382 |
| **ASSET-BACKED SECURITIES<sup>††</sup> - 31.6%** |  |  |
| **Collateralized Loan Obligations - 22.3%** |  |  |
| BCC Middle Market CLO LLC |  |  |
| &nbsp;&nbsp;&nbsp;2021-1A A1R, 6.02% (3 Month Term SOFR + 1.76%, Rate Floor: 1.50%) due 10/15/33<sup>◊,2</sup> | 7750000 | 7776933 |
| BXMT Ltd. |  |  |
| &nbsp;&nbsp;&nbsp;2020-FL2 AS, 5.83% (1 Month Term SOFR + 1.51%, Rate Floor: 1.51%) due 02/15/38<sup>◊,2</sup> | 2500000 | 2475892 |
| &nbsp;&nbsp;&nbsp;2020-FL3 AS, 6.68% (1 Month Term SOFR + 2.36%, Rate Floor: 2.36%) due 11/15/37<sup>◊,2</sup> | 1750000 | 1741526 |
| Palmer Square Loan Funding Ltd. |  |  |
| &nbsp;&nbsp;&nbsp;2022-1A A2, 5.86% (3 Month Term SOFR + 1.60%, Rate Floor: 1.60%) due 04/15/30<sup>◊,2</sup> | 3750000 | 3760956 |
| Golub Capital Partners CLO 49M Ltd. |  |  |
| &nbsp;&nbsp;&nbsp;2021-49A AR, 6.06% (3 Month Term SOFR + 1.79%, Rate Floor: 1.79%) due 08/26/33<sup>◊,2</sup> | 2250000 | 2255248 |
| Owl Rock CLO IV Ltd. |  |  |
| &nbsp;&nbsp;&nbsp;2021-4A A1R, 6.18% (3 Month Term SOFR + 1.86%, Rate Floor: 1.60%) due 08/20/33<sup>◊,2</sup> | 2150000 | 2155107 |
| FS Rialto |  |  |
| &nbsp;&nbsp;&nbsp;2021-FL3 B, 6.23% (1 Month Term SOFR + 1.91%, Rate Floor: 1.91%) due 11/16/36<sup>◊,2</sup> | 2000000 | 1991291 |
| Cerberus Loan Funding XXXV, LP |  |  |
| &nbsp;&nbsp;&nbsp;2021-5A A, 6.02% (3 Month Term SOFR + 1.76%, Rate Floor: 1.50%) due 09/22/33<sup>◊,2</sup> | 1750000 | 1755876 |
| Golub Capital Partners CLO 54M, LP |  |  |
| &nbsp;&nbsp;&nbsp;2021-54A A, 6.05% (3 Month Term SOFR + 1.79%, Rate Floor: 1.53%) due 08/05/33<sup>◊,2</sup> | 1750000 | 1754020 |
| Golub Capital Partners CLO 33M Ltd. |  |  |
| &nbsp;&nbsp;&nbsp;2021-33A AR2, 6.45% (3 Month Term SOFR + 2.12%, Rate Floor: 1.86%) due 08/25/33<sup>◊,2</sup> | 1500000 | 1498786 |
| BRSP Ltd. |  |  |
| &nbsp;&nbsp;&nbsp;2021-FL1 B, 6.33% (1 Month Term SOFR + 2.01%, Rate Floor: 1.90%) due 08/19/38<sup>◊,2</sup> | 1500000 | 1492518 |
| HGI CRE CLO Ltd. |  |  |
| &nbsp;&nbsp;&nbsp;2021-FL2 A, 5.43% (1 Month Term SOFR + 1.11%, Rate Floor: 1.11%) due 09/17/36<sup>◊,2</sup> | 1277278 | 1272773 |
| Sound Point CLO XIX Ltd. |  |  |
| &nbsp;&nbsp;&nbsp;2018-1A A, 5.52% (3 Month Term SOFR + 1.26%, Rate Floor: 0.00%) due 04/15/31<sup>◊,2</sup> | 1005986 | 1006740 |
| Cerberus Loan Funding XXXII, LP |  |  |
| &nbsp;&nbsp;&nbsp;2021-2A A, 6.14% (3 Month Term SOFR + 1.88%, Rate Floor: 1.88%) due 04/22/33<sup>◊,2</sup> | 1000000 | 1002462 |
| Cerberus Loan Funding XXXIII, LP |  |  |
| &nbsp;&nbsp;&nbsp;2021-3A A, 6.08% (3 Month Term SOFR + 1.82%, Rate Floor: 1.56%) due 07/23/33<sup>◊,2</sup> | 1000000 | 1002440 |

---

---

| | |
|:---|:---|
| **Guggenheim Strategy Fund II** |  |
| **SCHEDULE OF INVESTMENTS**  ***(Unaudited)*** | **June 30, 2025** |

---

---

| | | |
|:---|:---|:---|
| | **Face<br> Amount** | **Value** |
| **ASSET-BACKED SECURITIES<sup>††</sup> - 31.6% (continued)** | | |
| **Collateralized Loan Obligations - 22.3% (continued)** |  |  |
| THL Credit Lake Shore MM CLO I Ltd. |  |  |
| &nbsp;&nbsp;&nbsp;2021-1A A1R, 6.22% (3 Month Term SOFR + 1.96%, Rate Floor: 1.70%) due 04/15/33<sup>◊,2</sup> | $927965 | $930639 |
| HERA Commercial Mortgage Ltd. |  |  |
| &nbsp;&nbsp;&nbsp;2021-FL1 A, 5.48% (1 Month Term SOFR + 1.16%, Rate Floor: 1.05%) due 02/18/38<sup>◊,2</sup> | 308855 | 308443 |
| Parliament CLO II Ltd. |  |  |
| &nbsp;&nbsp;&nbsp;2021-2A A, 5.93% (3 Month Term SOFR + 1.61%, Rate Floor: 1.35%) due 08/20/32<sup>◊,2</sup> | 36973 | 37155 |
| **Total Collateralized Loan Obligations** |  | 34218805 |
| **Net Lease - 2.6%** |  |  |
| Oak Street Investment Grade Net Lease Fund Series |  |  |
| &nbsp;&nbsp;&nbsp;2020-1A, 1.85% due 11/20/50<sup>2</sup> | 3106677 | 3031726 |
| CF Hippolyta Issuer LLC |  |  |
| &nbsp;&nbsp;&nbsp;2021-1A, 1.98% due 03/15/61<sup>2</sup> | 942448 | 885217 |
| **Total Net Lease** |  | 3916943 |
| **Single Family Residence -2.5%** |  |  |
| FirstKey Homes Trust |  |  |
| &nbsp;&nbsp;&nbsp;2020-SFR2, 1.67% due 10/19/37<sup>2</sup> | 2000000 | 1971621 |
| &nbsp;&nbsp;&nbsp;2020-SFR2, 2.67% due 10/19/37<sup>2</sup> | 1150000 | 1136921 |
| &nbsp;&nbsp;&nbsp;2022-SFR1, 4.49% due 05/19/39<sup>2</sup> | 750000 | 745838 |
| **Total Single Family Residence** |  | 3854380 |
| **Transport-Container - 2.2%** |  |  |
| Triton Container Finance VIII LLC |  |  |
| &nbsp;&nbsp;&nbsp;2021-1A, 1.86% due 03/20/46<sup>2</sup> | 1916250 | 1749306 |
| Textainer Marine Containers VII Ltd. |  |  |
| &nbsp;&nbsp;&nbsp;2021-1A, 1.68% due 02/20/46<sup>2</sup> | 653333 | 600730 |
| &nbsp;&nbsp;&nbsp;2020-1A, 2.73% due 08/21/45<sup>2</sup> | 282667 | 270950 |
| CLI Funding VIII LLC |  |  |
| &nbsp;&nbsp;&nbsp;2021-1A, 1.64% due 02/18/46<sup>2</sup> | 875954 | 803045 |
| **Total Transport-Container** |  | 3424031 |
| **Infrastructure - 0.8%** |  |  |
| Aligned Data Centers Issuer LLC |  |  |
| &nbsp;&nbsp;&nbsp;2021-1A, 1.94% due 08/15/46<sup>2</sup> | 1233000 | 1191735 |
| **Financial - 0.7%** |  |  |
| Project Onyx I |  |  |
| &nbsp;&nbsp;&nbsp;7.09% (3 Month Term SOFR + 2.80%, Rate Floor: 2.80%) due 01/26/27<sup>◊,†††</sup> | 801147 | 799981 |
| Project Onyx II |  |  |
| &nbsp;&nbsp;&nbsp;7.09% (3 Month Term SOFR + 2.80%, Rate Floor: 2.80%) due 01/26/27<sup>◊,†††</sup> | 222002 | 221220 |
| **Total Financial** |  | 1021201 |
| **Transport-Aircraft - 0.5%** |  |  |
| Sapphire Aviation Finance II Ltd. |  |  |
| &nbsp;&nbsp;&nbsp;2020-1A, 3.23% due 03/15/40<sup>2</sup> | 508880 | 486011 |
| Castlelake Aircraft Securitization Trust |  |  |
| &nbsp;&nbsp;&nbsp;2018-1, 4.13% due 06/15/43<sup>2</sup> | 315176 | 306381 |
| **Total Transport-Aircraft** |  | 792392 |
| **Total Asset-Backed Securities** |  |  |
| &nbsp;&nbsp;&nbsp;(Cost $48,814,708) |  | 48419487 |
| **COLLATERALIZED MORTGAGE OBLIGATIONS<sup>††</sup> - 31.1%** |  |  |
| **Residential Mortgage-Backed Securities - 21.9%** |  |  |
| OBX Trust |  |  |
| &nbsp;&nbsp;&nbsp;2024-NQM5, 5.99% due 01/25/64<sup>2,4</sup> | 2395334 | 2411102 |
| &nbsp;&nbsp;&nbsp;2024-NQM8, 6.23% due 05/25/64<sup>2,4</sup> | 1203995 | 1217039 |
| &nbsp;&nbsp;&nbsp;2024-NQM6, 6.45% due 02/25/64<sup>2,4</sup> | 1187259 | 1202288 |
| &nbsp;&nbsp;&nbsp;2024-NQM7, 6.24% due 03/25/64<sup>2,4</sup> | 1150732 | 1162492 |
| &nbsp;&nbsp;&nbsp;2023-NQM2, 6.32% due 01/25/62<sup>2,4</sup> | 1063583 | 1064700 |
| &nbsp;&nbsp;&nbsp;2023-NQM1, 6.25% due 11/25/63<sup>2,4</sup> | 500110 | 502722 |
| Citigroup Mortgage Loan Trust, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;2022-A, 6.17% due 09/25/62<sup>2,4</sup> | 2579802 | 2577674 |
| NYMT Loan Trust |  |  |
| &nbsp;&nbsp;&nbsp;2021-SP1, 4.67% due 08/25/61<sup>2,4</sup> | 1807573 | 1794389 |
| &nbsp;&nbsp;&nbsp;2022-SP1, 5.25% due 07/25/62<sup>2</sup> | 660574 | 657542 |
| Legacy Mortgage Asset Trust |  |  |
| &nbsp;&nbsp;&nbsp;2021-GS3, 5.75% due 07/25/61<sup>2</sup> | 1127115 | 1123528 |
| &nbsp;&nbsp;&nbsp;2021-GS4, 4.65% due 11/25/60<sup>2,4</sup> | 879947 | 879788 |
| &nbsp;&nbsp;&nbsp;2021-GS2, 5.75% due 04/25/61<sup>2</sup> | 424682 | 424584 |
| GCAT Trust |  |  |
| &nbsp;&nbsp;&nbsp;2024-NQM2, 6.09% due 06/25/59<sup>2,4</sup> | 1073076 | 1081713 |
| &nbsp;&nbsp;&nbsp;2022-NQM4, 5.73% due 08/25/67<sup>2,4</sup> | 989154 | 988873 |
| &nbsp;&nbsp;&nbsp;2023-NQM3, 6.89% due 08/25/68<sup>2,4</sup> | 345433 | 349351 |

---

---

| | |
|:---|:---|
| **Guggenheim Strategy Fund II** |  |
| **SCHEDULE OF INVESTMENTS**  ***(Unaudited)*** | **June 30, 2025** |

---

---

| | | |
|:---|:---|:---|
| | **Face<br> Amount** | **Value** |
| **COLLATERALIZED MORTGAGE OBLIGATIONS<sup>††</sup> - 31.1% (continued)** | | |
| **Residential Mortgage-Backed Securities - 21.9% (continued)** |  |  |
| CSMC Trust |  |  |
| &nbsp;&nbsp;&nbsp;2021-RPL7, 4.19% (WAC) due 07/27/61<sup>◊,2</sup> | $582882 | $577712 |
| &nbsp;&nbsp;&nbsp;2021-RPL4, 4.12% (WAC) due 12/27/60<sup>◊,2</sup> | 453218 | 451391 |
| &nbsp;&nbsp;&nbsp;2020-NQM1, 2.21% due 05/25/65<sup>2</sup> | 452016 | 428493 |
| Verus Securitization Trust |  |  |
| &nbsp;&nbsp;&nbsp;2020-5, 2.22% due 05/25/65<sup>2</sup> | 608238 | 588540 |
| &nbsp;&nbsp;&nbsp;2021-6, 1.89% (WAC) due 10/25/66<sup>◊,2</sup> | 536980 | 469860 |
| &nbsp;&nbsp;&nbsp;2021-3, 1.44% (WAC) due 06/25/66<sup>◊,2</sup> | 187472 | 163613 |
| &nbsp;&nbsp;&nbsp;2020-1, 3.42% due 01/25/60<sup>2</sup> | 132416 | 129074 |
| OSAT Trust |  |  |
| &nbsp;&nbsp;&nbsp;2021-RPL1, 6.12% due 05/25/65<sup>2</sup> | 1329907 | 1330197 |
| Home Equity Loan Trust |  |  |
| &nbsp;&nbsp;&nbsp;2007-FRE1, 4.62% (1 Month Term SOFR + 0.30%, Rate Floor: 0.19%) due 04/25/37<sup>◊</sup> | 1380718 | 1328541 |
| New Residential Mortgage Loan Trust |  |  |
| &nbsp;&nbsp;&nbsp;2019-1A, 3.50% (WAC) due 10/25/59<sup>◊,2</sup> | 702847 | 658821 |
| &nbsp;&nbsp;&nbsp;2018-2A, 3.50% (WAC) due 02/25/58<sup>◊,2</sup> | 642887 | 611691 |
| Imperial Fund Mortgage Trust |  |  |
| &nbsp;&nbsp;&nbsp;2022-NQM2, 4.02% (WAC) due 03/25/67<sup>◊,2</sup> | 1313923 | 1250003 |
| Angel Oak Mortgage Trust |  |  |
| &nbsp;&nbsp;&nbsp;2024-4, 6.20% due 01/25/69<sup>2,4</sup> | 623068 | 628120 |
| &nbsp;&nbsp;&nbsp;2022-1, 3.29% (WAC) due 12/25/66<sup>◊,2</sup> | 482862 | 430924 |
| JP Morgan Mortgage Trust |  |  |
| &nbsp;&nbsp;&nbsp;2021-12, 2.50% (WAC) due 02/25/52<sup>◊,2</sup> | 1130812 | 1051577 |
| NovaStar Mortgage Funding Trust Series |  |  |
| &nbsp;&nbsp;&nbsp;2007-2, 4.63% (1 Month Term SOFR + 0.31%, Rate Cap/Floor: 11.00%/0.20%) due 09/25/37<sup>◊</sup> | 826333 | 812201 |
| Soundview Home Loan Trust |  |  |
| &nbsp;&nbsp;&nbsp;2006-OPT5, 4.71% (1 Month Term SOFR + 0.39%, Rate Floor: 0.28%) due 07/25/36<sup>◊</sup> | 834317 | 810412 |
| Structured Asset Securities Corporation Mortgage Loan Trust |  |  |
| &nbsp;&nbsp;&nbsp;2008-BC4, 5.06% (1 Month Term SOFR + 0.74%, Rate Floor: 0.63%) due 11/25/37<sup>◊</sup> | 832570 | 807023 |
| Alternative Loan Trust |  |  |
| &nbsp;&nbsp;&nbsp;2007-OA7, 4.71% (1 Month Term SOFR + 0.39%, Rate Floor: 0.28%) due 05/25/47<sup>◊</sup> | 595882 | 544508 |
| CFMT LLC |  |  |
| &nbsp;&nbsp;&nbsp;2022-HB9, 3.25% (WAC) due 09/25/37<sup>◊,2</sup> | 528085 | 521700 |
| HarborView Mortgage Loan Trust |  |  |
| &nbsp;&nbsp;&nbsp;2006-14, 4.73% (1 Month Term SOFR + 0.41%, Rate Floor: 0.30%) due 01/25/47<sup>◊</sup> | 517676 | 493398 |
| HOMES Trust |  |  |
| &nbsp;&nbsp;&nbsp;2024-AFC2, 5.58% (WAC) due 10/25/59<sup>◊,2</sup> | 450082 | 450476 |
| FIGRE Trust |  |  |
| &nbsp;&nbsp;&nbsp;2024-HE5, 5.44% (WAC) due 10/25/54<sup>◊,2</sup> | 429876 | 432225 |
| COLT Mortgage Loan Trust |  |  |
| &nbsp;&nbsp;&nbsp;2023-3, 7.18% due 09/25/68<sup>2,4</sup> | 368486 | 373889 |
| Bear Stearns Asset-Backed Securities I Trust |  |  |
| &nbsp;&nbsp;&nbsp;2006-HE9, 4.71% (1 Month Term SOFR + 0.39%, Rate Floor: 0.28%) due 11/25/36<sup>◊</sup> | 330068 | 327251 |
| Towd Point Mortgage Trust |  |  |
| &nbsp;&nbsp;&nbsp;2018-2, 3.25% (WAC) due 03/25/58<sup>◊,2</sup> | 236011 | 232707 |
| Banc of America Funding Trust |  |  |
| &nbsp;&nbsp;&nbsp;2015-R2, 4.69% (1 Month Term SOFR + 0.37%, Rate Floor: 0.26%) due 04/29/37<sup>◊,2</sup> | 150881 | 150356 |
| Residential Mortgage Loan Trust |  |  |
| &nbsp;&nbsp;&nbsp;2020-1, 2.38% (WAC) due 01/26/60<sup>◊,2</sup> | 57783 | 57105 |

---

---

| | |
|:---|:---|
| **Guggenheim Strategy Fund II** |  |
| **SCHEDULE OF INVESTMENTS**  ***(Unaudited)*** | **June 30, 2025** |

---

---

| | | |
|:---|:---|:---|
| | **Face<br> Amount** | **Value** |
| **COLLATERALIZED MORTGAGE OBLIGATIONS<sup>††</sup> - 31.1% (continued)** | | |
| **Residential Mortgage-Backed Securities - 21.9% (continued)** |  |  |
| Starwood Mortgage Residential Trust |  |  |
| &nbsp;&nbsp;&nbsp;2020-1, 2.28% (WAC) due 02/25/50<sup>◊,2</sup> | $32932 | $31155 |
| **Total Residential Mortgage-Backed Securities** |  | 33580748 |
| **Commercial Mortgage-Backed Securities - 8.7%** |  |  |
| BX Commercial Mortgage Trust |  |  |
| &nbsp;&nbsp;&nbsp;2021-VOLT, 6.08% (1 Month Term SOFR + 1.76%, Rate Floor: 1.65%) due 09/15/36<sup>◊,2</sup> | 3633105 | 3616075 |
| &nbsp;&nbsp;&nbsp;2022-LP2, 5.87% (1 Month Term SOFR + 1.56%, Rate Floor: 1.56%) due 02/15/39<sup>◊,2</sup> | 770000 | 768082 |
| JP Morgan Chase Commercial Mortgage Securities Trust |  |  |
| &nbsp;&nbsp;&nbsp;2021-NYAH, 6.22% (1 Month Term SOFR + 1.90%, Rate Floor: 1.54%) due 06/15/38<sup>◊,2</sup> | 3900000 | 3607500 |
| WMRK Commercial Mortgage Trust |  |  |
| &nbsp;&nbsp;&nbsp;2022-WMRK, 7.75% (1 Month Term SOFR + 3.44%, Rate Floor: 3.44%) due 11/15/27<sup>◊,2</sup> | 2850000 | 2850000 |
| Citigroup Commercial Mortgage Trust |  |  |
| &nbsp;&nbsp;&nbsp;2018-C6, 0.76% (WAC) due 11/10/51<sup>◊,5</sup> | 45087595 | 1010269 |
| BENCHMARK Mortgage Trust |  |  |
| &nbsp;&nbsp;&nbsp;2019-B14, 0.88% (WAC) due 12/15/62<sup>◊,5</sup> | 22608113 | 479102 |
| BXHPP Trust |  |  |
| &nbsp;&nbsp;&nbsp;2021-FILM, 5.53% (1 Month Term SOFR + 1.21%, Rate Floor: 1.10%) due 08/15/36<sup>◊,2</sup> | 500000 | 449231 |
| JPMDB Commercial Mortgage Securities Trust |  |  |
| &nbsp;&nbsp;&nbsp;2018-C8, 0.59% (WAC) due 06/15/51<sup>◊,5</sup> | 33221209 | 448792 |
| Life Mortgage Trust |  |  |
| &nbsp;&nbsp;&nbsp;2021-BMR, 5.53% (1 Month Term SOFR + 1.21%, Rate Floor: 1.10%) due 03/15/38<sup>◊,2</sup> | 101460 | 100889 |
| **Total Commercial Mortgage-Backed Securities** |  | 13329940 |
| **Government Agency - 0.5%** |  |  |
| Fannie Mae |  |  |
| &nbsp;&nbsp;&nbsp;6.50% due 04/25/49 | 817130 | 833140 |
| **Total Collateralized Mortgage Obligations** |  |  |
| &nbsp;&nbsp;&nbsp;(Cost $48,768,622) |  | 47743828 |
| **FEDERAL AGENCY DISCOUNT NOTES<sup>††</sup> - 0.6%** |  |  |
| Federal Home Loan Bank |  |  |
| &nbsp;&nbsp;&nbsp;4.10% due 07/01/25<sup>6</sup> | 900000 | 900000 |
| **Total Federal Agency Discount Notes** |  |  |
| &nbsp;&nbsp;&nbsp;(Cost $900,000) |  | 900000 |
| **SENIOR FLOATING RATE INTERESTS<sup>††,◊</sup> - 0.5%** |  |  |
| **Financial - 0.4%** |  |  |
| Citadel Securities, LP |  |  |
| &nbsp;&nbsp;&nbsp;6.33% (1 Month Term SOFR + 2.00%, Rate Floor: 2.00%) due 10/31/31 | 325887 | 327070 |
| Jane Street Group LLC |  |  |
| &nbsp;&nbsp;&nbsp;6.33% (3 Month Term SOFR + 2.00%, Rate Floor: 2.00%) due 12/15/31 | 295361 | 294980 |
| **Total Financial** |  | 622050 |
| **Technology - 0.1%** |  |  |
| World Wide Technology Holding Company LLC |  |  |
| &nbsp;&nbsp;&nbsp;6.56% (1 Month Term SOFR + 2.25%, Rate Floor: 2.75%) due 03/01/30 | 220344 | 221171 |
| **Total Senior Floating Rate Interests** |  |  |
| &nbsp;&nbsp;&nbsp;(Cost $839,977) |  | 843221 |
| **REPURCHASE AGREEMENTS<sup>††,7</sup> - 1.5%** |  |  |
| BofA Securities, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;issued 06/30/25 at 4.37% <br> due 07/01/25 | 943568 | 943568 |
| BNP Paribas |  |  |
| &nbsp;&nbsp;&nbsp;issued 06/30/25 at 4.37% <br> due 07/01/25 | 589730 | 589730 |
| J.P. Morgan Securities LLC |  |  |
| &nbsp;&nbsp;&nbsp;issued 06/30/25 at 4.37% <br> due 07/01/25 | 589730 | 589730 |
| Bank of Montreal |  |  |
| &nbsp;&nbsp;&nbsp;issued 06/30/25 at 4.34% <br> due 07/01/25 | 117946 | 117946 |
| **Total Repurchase Agreements** |  |  |
| &nbsp;&nbsp;&nbsp;(Cost $2,240,974) |  | 2240974 |
| **Total Investments - 101.7%** |  |  |
| &nbsp;&nbsp;&nbsp;(Cost $157,001,882) |  | $155959751 |
| **Other Assets & Liabilities, net - (1.7)%** |  | (2539441) |
| **Total Net Assets - 100.0%** |  | $153420310 |

---

---

| | |
|:---|:---|
| **Guggenheim Strategy Fund II** |  |
| **SCHEDULE OF INVESTMENTS**  ***(Unaudited)*** | **June 30, 2025** |

---

**Centrally Cleared Interest Rate Swap Agreements<sup>††</sup>**

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Counterparty** | **Floating Rate Type** | **Floating Rate Index** | **Fixed Rate** | **Payment Frequency** | **Maturity Date** | **Notional Amount** | **Value** | **Upfront<br> Premiums Paid** | **Unrealized Depreciation<sup>\*\*</sup>** |
| BofA Securities, Inc. CME | Receive | U.S. Secured Overnight Financing Rate | 4.28% | Annually | 06/14/27 | $55500000 | $(807851) | $285 | $(808136) |

---

---

| | |
|:---|:---|
| *\*\** | *Includes cumulative appreciation (depreciation).* |
| *\*\*\** | *A copy of each underlying unaffiliated fund's financial statements is available at the SEC's website at www.sec.gov.<br>*  |
| *†* | *Value determined based on Level 1 inputs — See Note 3.* |
| *††* | *Value determined based on Level 2 inputs, unless otherwise noted — See Note 3.* |
| *†††* | *Value determined based on Level 3 inputs — See Note 3.* |
| *◊* | *Variable rate security. Rate indicated is the rate effective at June 30, 2025. In some instances, the effective rate is limited by a minimum rate floor or a maximum rate cap established by the issuer. The settlement status of a position may also impact the effective rate indicated. In some cases, a position may be unsettled at period end and may not have a stated effective rate. In instances where multiple underlying reference rates and spread amounts are shown, the effective rate is based on a weighted average.* |
| *1* | *Rate indicated is the 7-day yield as of June 30, 2025.* |
| *2* | *Security is a 144A or Section 4(a)(2) security. These securities have been determined to be liquid under guidelines established by the Board of Trustees. The total market value of 144A or Section 4(a)(2) securities is $118,491,341 (cost $119,179,790), or 77.2% of total net assets.* |
| *3* | *Security has a fixed rate coupon which will convert to a floating or variable rate coupon on a future date.* |
| *4* | *Security is a step up/down bond. The coupon increases or decreases at regular intervals until the bond reaches full maturity. Rate indicated is the rate at June 30, 2025. See table below for additional step information for each security.* |
| *5* | *Security is an interest-only strip.* |
| *6* | *Rate indicated is the effective yield at the time of purchase.* |
| *7* | *Repurchase Agreements - The interest rate on repurchase agreements is market driven and based on the underlying collateral obtained. See additional disclosure in the repurchase agreements table below for more information on repurchase agreements.* |

---

---

| |
|:---|
| *BofA — Bank of America* |
| *CME — Chicago Mercantile Exchange* |
| *plc — Public Limited Company* |
| *SARL — Société à Responsabilité Limitée* |
| *SOFR — Secured Overnight Financing Rate* |
| *WAC — Weighted Average Coupon* |
| *See Sector Classification in Other Information section.* |

---

The following table summarizes the inputs used to value the Fund's investments at June 30, 2025 (See Note 3 in the Notes to Schedule of Investments):

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Investments in Securities (Assets)** | **Level 1 <br> Quoted Prices** | **Level 2<br> Significant<br> Observable<br> Inputs** | **Level 3<br> Significant<br> Unobservable<br> Inputs** | **Total** |
| Money Market Fund | $4017859 | $— | $— | $4017859 |
| Corporate Bonds |  | 51794382 |  | 51794382 |
| Asset-Backed Securities |  | 47398286 | 1021201 | 48419487 |
| Collateralized Mortgage Obligations |  | 47743828 |  | 47743828 |
| Federal Agency Discount Notes |  | 900000 |  | 900000 |
| Senior Floating Rate Interests |  | 843221 |  | 843221 |
| Repurchase Agreements |  | 2240974 |  | 2240974 |
| Total Assets | $4017859 | $150920691 | $1021201 | $155959751 |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Investments in Securities (Liabilities)** | **Level 1<br> Quoted Prices** | **Level 2<br> Significant<br> Observable<br> Inputs** | **Level 3<br> Significant<br> Unobservable<br> Inputs** | **Total** |
| Interest Rate Swap Agreements\*\* | $– $| 808136 | $– $| 808136 |

---

\*\* This derivative is reported as unrealized appreciation/depreciation at period end.

---

| | |
|:---|:---|
| **Guggenheim Strategy Fund II** |  |
| **SCHEDULE OF INVESTMENTS**  ***(Unaudited)*** | **June 30, 2025** |

---

**Step Coupon Bonds**

The following table discloses additional information related to step coupon bonds held by the Fund. Certain securities are subject to multiple rate changes prior to maturity. For those securities, a range of rates and corresponding dates have been provided. Rates for all step coupon bonds held by the Fund are scheduled to increase, none are scheduled to decrease.

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Name** | **Coupon Rate at Next Reset Date** | **Next Rate Reset Date** | **Future Reset Rate** | **Future Reset Date** |
| Angel Oak Mortgage Trust 2024-4, 6.20% due 01/25/69 | 7.20% | 03/01/28 |  |  |
| Citigroup Mortgage Loan Trust, Inc. 2022-A, 6.17% due 09/25/62 | 9.17% | 09/25/25 | 10.17% | 09/25/26 |
| COLT Mortgage Loan Trust 2023-3, 7.18% due 09/25/68 | 8.18% | 09/01/27 |  |  |
| GCAT Trust 2024-NQM2, 6.09% due 06/25/59 | 7.36% | 05/01/28 |  |  |
| GCAT Trust 2023-NQM3, 6.89% due 08/25/68 | 7.89% | 09/01/27 |  |  |
| GCAT Trust 2022-NQM4, 5.73% due 08/25/67 | 6.73% | 08/01/26 |  |  |
| Legacy Mortgage Asset Trust 2021-GS4, 4.65% due 11/25/60 | 5.65% | 08/25/25 |  |  |
| NYMT Loan Trust 2021-SP1, 4.67% due 08/25/61 | 5.67% | 08/01/25 |  |  |
| OBX Trust 2023-NQM2, 6.32% due 01/25/62 | 7.32% | 02/01/27 |  |  |
| OBX Trust 2024-NQM8, 6.23% due 05/25/64 | 7.23% | 05/01/28 |  |  |
| OBX Trust 2024-NQM7, 6.24% due 03/25/64 | 7.24% | 04/01/28 |  |  |
| OBX Trust 2023-NQM1, 6.25% due 11/25/63 | 7.25% | 12/01/27 |  |  |
| OBX Trust 2024-NQM6, 6.45% due 02/25/64 | 7.45% | 04/01/28 |  |  |
| OBX Trust 2024-NQM5, 5.99% due 01/25/64 | 6.99% | 03/01/28 |  |  |

---

**Repurchase Agreements**

The Fund may engage in repurchase agreements. Repurchase agreements are fixed income securities in the form of agreements backed by collateral. These agreements typically involve the acquisition by the Fund of securities from the selling institution coupled with the agreement that the selling institution will repurchase the underlying securities at a specified price and at a fixed time in the future. The Fund may accept a wide variety of underlying securities as collateral for the repurchase agreements entered into by the Fund. Any such securities serving as collateral are marked-to-market daily in order to maintain full collateralization.

In connection with transactions in repurchase agreements, it is the Fund's policy that its custodian take possession of the underlying collateral. The collateral is in the possession of the Fund's custodian and is evaluated to ensure that its market value exceeds, at a minimum, 102% of the original face amount of the repurchase agreements.

The use of repurchase agreements involves certain risks. For example, if the selling institution defaults on its obligation to repurchase the underlying securities at a time when the value of securities has declined, the Fund may incur a loss upon disposition of them. In the event of an insolvency or bankruptcy by the selling institution, the Fund's right to control the collateral could be affected and result in certain costs and delays. In addition, the Fund could incur a loss if the value of the underlying collateral falls below the agreed upon repurchase price.

At June 30, 2025, the repurchase agreements in the account were as follows:

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **Counterparty and Terms of Agreement** | **Face Value** | **Repurchase Price** | **Collateral** | **Par Value** | **Fair Value** |
| BofA Securities, Inc. |  |  | U.S. Treasury Strips |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.37% |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;0.00% |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Due 07/01/25 | $943568 | $943683 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Due 07/31/26 - 08/15/43 | $2218893 | $962055 |
|  |  |  | U.S. Treasury Note |  |  |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.25% |  |  |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Due 12/31/26 | 400 | 385 |
|  |  |  |  | 2219293 | 962440 |
| BNP Paribas |  |  | U.S. Treasury Notes |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.37% |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.25% - 4.38% |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Due 07/01/25 | 589730 | 589802 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Due 01/31/30 - 05/15/34 | 581600 | 601625 |
| J.P. Morgan Securities LLC |  |  | U.S. Treasury Notes |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.37% |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.00% |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Due 07/01/25 | 589730 | 589802 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Due 04/30/32 | 595200 | 598851 |
|  |  |  | U.S. Treasury Strip |  |  |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;0.00% |  |  |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Due 11/15/25 | 2709 | 2748 |
|  |  |  |  | 597909 | 601599 |
| Bank of Montreal |  |  | U.S. Treasury Bond |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.34% |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.50% |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Due 07/01/25 | 117946 | 117960 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Due 02/15/39 | 132000 | 120358 |

---

---

| | |
|:---|:---|
| **Guggenheim Strategy Fund III** |  |
| **SCHEDULE OF INVESTMENTS**  ***(Unaudited)*** | **June 30, 2025** |

---

---

| | | |
|:---|:---|:---|
| | **Shares** | **Value** |
| **MONEY MARKET FUNDS<sup>\*\*\*,†</sup> - 2.7%** | | |
| Dreyfus Treasury Obligations Cash Management Fund — Institutional Shares, 4.19%<sup>1</sup> | 3619547 | $3619547 |
| Dreyfus Treasury Securities Cash Management Fund — Institutional Shares, 4.11%<sup>1</sup> | 530905 | 530905 |
| **Total Money Market Funds** |  |  |
| &nbsp;&nbsp;&nbsp;(Cost $4,150,452) |  | 4150452 |

---

---

| | | |
|:---|:---|:---|
| | **Face<br> Amount** | |
| **COLLATERALIZED MORTGAGE OBLIGATIONS<sup>††</sup> - 33.3%** | | |
| **Residential Mortgage-Backed Securities - 26.1%** |  |  |
| OBX Trust |  |  |
| &nbsp;&nbsp;&nbsp;2024-NQM5, 5.99% due 01/25/64<sup>2,3</sup> | $2395334 | 2411102 |
| &nbsp;&nbsp;&nbsp;2024-NQM8, 6.23% due 05/25/64<sup>2,3</sup> | 1316869 | 1331137 |
| &nbsp;&nbsp;&nbsp;2024-NQM6, 6.45% due 02/25/64<sup>2,3</sup> | 1295191 | 1311587 |
| &nbsp;&nbsp;&nbsp;2024-NQM7, 6.24% due 03/25/64<sup>2,3</sup> | 1258613 | 1271476 |
| &nbsp;&nbsp;&nbsp;2023-NQM2, 6.32% due 01/25/62<sup>2,3</sup> | 1063583 | 1064700 |
| &nbsp;&nbsp;&nbsp;2023-NQM1, 6.25% due 11/25/63<sup>2,3</sup> | 500110 | 502721 |
| &nbsp;&nbsp;&nbsp;2022-NQM9, 6.45% due 09/25/62<sup>2,3</sup> | 246924 | 246903 |
| GCAT Trust |  |  |
| &nbsp;&nbsp;&nbsp;2022-NQM3, 4.35% (WAC) due 04/25/67<sup>◊,2</sup> | 1475252 | 1396168 |
| &nbsp;&nbsp;&nbsp;2023-NQM2, 5.84% due 11/25/67<sup>2,3</sup> | 1258045 | 1255460 |
| &nbsp;&nbsp;&nbsp;2024-NQM2, 6.09% due 06/25/59<sup>2,3</sup> | 1173677 | 1183124 |
| &nbsp;&nbsp;&nbsp;2023-NQM3, 6.89% due 08/25/68<sup>2,3</sup> | 345433 | 349351 |
| Citigroup Mortgage Loan Trust, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;2022-A, 6.17% due 09/25/62<sup>2,3</sup> | 2772324 | 2770038 |
| NYMT Loan Trust |  |  |
| &nbsp;&nbsp;&nbsp;2021-SP1, 4.67% due 08/25/61<sup>2,3</sup> | 2108836 | 2093454 |
| &nbsp;&nbsp;&nbsp;2022-SP1, 5.25% due 07/25/62<sup>2</sup> | 621717 | 618863 |
| OSAT Trust |  |  |
| &nbsp;&nbsp;&nbsp;2021-RPL1, 6.12% due 05/25/65<sup>2</sup> | 2630261 | 2630833 |
| Angel Oak Mortgage Trust |  |  |
| &nbsp;&nbsp;&nbsp;2021-6, 1.71% (WAC) due 09/25/66<sup>◊,2</sup> | 1023875 | 867192 |
| &nbsp;&nbsp;&nbsp;2024-4, 6.20% due 01/25/69<sup>2,3</sup> | 659719 | 665068 |
| &nbsp;&nbsp;&nbsp;2023-1, 4.75% due 09/26/67<sup>2,3</sup> | 635253 | 629369 |
| &nbsp;&nbsp;&nbsp;2022-1, 3.29% (WAC) due 12/25/66<sup>◊,2</sup> | 482862 | 430924 |
| Legacy Mortgage Asset Trust |  |  |
| &nbsp;&nbsp;&nbsp;2021-GS3, 5.75% due 07/25/61<sup>2</sup> | 907953 | 905064 |
| &nbsp;&nbsp;&nbsp;2021-GS4, 4.65% due 11/25/60<sup>2,3</sup> | 879947 | 879788 |
| &nbsp;&nbsp;&nbsp;2021-GS2, 5.75% due 04/25/61<sup>2</sup> | 339746 | 339667 |
| Verus Securitization Trust |  |  |
| &nbsp;&nbsp;&nbsp;2021-5, 1.37% (WAC) due 09/25/66<sup>◊,2</sup> | 550452 | 476719 |
| &nbsp;&nbsp;&nbsp;2021-6, 1.89% (WAC) due 10/25/66<sup>◊,2</sup> | 536980 | 469860 |
| &nbsp;&nbsp;&nbsp;2020-5, 2.22% due 05/25/65<sup>2</sup> | 481521 | 465928 |
| &nbsp;&nbsp;&nbsp;2021-4, 1.35% (WAC) due 07/25/66<sup>◊,2</sup> | 269425 | 224722 |
| &nbsp;&nbsp;&nbsp;2021-3, 1.44% (WAC) due 06/25/66<sup>◊,2</sup> | 145812 | 127254 |
| &nbsp;&nbsp;&nbsp;2020-1, 3.42% due 01/25/60<sup>2</sup> | 110347 | 107562 |
| CSMC Trust |  |  |
| &nbsp;&nbsp;&nbsp;2021-RPL7, 4.19% (WAC) due 07/27/61<sup>◊,2</sup> | 582882 | 577712 |
| &nbsp;&nbsp;&nbsp;2021-RPL4, 4.12% (WAC) due 12/27/60<sup>◊,2</sup> | 453218 | 451391 |
| &nbsp;&nbsp;&nbsp;2020-NQM1, 2.21% due 05/25/65<sup>2</sup> | 371058 | 351748 |
| Imperial Fund Mortgage Trust |  |  |
| &nbsp;&nbsp;&nbsp;2022-NQM2, 4.02% (WAC) due 03/25/67<sup>◊,2</sup> | 1313923 | 1250003 |
| New Residential Mortgage Loan Trust |  |  |
| &nbsp;&nbsp;&nbsp;2019-1A, 3.50% (WAC) due 10/25/59<sup>◊,2</sup> | 591031 | 554009 |
| &nbsp;&nbsp;&nbsp;2018-2A, 3.50% (WAC) due 02/25/58<sup>◊,2</sup> | 541379 | 515108 |
| &nbsp;&nbsp;&nbsp;2017-5A, 5.93% (1 Month Term SOFR + 1.61%, Rate Floor: 1.50%) due 06/25/57<sup>◊,2</sup> | 178394 | 177664 |
| JP Morgan Mortgage Trust |  |  |
| &nbsp;&nbsp;&nbsp;2021-12, 2.50% (WAC) due 02/25/52<sup>◊,2</sup> | 1209706 | 1124943 |
| Home Equity Loan Trust |  |  |
| &nbsp;&nbsp;&nbsp;2007-FRE1, 4.62% (1 Month Term SOFR + 0.30%, Rate Floor: 0.19%) due 04/25/37<sup>◊</sup> | 1165343 | 1121305 |
| Structured Asset Securities Corporation Mortgage Loan Trust |  |  |
| &nbsp;&nbsp;&nbsp;2008-BC4, 5.06% (1 Month Term SOFR + 0.74%, Rate Floor: 0.63%) due 11/25/37<sup>◊</sup> | 884606 | 857462 |

---

---

| | |
|:---|:---|
| **Guggenheim Strategy Fund III** |  |
| **SCHEDULE OF INVESTMENTS**  ***(Unaudited)*** | **June 30, 2025** |

---

---

| | | |
|:---|:---|:---|
| | **Face<br> Amount** | **Value** |
| **COLLATERALIZED MORTGAGE OBLIGATIONS<sup>††</sup> - 33.3% (continued)** | | |
| **Residential Mortgage-Backed Securities - 26.1% (continued)** |  |  |
| Bear Stearns Asset-Backed Securities I Trust |  |  |
| &nbsp;&nbsp;&nbsp;2006-HE9, 4.71% (1 Month Term SOFR + 0.39%, Rate Floor: 0.28%) due 11/25/36<sup>◊</sup> | $853271 | $845885 |
| HarborView Mortgage Loan Trust |  |  |
| &nbsp;&nbsp;&nbsp;2006-14, 4.73% (1 Month Term SOFR + 0.41%, Rate Floor: 0.30%) due 01/25/47<sup>◊</sup> | 854165 | 814106 |
| NovaStar Mortgage Funding Trust Series |  |  |
| &nbsp;&nbsp;&nbsp;2007-2, 4.63% (1 Month Term SOFR + 0.31%, Rate Cap/Floor: 11.00%/0.20%) due 09/25/37<sup>◊</sup> | 673308 | 661793 |
| Soundview Home Loan Trust |  |  |
| &nbsp;&nbsp;&nbsp;2006-OPT5, 4.71% (1 Month Term SOFR + 0.39%, Rate Floor: 0.28%) due 07/25/36<sup>◊</sup> | 556607 | 540659 |
| CFMT LLC |  |  |
| &nbsp;&nbsp;&nbsp;2022-HB9, 3.25% (WAC) due 09/25/37<sup>◊,2</sup> | 528085 | 521700 |
| Alternative Loan Trust |  |  |
| &nbsp;&nbsp;&nbsp;2007-OA7, 4.71% (1 Month Term SOFR + 0.39%, Rate Floor: 0.28%) due 05/25/47<sup>◊</sup> | 496569 | 453757 |
| HOMES Trust |  |  |
| &nbsp;&nbsp;&nbsp;2024-AFC2, 5.58% (WAC) due 10/25/59<sup>◊,2</sup> | 450082 | 450476 |
| COLT Mortgage Loan Trust |  |  |
| &nbsp;&nbsp;&nbsp;2023-3, 7.18% due 09/25/68<sup>2,3</sup> | 435483 | 441869 |
| FIGRE Trust |  |  |
| &nbsp;&nbsp;&nbsp;2024-HE5, 5.44% (WAC) due 10/25/54<sup>◊,2</sup> | 429876 | 432225 |
| Towd Point Mortgage Trust |  |  |
| &nbsp;&nbsp;&nbsp;2017-6, 2.75% (WAC) due 10/25/57<sup>◊,2</sup> | 214197 | 209790 |
| &nbsp;&nbsp;&nbsp;2018-2, 3.25% (WAC) due 03/25/58<sup>◊,2</sup> | 196286 | 193538 |
| Argent Securities Incorporated Asset-Backed Pass-Through Certificates Series |  |  |
| &nbsp;&nbsp;&nbsp;2005-W2, 5.17% (1 Month Term SOFR + 0.85%, Rate Floor: 0.74%) due 10/25/35<sup>◊</sup> | 217841 | 215603 |
| Banc of America Funding Trust |  |  |
| &nbsp;&nbsp;&nbsp;2015-R2, 4.69% (1 Month Term SOFR + 0.37%, Rate Floor: 0.26%) due 04/29/37<sup>◊,2</sup> | 127306 | 126863 |
| Residential Mortgage Loan Trust |  |  |
| &nbsp;&nbsp;&nbsp;2020-1, 2.38% (WAC) due 01/26/60<sup>◊,2</sup> | 51363 | 50760 |
| Encore Credit Receivables Trust |  |  |
| &nbsp;&nbsp;&nbsp;2005-2, 5.17% (1 Month Term SOFR + 0.85%, Rate Cap/Floor: 13.00%/0.74%) due 09/25/35<sup>◊</sup> | 34472 | 34363 |
| Starwood Mortgage Residential Trust |  |  |
| &nbsp;&nbsp;&nbsp;2020-1, 2.28% (WAC) due 02/25/50<sup>◊,2</sup> | 27444 | 25962 |
| **Total Residential Mortgage-Backed Securities** |  | 40026728 |
| **Commercial Mortgage-Backed Securities - 6.7%** |  |  |
| BX Commercial Mortgage Trust |  |  |
| &nbsp;&nbsp;&nbsp;2021-VOLT, 6.08% (1 Month Term SOFR + 1.76%, Rate Floor: 1.65%) due 09/15/36<sup>◊,2</sup> | 3390898 | 3375004 |
| &nbsp;&nbsp;&nbsp;2022-LP2, 5.87% (1 Month Term SOFR + 1.56%, Rate Floor: 1.56%) due 02/15/39<sup>◊,2</sup> | 735000 | 733170 |
| WMRK Commercial Mortgage Trust |  |  |
| &nbsp;&nbsp;&nbsp;2022-WMRK, 7.75% (1 Month Term SOFR + 3.44%, Rate Floor: 3.44%) due 11/15/27<sup>◊,2</sup> | 2900000 | 2900000 |
| Citigroup Commercial Mortgage Trust |  |  |
| &nbsp;&nbsp;&nbsp;2018-C6, 0.76% (WAC) due 11/10/51<sup>◊,4</sup> | 39879909 | 893581 |
| Morgan Stanley Capital I Trust |  |  |
| &nbsp;&nbsp;&nbsp;2018-H3, 0.96% (WAC) due 07/15/51<sup>◊,4</sup> | 42677727 | 814773 |
| JP Morgan Chase Commercial Mortgage Securities Trust |  |  |
| &nbsp;&nbsp;&nbsp;2021-NYAH, 6.22% (1 Month Term SOFR + 1.90%, Rate Floor: 1.54%) due 06/15/38<sup>◊,2</sup> | 850000 | 786250 |
| BXHPP Trust |  |  |
| &nbsp;&nbsp;&nbsp;2021-FILM, 5.53% (1 Month Term SOFR + 1.21%, Rate Floor: 1.10%) due 08/15/36<sup>◊,2</sup> | 500000 | 449230 |
| JPMDB Commercial Mortgage Securities Trust |  |  |
| &nbsp;&nbsp;&nbsp;2018-C8, 0.59% (WAC) due 06/15/51<sup>◊,4</sup> | 22202457 | 299938 |

---

---

| | |
|:---|:---|
| **Guggenheim Strategy Fund III** |  |
| **SCHEDULE OF INVESTMENTS**  ***(Unaudited)*** | **June 30, 2025** |

---

---

| | | |
|:---|:---|:---|
| | **Face<br> Amount** | **Value** |
| **COLLATERALIZED MORTGAGE OBLIGATIONS<sup>††</sup> - 33.3% (continued)** | | |
| **Commercial Mortgage-Backed Securities - 6.7% (continued)** |  |  |
| Life Mortgage Trust |  |  |
| &nbsp;&nbsp;&nbsp;2021-BMR, 5.53% (1 Month Term SOFR + 1.21%, Rate Floor: 1.10%) due 03/15/38<sup>◊,2</sup> | $80100 | $79649 |
| **Total Commercial Mortgage-Backed Securities** |  | 10331595 |
| **Government Agency - 0.5%** |  |  |
| Fannie Mae |  |  |
| &nbsp;&nbsp;&nbsp;6.50% due 04/25/49 | 817130 | 833141 |
| **Total Collateralized Mortgage Obligations** |  |  |
| &nbsp;&nbsp;&nbsp;(Cost $52,105,092) |  | 51191464 |
| **ASSET-BACKED SECURITIES<sup>††</sup> - 32.7%** |  |  |
| **Collateralized Loan Obligations - 20.7%** |  |  |
| BCC Middle Market CLO LLC |  |  |
| &nbsp;&nbsp;&nbsp;2021-1A A1R, 6.02% (3 Month Term SOFR + 1.76%, Rate Floor: 1.50%) due 10/15/33<sup>◊,2</sup> | 7250000 | 7275195 |
| Palmer Square Loan Funding Ltd. |  |  |
| &nbsp;&nbsp;&nbsp;2022-1A A2, 5.86% (3 Month Term SOFR + 1.60%, Rate Floor: 1.60%) due 04/15/30<sup>◊,2</sup> | 3750000 | 3760956 |
| BXMT Ltd. |  |  |
| &nbsp;&nbsp;&nbsp;2020-FL2 AS, 5.83% (1 Month Term SOFR + 1.51%, Rate Floor: 1.51%) due 02/15/38<sup>◊,2</sup> | 2250000 | 2228303 |
| &nbsp;&nbsp;&nbsp;2020-FL3 AS, 6.68% (1 Month Term SOFR + 2.36%, Rate Floor: 2.36%) due 11/15/37<sup>◊,2</sup> | 1250000 | 1243948 |
| BRSP Ltd. |  |  |
| &nbsp;&nbsp;&nbsp;2021-FL1 B, 6.33% (1 Month Term SOFR + 2.01%, Rate Floor: 1.90%) due 08/19/38<sup>◊,2</sup> | 2750000 | 2736282 |
| Golub Capital Partners CLO 49M Ltd. |  |  |
| &nbsp;&nbsp;&nbsp;2021-49A AR, 6.06% (3 Month Term SOFR + 1.79%, Rate Floor: 1.79%) due 08/26/33<sup>◊,2</sup> | 2250000 | 2255249 |
| Cerberus Loan Funding XXXV, LP |  |  |
| &nbsp;&nbsp;&nbsp;2021-5A A, 6.02% (3 Month Term SOFR + 1.76%, Rate Floor: 1.50%) due 09/22/33<sup>◊,2</sup> | 1750000 | 1755876 |
| Golub Capital Partners CLO 54M, LP |  |  |
| &nbsp;&nbsp;&nbsp;2021-54A A, 6.05% (3 Month Term SOFR + 1.79%, Rate Floor: 1.53%) due 08/05/33<sup>◊,2</sup> | 1750000 | 1754020 |
| Owl Rock CLO IV Ltd. |  |  |
| &nbsp;&nbsp;&nbsp;2021-4A A1R, 6.18% (3 Month Term SOFR + 1.86%, Rate Floor: 1.60%) due 08/20/33<sup>◊,2</sup> | 1500000 | 1503563 |
| Golub Capital Partners CLO 33M Ltd. |  |  |
| &nbsp;&nbsp;&nbsp;2021-33A AR2, 6.45% (3 Month Term SOFR + 2.12%, Rate Floor: 1.86%) due 08/25/33<sup>◊,2</sup> | 1250000 | 1248988 |
| HGI CRE CLO Ltd. |  |  |
| &nbsp;&nbsp;&nbsp;2021-FL2 A, 5.43% (1 Month Term SOFR + 1.11%, Rate Floor: 1.11%) due 09/17/36<sup>◊,2</sup> | 1248790 | 1244385 |
| Cerberus Loan Funding XXXII, LP |  |  |
| &nbsp;&nbsp;&nbsp;2021-2A A, 6.14% (3 Month Term SOFR + 1.88%, Rate Floor: 1.88%) due 04/22/33<sup>◊,2</sup> | 1000000 | 1002462 |
| Greystone Commercial Real Estate Notes |  |  |
| &nbsp;&nbsp;&nbsp;2021-FL3 B, 6.08% (1 Month Term SOFR + 1.76%, Rate Floor: 1.65%) due 07/15/39<sup>◊,2</sup> | 1000000 | 990401 |
| Sound Point CLO XIX Ltd. |  |  |
| &nbsp;&nbsp;&nbsp;2018-1A A, 5.52% (3 Month Term SOFR + 1.26%, Rate Floor: 0.00%) due 04/15/31<sup>◊,2</sup> | 912321 | 913005 |
| Cerberus Loan Funding XXXIII, LP |  |  |
| &nbsp;&nbsp;&nbsp;2021-3A A, 6.08% (3 Month Term SOFR + 1.82%, Rate Floor: 1.56%) due 07/23/33<sup>◊,2</sup> | 750000 | 751830 |
| THL Credit Lake Shore MM CLO I Ltd. |  |  |
| &nbsp;&nbsp;&nbsp;2021-1A A1R, 6.22% (3 Month Term SOFR + 1.96%, Rate Floor: 1.70%) due 04/15/33<sup>◊,2</sup> | 695974 | 697979 |
| HERA Commercial Mortgage Ltd. |  |  |
| &nbsp;&nbsp;&nbsp;2021-FL1 A, 5.48% (1 Month Term SOFR + 1.16%, Rate Floor: 1.05%) due 02/18/38<sup>◊,2</sup> | 316577 | 316154 |

---

---

| | |
|:---|:---|
| **Guggenheim Strategy Fund III** |  |
| **SCHEDULE OF INVESTMENTS**  ***(Unaudited)*** | **June 30, 2025** |

---

---

| | | |
|:---|:---|:---|
| | **Face<br> Amount** | **Value** |
| **ASSET-BACKED SECURITIES<sup>††</sup> - 32.7% (continued)** | | |
| **Collateralized Loan Obligations - 20.7% (continued)** |  |  |
| Parliament CLO II Ltd. |  |  |
| &nbsp;&nbsp;&nbsp;2021-2A A, 5.93% (3 Month Term SOFR + 1.61%, Rate Floor: 1.35%) due 08/20/32<sup>◊,2</sup> | $63382 | $63694 |
| NewStar Fairfield Fund CLO Ltd. |  |  |
| &nbsp;&nbsp;&nbsp;2018-2A A1N, 5.80% (3 Month Term SOFR + 1.53%, Rate Floor: 1.27%) due 04/20/30<sup>◊,2</sup> | 51962 | 52239 |
| **Total Collateralized Loan Obligations** |  | 31794529 |
| **Single Family Residence - 2.8%** |  |  |
| FirstKey Homes Trust |  |  |
| &nbsp;&nbsp;&nbsp;2020-SFR2, 2.67% due 10/19/37<sup>2</sup> | 3550000 | 3509626 |
| &nbsp;&nbsp;&nbsp;2022-SFR1, 4.49% due 05/19/39<sup>2</sup> | 750000 | 745838 |
| **Total Single Family Residence** |  | 4255464 |
| **Net Lease - 2.7%** |  |  |
| Oak Street Investment Grade Net Lease Fund Series |  |  |
| &nbsp;&nbsp;&nbsp;2020-1A, 1.85% due 11/20/50<sup>2</sup> | 2440961 | 2382071 |
| New Economy Assets Phase 1 Sponsor LLC |  |  |
| &nbsp;&nbsp;&nbsp;2021-1, 1.91% due 10/20/61<sup>2</sup> | 1000000 | 941488 |
| CF Hippolyta Issuer LLC |  |  |
| &nbsp;&nbsp;&nbsp;2021-1A, 1.98% due 03/15/61<sup>2</sup> | 706836 | 663913 |
| Store Master Funding I-VII |  |  |
| &nbsp;&nbsp;&nbsp;2018-1A, 4.29% due 10/20/48<sup>2</sup> | 228003 | 224882 |
| **Total Net Lease** |  | 4212354 |
| **Transport-Container - 2.0%** |  |  |
| Triton Container Finance VIII LLC |  |  |
| &nbsp;&nbsp;&nbsp;2021-1A, 1.86% due 03/20/46<sup>2</sup> | 1533000 | 1399445 |
| CLI Funding VIII LLC |  |  |
| &nbsp;&nbsp;&nbsp;2021-1A, 1.64% due 02/18/46<sup>2</sup> | 1008674 | 924719 |
| Textainer Marine Containers VII Ltd. |  |  |
| &nbsp;&nbsp;&nbsp;2021-1A, 1.68% due 02/20/46<sup>2</sup> | 457333 | 420511 |
| &nbsp;&nbsp;&nbsp;2020-1A, 2.73% due 08/21/45<sup>2</sup> | 259111 | 248371 |
| Textainer Marine Containers Ltd. |  |  |
| &nbsp;&nbsp;&nbsp;2021-3A, 1.94% due 08/20/46<sup>2</sup> | 69333 | 61649 |
| **Total Transport-Container** |  | 3054695 |
| **Collateralized Debt Obligations - 1.4%** |  |  |
| Anchorage Credit Funding 4 Ltd. |  |  |
| &nbsp;&nbsp;&nbsp;2021-4A AR, 2.72% due 04/27/39<sup>2</sup> | 2250000 | 2150330 |
| **Whole Business - 1.0%** |  |  |
| Domino's Pizza Master Issuer LLC |  |  |
| &nbsp;&nbsp;&nbsp;2018-1A, 4.33% due 07/25/48<sup>2</sup> | 1184375 | 1174767 |
| Wingstop Funding LLC |  |  |
| &nbsp;&nbsp;&nbsp;2020-1A, 2.84% due 12/05/50<sup>2</sup> | 443250 | 420083 |
| **Total Whole Business** |  | 1594850 |
| **Infrastructure - 0.8%** |  |  |
| Aligned Data Centers Issuer LLC |  |  |
| &nbsp;&nbsp;&nbsp;2021-1A, 1.94% due 08/15/46<sup>2</sup> | 1300000 | 1256493 |
| **Financial - 0.8%** |  |  |
| Project Onyx I |  |  |
| &nbsp;&nbsp;&nbsp;7.09% (3 Month Term SOFR + 2.80%, Rate Floor: 2.80%) due 01/26/27<sup>◊,†††</sup> | 915597 | 914264 |
| Project Onyx II |  |  |
| &nbsp;&nbsp;&nbsp;7.09% (3 Month Term SOFR + 2.80%, Rate Floor: 2.80%) due 01/26/27<sup>◊,†††</sup> | 253717 | 252823 |
| **Total Financial** |  | 1167087 |
| **Transport-Aircraft - 0.5%** |  |  |
| Sapphire Aviation Finance II Ltd. |  |  |
| &nbsp;&nbsp;&nbsp;2020-1A, 3.23% due 03/15/40<sup>2</sup> | 508880 | 486010 |
| Castlelake Aircraft Securitization Trust |  |  |
| &nbsp;&nbsp;&nbsp;2018-1, 4.13% due 06/15/43<sup>2</sup> | 262647 | 255318 |
| **Total Transport-Aircraft** |  | 741328 |
| **Total Asset-Backed Securities** |  |  |
| &nbsp;&nbsp;&nbsp;(Cost $50,743,874) |  | 50227130 |
| **CORPORATE BONDS<sup>††</sup> - 30.2%** |  |  |
| **Financial - 17.1%** |  |  |
| Brighthouse Financial Global Funding |  |  |
| &nbsp;&nbsp;&nbsp;5.55% due 04/09/27<sup>2</sup> | 2750000 | 2793126 |
| AEGON Funding Company LLC |  |  |
| &nbsp;&nbsp;&nbsp;5.50% due 04/16/27<sup>2</sup> | 2650000 | 2682189 |
| Athene Global Funding |  |  |
| &nbsp;&nbsp;&nbsp;5.68% due 02/23/26<sup>2</sup> | 2050000 | 2064156 |
| F&G Global Funding |  |  |
| &nbsp;&nbsp;&nbsp;5.88% due 06/10/27<sup>2</sup> | 1900000 | 1941933 |
| HSBC Holdings plc |  |  |
| &nbsp;&nbsp;&nbsp;5.60% due 05/17/28<sup>5</sup> | 1750000 | 1782775 |

---

---

| | |
|:---|:---|
| **Guggenheim Strategy Fund III** |  |
| **SCHEDULE OF INVESTMENTS**  ***(Unaudited)*** | **June 30, 2025** |

---

---

| | | |
|:---|:---|:---|
| | **Face<br> Amount** | **Value** |
| **CORPORATE BONDS<sup>††</sup> - 30.2% (continued)** | | |
| **Financial - 17.1% (continued)** |  |  |
| Mutual of Omaha Companies Global Funding |  |  |
| &nbsp;&nbsp;&nbsp;5.35% due 04/09/27<sup>2</sup> | $1750000 | $1777383 |
| Standard Chartered plc |  |  |
| &nbsp;&nbsp;&nbsp;5.69% due 05/14/28<sup>2,5</sup> | 1700000 | 1734077 |
| LPL Holdings, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;5.70% due 05/20/27 | 1700000 | 1731839 |
| Barclays plc |  |  |
| &nbsp;&nbsp;&nbsp;5.67% due 03/12/28<sup>5</sup> | 1650000 | 1681294 |
| Assurant, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;6.10% due 02/27/26 | 1650000 | 1658810 |
| CNO Global Funding |  |  |
| &nbsp;&nbsp;&nbsp;5.88% due 06/04/27<sup>2</sup> | 1140000 | 1170819 |
| Rocket Mortgage LLC / Rocket Mortgage Company-Issuer, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;2.88% due 10/15/26<sup>2</sup> | 850000 | 828979 |
| Societe Generale S.A. |  |  |
| &nbsp;&nbsp;&nbsp;5.52% due 01/19/28<sup>2,5</sup> | 800000 | 809905 |
| Cooperatieve Rabobank UA |  |  |
| &nbsp;&nbsp;&nbsp;4.66% due 08/22/28<sup>2,5</sup> | 800000 | 804612 |
| Jackson National Life Global Funding |  |  |
| &nbsp;&nbsp;&nbsp;5.60% due 04/10/26<sup>2</sup> | 750000 | 756335 |
| SLM Corp. |  |  |
| &nbsp;&nbsp;&nbsp;3.13% due 11/02/26 | 600000 | 588076 |
| United Wholesale Mortgage LLC |  |  |
| &nbsp;&nbsp;&nbsp;5.50% due 11/15/25<sup>2</sup> | 490000 | 489923 |
| GA Global Funding Trust |  |  |
| &nbsp;&nbsp;&nbsp;1.63% due 01/15/26<sup>2</sup> | 450000 | 442363 |
| American National Group, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;5.00% due 06/15/27 | 240000 | 240959 |
| Brown & Brown, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;4.60% due 12/23/26 | 175000 | 175817 |
| OneMain Finance Corp. |  |  |
| &nbsp;&nbsp;&nbsp;7.13% due 03/15/26 | 168000 | 170486 |
| **Total Financial** |  | 26325856 |
| **Consumer, Non-cyclical - 4.8%** |  |  |
| Universal Health Services, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;1.65% due 09/01/26 | 1950000 | 1882637 |
| Icon Investments Six DAC |  |  |
| &nbsp;&nbsp;&nbsp;5.81% due 05/08/27 | 1800000 | 1837623 |
| Element Fleet Management Corp. |  |  |
| &nbsp;&nbsp;&nbsp;6.27% due 06/26/26<sup>2</sup> | 1650000 | 1673372 |
| IQVIA, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;5.00% due 05/15/27<sup>2</sup> | 1000000 | 996623 |
| Triton Container International Ltd. |  |  |
| &nbsp;&nbsp;&nbsp;2.05% due 04/15/26<sup>2</sup> | 700000 | 685521 |
| Albertsons Companies Incorporated / Safeway Inc / New Albertsons Limited Partnership / Albertsons LLC |  |  |
| &nbsp;&nbsp;&nbsp;3.25% due 03/15/26<sup>2</sup> | 275000 | 271213 |
| Block, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;2.75% due 06/01/26 | 100000 | 97903 |
| **Total Consumer, Non-cyclical** |  | 7444892 |
| **Industrial - 2.8%** |  |  |
| Penske Truck Leasing Company Lp / PTL Finance Corp. |  |  |
| &nbsp;&nbsp;&nbsp;5.35% due 01/12/27<sup>2</sup> | 1650000 | 1668685 |
| Weir Group plc |  |  |
| &nbsp;&nbsp;&nbsp;2.20% due 05/13/26<sup>2</sup> | 1091000 | 1063966 |
| Silgan Holdings, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;1.40% due 04/01/26<sup>2</sup> | 750000 | 729775 |
| Vontier Corp. |  |  |
| &nbsp;&nbsp;&nbsp;1.80% due 04/01/26 | 650000 | 635597 |
| Jabil, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;1.70% due 04/15/26 | 200000 | 195331 |
| **Total Industrial** |  | 4293354 |
| **Consumer, Cyclical - 2.4%** |  |  |
| LG Electronics, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;5.63% due 04/24/27<sup>2</sup> | 900000 | 916196 |
| United Airlines, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;4.38% due 04/15/26<sup>2</sup> | 900000 | 894050 |
| Live Nation Entertainment, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;6.50% due 05/15/27<sup>2</sup> | 875000 | 887897 |
| International Game Technology plc |  |  |
| &nbsp;&nbsp;&nbsp;4.13% due 04/15/26<sup>2</sup> | 490000 | 489695 |
| Air Canada |  |  |
| &nbsp;&nbsp;&nbsp;3.88% due 08/15/26<sup>2</sup> | 330000 | 326667 |
| Walgreens Boots Alliance, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;3.45% due 06/01/26 | 100000 | 97843 |
| **Total Consumer, Cyclical** |  | 3612348 |
| **Utilities - 1.3%** |  |  |
| Algonquin Power & Utilities Corp. |  |  |
| &nbsp;&nbsp;&nbsp;5.37% due 06/15/26 | 1750000 | 1759318 |
| Terraform Global Operating, LP |  |  |
| &nbsp;&nbsp;&nbsp;6.13% due 03/01/26<sup>2</sup> | 264000 | 262403 |
| **Total Utilities** |  | 2021721 |
| **Communications - 0.9%** |  |  |
| FactSet Research Systems, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;2.90% due 03/01/27 | 1450000 | 1412904 |
| **Technology - 0.9%** |  |  |
| CDW LLC / CDW Finance Corp. |  |  |
| &nbsp;&nbsp;&nbsp;2.67% due 12/01/26 | 1350000 | 1315899 |
| **Total Corporate Bonds** |  |  |
| &nbsp;&nbsp;&nbsp;(Cost $46,081,294) |  | 46426974 |
| **SENIOR FLOATING RATE INTERESTS<sup>††,◊</sup> - 1.3%** |  |  |
| **Technology - 0.6%** |  |  |
| CoreLogic, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;7.94% (1 Month Term SOFR + 3.50%, Rate Floor: 4.00%) due 06/02/28 | 675439 | 667630 |

---

---

| | |
|:---|:---|
| **Guggenheim Strategy Fund III** |  |
| **SCHEDULE OF INVESTMENTS**  ***(Unaudited)*** | **June 30, 2025** |

---

---

| | | |
|:---|:---|:---|
| | **Face<br> Amount** | **Value** |
| **SENIOR FLOATING RATE INTERESTS<sup>††,◊</sup> - 1.3% (continued)** | | |
| **Technology - 0.6% (continued)** |  |  |
| World Wide Technology Holding Company LLC |  |  |
| &nbsp;&nbsp;&nbsp;6.56% (1 Month Term SOFR + 2.25%, Rate Floor: 2.75%) due 03/01/30 | $264413 | $265405 |
| **Total Technology** |  | 933035 |
| **Financial - 0.4%** |  |  |
| Citadel Securities, LP |  |  |
| &nbsp;&nbsp;&nbsp;6.33% (1 Month Term SOFR + 2.00%, Rate Floor: 2.00%) due 10/31/31 | 325887 | 327070 |
| Jane Street Group LLC |  |  |
| &nbsp;&nbsp;&nbsp;6.33% (3 Month Term SOFR + 2.00%, Rate Floor: 2.00%) due 12/15/31 | 295361 | 294980 |
| **Total Financial** |  | 622050 |
| **Consumer, Non-cyclical - 0.3%** |  |  |
| Elanco Animal Health, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;6.17% (1 Month Term SOFR + 1.75%, Rate Floor: 1.75%) due 08/01/27 | 403278 | 402827 |
| **Total Senior Floating Rate Interests** |  |  |
| &nbsp;&nbsp;&nbsp;(Cost $1,960,788) |  | 1957912 |
| **FEDERAL AGENCY DISCOUNT NOTES<sup>††</sup> - 0.4%** |  |  |
| Federal Home Loan Bank |  |  |
| &nbsp;&nbsp;&nbsp;4.10% due 07/01/25<sup>6</sup> | 600000 | 600000 |
| **Total Federal Agency Discount Notes** |  |  |
| &nbsp;&nbsp;&nbsp;(Cost $600,000) |  | 600000 |
| **REPURCHASE AGREEMENTS<sup>††,7</sup> - 1.0%** |  |  |
| BofA Securities, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;issued 06/30/25 at 4.37% <br> due 07/01/25 | 674599 | 674599 |
| BNP Paribas |  |  |
| &nbsp;&nbsp;&nbsp;issued 06/30/25 at 4.37% <br> due 07/01/25 | 421624 | 421624 |
| J.P. Morgan Securities LLC |  |  |
| &nbsp;&nbsp;&nbsp;issued 06/30/25 at 4.37% <br> due 07/01/25 | 421624 | 421624 |
| Bank of Montreal |  |  |
| &nbsp;&nbsp;&nbsp;issued 06/30/25 at 4.34% <br> due 07/01/25 | 84325 | 84325 |
| **Total Repurchase Agreements** |  |  |
| &nbsp;&nbsp;&nbsp;(Cost $1,602,172) |  | 1602172 |
| **Total Investments - 101.6%** |  |  |
| &nbsp;&nbsp;&nbsp;(Cost $157,243,672) |  | $156156104 |
| **Other Assets & Liabilities, net - (1.6)%** |  | (2457480) |
| **Total Net Assets - 100.0%** |  | $153698624 |

---

**Centrally Cleared Interest Rate Swap Agreements<sup>††</sup>**

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Counterparty** | **Floating Rate Type** | **Floating Rate Index** | **Fixed Rate** | **Payment Frequency** | **Maturity Date** | **Notional Amount** | **Value** | **Upfront Premiums Paid (Received)** | **Unrealized Appreciation (Depreciation)<sup>\*\*</sup>** |
| BofA Securities, Inc. CME | Receive | U.S. Secured Overnight Financing Rate + 0.26% | 1.66% | Quarterly | 03/16/31 | $3000000 | $327829 | $(524) | $328353 |
| BofA Securities, Inc. CME | Receive | U.S. Secured Overnight Financing Rate | 1.73% | Annually | 02/25/27 | 980000 | 29583 | 101 | 29482 |
| BofA Securities, Inc. CME | Receive | U.S. Secured Overnight Financing Rate | 1.47% | Annually | 02/02/27 | 850000 | 28365 | 97 | 28268 |
| BofA Securities, Inc. CME | Receive | U.S. Secured Overnight Financing Rate | 2.72% | Annually | 06/07/27 | 1800000 | 27451 | 119 | 27332 |
| BofA Securities, Inc. CME | Receive | U.S. Secured Overnight Financing Rate | 4.28% | Annually | 06/14/27 | 55250000 | (804212) | 285 | (804497) |
|  |  |  |  |  |  |  | $(390984) | $78 | $(391062) |

---

---

| | |
|:---|:---|
| *\*\** | *Includes cumulative appreciation (depreciation).* |
| *\*\*\** | *A copy of each underlying unaffiliated fund's financial statements is available at the SEC's website at www.sec.gov.* |
| *†* | *Value determined based on Level 1 inputs — See Note 3.* |
| *††* | *Value determined based on Level 2 inputs, unless otherwise noted — See Note 3.* |
| *†††* | *Value determined based on Level 3 inputs — See Note 3.* |
| *◊* | *Variable rate security. Rate indicated is the rate effective at June 30, 2025. In some instances, the effective rate is limited by a minimum rate floor or a maximum rate cap established by the issuer. The settlement status of a position may also impact the effective rate indicated. In some cases, a position may be unsettled at period end and may not have a stated effective rate. In instances where multiple underlying reference rates and spread amounts are shown, the effective rate is based on a weighted average.* |

---

---

| | |
|:---|:---|
| **Guggenheim Strategy Fund III** |  |
| **SCHEDULE OF INVESTMENTS**  ***(Unaudited)*** | **June 30, 2025** |

---

---

| | |
|:---|:---|
| *1* | *Rate indicated is the 7-day yield as of June 30, 2025.* |
| *2* | *Security is a 144A or Section 4(a)(2) security. These securities have been determined to be liquid under guidelines established by the Board of Trustees. The total market value of 144A or Section 4(a)(2) securities is $121,027,004 (cost $121,795,866), or 78.7% of total net assets.* |
| *3* | *Security is a step up/down bond. The coupon increases or decreases at regular intervals until the bond reaches full maturity. Rate indicated is the rate at June 30, 2025. See table below for additional step information for each security.* |
| *4* | *Security is an interest-only strip.* |
| *5* | *Security has a fixed rate coupon which will convert to a floating or variable rate coupon on a future date.* |
| *6* | *Rate indicated is the effective yield at the time of purchase.* |
| *7* | *Repurchase Agreements - The interest rate on repurchase agreements is market driven and based on the underlying collateral obtained. See additional disclosure in the repurchase agreements table below for more information on repurchase agreements.* |

---

*BofA — Bank of America*

*CME — Chicago Mercantile Exchange*

*plc — Public Limited Company*

*SOFR — Secured Overnight Financing Rate*

*WAC — Weighted Average Coupon*

 

*See Sector Classification in Other Information section.*

The following table summarizes the inputs used to value the Fund's investments at June 30, 2025 (See Note 3 in the Notes to Schedule of Investments):

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Investments in Securities (Assets)** | **Level 1<br> Quoted Prices** | **Level 2<br> Significant<br> Observable<br> Inputs** | **Level 3<br> Significant<br> Unobservable<br> Inputs** | **Total** |
| Money Market Funds | $4150452 | $— | $— | $4150452 |
| Collateralized Mortgage Obligations |  | 51191464 |  | 51191464 |
| Asset-Backed Securities |  | 49060043 | 1167087 | 50227130 |
| Corporate Bonds |  | 46426974 |  | 46426974 |
| Senior Floating Rate Interests |  | 1957912 |  | 1957912 |
| Federal Agency Discount Notes |  | 600000 |  | 600000 |
| Repurchase Agreements |  | 1602172 |  | 1602172 |
| Interest Rate Swap Agreements\*\* |  | 413435 |  | 413435 |
| Total Assets | $4150452 | $151252000 | $1167087 | $156569539 |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Investments in Securities (Liabilities)** | **Level 1<br> Quoted Prices** | **Level 2<br> Significant<br> Observable<br> Inputs** | **Level 3<br> Significant<br> Unobservable<br> Inputs** | **Total** |
| Interest Rate Swap Agreements\*\* | $– $| 804497 | $– $| 804497 |

---

\*\* This derivative is reported as unrealized appreciation/depreciation at period end.

**Step Coupon Bonds**

The following table discloses additional information related to step coupon bonds held by the Fund. Certain securities are subject to multiple rate changes prior to maturity. For those securities, a range of rates and corresponding dates have been provided. Rates for all step coupon bonds held by the Fund are scheduled to increase, none are scheduled to decrease.

---

| | |
|:---|:---|
| **Guggenheim Strategy Fund III** |  |
| **SCHEDULE OF INVESTMENTS**  ***(Unaudited)*** | **June 30, 2025** |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Name** | **Coupon Rate at Next Reset Date** | **Next Rate Reset Date** | **Future Reset Rate** | **Future Reset Date** |
| Angel Oak Mortgage Trust 2023-1, 4.75% due 09/26/67 | 5.75% | 01/01/27 |  |  |
| Angel Oak Mortgage Trust 2024-4, 6.20% due 01/25/69 | 7.20% | 03/01/28 |  |  |
| Citigroup Mortgage Loan Trust, Inc. 2022-A, 6.17% due 09/25/62 | 9.17% | 09/25/25 | 10.17% | 09/25/26 |
| COLT Mortgage Loan Trust 2023-3, 7.18% due 09/25/68 | 8.18% | 09/01/27 |  |  |
| GCAT Trust 2023-NQM2, 5.84% due 11/25/67 | 6.84% | 01/01/27 |  |  |
| GCAT Trust 2024-NQM2, 6.09% due 06/25/59 | 7.36% | 05/01/28 |  |  |
| GCAT Trust 2023-NQM3, 6.89% due 08/25/68 | 7.89% | 09/01/27 |  |  |
| Legacy Mortgage Asset Trust 2021-GS4, 4.65% due 11/25/60 | 5.65% | 08/25/25 |  |  |
| NYMT Loan Trust 2021-SP1, 4.67% due 08/25/61 | 5.67% | 08/01/25 |  |  |
| OBX Trust 2023-NQM2, 6.32% due 01/25/62 | 7.32% | 02/01/27 |  |  |
| OBX Trust 2022-NQM9, 6.45% due 09/25/62 | 7.45% | 11/01/26 |  |  |
| OBX Trust 2023-NQM1, 6.25% due 11/25/63 | 7.25% | 12/01/27 |  |  |
| OBX Trust 2024-NQM5, 5.99% due 01/25/64 | 6.99% | 03/01/28 |  |  |
| OBX Trust 2024-NQM7, 6.24% due 03/25/64 | 7.24% | 04/01/28 |  |  |
| OBX Trust 2024-NQM6, 6.45% due 02/25/64 | 7.45% | 04/01/28 |  |  |
| OBX Trust 2024-NQM8, 6.23% due 05/25/64 | 7.23% | 05/01/28 |  |  |

---

**Repurchase Agreements**

The Fund may engage in repurchase agreements. Repurchase agreements are fixed income securities in the form of agreements backed by collateral. These agreements typically involve the acquisition by the Fund of securities from the selling institution coupled with the agreement that the selling institution will repurchase the underlying securities at a specified price and at a fixed time in the future. The Fund may accept a wide variety of underlying securities as collateral for the repurchase agreements entered into by the Fund. Any such securities serving as collateral are marked-to-market daily in order to maintain full collateralization.

In connection with transactions in repurchase agreements, it is the Fund's policy that its custodian take possession of the underlying collateral. The collateral is in the possession of the Fund's custodian and is evaluated to ensure that its market value exceeds, at a minimum, 102% of the original face amount of the repurchase agreements.

The use of repurchase agreements involves certain risks. For example, if the selling institution defaults on its obligation to repurchase the underlying securities at a time when the value of securities has declined, the Fund may incur a loss upon disposition of them. In the event of an insolvency or bankruptcy by the selling institution, the Fund's right to control the collateral could be affected and result in certain costs and delays. In addition, the Fund could incur a loss if the value of the underlying collateral falls below the agreed upon repurchase price.

At June 30, 2025, the repurchase agreements in the account were as follows:

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **Counterparty and Terms of Agreement** | **Face Value** | **Repurchase Price** | **Collateral** | **Par Value** | **Fair Value** |
| BofA Securities, Inc. |  |  | U.S. Treasury Bond |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.37% |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.88% |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Due 07/01/25 | $674599 | $674681 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Due 05/15/43 | $896400 | $687855 |
|  |  |  | U.S. Treasury Strips |  |  |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;0.00% |  |  |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Due 02/15/46 - 05/15/48 | 702 | 236 |
|  |  |  |  | 897102 | 688091 |
| BNP Paribas |  |  | U.S. Treasury Strip |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.37% |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;0.00% |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Due 07/01/25 | 421624 | 421675 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Due 11/15/31 | 542234 | 417608 |
|  |  |  | U.S. Treasury Note |  |  |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.37% |  |  |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Due 05/15/34 | 12200 | 12434 |
|  |  |  | U.S. Treasury Bond |  |  |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.00% |  |  |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Due 02/15/26 | 100 | 103 |
|  |  |  |  | 554534 | 430145 |
| J.P. Morgan Securities LLC |  |  | U.S. Treasury Bond |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.37% |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.00% |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Due 07/01/25 | 421624 | 421675 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Due 08/15/52 | 563200 | 411014 |
|  |  |  | U.S. Treasury Strip |  |  |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;0.00% |  |  |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Due 05/15/27 | 20500 | 19106 |
|  |  |  |  | 583700 | 430120 |
| Bank of Montreal |  |  | U.S. Treasury Bond |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.34% |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.50% |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Due 07/01/25 | 84325 | 84335 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Due 02/15/39 | 94400 | 86075 |

---

---

| | |
|:---|:---|
| **Guggenheim Variable Insurance Strategy Fund III** |  |
| **SCHEDULE OF INVESTMENTS**  ***(Unaudited)*** | **June 30, 2025** |

---

---

| | | |
|:---|:---|:---|
| | **Shares** | **Value** |
| **MONEY MARKET FUND<sup>\*\*\*,†</sup> - 2.1%** | **MONEY MARKET FUND<sup>\*\*\*,†</sup> - 2.1%** | **MONEY MARKET FUND<sup>\*\*\*,†</sup> - 2.1%** |
| Dreyfus Treasury Obligations Cash Management Fund — Institutional Shares, 4.19%<sup>1</sup> | 879983 | $879983 |
| **Total Money Market Fund** |  |  |
| &nbsp;&nbsp;&nbsp;(Cost $879,983) |  | 879983 |

---

---

| | | |
|:---|:---|:---|
| | **Face<br> Amount** | |
| **ASSET-BACKED SECURITIES<sup>††</sup> - 48.6%** | | |
| **Collateralized Loan Obligations - 32.3%** |  |  |
| BCC Middle Market CLO LLC |  |  |
| &nbsp;&nbsp;&nbsp;2021-1A A1R, 6.02% (3 Month Term SOFR + 1.76%, Rate Floor: 1.50%) due 10/15/33<sup>◊,2</sup> | $2750000 | 2759557 |
| BXMT Ltd. |  |  |
| &nbsp;&nbsp;&nbsp;2020-FL2 AS, 5.83% (1 Month Term SOFR + 1.51%, Rate Floor: 1.51%) due 02/15/38<sup>◊,2</sup> | 1000000 | 990357 |
| &nbsp;&nbsp;&nbsp;2020-FL3 AS, 6.68% (1 Month Term SOFR + 2.36%, Rate Floor: 2.36%) due 11/15/37<sup>◊,2</sup> | 750000 | 746368 |
| Palmer Square Loan Funding Ltd. |  |  |
| &nbsp;&nbsp;&nbsp;2022-1A A2, 5.86% (3 Month Term SOFR + 1.60%, Rate Floor: 1.60%) due 04/15/30<sup>◊,2</sup> | 1500000 | 1504382 |
| Cerberus Loan Funding XXXII, LP |  |  |
| &nbsp;&nbsp;&nbsp;2021-2A A, 6.14% (3 Month Term SOFR + 1.88%, Rate Floor: 1.88%) due 04/22/33<sup>◊,2</sup> | 1000000 | 1002462 |
| Cerberus Loan Funding XXXV, LP |  |  |
| &nbsp;&nbsp;&nbsp;2021-5A A, 6.02% (3 Month Term SOFR + 1.76%, Rate Floor: 1.50%) due 09/22/33<sup>◊,2</sup> | 750000 | 752518 |
| Owl Rock CLO IV Ltd. |  |  |
| &nbsp;&nbsp;&nbsp;2021-4A A1R, 6.18% (3 Month Term SOFR + 1.86%, Rate Floor: 1.60%) due 08/20/33<sup>◊,2</sup> | 750000 | 751781 |
| Golub Capital Partners CLO 49M Ltd. |  |  |
| &nbsp;&nbsp;&nbsp;2021-49A AR, 6.06% (3 Month Term SOFR + 1.79%, Rate Floor: 1.79%) due 08/26/33<sup>◊,2</sup> | 750000 | 751750 |
| Golub Capital Partners CLO 54M, LP |  |  |
| &nbsp;&nbsp;&nbsp;2021-54A A, 6.05% (3 Month Term SOFR + 1.79%, Rate Floor: 1.53%) due 08/05/33<sup>◊,2</sup> | 750000 | 751723 |
| Cerberus Loan Funding XXXIII, LP |  |  |
| &nbsp;&nbsp;&nbsp;2021-3A A, 6.08% (3 Month Term SOFR + 1.82%, Rate Floor: 1.56%) due 07/23/33<sup>◊,2</sup> | 500000 | 501220 |
| Golub Capital Partners CLO 33M Ltd. |  |  |
| &nbsp;&nbsp;&nbsp;2021-33A AR2, 6.45% (3 Month Term SOFR + 2.12%, Rate Floor: 1.86%) due 08/25/33<sup>◊,2</sup> | 500000 | 499595 |
| BRSP Ltd. |  |  |
| &nbsp;&nbsp;&nbsp;2021-FL1 B, 6.33% (1 Month Term SOFR + 2.01%, Rate Floor: 1.90%) due 08/19/38<sup>◊,2</sup> | 500000 | 497506 |
| HERA Commercial Mortgage Ltd. |  |  |
| &nbsp;&nbsp;&nbsp;2021-FL1 B, 6.03% (1 Month Term SOFR + 1.71%, Rate Floor: 1.60%) due 02/18/38<sup>◊,2</sup> | 500000 | 494130 |
| THL Credit Lake Shore MM CLO I Ltd. |  |  |
| &nbsp;&nbsp;&nbsp;2021-1A A1R, 6.22% (3 Month Term SOFR + 1.96%, Rate Floor: 1.70%) due 04/15/33<sup>◊,2</sup> | 463982 | 465320 |
| HGI CRE CLO Ltd. |  |  |
| &nbsp;&nbsp;&nbsp;2021-FL2 A, 5.43% (1 Month Term SOFR + 1.11%, Rate Floor: 1.11%) due 09/17/36<sup>◊,2</sup> | 448784 | 447201 |
| Sound Point CLO XIX Ltd. |  |  |
| &nbsp;&nbsp;&nbsp;2018-1A A, 5.52% (3 Month Term SOFR + 1.26%, Rate Floor: 0.00%) due 04/15/31<sup>◊,2</sup> | 364929 | 365202 |
| Parliament CLO II Ltd. |  |  |
| &nbsp;&nbsp;&nbsp;2021-2A A, 5.93% (3 Month Term SOFR + 1.61%, Rate Floor: 1.35%) due 08/20/32<sup>◊,2</sup> | 10564 | 10616 |
| **Total Collateralized Loan Obligations** |  | 13291688 |
| **Net Lease - 3.5%** |  |  |
| Oak Street Investment Grade Net Lease Fund Series |  |  |
| &nbsp;&nbsp;&nbsp;2020-1A, 1.85% due 11/20/50<sup>2</sup> | 1109528 | 1082759 |
| CF Hippolyta Issuer LLC |  |  |
| &nbsp;&nbsp;&nbsp;2021-1A, 1.98% due 03/15/61<sup>2</sup> | 282734 | 265565 |

---

---

| | |
|:---|:---|
| **Guggenheim Variable Insurance Strategy Fund III** |  |
| **SCHEDULE OF INVESTMENTS**  ***(Unaudited)*** | **June 30, 2025** |

---

---

| | | |
|:---|:---|:---|
| | **Face<br> Amount** | **Value** |
| **ASSET-BACKED SECURITIES<sup>††</sup> - 48.6% (continued)** | | |
| **Net Lease - 3.5% (continued)** |  |  |
| Store Master Funding I-VII |  |  |
| &nbsp;&nbsp;&nbsp;2018-1A, 4.29% due 10/20/48<sup>2</sup> | $91201 | $89953 |
| **Total Net Lease** |  | 1438277 |
| **Single Family Residence - 3.1%** |  |  |
| FirstKey Homes Trust |  |  |
| &nbsp;&nbsp;&nbsp;2020-SFR2, 2.67% due 10/19/37<sup>2</sup> | 1300000 | 1285215 |
| **Transport-Container - 3.1%** |  |  |
| Triton Container Finance VIII LLC |  |  |
| &nbsp;&nbsp;&nbsp;2021-1A, 1.86% due 03/20/46<sup>2</sup> | 638750 | 583102 |
| CLI Funding VIII LLC |  |  |
| &nbsp;&nbsp;&nbsp;2021-1A, 1.64% due 02/18/46<sup>2</sup> | 371617 | 340686 |
| Textainer Marine Containers VII Ltd. |  |  |
| &nbsp;&nbsp;&nbsp;2021-1A, 1.68% due 02/20/46<sup>2</sup> | 196000 | 180219 |
| &nbsp;&nbsp;&nbsp;2020-1A, 2.73% due 08/21/45<sup>2</sup> | 117778 | 112896 |
| Textainer Marine Containers Ltd. |  |  |
| &nbsp;&nbsp;&nbsp;2021-3A, 1.94% due 08/20/46<sup>2</sup> | 69333 | 61649 |
| **Total Transport-Container** |  | 1278552 |
| **Collateralized Debt Obligations - 2.9%** |  |  |
| Anchorage Credit Funding 4 Ltd. |  |  |
| &nbsp;&nbsp;&nbsp;2021-4A AR, 2.72% due 04/27/39<sup>2</sup> | 1250000 | 1194628 |
| **Transport-Aircraft - 1.4%** |  |  |
| Sapphire Aviation Finance II Ltd. |  |  |
| &nbsp;&nbsp;&nbsp;2020-1A, 3.23% due 03/15/40<sup>2</sup> | 508880 | 486011 |
| Castlelake Aircraft Securitization Trust |  |  |
| &nbsp;&nbsp;&nbsp;2018-1, 4.13% due 06/15/43<sup>2</sup> | 105059 | 102127 |
| **Total Transport-Aircraft** |  | 588138 |
| **Infrastructure - 1.2%** |  |  |
| Aligned Data Centers Issuer LLC |  |  |
| &nbsp;&nbsp;&nbsp;2021-1A, 1.94% due 08/15/46<sup>2</sup> | 500000 | 483267 |
| **Financial - 1.1%** |  |  |
| Project Onyx I |  |  |
| &nbsp;&nbsp;&nbsp;7.09% (3 Month Term SOFR + 2.80%, Rate Floor: 2.80%) due 01/26/27<sup>◊,†††</sup> | 343349 | 342849 |
| Project Onyx II |  |  |
| &nbsp;&nbsp;&nbsp;7.09% (3 Month Term SOFR + 2.80%, Rate Floor: 2.80%) due 01/26/27<sup>◊,†††</sup> | 95144 | 94809 |
| **Total Financial** |  | 437658 |
| **Total Asset-Backed Securities** |  |  |
| &nbsp;&nbsp;&nbsp;(Cost $20,200,435) |  | 19997423 |
| **COLLATERALIZED MORTGAGE OBLIGATIONS<sup>††</sup> - 46.8%** |  |  |
| **Residential Mortgage-Backed Securities - 35.2%** |  |  |
| OBX Trust |  |  |
| &nbsp;&nbsp;&nbsp;2024-NQM5, 5.99% due 01/25/64<sup>2,3</sup> | 855476 | 861108 |
| &nbsp;&nbsp;&nbsp;2022-NQM9, 6.45% due 09/25/62<sup>2,3</sup> | 670222 | 670164 |
| &nbsp;&nbsp;&nbsp;2024-NQM8, 6.23% due 05/25/64<sup>2,3</sup> | 489123 | 494422 |
| &nbsp;&nbsp;&nbsp;2024-NQM6, 6.45% due 02/25/64<sup>2,3</sup> | 467708 | 473628 |
| &nbsp;&nbsp;&nbsp;2024-NQM7, 6.24% due 03/25/64<sup>2,3</sup> | 467485 | 472262 |
| &nbsp;&nbsp;&nbsp;2023-NQM2, 6.32% due 01/25/62<sup>2,3</sup> | 354528 | 354900 |
| GCAT Trust |  |  |
| &nbsp;&nbsp;&nbsp;2023-NQM2, 5.84% due 11/25/67<sup>2,3</sup> | 489240 | 488234 |
| &nbsp;&nbsp;&nbsp;2024-NQM2, 6.09% due 06/25/59<sup>2,3</sup> | 435937 | 439446 |
| &nbsp;&nbsp;&nbsp;2023-NQM3, 6.89% due 08/25/68<sup>2,3</sup> | 172716 | 174676 |
| Citigroup Mortgage Loan Trust, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;2022-A, 6.17% due 09/25/62<sup>2,3</sup> | 1001117 | 1000292 |
| OSAT Trust |  |  |
| &nbsp;&nbsp;&nbsp;2021-RPL1, 6.12% due 05/25/65<sup>2</sup> | 975265 | 975477 |
| Legacy Mortgage Asset Trust |  |  |
| &nbsp;&nbsp;&nbsp;2021-GS3, 5.75% due 07/25/61<sup>2</sup> | 407014 | 405718 |
| &nbsp;&nbsp;&nbsp;2021-GS4, 4.65% due 11/25/60<sup>2,3</sup> | 293316 | 293263 |
| &nbsp;&nbsp;&nbsp;2021-GS2, 5.75% due 04/25/61<sup>2</sup> | 141561 | 141528 |
| NYMT Loan Trust |  |  |
| &nbsp;&nbsp;&nbsp;2021-SP1, 4.67% due 08/25/61<sup>2,3</sup> | 602524 | 598130 |
| &nbsp;&nbsp;&nbsp;2022-SP1, 5.25% due 07/25/62<sup>2</sup> | 233144 | 232074 |
| Verus Securitization Trust |  |  |
| &nbsp;&nbsp;&nbsp;2022-4, 4.74% (WAC) due 04/25/67<sup>◊,2</sup> | 495600 | 480870 |
| &nbsp;&nbsp;&nbsp;2020-5, 2.22% due 05/25/65<sup>2</sup> | 228089 | 220703 |
| &nbsp;&nbsp;&nbsp;2021-3, 1.44% (WAC) due 06/25/66<sup>◊,2</sup> | 62491 | 54538 |
| &nbsp;&nbsp;&nbsp;2020-1, 3.42% due 01/25/60<sup>2</sup> | 44139 | 43025 |

---

---

| | |
|:---|:---|
| **Guggenheim Variable Insurance Strategy Fund III** |  |
| **SCHEDULE OF INVESTMENTS**  ***(Unaudited)*** | **June 30, 2025** |

---

---

| | | |
|:---|:---|:---|
| | **Face<br> Amount** | **Value** |
| **COLLATERALIZED MORTGAGE OBLIGATIONS<sup>††</sup> - 46.8% (continued)** | | |
| **Residential Mortgage-Backed Securities - 35.2% (continued)** |  |  |
| CSMC Trust |  |  |
| &nbsp;&nbsp;&nbsp;2021-RPL4, 4.12% (WAC) due 12/27/60<sup>◊,2</sup> | $302145 | $300927 |
| &nbsp;&nbsp;&nbsp;2021-RPL7, 4.19% (WAC) due 07/27/61<sup>◊,2</sup> | 204009 | 202199 |
| &nbsp;&nbsp;&nbsp;2020-NQM1, 2.21% due 05/25/65<sup>2</sup> | 175409 | 166281 |
| Angel Oak Mortgage Trust |  |  |
| &nbsp;&nbsp;&nbsp;2024-4, 6.20% due 01/25/69<sup>2,3</sup> | 256557 | 258638 |
| &nbsp;&nbsp;&nbsp;2023-1, 4.75% due 09/26/67<sup>2,3</sup> | 238220 | 236013 |
| &nbsp;&nbsp;&nbsp;2022-1, 3.29% (WAC) due 12/25/66<sup>◊,2</sup> | 172451 | 153902 |
| Imperial Fund Mortgage Trust |  |  |
| &nbsp;&nbsp;&nbsp;2022-NQM2, 4.02% (WAC) due 03/25/67<sup>◊,2</sup> | 563110 | 535715 |
| Bear Stearns Asset-Backed Securities I Trust |  |  |
| &nbsp;&nbsp;&nbsp;2006-HE9, 4.71% (1 Month Term SOFR + 0.39%, Rate Floor: 0.28%) due 11/25/36<sup>◊</sup> | 480731 | 476542 |
| Home Equity Loan Trust |  |  |
| &nbsp;&nbsp;&nbsp;2007-FRE1, 4.62% (1 Month Term SOFR + 0.30%, Rate Floor: 0.19%) due 04/25/37<sup>◊</sup> | 479886 | 461751 |
| JP Morgan Mortgage Trust |  |  |
| &nbsp;&nbsp;&nbsp;2021-12, 2.50% (WAC) due 02/25/52<sup>◊,2</sup> | 473363 | 440195 |
| New Residential Mortgage Loan Trust |  |  |
| &nbsp;&nbsp;&nbsp;2019-1A, 3.50% (WAC) due 10/25/59<sup>◊,2</sup> | 239607 | 224598 |
| &nbsp;&nbsp;&nbsp;2018-2A, 3.50% (WAC) due 02/25/58<sup>◊,2</sup> | 219935 | 209263 |
| HarborView Mortgage Loan Trust |  |  |
| &nbsp;&nbsp;&nbsp;2006-14, 4.73% (1 Month Term SOFR + 0.41%, Rate Floor: 0.30%) due 01/25/47<sup>◊</sup> | 427082 | 407053 |
| Structured Asset Securities Corporation Mortgage Loan Trust |  |  |
| &nbsp;&nbsp;&nbsp;2008-BC4, 5.06% (1 Month Term SOFR + 0.74%, Rate Floor: 0.63%) due 11/25/37<sup>◊</sup> | 322621 | 312722 |
| CFMT LLC |  |  |
| &nbsp;&nbsp;&nbsp;2022-HB9, 3.25% (WAC) due 09/25/37<sup>◊,2</sup> | 264042 | 260850 |
| NovaStar Mortgage Funding Trust Series |  |  |
| &nbsp;&nbsp;&nbsp;2007-2, 4.63% (1 Month Term SOFR + 0.31%, Rate Cap/Floor: 11.00%/0.20%) due 09/25/37<sup>◊</sup> | 263202 | 258701 |
| Soundview Home Loan Trust |  |  |
| &nbsp;&nbsp;&nbsp;2006-OPT5, 4.71% (1 Month Term SOFR + 0.39%, Rate Floor: 0.28%) due 07/25/36<sup>◊</sup> | 253974 | 246697 |
| COLT Mortgage Loan Trust |  |  |
| &nbsp;&nbsp;&nbsp;2023-3, 7.18% due 09/25/68<sup>2,3</sup> | 167494 | 169949 |
| Argent Securities Incorporated Asset-Backed Pass-Through Certificates Series |  |  |
| &nbsp;&nbsp;&nbsp;2005-W2, 5.17% (1 Month Term SOFR + 0.85%, Rate Floor: 0.74%) due 10/25/35<sup>◊</sup> | 108921 | 107801 |
| Towd Point Mortgage Trust |  |  |
| &nbsp;&nbsp;&nbsp;2018-2, 3.25% (WAC) due 03/25/58<sup>◊,2</sup> | 81786 | 80641 |
| GS Mortgage-Backed Securities Trust |  |  |
| &nbsp;&nbsp;&nbsp;2020-NQM1, 1.38% (WAC) due 09/27/60<sup>◊,2</sup> | 49315 | 46612 |
| Residential Mortgage Loan Trust |  |  |
| &nbsp;&nbsp;&nbsp;2020-1, 2.38% (WAC) due 01/26/60<sup>◊,2</sup> | 25681 | 25380 |
| Starwood Mortgage Residential Trust |  |  |
| &nbsp;&nbsp;&nbsp;2020-1, 2.28% (WAC) due 02/25/50<sup>◊,2</sup> | 21955 | 20770 |
| **Total Residential Mortgage-Backed Securities** |  | 14477658 |
| **Commercial Mortgage-Backed Securities - 10.9%** |  |  |
| BX Commercial Mortgage Trust |  |  |
| &nbsp;&nbsp;&nbsp;2021-VOLT, 6.08% (1 Month Term SOFR + 1.76%, Rate Floor: 1.65%) due 09/15/36<sup>◊,2</sup> | 1211035 | 1205359 |
| &nbsp;&nbsp;&nbsp;2022-LP2, 5.87% (1 Month Term SOFR + 1.56%, Rate Floor: 1.56%) due 02/15/39<sup>◊,2</sup> | 350000 | 349128 |
| WMRK Commercial Mortgage Trust |  |  |
| &nbsp;&nbsp;&nbsp;2022-WMRK, 7.75% (1 Month Term SOFR + 3.44%, Rate Floor: 3.44%) due 11/15/27<sup>◊,2</sup> | 1150000 | 1150000 |

---

---

| | |
|:---|:---|
| **Guggenheim Variable Insurance Strategy Fund III** |  |
| **SCHEDULE OF INVESTMENTS**  ***(Unaudited)*** | **June 30, 2025** |

---

---

| | | |
|:---|:---|:---|
| | **Face<br> Amount** | **Value** |
| **COLLATERALIZED MORTGAGE OBLIGATIONS<sup>††</sup> - 46.8% (continued)** | | |
| **Commercial Mortgage-Backed Securities - 10.9% (continued)** |  |  |
| MTN Commercial Mortgage Trust |  |  |
| &nbsp;&nbsp;&nbsp;2022-LPFL, 7.26% (1 Month Term SOFR + 2.94%, Rate Floor: 2.94%) due 03/15/39<sup>◊,2</sup> | $800000 | $799000 |
| JP Morgan Chase Commercial Mortgage Securities Trust |  |  |
| &nbsp;&nbsp;&nbsp;2021-NYAH, 6.22% (1 Month Term SOFR + 1.90%, Rate Floor: 1.54%) due 06/15/38<sup>◊,2</sup> | 350000 | 323750 |
| BXHPP Trust |  |  |
| &nbsp;&nbsp;&nbsp;2021-FILM, 5.53% (1 Month Term SOFR + 1.21%, Rate Floor: 1.10%) due 08/15/36<sup>◊,2</sup> | 250000 | 224615 |
| Bank of America Merrill Lynch Commercial Mortgage Trust |  |  |
| &nbsp;&nbsp;&nbsp;2017-BNK3, 1.00% (WAC) due 02/15/50<sup>◊,4</sup> | 20046427 | 218508 |
| BENCHMARK Mortgage Trust |  |  |
| &nbsp;&nbsp;&nbsp;2019-B14, 0.88% (WAC) due 12/15/62<sup>◊,4</sup> | 9043245 | 191641 |
| Life Mortgage Trust |  |  |
| &nbsp;&nbsp;&nbsp;2021-BMR, 5.53% (1 Month Term SOFR + 1.21%, Rate Floor: 1.10%) due 03/15/38<sup>◊,2</sup> | 37380 | 37170 |
| **Total Commercial Mortgage-Backed Securities** |  | 4499171 |
| **Government Agency - 0.7%** |  |  |
| Fannie Mae |  |  |
| &nbsp;&nbsp;&nbsp;6.50% due 04/25/49 | 272377 | 277713 |
| **Total Collateralized Mortgage Obligations** |  |  |
| &nbsp;&nbsp;&nbsp;(Cost $19,508,725) |  | 19254542 |
| **FEDERAL AGENCY DISCOUNT NOTES<sup>††</sup> - 1.2%** |  |  |
| Federal Home Loan Bank |  |  |
| &nbsp;&nbsp;&nbsp;4.10% due 07/01/25<sup>5</sup> | 500000 | 500000 |
| **Total Federal Agency Discount Notes** |  |  |
| &nbsp;&nbsp;&nbsp;(Cost $500,000) |  | 500000 |
| **SENIOR FLOATING RATE INTERESTS<sup>††,◊</sup> - 0.7%** |  |  |
| **Financial - 0.5%** |  |  |
| Citadel Securities, LP |  |  |
| &nbsp;&nbsp;&nbsp;6.33% (1 Month Term SOFR + 2.00%, Rate Floor: 2.00%) due 10/31/31 | 118505 | 118935 |
| Jane Street Group LLC |  |  |
| &nbsp;&nbsp;&nbsp;6.33% (3 Month Term SOFR + 2.00%, Rate Floor: 2.00%) due 12/15/31 | 98454 | 98326 |
| **Total Financial** |  | 217261 |
| **Technology - 0.2%** |  |  |
| World Wide Technology Holding Company LLC |  |  |
| &nbsp;&nbsp;&nbsp;6.56% (1 Month Term SOFR + 2.25%, Rate Floor: 2.75%) due 03/01/30 | 88138 | 88468 |
| **Total Senior Floating Rate Interests** |  |  |
| &nbsp;&nbsp;&nbsp;(Cost $304,449) |  | 305729 |
| **CORPORATE BONDS<sup>††</sup> - 0.4%** |  |  |
| **Utilities - 0.3%** |  |  |
| Terraform Global Operating, LP |  |  |
| &nbsp;&nbsp;&nbsp;6.13% due 03/01/26<sup>2</sup> | 98000 | 97407 |
| **Financial - 0.1%** |  |  |
| Brown & Brown, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;4.60% due 12/23/26 | 50000 | 50234 |
| **Total Corporate Bonds** |  |  |
| &nbsp;&nbsp;&nbsp;(Cost $147,668) |  | 147641 |
| **REPURCHASE AGREEMENTS<sup>††,6</sup> - 3.0%** |  |  |
| BofA Securities, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;issued 06/30/25 at 4.37% <br> due 07/01/25 | 520847 | 520847 |
| BNP Paribas |  |  |
| &nbsp;&nbsp;&nbsp;issued 06/30/25 at 4.37% <br> due 07/01/25 | 325529 | 325529 |
| J.P. Morgan Securities LLC |  |  |
| &nbsp;&nbsp;&nbsp;issued 06/30/25 at 4.37% <br> due 07/01/25 | 325529 | 325529 |
| Bank of Montreal |  |  |
| &nbsp;&nbsp;&nbsp;issued 06/30/25 at 4.34% <br> due 07/01/25 | 65106 | 65106 |
| **Total Repurchase Agreements** |  |  |
| &nbsp;&nbsp;&nbsp;(Cost $1,237,011) |  | 1237011 |
| **Total Investments - 102.8%** |  |  |
| &nbsp;&nbsp;&nbsp;(Cost $42,778,271) |  | $42322329 |
| **Other Assets & Liabilities, net - (2.8)%** |  | (1172643) |
| **Total Net Assets - 100.0%** |  | $41149686 |

---

**Centrally Cleared Interest Rate Swap Agreements<sup>††</sup>**

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Counterparty** | **Floating Rate Type** | **Floating Rate Index** | **Fixed Rate** | **Payment Frequency** | **Maturity Date** | **Notional Amount** | **Value** | **Upfront Premiums Paid (Received)** | **Unrealized Appreciation (Depreciation)<sup>\*\*</sup>** |
| BofA Securities, Inc. CME | Receive | U.S. Secured Overnight Financing Rate | 1.66% | Quarterly | 03/16/31 | $1300000 | $142059 | $(217) | $142276 |
| BofA Securities, Inc. CME | Receive | U.S. Secured Overnight Financing Rate | 4.28% | Annually | 06/14/27 | 11000000 | (160114) | 134 | (160248) |
|  |  |  |  |  |  |  | $(18055) | $(83) | $(17972) |

---

---

| | |
|:---|:---|
| **Guggenheim Variable Insurance Strategy Fund III** |  |
| **SCHEDULE OF INVESTMENTS**  ***(Unaudited)*** | **June 30, 2025** |

---

---

| | |
|:---|:---|
| *\*\** | *Includes cumulative appreciation (depreciation).* |
| *\*\*\** | *A copy of each underlying unaffiliated fund's financial statements is available at the SEC's website at www.sec.gov.*  |
| *†* | *Value determined based on Level 1 inputs — See Note 3.* |
| *††* | *Value determined based on Level 2 inputs, unless otherwise noted. — See Note 3.* |
| *†††* | *Value determined based on Level 3 inputs — See Note 3.* |
| *◊* | *Variable rate security. Rate indicated is the rate effective at June 30, 2025. In some instances, the effective rate is limited by a minimum rate floor or a maximum rate cap established by the issuer. The settlement status of a position may also impact the effective rate indicated. In some cases, a position may be unsettled at period end and may not have a stated effective rate. In instances where multiple underlying reference rates and spread amounts are shown, the effective rate is based on a weighted average.* |
| *1* | *Rate indicated is the 7-day yield as of June 30, 2025.* |
| *2* | *Security is a 144A or Section 4(a)(2) security. These securities have been determined to be liquid under guidelines established by the Board of Trustees. The total market value of 144A or Section 4(a)(2) securities is $35,952,585 (cost $36,248,910), or 87.4% of total net assets.* |
| *3* | *Security is a step up/down bond. The coupon increases or decreases at regular intervals until the bond reaches full maturity. Rate indicated is the rate at June 30, 2025. See table below for additional step information for each security.* |
| *4* | *Security is an interest-only strip.* |
| *5* | *Rate indicated is the effective yield at the time of purchase.* |
| *6* | *Repurchase Agreements - The interest rate on repurchase agreements is market driven and based on the underlying collateral obtained. See additional disclosure in the repurchase agreements table below for more information on repurchase agreements.* |

---

*BofA — Bank of America*

*CME — Chicago Mercantile Exchange*

*SOFR — Secured Overnight Financing Rate*

*WAC — Weighted Average Coupon*

 

*See Sector Classification in Other Information section.*

The following table summarizes the inputs used to value the Fund's investments at June 30, 2025 (See Note 3 in the Notes to Schedule of Investments):

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Investments in Securities (Assets)** | **Level 1<br> Quoted Prices** | **Level 2<br> Significant<br> Observable<br> Inputs** | **Level 3<br> Significant<br> Unobservable<br> Inputs** | **Total** |
| Money Market Fund | $879983 | $— | $— | $879983 |
| Asset-Backed Securities |  | 19559765 | 437658 | 19997423 |
| Collateralized Mortgage Obligations |  | 19254542 |  | 19254542 |
| Federal Agency Discount Notes |  | 500000 |  | 500000 |
| Senior Floating Rate Interests |  | 305729 |  | 305729 |
| Corporate Bonds |  | 147641 |  | 147641 |
| Repurchase Agreements |  | 1237011 |  | 1237011 |
| Interest Rate Swap Agreements\*\* |  | 142276 |  | 142276 |
| Total Assets | $879983 | $41146964 | $437658 | $42464605 |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Investments in Securities (Liabilities)** | **Level 1<br> Quoted Prices** | **Level 2<br> Significant<br> Observable<br> Inputs** | **Level 3<br> Significant<br> Unobservable<br> Inputs** | **Total** |
| Interest Rate Swap Agreements\*\* | $– $| 160248 | $– $| 160248 |

---

\*\* This derivative is reported as unrealized appreciation/depreciation at period end.

The following is a summary of significant unobservable inputs used in the fair valuation of assets and liabilities categorized within Level 3 of the fair value hierarchy:

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **Category** | **Ending Balance at June 30, 2025** | **Valuation Technique** | **Unobservable Inputs** | **Input Range** | **Weighted Average** |
| **Assets:** |  |  |  |  |  |
| Asset-Backed Securities | $437658 | Option adjusted spread off prior month end broker quote | Broker Quote |  |  |
| Total Assets | $437658 |  |  |  |  |

---

The Fund's fair valuation leveling guidelines classify a single daily broker quote, or a vendor price based on a single daily or monthly broker quote, as Level 3 rather than Level 2, if such a quote or price cannot be supported with other available market information.

**Summary of Fair Value Level 3 Activity**

Following is a reconciliation of Level 3 assets for which significant unobservable inputs were used to determine fair value for the period ended June 30, 2025:

---

| | | |
|:---|:---|:---|
|  | **Assets** | |
| | **Asset-Backed Securities** |<br>**Total Assets** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Beginning Balance | $1755829 | $1755829 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(Sales, maturities and paydowns)/Fundings | (1319043) | (1319043) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Total change in unrealized appreciation (depreciation) included in earnings | 872 | 872 |
| Ending Balance | $437658 | $437658 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Net change in unrealized appreciation (depreciation) for investments in Level 3 securities still held at June 30, 2025 | $872 | $872 |

---

---

| | |
|:---|:---|
| **Guggenheim Variable Insurance Strategy Fund III** |  |
| **SCHEDULE OF INVESTMENTS**  ***(Unaudited)*** | **June 30, 2025** |

---

**Step Coupon Bonds**

The following table discloses additional information related to step coupon bonds held by the Fund. Certain securities are subject to multiple rate changes prior to maturity. For those securities, a range of rates and corresponding dates have been provided. Rates for all step coupon bonds held by the Fund are scheduled to increase, none are scheduled to decrease.

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Name** | **Coupon Rate at Next Reset Date** | **Next Rate Reset Date** | **Future Reset Rate** | **Future Reset Date** |
| Angel Oak Mortgage Trust 2023-1, 4.75% due 09/26/67 | 5.75% | 01/01/27 |  |  |
| Angel Oak Mortgage Trust 2024-4, 6.20% due 01/25/69 | 7.20% | 03/01/28 |  |  |
| Citigroup Mortgage Loan Trust, Inc. 2022-A, 6.17% due 09/25/62 | 9.17% | 09/25/25 | 10.17% | 09/25/26 |
| COLT Mortgage Loan Trust 2023-3, 7.18% due 09/25/68 | 8.18% | 09/01/27 |  |  |
| GCAT Trust 2023-NQM2, 5.84% due 11/25/67 | 6.84% | 01/01/27 |  |  |
| GCAT Trust 2024-NQM2, 6.09% due 06/25/59 | 7.36% | 05/01/28 |  |  |
| GCAT Trust 2023-NQM3, 6.89% due 08/25/68 | 7.89% | 09/01/27 |  |  |
| Legacy Mortgage Asset Trust 2021-GS4, 4.65% due 11/25/60 | 5.65% | 08/25/25 |  |  |
| NYMT Loan Trust 2021-SP1, 4.67% due 08/25/61 | 5.67% | 08/01/25 |  |  |
| OBX Trust 2023-NQM2, 6.32% due 01/25/62 | 7.32% | 02/01/27 |  |  |
| OBX Trust 2022-NQM9, 6.45% due 09/25/62 | 7.45% | 11/01/26 |  |  |
| OBX Trust 2024-NQM5, 5.99% due 01/25/64 | 6.99% | 03/01/28 |  |  |
| OBX Trust 2024-NQM6, 6.45% due 02/25/64 | 7.45% | 04/01/28 |  |  |
| OBX Trust 2024-NQM8, 6.23% due 05/25/64 | 7.23% | 05/01/28 |  |  |
| OBX Trust 2024-NQM7, 6.24% due 03/25/64 | 7.24% | 04/01/28 |  |  |

---

**Repurchase Agreements**

The Fund may engage in repurchase agreements. Repurchase agreements are fixed income securities in the form of agreements backed by collateral. These agreements typically involve the acquisition by the Fund of securities from the selling institution coupled with the agreement that the selling institution will repurchase the underlying securities at a specified price and at a fixed time in the future. The Fund may accept a wide variety of underlying securities as collateral for the repurchase agreements entered into by the Fund. Any such securities serving as collateral are marked-to-market daily in order to maintain full collateralization.

In connection with transactions in repurchase agreements, it is the Fund's policy that its custodian take possession of the underlying collateral. The collateral is in the possession of the Fund's custodian and is evaluated to ensure that its market value exceeds, at a minimum, 102% of the original face amount of the repurchase agreements.

The use of repurchase agreements involves certain risks. For example, if the selling institution defaults on its obligation to repurchase the underlying securities at a time when the value of securities has declined, the Fund may incur a loss upon disposition of them. In the event of an insolvency or bankruptcy by the selling institution, the Fund's right to control the collateral could be affected and result in certain costs and delays. In addition, the Fund could incur a loss if the value of the underlying collateral falls below the agreed upon repurchase price.

At June 30, 2025, the repurchase agreements in the account were as follows:

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **Counterparty and Terms of Agreement** | **Face Value** | **Repurchase Price** | **Collateral** | **Par Value** | **Fair Value** |
| BofA Securities, Inc. |  |  | U.S. Treasury Strips |  |  |
| &nbsp;&nbsp;&nbsp;4.37% |  |  | &nbsp;&nbsp;&nbsp;0.00% |  |  |
| &nbsp;&nbsp;&nbsp; Due 07/01/25 | $520847 | $520910 | &nbsp;&nbsp;&nbsp;Due 08/15/30 - 08/15/39 | $650134 | $530596 |
|  |  |  | U.S. Treasury Notes |  |  |
|  |  |  | &nbsp;&nbsp;&nbsp;0.25% - 3.88% |  |  |
|  |  |  | &nbsp;&nbsp;&nbsp;Due 07/31/25 - 11/30/27 | 600 | 603 |
|  |  |  | U.S. Treasury Bond |  |  |
|  |  |  | &nbsp;&nbsp;&nbsp;1.75% |  |  |
|  |  |  | &nbsp;&nbsp;&nbsp;Due 08/15/41 | 100 | 66 |
|  |  |  |  | 650834 | 531265 |
| BNP Paribas |  |  | U.S. Treasury Inflation Indexed Bonds |  |  |
| &nbsp;&nbsp;&nbsp;4.37% |  |  | &nbsp;&nbsp;&nbsp;0.13% |  |  |
| &nbsp;&nbsp;&nbsp; Due 07/01/25 | 325529 | 325569 | &nbsp;&nbsp;&nbsp;Due 02/15/51 - 02/15/52 | 384290 | 204644 |
|  |  |  | U.S. Treasury Notes |  |  |
|  |  |  | &nbsp;&nbsp;&nbsp;4.13% - 4.63% |  |  |
|  |  |  | &nbsp;&nbsp;&nbsp;Due 02/28/27 - 02/15/35 | 63800 | 66780 |
|  |  |  | U.S. Treasury Strip |  |  |
|  |  |  | &nbsp;&nbsp;&nbsp;0.00% |  |  |
|  |  |  | &nbsp;&nbsp;&nbsp;Due 08/15/40 | 127333 | 60633 |
|  |  |  | U.S. Treasury Bond |  |  |
|  |  |  | &nbsp;&nbsp;&nbsp;3.63% |  |  |
|  |  |  | &nbsp;&nbsp;&nbsp;Due 05/15/53 | 100 | 82 |
|  |  |  |  | 575523 | 332139 |
| J.P. Morgan Securities LLC |  |  | U.S. Treasury Strips |  |  |
| &nbsp;&nbsp;&nbsp;4.37% |  |  | &nbsp;&nbsp;&nbsp;0.00% |  |  |
| &nbsp;&nbsp;&nbsp; Due 07/01/25 | 325529 | 325569 | &nbsp;&nbsp;&nbsp;Due 08/15/25 | 333400 | 332088 |
| Bank of Montreal |  |  | U.S. Treasury Bond |  |  |
| &nbsp;&nbsp;&nbsp;4.34% |  |  | &nbsp;&nbsp;&nbsp;3.50% |  |  |
| &nbsp;&nbsp;&nbsp; Due 07/01/25 | 65106 | 65114 | &nbsp;&nbsp;&nbsp;Due 02/15/39 | 72900 | 66471 |

---

**NOTES TO SCHEDULE OF INVESTMENTS** **(Unaudited)** 

**Note 1 – Organization and Significant Accounting Policies**

**Organization**

Guggenheim Strategy Funds Trust (the "Trust"), a Delaware business trust, is registered with the U.S. Securities and Exchange Commission (the "SEC") under the Investment Company Act of 1940 (the "1940 Act"), as a diversified, open-ended investment company and may issue an unlimited number of authorized shares. Only investment companies, common or commingled trust funds or other organizations, entities or investors that are "accredited investors" within the meaning of Regulation D under the Securities Act of 1933, as amended (the "1933 Act") may make investments in the Funds. At June 30, 2025, the Trust consisted of three Funds.

This report covers the following funds (collectively, the "Funds"):

---

| | |
|:---|:---|
| **Fund Name** | **Diversification Status** |
| Guggenheim Strategy Fund II | Diversified |
| Guggenheim Strategy Fund III | Diversified |
| Guggenheim Variable Insurance Strategy Fund III | Diversified |

---

Guggenheim Partners Investment Management, LLC ("GPIM", or the "Adviser"), which operates under the name Guggenheim Investments ("GI"), provides advisory services. Guggenheim Funds Distributors, LLC ("GFD") serves as distributor of the Funds' shares. GI and GFD are affiliated entities.

For information on the Funds' policy regarding valuation of investments and other significant accounting policies, please refer to the Funds' most recent semi-annual or annual shareholder report.

**Significant Accounting Policies**

The Funds operate as investment companies and, accordingly, follow the investment company accounting and reporting guidance of the Financial Accounting Standards Board ("FASB") Accounting Standards Codification Topic 946 Financial Services – Investment Companies.

The following significant accounting policies are in conformity with U.S. generally accepted accounting principles ("U.S. GAAP") and are consistently followed by the Trust. This requires management to make estimates and assumptions that affect the reported amount of assets and liabilities, contingent assets and liabilities at the date of the financial statements, and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from these estimates. All time references are based on Eastern Time.

**(a) Valuation of Investments** 

The Board of Trustees of the Trust (the "Board") has adopted policies and procedures for the valuation of the Funds' investments (the "Fund Valuation Procedures").

Pursuant to Rule 2a-5 under the 1940 Act, the Board designated the Adviser as the valuation designee to perform fair valuation determinations for the Funds with respect to all Fund investments and/or other assets. As the Funds' valuation designee pursuant to Rule 2a-5, the Adviser has adopted separate procedures (the "Valuation Designee Procedures" and collectively with the Fund Valuation Procedures, the "Valuation Procedures") reasonably designed to prevent violations of the requirements of Rule 2a-5 and Rule 31a-4 under the 1940 Act. The Adviser, in its role as valuation designee, utilizes the assistance of a valuation committee, consisting of representatives from Guggenheim's investment management, fund administration, legal and compliance departments (the "Valuation Committee"), in determining the fair value of the Funds' securities and/or other assets. The Valuation Procedures may be amended and potentially adversely affected as the Funds seek to comply with regulations that apply to the valuation practices of registered investment companies.

Valuations of the Funds' securities and other assets are supplied primarily by independent third-party pricing services appointed pursuant to the processes set forth in the Valuation Procedures. The Adviser, with the assistance of the Valuation Committee, convenes monthly, or more frequently as needed, to review the valuation of all assets which have been fair valued. The Adviser, consistent with the monitoring and review responsibilities set forth in the Valuation Procedures, regularly reviews the appropriateness of the inputs, methods, models and assumptions employed by the independent third-party pricing services.

If the independent third-party pricing service cannot or does not provide a valuation for a particular investment or such valuation is deemed unreliable, such investment is fair valued by the Adviser.

**NOTES TO SCHEDULE OF INVESTMENTS** **(Unaudited) (continued)** 

Equity securities listed or traded on a recognized U.S. securities exchange or the Nasdaq Stock Market ("NASDAQ") will generally be valued on the basis of the last sale price on the primary U.S. exchange or market on which the security is listed or traded; provided, however, that securities listed on NASDAQ will be valued at the NASDAQ official closing price, which may not necessarily represent the last sale price.

Generally, trading in foreign securities markets is substantially completed each day at various times prior to the close of the New York Stock Exchange ("NYSE"). The values of foreign securities are determined as of the close of such foreign markets or the close of the NYSE, if earlier. All investments quoted in foreign currencies are valued in U.S. dollars on the basis of the foreign currency exchange rates prevailing at the close of U.S. business at 4:00 p.m. Investments in foreign securities may involve risks not present in domestic investments. The Adviser will determine the current value of such foreign securities by taking into consideration certain factors which may include the following factors, among others: the value of the securities traded on other foreign markets, American Depositary Receipts ("ADR") trading, closed-end fund trading, foreign currency exchange activity, and the trading prices of financial products that are tied to foreign securities. In addition, under the Valuation Procedures, the Adviser is authorized to use prices and other information supplied by an independent third-party pricing service in valuing foreign securities.

Open-end investment companies are valued at their net asset value ("NAV") as of the close of business, on the valuation date. Exchange-traded funds and listed closed-end investment companies are generally valued at the last quoted sale price.

Commercial paper and discount notes with a maturity of greater than 60 days at acquisition are valued at prices that reflect broker-dealer supplied valuations or are obtained from independent third-party pricing services, which may consider the trade activity, treasury spreads, yields or price of bonds of comparable quality, coupon, maturity, and type, as well as prices quoted by dealers who make markets in such securities. Commercial paper and discount notes with a maturity of 60 days or less at acquisition are valued at amortized cost, unless the Adviser concludes that amortized cost does not represent the fair value of the applicable asset in which case it will be valued using an independent third-party pricing service.

Repurchase agreements are generally valued at amortized cost, provided such amounts approximate market value.

Typically, loans are valued using information provided by an independent third-party pricing service that uses broker quotes, among other inputs. If the independent third-party pricing service cannot or does not provide a valuation for a particular loan, or such valuation is deemed unreliable, such investment is valued based on a quote from a broker-dealer or is fair valued by the Adviser. Funds that invest in loans or asset-backed securities as part of their investment strategies may have a significant amount of these instruments that are fair valued by the Adviser.

Futures contracts are valued on the basis of the last sale price as of 4:00 p.m. on the valuation date. In the event that the exchange for a specific futures contract closes earlier than 4:00 p.m., the futures contract is valued at the official settlement price of the exchange. However, the underlying securities from which the futures contract value is derived are monitored until 4:00 p.m. to determine if fair valuation of the underlying securities would provide a more accurate valuation of the futures contract.

Interest rate swap agreements are valued on the basis of the last sale price on the primary exchange on which the swap is traded. Other swap agreements entered into by a Fund are generally valued using an evaluated price provided by an independent third-party pricing service.

In general, portfolio securities and assets of a Fund will be valued on the basis of readily available market quotations at their current market value. With respect to portfolio securities and assets of a Fund for which market quotations are not readily available, or deemed unreliable by the Adviser, the Fund will fair value those securities and assets in good faith in accordance with the Valuation Procedures. Valuations in accordance with these methods are intended to reflect each security's (or asset's or liability's) "fair value." Fair value represents a good faith approximation of the value of a security. Fair value determinations may be based on limited inputs and involve the consideration of a number of subjective factors, an analysis of applicable facts and circumstances, and the exercise of judgment. Each such determination is based on a consideration of all relevant factors, which are likely to vary from one pricing context to another. Examples of such factors may include, but are not limited to market prices; sale prices; broker quotes; and models which derive prices based on inputs such as prices of securities with comparable maturities and characteristics, or based on inputs such as anticipated cash flows or collateral, spread over U.S. Treasury securities, and other information analysis. As a result, it is possible that the fair value for a security determined in good faith in accordance with the Valuation Procedures may differ from valuations for the same security determined by other funds using their own valuation procedures. Although the Valuation Procedures are designed to value a portfolio security or asset at the price a Fund may reasonably expect to receive upon its sale in an orderly transaction, there can be no assurance that any fair value determination thereunder would, in fact, approximate the amount that a Fund could reasonably expect to receive upon the sale of the portfolio security or asset.

**Note 2 – Derivatives**

As part of their investment strategies, the Funds utilize a variety of derivative instruments. These investments involve, to varying degrees, elements of market risk. Valuation and accounting treatment of these instruments can be found under Significant Accounting Policies in Note 1 of these Notes to Schedule of Investments.

**NOTES TO SCHEDULE OF INVESTMENTS** **(Unaudited) (continued)** 

Derivatives are instruments whose values depend on, or are derived from, in whole or in part, the value of one or more other assets, such as securities, currencies, commodities or indices. Derivative instruments may be used for investment purposes (including to maintain cash reserves while maintaining exposure to certain other assets), for risk management (hedging) purposes, to facilitate trading, to reduce transaction costs and to pursue higher investment returns. Derivative instruments may also be used to seek to mitigate certain investment risks, such as foreign currency exchange rate risk, interest rate risk and credit risk. U.S. GAAP requires disclosures to enable investors to better understand how and why a Fund uses derivative instruments, how these derivative instruments are accounted for and their effects on the Fund's financial position and results of operations.

The Funds utilized derivatives for the following purposes:

**Duration:** the use of an instrument to manage the interest rate risk of a portfolio.

**Swap Agreements**

A swap is an agreement that obligates two parties to exchange a series of cash flows at specified intervals based upon or calculated by reference to changes in specified prices or rates for a specified amount of an underlying asset. When utilizing over-the-counter ("OTC") swaps, a Fund bears the risk of loss of the amount expected to be received under a swap agreement in the event of the default or bankruptcy of a swap agreement counterparty or if the underlying asset declines in value. Certain standardized swaps are subject to mandatory central clearing and are executed on a multi-lateral or other trade facility platform, such as a registered exchange. There is limited counterparty credit risk with respect to centrally-cleared swaps as the transaction is facilitated through a central clearinghouse, much like exchange-traded futures contracts. For a Fund utilizing centrally-cleared swaps, the exchange bears the risk of loss resulting from a counterparty not being able to pay. There is no guarantee that a Fund or an underlying fund could eliminate its exposure under an outstanding swap agreement by entering into an offsetting swap agreement with the same or another party.

Interest rate swaps involve the exchange by the Funds with another party for their respective commitment to pay or receive a fixed or variable interest rate on a notional amount of principal. Interest rate swaps are generally centrally-cleared, but central clearing does not make interest rate swap transactions risk free.

In conjunction with the use of derivative instruments, the Funds are required to maintain collateral in various forms. Depending on the financial instrument utilized and the broker involved, the Funds use margin deposits at the broker, cash and/or securities segregated at the custodian bank, discount notes or repurchase agreements allocated to the Funds as collateral.

The Trust has established counterparty credit guidelines and enters into transactions only with financial institutions rated/identified as investment grade or better. The Trust monitors the counterparty credit risk associated with each such financial institution.

**Note 3 – Fair Value Measurement**

In accordance with U.S. GAAP, fair value is defined as the price that the Funds would receive to sell an investment or pay to transfer a liability in an orderly transaction between market participants at the measurement date. U.S. GAAP establishes a three-tier fair value hierarchy based on the types of inputs used to value assets and liabilities and requires corresponding disclosure. The hierarchy and the corresponding inputs are summarized below:

Level 1 — unadjusted quoted prices in active markets for identical assets or liabilities.

Level 2 — significant other observable inputs (for example quoted prices for securities that are similar based on characteristics such as interest rates, prepayment speeds, credit risk, etc.).

Level 3 — significant unobservable inputs based on the best information available under the circumstances, to the extent observable inputs are not available, which may include assumptions.

**NOTES TO SCHEDULE OF INVESTMENTS** **(Unaudited) (continued)** 

Rule 2a-5 sets forth a definition of "readily available market quotations," which is consistent with the definition of a Level 1 input under U.S. GAAP. Rule 2a-5 provides that "a market quotation is readily available only when that quotation is a quoted price (unadjusted) in active markets for identical investments that the fund can access at the measurement date, provided that a quotation will not be readily available if it is not reliable."

Securities for which market quotations are not readily available must be valued at fair value as determined in good faith. Accordingly, any security priced using inputs other than Level 1 inputs will be subject to fair value requirements. The types of inputs available depend on a variety of factors, such as the type of security and the characteristics of the markets in which it trades, if any. Fair valuation determinations that rely on fewer or no observable inputs require greater judgment. Accordingly, fair value determinations for Level 3 securities require the greatest amount of judgment.

Independent third-party pricing services are used to value a majority of the Funds' investments. When values are not available from an independent third-party pricing service, they will be determined using a variety of sources and techniques, including: market prices; broker quotes; and models which derive prices based on inputs such as prices of securities with comparable maturities and characteristics or based on inputs such as anticipated cash flows or collateral, spread over U.S. Treasury securities, and other information and analysis. A significant portion of the Funds' assets and liabilities are categorized as Level 2, as indicated in this report.

Quotes from broker-dealers, adjusted for fluctuations in criteria such as credit spreads and interest rates, may also be used to value the Funds' assets and liabilities, i.e. prices provided by a broker-dealer or other market participant who has not committed to trade at that price. Although quotes are typically received from established market participants, the Funds may not have the transparency to view the underlying inputs which support the market quotations. Significant changes in a quote would generally result in significant changes in the fair value of the security.

Certain fixed income securities are valued by obtaining a monthly quote from a broker-dealer, adjusted for fluctuations in criteria such as credit spreads and interest rates.

Certain loans and other securities are valued using a single daily broker quote or a price from an independent third-party pricing service based on a single daily or monthly broker quote.

The inputs or methodologies selected and applied for valuing securities or other assets are not necessarily an indication of the risk associated with investing in those securities. The suitability, appropriateness and accuracy of the techniques, methodologies and sources employed to determine fair valuation are periodically reviewed and subject to change.

**Note 4 – Federal Income Tax Information** 

The Funds intend to comply with the provisions of Subchapter M of the Internal Revenue Code of 1986, as amended (the "Internal Revenue Code"), applicable to regulated investment companies and will distribute substantially all taxable net investment income and capital gains sufficient to relieve the Funds from all, or substantially all, federal income, excise and state income taxes. Therefore, no provision for federal or state income tax or federal excise tax is required.

Tax positions taken or expected to be taken in the course of preparing the Funds' tax returns are evaluated to determine whether the tax positions are "more-likely-than-not" of being sustained by the applicable tax authority. Tax positions not deemed to meet the "more-likely-than-not" threshold would be recorded as a tax benefit or expense in the current year. Management has analyzed the Funds' tax positions taken, or to be taken, on U.S. federal income tax returns for all open tax years, and has concluded that no provision for income tax is required in the Funds' financial statements. The Funds' U.S. federal income tax returns are subject to examination by the Internal Revenue Service ("IRS") for a period of three years after they are filed.

At June 30, 2025, the cost of investments for U.S. federal income tax purposes, the aggregate gross unrealized appreciation for all investments for which there was an excess of value over tax cost, and the aggregate gross unrealized depreciation for all investments for which there was an excess of tax cost over value, were as follows:

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Fund** | **Tax Cost** | **Tax <br> Unrealized<br> Appreciation** | **Tax <br> Unrealized<br> Depreciation** | **Net Tax <br> Unrealized<br> Appreciation<br> (Depreciation)** |
| Guggenheim Strategy Fund II | $157001882 | $877363 | $(2727630) | $(1850267) |
| Guggenheim Strategy Fund III | 157243672 | 1337074 | (2815704) | (1478630) |
| Guggenheim Variable Insurance Strategy Fund III | 42778271 | 290468 | (764382) | (473914) |

---

**Note 5 – Market Risks** 

The value of, or income generated by, the investments held by the Funds are subject to the possibility of rapid and unpredictable fluctuation, and loss that may result from various factors. These factors include, among others, developments affecting (or perceived to affect) individual companies, or issuers or particular industries, or from broader influences, including real or perceived changes in prevailing interest rates (which may change at any time based on changes in monetary policies and various market and other economic conditions), changes in inflation rates or expectations about inflation rates, deflation, adverse investor confidence or sentiment, general outlook for corporate earnings, changing economic, political (including geopolitical), social or financial market conditions, bank failures, increased instability or general uncertainty, extreme weather, environmental or man-made disasters, or geological events, governmental actions, tariffs (which may be imposed by U.S. and foreign governments) and trade disruptions, public health emergencies (such as the spread of infectious diseases, pandemics and epidemics), debt crises, terrorism, actual or threatened wars or other armed conflicts (such as the conflict in the Middle East and the ongoing Russia-Ukraine conflict and its collateral economic and other effects, including, but not limited to, sanctions and other international trade barriers) or ratings downgrades, and other similar events, each of which may be temporary or last for extended periods. Different sectors, industries and security types may react differently to such developments. Moreover, changing economic, political, geopolitical, social, financial market or other conditions in one country, geographic region or industry could adversely affect the value, yield and return of the investments held by the Funds in a different country, geographic region, economy, industry or market because of the increasingly interconnected global economies and financial markets. The duration and extent of the foregoing types of factors or conditions are highly uncertain and difficult to predict and have in the past, and may in the future, cause volatility and distress in economies and financial markets or other adverse circumstances, which may negatively affect the value of the Funds' investments and performance of the Funds.

**OTHER INFORMATION**  ***(Unaudited)***

**Sector Classification**

Information in the Schedule of Investments is categorized by sectors using sector-level Classifications defined by the Bloomberg Industry Classification System, a widely recognized industry classification system provider. Each Fund's registration statement has investment policies relating to concentration in specific sectors/industries. For purposes of these investment policies, the Funds usually classify sectors/industries based on industry-level Classifications used by widely recognized industry classification system providers such as Bloomberg Industry Classification System, Global Industry Classification Standards and Barclays Global Classification Scheme.

## 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 Blvd., Suite 200

  - **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:** 2025-09-30

- **b. Date as of which information is reported:** 2025-06-30

**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:** $157717140.86

**Total Liabilities:** $1188789.78

**Net Assets:** $156528351.08

**Cash Not Reported:** $529365.63

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 6741.52554999 | **1-Year:** 12519.03151753 | **5-Year:** 5571.13807265 | **10-Year:** 673.24476776 | **30-Year:** 0.00000000

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

- **3-Month:** 142.88309806 | **1-Year:** 710.93075611 | **5-Year:** 1000.53371007 | **10-Year:** 32.59348953 | **30-Year:** 0.00000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000141591 | 0.17%                | 0.80%                | 0.56%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $5923.64                 | $12487.57                                  |
| Month 2  | $-2932.21                | $57622.35                                  |
| Month 3  | $7229.42                 | $368475.40                                 |

**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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| AEGON FUNDING CO LLC                   | AEGON Funding Company LLC                                                                            | CUSIP: 00775VAA2<br>LEI: KEIOKM01PSK5VZ5CCI74 | Long             | DBT              | CORP              | US        |   2650000 | PA      | $2682189.44   | 1.71%             | 2027-04-16      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| AIR CANADA                             | Air Canada                                                                                           | CUSIP: 008911BK4<br>LEI: 4B4HI3CGXMBDC0G6BM51 | Long             | DBT              | CORP              | CA        |    330000 | PA      | $326666.71    | 0.21%             | 2026-08-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| ALBERTSONS COS/SAFEWAY                 | Albertsons Companies Incorporated / Safeway Inc / New Albertsons Limited Partnership / Albertsons LL | CUSIP: 013092AF8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    275000 | PA      | $271212.73    | 0.17%             | 2026-03-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| ALGONQUIN PWR & UTILITY                | Algonquin Power & Utilities Corp.                                                                    | CUSIP: 015857AF2<br>LEI: 549300K5VIUTJXQL7X75 | Long             | DBT              | CORP              | CA        |   1750000 | PA      | $1759317.82   | 1.12%             | 2026-06-15      | Variable      | 5.37%                 | No            |                  2 | On Loan: No      |
| Aligned Data Centers Issuer LL         | Aligned Data Centers Issuer LLC                                                                      | CUSIP: 01627AAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1300000 | PA      | $1256492.90   | 0.80%             | 2046-08-15      | Fixed         | 1.94%                 | No            |                  2 | On Loan: No      |
| AMERICAN NATIONAL GROUP                | American National Group, Inc.                                                                        | CUSIP: 025676AM9<br>LEI: 549300RK5RZQ740FPL83 | Long             | DBT              | CORP              | US        |    240000 | PA      | $240959.43    | 0.15%             | 2027-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Anchorage Credit Funding Ltd.          | Anchorage Credit Funding 4 Ltd.                                                                      | CUSIP: 03329TAG9<br>LEI: 549300VR9XUOV1E0U888 | Long             | ABS-O            | CORP              | KY        |   2250000 | PA      | $2150330.40   | 1.37%             | 2039-04-27      | Fixed         | 2.72%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust               | Angel Oak Mortgage Trust                                                                             | CUSIP: 03464BAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    482862 | PA      | $430924.32    | 0.28%             | 2066-12-25      | Variable      | 3.29%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust               | Angel Oak Mortgage Trust                                                                             | CUSIP: 03465JAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1023875 | PA      | $867192.00    | 0.55%             | 2066-09-25      | Variable      | 1.71%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust               | Angel Oak Mortgage Trust                                                                             | CUSIP: 03465WAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    635253 | PA      | $629369.02    | 0.40%             | 2067-09-26      | Variable      | 4.75%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust               | Angel Oak Mortgage Trust                                                                             | CUSIP: 034943AA8<br>LEI: 25490046TFINGL6XED11 | Long             | ABS-MBS          | CORP              | US        |    659719 | PA      | $665067.95    | 0.42%             | 2069-01-25      | Variable      | 6.20%                 | No            |                  2 | On Loan: No      |
| Argent Securities Inc.                 | Argent Securities Incorporated Asset-Backed Pass-Through Certificates Series                         | CUSIP: 040104ND9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    217841 | PA      | $215602.93    | 0.14%             | 2035-10-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| ASSURANT INC                           | Assurant, Inc.                                                                                       | CUSIP: 04621XAP3<br>LEI: H3F39CAXWQRVWURFXL38 | Long             | DBT              | CORP              | US        |   1650000 | PA      | $1658809.85   | 1.06%             | 2026-02-27      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| ATHENE GLOBAL FUNDING                  | Athene Global Funding                                                                                | CUSIP: 04685A3S8<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |   2050000 | PA      | $2064155.62   | 1.32%             | 2026-02-23      | Fixed         | 5.68%                 | No            |                  2 | On Loan: No      |
| BCC Middle Market CLO                  | BCC Middle Market CLO LLC                                                                            | CUSIP: 05550GAL1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |   7250000 | PA      | $7275195.20   | 4.65%             | 2033-10-15      | Floating      | 6.02%                 | No            |                  2 | On Loan: No      |
| BrightSpire Capital, Inc               | BRSP Ltd.                                                                                            | CUSIP: 05591XAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |   2750000 | PA      | $2736282.18   | 1.75%             | 2038-08-19      | Floating      | 6.33%                 | No            |                  2 | On Loan: No      |
| BXMT Ltd                               | BXMT Ltd.                                                                                            | CUSIP: 05608XAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |   1250000 | PA      | $1243947.50   | 0.79%             | 2037-11-15      | Floating      | 6.68%                 | No            |                  2 | On Loan: No      |
| BXHPP Trust                            | BXHPP Trust                                                                                          | CUSIP: 05609JAL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $449230.35    | 0.29%             | 2036-08-15      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| BX Trust                               | BX Commercial Mortgage Trust                                                                         | CUSIP: 05609VAL9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3390898 | PA      | $3375003.60   | 2.16%             | 2036-09-15      | Floating      | 6.08%                 | No            |                  2 | On Loan: No      |
| BX Trust                               | BX Commercial Mortgage Trust                                                                         | CUSIP: 05610HAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    735000 | PA      | $733169.48    | 0.47%             | 2039-02-15      | Floating      | 5.87%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corpor         | Banc of America Funding Trust                                                                        | CUSIP: 05990TAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    127306 | PA      | $126863.09    | 0.08%             | 2037-04-29      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                           | Barclays plc                                                                                         | CUSIP: 06738ECP8<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |   1650000 | PA      | $1681293.95   | 1.07%             | 2028-03-12      | Variable      | 5.67%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Secu         | Bear Stearns Asset-Backed Securities I Trust                                                         | CUSIP: 07389MAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    518678 | PA      | $514251.92    | 0.33%             | 2036-11-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Secu         | Bear Stearns Asset-Backed Securities I Trust                                                         | CUSIP: 07389MAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    334593 | PA      | $331633.25    | 0.21%             | 2036-11-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| BRIGHTHSE FIN GLBL FUND                | Brighthouse Financial Global Funding                                                                 | CUSIP: 10921U2J6<br>LEI: 549300BLFX3KJ2IFOA78 | Long             | DBT              | CORP              | US        |   2750000 | PA      | $2793126.11   | 1.78%             | 2027-04-09      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| BROWN & BROWN INC                      | Brown & Brown, Inc.                                                                                  | CUSIP: 115236AH4<br>LEI: 549300PC8KTJ71XKFY89 | Long             | DBT              | CORP              | US        |    175000 | PA      | $175817.10    | 0.11%             | 2026-12-23      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| BXMT Ltd                               | BXMT Ltd.                                                                                            | CUSIP: 12434LAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |   2250000 | PA      | $2228302.80   | 1.42%             | 2038-02-15      | Floating      | 5.83%                 | No            |                  2 | On Loan: No      |
| CDW LLC/CDW FINANCE                    | CDW LLC / CDW Finance Corp.                                                                          | CUSIP: 12513GBG3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1350000 | PA      | $1315899.00   | 0.84%             | 2026-12-01      | Fixed         | 2.67%                 | No            |                  2 | On Loan: No      |
| Cascade Funding Mortgage Trust         | CFMT LLC                                                                                             | CUSIP: 12530GAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    528085 | PA      | $521699.89    | 0.33%             | 2037-09-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| CF Hippolyta Issuer LLC                | CF Hippolyta Issuer LLC                                                                              | CUSIP: 12530MAG0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    706836 | PA      | $663912.58    | 0.42%             | 2061-03-15      | Fixed         | 1.98%                 | No            |                  2 | On Loan: No      |
| CLI Funding LLC                        | CLI Funding VIII LLC                                                                                 | CUSIP: 12565KAA5<br>LEI: 254900Z4P82YK31RVL27 | Long             | ABS-O            | CORP              | US        |   1008674 | PA      | $924718.60    | 0.59%             | 2046-02-18      | Fixed         | 1.64%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust           | CSMC Trust                                                                                           | CUSIP: 12598JAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    582882 | PA      | $577711.80    | 0.37%             | 2061-07-27      | Variable      | 4.19%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust           | CSMC Trust                                                                                           | CUSIP: 126401AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    371058 | PA      | $351747.75    | 0.22%             | 2065-05-25      | Variable      | 2.21%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust           | CSMC Trust                                                                                           | CUSIP: 12662GAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    453218 | PA      | $451391.22    | 0.29%             | 2060-12-27      | Variable      | 4.12%                 | No            |                  2 | On Loan: No      |
| Encore Credit Receivables Trus         | Encore Credit Receivables Trust                                                                      | CUSIP: 126673J37<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     34472 | PA      | $34363.32     | 0.02%             | 2035-09-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T         | Alternative Loan Trust                                                                               | CUSIP: 126680AB3<br>LEI: 549300QTQ6MX6ER06N64 | Long             | ABS-MBS          | CORP              | US        |    496569 | PA      | $453756.55    | 0.29%             | 2047-05-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| Castlelake Aircraft Structured         | Castlelake Aircraft Securitization Trust                                                             | CUSIP: 14856CAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    262647 | PA      | $255317.63    | 0.16%             | 2043-06-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Cerberus                               | Cerberus Loan Funding XXXII, LP                                                                      | CUSIP: 15674LAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |   1000000 | PA      | $1002462.50   | 0.64%             | 2033-04-22      | Floating      | 6.14%                 | No            |                  2 | On Loan: No      |
| Cerberus                               | Cerberus Loan Funding XXXIII, LP                                                                     | CUSIP: 15674PAA5<br>LEI: 54930000UKAI7FBHXD27 | Long             | ABS-O            | CORP              | KY        |    750000 | PA      | $751829.78    | 0.48%             | 2033-07-23      | Floating      | 6.08%                 | No            |                  2 | On Loan: No      |
| Cerberus                               | Cerberus Loan Funding XXXV, LP                                                                       | CUSIP: 15674RAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |   1750000 | PA      | $1755875.80   | 1.12%             | 2033-09-22      | Floating      | 6.02%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage          | Citigroup Commercial Mortgage Trust                                                                  | CUSIP: 17327GAU8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  39879909 | PA      | $893581.14    | 0.57%             | 2051-11-10      | Variable      | 0.76%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust          | Citigroup Mortgage Loan Trust, Inc.                                                                  | CUSIP: 17330VAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2772324 | PA      | $2770038.12   | 1.77%             | 2062-09-25      | Variable      | 6.17%                 | No            |                  2 | On Loan: No      |
| CNO GLOBAL FUNDING                     | CNO Global Funding                                                                                   | CUSIP: 18977W2D1<br>LEI: 6354008GTNR4833ULD48 | Long             | DBT              | CORP              | US        |   1140000 | PA      | $1170818.89   | 0.75%             | 2027-06-04      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| COLT Funding LLC                       | COLT Mortgage Loan Trust                                                                             | CUSIP: 19688RAA7<br>LEI: 213800MIPEZY1A8W1N28 | Long             | ABS-MBS          | CORP              | US        |    435483 | PA      | $441868.67    | 0.28%             | 2068-09-25      | Variable      | 7.18%                 | No            |                  2 | On Loan: No      |
| Dominos Pizza Master Issuer LL         | Domino's Pizza Master Issuer LLC                                                                     | CUSIP: 25755TAK6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1184375 | PA      | $1174767.59   | 0.75%             | 2048-07-25      | Fixed         | 4.33%                 | No            |                  2 | On Loan: No      |
| Dreyfus Treasury Obligations C         | Dreyfus Treasury Obligations Cash Management Fund - Institutional Shares                             | CUSIP: N/A<br>LEI: 549300MKKM9KT7BF6329       | Long             | STIV             | RF                | US        |   3619547 | NS      | $3619546.85   | 2.31%             |  |  |  | No            |                  1 | On Loan: No      |
| Dreyfus Treasury Securities Ca         | Dreyfus Treasury Securities Cash Management Fund - Institutional Shares                              | CUSIP: N/A<br>LEI: 549300U78VESCW509025       | Long             | STIV             | RF                | US        |    530905 | NS      | $530905.00    | 0.34%             |  |  |  | No            |                  1 | On Loan: No      |
| ELEMENT FLEET MANAGEMENT               | Element Fleet Management Corp.                                                                       | CUSIP: 286181AH5<br>LEI: 5493000PGBS1C22ELQ16 | Long             | DBT              | CORP              | CA        |   1650000 | PA      | $1673371.90   | 1.07%             | 2026-06-26      | Fixed         | 6.27%                 | No            |                  2 | On Loan: No      |
| FACTSET RESEARCH SYSTEMS               | FactSet Research Systems, Inc.                                                                       | CUSIP: 303075AA3<br>LEI: 549300ZSJE7NBK6K9P30 | Long             | DBT              | CORP              | US        |   1450000 | PA      | $1412904.49   | 0.90%             | 2027-03-01      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| F&G GLOBAL FUNDING                     | F&G Global Funding                                                                                   | CUSIP: 30321L2G6<br>LEI: 6354009CCUKJIZ7KFX73 | Long             | DBT              | CORP              | US        |   1900000 | PA      | $1941933.10   | 1.24%             | 2027-06-10      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| FED HOME LN DISCOUNT NT                | Federal Home Loan Bank                                                                               | CUSIP: 313385HP4<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGSE             | US        |    600000 | PA      | $600000.00    | 0.38%             | 2025-07-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                             | Fannie Mae                                                                                           | CUSIP: 3136BQRA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    817130 | PA      | $833140.45    | 0.53%             | 2049-04-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FIGRE Trust                            | FIGRE Trust                                                                                          | CUSIP: 31684FAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    429876 | PA      | $432225.14    | 0.28%             | 2054-10-25      | Variable      | 5.44%                 | No            |                  2 | On Loan: No      |
| Firstkey Homes Trust                   | FirstKey Homes Trust                                                                                 | CUSIP: 33767JAJ1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3550000 | PA      | $3509626.21   | 2.24%             | 2037-10-19      | Fixed         | 2.67%                 | No            |                  2 | On Loan: No      |
| Firstkey Homes Trust                   | FirstKey Homes Trust                                                                                 | CUSIP: 33768NAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    750000 | PA      | $745837.65    | 0.48%             | 2039-05-19      | Fixed         | 4.49%                 | No            |                  2 | On Loan: No      |
| GA GLOBAL FUNDING TRUST                | GA Global Funding Trust                                                                              | CUSIP: 36143L2A2<br>LEI: 54930029I8ROQ4OROZ88 | Long             | DBT              | CORP              | US        |    450000 | PA      | $442363.15    | 0.28%             | 2026-01-15      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| GCAT                                   | GCAT Trust                                                                                           | CUSIP: 36168MAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1475252 | PA      | $1396167.77   | 0.89%             | 2067-04-25      | Variable      | 4.35%                 | No            |                  2 | On Loan: No      |
| GCAT                                   | GCAT Trust                                                                                           | CUSIP: 36169DAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1258045 | PA      | $1255459.65   | 0.80%             | 2067-11-25      | Variable      | 5.84%                 | No            |                  2 | On Loan: No      |
| GCAT                                   | GCAT Trust                                                                                           | CUSIP: 36169GAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    345433 | PA      | $349351.30    | 0.22%             | 2068-08-25      | Variable      | 6.89%                 | No            |                  2 | On Loan: No      |
| GCAT                                   | GCAT Trust                                                                                           | CUSIP: 36831CAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1173677 | PA      | $1183123.97   | 0.76%             | 2059-06-25      | Variable      | 6.08%                 | No            |                  2 | On Loan: No      |
| Golub Capital Partners CLO Ltd         | Golub Capital Partners CLO 54M, LP                                                                   | CUSIP: 381743AA1<br>LEI: 2549007JA1TZWEDGPD41 | Long             | ABS-O            | CORP              | KY        |   1750000 | PA      | $1754019.75   | 1.12%             | 2033-08-05      | Floating      | 6.05%                 | No            |                  2 | On Loan: No      |
| Golub Capital Partners CLO Ltd         | Golub Capital Partners CLO 33M Ltd.                                                                  | CUSIP: 38174TAE6<br>LEI: 254900T5KLBL86KP4W68 | Long             | ABS-O            | CORP              | KY        |   1250000 | PA      | $1248988.25   | 0.80%             | 2033-08-25      | Floating      | 6.45%                 | No            |                  2 | On Loan: No      |
| Golub Capital Partners CLO Ltd         | Golub Capital Partners CLO 49M Ltd.                                                                  | CUSIP: 38178GAA8<br>LEI: 254900NUVOJAHAT10W61 | Long             | ABS-O            | CORP              | KY        |   2250000 | PA      | $2255248.58   | 1.44%             | 2033-08-26      | Floating      | 6.06%                 | No            |                  2 | On Loan: No      |
| Greystone Commercial Real Esta         | Greystone Commercial Real Estate Notes                                                               | CUSIP: 39809PAE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |   1000000 | PA      | $990401.00    | 0.63%             | 2039-07-15      | Floating      | 6.08%                 | No            |                  2 | On Loan: No      |
| HGI CRE CLO Ltd                        | HGI CRE CLO Ltd.                                                                                     | CUSIP: 40390JAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |   1248790 | PA      | $1244385.34   | 0.79%             | 2036-09-17      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                      | HSBC Holdings plc                                                                                    | CUSIP: 404280EF2<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |   1750000 | PA      | $1782775.24   | 1.14%             | 2028-05-17      | Variable      | 5.60%                 | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust         | HarborView Mortgage Loan Trust                                                                       | CUSIP: 41162NAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    854165 | PA      | $814106.17    | 0.52%             | 2047-01-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| HERA Commercial Mortgage Ltd           | HERA Commercial Mortgage Ltd.                                                                        | CUSIP: 42704RAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |    316577 | PA      | $316154.50    | 0.20%             | 2038-02-18      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| Home Equity Loan Trust                 | Home Equity Loan Trust                                                                               | CUSIP: 43710XAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1165343 | PA      | $1121304.51   | 0.72%             | 2037-04-25      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| HOMES Trust                            | HOMES Trust                                                                                          | CUSIP: 437920AC5<br>LEI: 254900GDF2MBHUV58Z95 | Long             | ABS-MBS          | CORP              | US        |    450082 | PA      | $450475.84    | 0.29%             | 2059-10-25      | Variable      | 5.58%                 | No            |                  2 | On Loan: No      |
| ICON INVESTMENTS SIX DAC               | Icon Investments Six DAC                                                                             | CUSIP: 45115AAA2<br>LEI: 635400FQ1M7J2CHLAS59 | Long             | DBT              | CORP              | IE        |   1800000 | PA      | $1837623.64   | 1.17%             | 2027-05-08      | Fixed         | 5.81%                 | No            |                  2 | On Loan: No      |
| Imperial Fund LLC                      | Imperial Fund Mortgage Trust                                                                         | CUSIP: 45276PAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1313923 | PA      | $1250002.79   | 0.80%             | 2067-03-25      | Variable      | 4.02%                 | No            |                  2 | On Loan: No      |
| INTERNATIONAL GAME TECH                | International Game Technology plc                                                                    | CUSIP: 460599AF0<br>LEI: 549300UQ6KHRCZDRGZ76 | Long             | DBT              | CORP              | GB        |    490000 | PA      | $489695.17    | 0.31%             | 2026-04-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| IQVIA INC                              | IQVIA, Inc.                                                                                          | CUSIP: 46266TAA6<br>LEI: 549300PLWY28YB00C717 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $996622.80    | 0.64%             | 2027-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| JPMDB Commercial Mortgage Secu         | JPMDB Commercial Mortgage Securities Trust                                                           | CUSIP: 46591ABC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  22202457 | PA      | $299937.43    | 0.19%             | 2051-06-15      | Variable      | 0.59%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust               | JP Morgan Mortgage Trust                                                                             | CUSIP: 46592WAN6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1209706 | PA      | $1124942.84   | 0.72%             | 2052-02-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| JABIL INC                              | Jabil, Inc.                                                                                          | CUSIP: 466313AL7<br>LEI: 5493000CGCQY2OQU7669 | Long             | DBT              | CORP              | US        |    200000 | PA      | $195330.84    | 0.12%             | 2026-04-15      | Fixed         | 1.70%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mor         | JP Morgan Chase Commercial Mortgage Securities Trust                                                 | CUSIP: 46654EAG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    850000 | PA      | $786250.00    | 0.50%             | 2038-06-15      | Floating      | 6.22%                 | No            |                  2 | On Loan: No      |
| JACKSON NATL LIFE GLOBAL               | Jackson National Life Global Funding                                                                 | CUSIP: 46849LUZ2<br>LEI: 635400PQXLYXWJI5QD78 | Long             | DBT              | CORP              | US        |    750000 | PA      | $756334.79    | 0.48%             | 2026-04-10      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| LG ELECTRONICS INC                     | LG Electronics, Inc.                                                                                 | CUSIP: 50186QAC7<br>LEI: 988400RMQFTGZIOG0609 | Long             | DBT              | CORP              | KR        |    900000 | PA      | $916196.05    | 0.59%             | 2027-04-24      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| LPL HOLDINGS INC                       | LPL Holdings, Inc.                                                                                   | CUSIP: 50212YAJ3<br>LEI: 549300Z5YF8CCRMYUL26 | Long             | DBT              | CORP              | US        |   1700000 | PA      | $1731839.13   | 1.11%             | 2027-05-20      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| THL Credit Lake Shore MM CLO I         | THL Credit Lake Shore MM CLO I Ltd.                                                                  | CUSIP: 510800AC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |    695974 | PA      | $697979.38    | 0.45%             | 2033-04-15      | Floating      | 6.22%                 | No            |                  2 | On Loan: No      |
| Legacy Mortgage Asset Trust            | Legacy Mortgage Asset Trust                                                                          | CUSIP: 52474XAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    907953 | PA      | $905064.17    | 0.58%             | 2061-07-25      | Variable      | 5.75%                 | No            |                  2 | On Loan: No      |
| Legacy Mortgage Asset Trust            | Legacy Mortgage Asset Trust                                                                          | CUSIP: 52475WAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    879947 | PA      | $879788.38    | 0.56%             | 2060-11-25      | Variable      | 4.65%                 | No            |                  2 | On Loan: No      |
| Legacy Mortgage Asset Trust            | Legacy Mortgage Asset Trust                                                                          | CUSIP: 52476DAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    339746 | PA      | $339666.95    | 0.22%             | 2061-04-25      | Variable      | 5.75%                 | No            |                  2 | On Loan: No      |
| Life Financial Services Trust          | Life Mortgage Trust                                                                                  | CUSIP: 53218CAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     80100 | PA      | $79649.32     | 0.05%             | 2038-03-15      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| LIVE NATION ENTERTAINMEN               | Live Nation Entertainment, Inc.                                                                      | CUSIP: 538034AV1<br>LEI: 5493007B9BM9ZXJINO78 | Long             | DBT              | CORP              | US        |    875000 | PA      | $887896.63    | 0.57%             | 2027-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust         | Morgan Stanley Capital I Trust                                                                       | CUSIP: 61767YBA7<br>LEI: 3IFG42XD94UUZ7FL2766 | Long             | ABS-MBS          | CORP              | US        |  42677727 | PA      | $814773.30    | 0.52%             | 2051-07-15      | Variable      | 0.96%                 | No            |                  2 | On Loan: No      |
| MUTUAL OF OMAHA GLOBAL                 | Mutual of Omaha Companies Global Funding                                                             | CUSIP: 62829D2D1<br>LEI: 635400AL5J3F1ZPTAN95 | Long             | DBT              | CORP              | US        |   1750000 | PA      | $1777382.60   | 1.14%             | 2027-04-09      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| New York Mortgage Trust                | NYMT Loan Trust                                                                                      | CUSIP: 62955RAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2108836 | PA      | $2093454.18   | 1.34%             | 2061-08-25      | Variable      | 4.67%                 | No            |                  2 | On Loan: No      |
| New York Mortgage Trust                | NYMT Loan Trust                                                                                      | CUSIP: 62956BAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    621717 | PA      | $618863.35    | 0.40%             | 2062-07-25      | Variable      | 5.25%                 | No            |                  2 | On Loan: No      |
| New Economy Assets Phase 1 Iss         | New Economy Assets Phase 1 Sponsor LLC                                                               | CUSIP: 643821AA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $941487.90    | 0.60%             | 2061-10-20      | Fixed         | 1.91%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan          | New Residential Mortgage Loan Trust                                                                  | CUSIP: 64828CAG4<br>LEI: 549300U1MV4J7YQZG974 | Long             | ABS-MBS          | CORP              | US        |    541379 | PA      | $515108.26    | 0.33%             | 2058-02-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan          | New Residential Mortgage Loan Trust                                                                  | CUSIP: 64828NAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    178394 | PA      | $177664.38    | 0.11%             | 2057-06-25      | Floating      | 5.93%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan          | New Residential Mortgage Loan Trust                                                                  | CUSIP: 64830TAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    591031 | PA      | $554008.91    | 0.35%             | 2059-10-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| Newstar Fairfield Fund CLO LTD         | NewStar Fairfield Fund CLO Ltd.                                                                      | CUSIP: 65252BAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |     51962 | PA      | $52239.10     | 0.03%             | 2030-04-20      | Floating      | 5.80%                 | No            |                  2 | On Loan: No      |
| Novastar Home Equity Loan              | NovaStar Mortgage Funding Trust Series                                                               | CUSIP: 66989EAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    673308 | PA      | $661793.04    | 0.42%             | 2037-09-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC               | OBX Trust                                                                                            | CUSIP: 670843AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1063583 | PA      | $1064700.44   | 0.68%             | 2062-01-25      | Variable      | 6.32%                 | No            |                  2 | On Loan: No      |
| OWS Structured Asset Trust             | OSAT Trust                                                                                           | CUSIP: 67114HAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2630261 | PA      | $2630833.10   | 1.68%             | 2065-05-25      | Variable      | 6.12%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC               | OBX Trust                                                                                            | CUSIP: 67118LAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    246924 | PA      | $246902.50    | 0.16%             | 2062-09-25      | Variable      | 6.45%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC               | OBX Trust                                                                                            | CUSIP: 67118XAA3<br>LEI: 254900LMIQVUH9BFZJ05 | Long             | ABS-MBS          | CORP              | US        |   1295191 | PA      | $1311586.52   | 0.84%             | 2064-02-25      | Variable      | 6.45%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC               | OBX Trust                                                                                            | CUSIP: 67119CAA8<br>LEI: 254900Y1YRD8JNADSC78 | Long             | ABS-MBS          | CORP              | US        |   1316869 | PA      | $1331136.60   | 0.85%             | 2064-05-25      | Variable      | 6.23%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC               | OBX Trust                                                                                            | CUSIP: 67119FAA1<br>LEI: 254900FVMB3WTXJGGR91 | Long             | ABS-MBS          | CORP              | US        |   1258613 | PA      | $1271475.88   | 0.81%             | 2064-03-25      | Variable      | 6.24%                 | No            |                  2 | On Loan: No      |
| Oak Street Investment Grade Ne         | Oak Street Investment Grade Net Lease Fund Series                                                    | CUSIP: 67181DAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2440961 | PA      | $2382070.98   | 1.52%             | 2050-11-20      | Fixed         | 1.85%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC               | OBX Trust                                                                                            | CUSIP: 67448LAB8<br>LEI: 254900UI1468MQ7I8472 | Long             | ABS-MBS          | CORP              | US        |    500110 | PA      | $502721.49    | 0.32%             | 2063-11-25      | Variable      | 6.25%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC               | OBX Trust                                                                                            | CUSIP: 67448NAA6<br>LEI: 254900RDM4XSF0B1E373 | Long             | ABS-MBS          | CORP              | US        |   2395334 | PA      | $2411102.07   | 1.54%             | 2064-01-25      | Variable      | 5.99%                 | No            |                  2 | On Loan: No      |
| Owl Rock CLO Ltd                       | Owl Rock CLO IV Ltd.                                                                                 | CUSIP: 691200AC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |   1500000 | PA      | $1503562.95   | 0.96%             | 2033-08-20      | Floating      | 6.18%                 | No            |                  2 | On Loan: No      |
| Palmer Square Loan Funding Ltd         | Palmer Square Loan Funding Ltd.                                                                      | CUSIP: 69701CAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |   3750000 | PA      | $3760955.63   | 2.40%             | 2030-04-15      | Floating      | 5.86%                 | No            |                  2 | On Loan: No      |
| Parliament CLO Ltd                     | Parliament CLO II Ltd.                                                                               | CUSIP: 701631AA1<br>LEI: 5493009BTB3REE8RVW84 | Long             | ABS-O            | CORP              | KY        |     63382 | PA      | $63694.48     | 0.04%             | 2032-08-20      | Floating      | 5.93%                 | No            |                  2 | On Loan: No      |
| PENSKE TRUCK LEASING/PTL               | Penske Truck Leasing Company Lp / PTL Finance Corp.                                                  | CUSIP: 709599BY9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1650000 | PA      | $1668685.24   | 1.07%             | 2027-01-12      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| COOPERATIEVE RABOBANK UA               | Cooperatieve Rabobank UA                                                                             | CUSIP: 74977RDR2<br>LEI: DG3RU1DBUFHT4ZF9WN62 | Long             | DBT              | CORP              | NL        |    800000 | PA      | $804611.98    | 0.51%             | 2028-08-22      | Variable      | 4.66%                 | No            |                  2 | On Loan: No      |
| Residential Mortgage Loan Trus         | Residential Mortgage Loan Trust                                                                      | CUSIP: 76119CAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     51363 | PA      | $50759.65     | 0.03%             | 2060-01-26      | Variable      | 2.38%                 | No            |                  2 | On Loan: No      |
| ROCKETMTGE CO-ISSUER INC               | Rocket Mortgage LLC / Rocket Mortgage Company-Issuer, Inc.                                           | CUSIP: 77313LAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    850000 | PA      | $828979.08    | 0.53%             | 2026-10-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| SLM CORP                               | SLM Corp.                                                                                            | CUSIP: 78442PGE0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    600000 | PA      | $588075.48    | 0.38%             | 2026-11-02      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| Sapphire Aviation Finance I Li         | Sapphire Aviation Finance II Ltd.                                                                    | CUSIP: 80307AAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    508880 | PA      | $486010.48    | 0.31%             | 2040-03-15      | Fixed         | 3.23%                 | No            |                  2 | On Loan: No      |
| SILGAN HOLDINGS INC                    | Silgan Holdings, Inc.                                                                                | CUSIP: 827048AX7<br>LEI: KAF673KJXD92C8KSLU49 | Long             | DBT              | CORP              | US        |    750000 | PA      | $729774.26    | 0.47%             | 2026-04-01      | Fixed         | 1.40%                 | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                       | Societe Generale S.A.                                                                                | CUSIP: 83368RBV3<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |    800000 | PA      | $809904.58    | 0.52%             | 2028-01-19      | Variable      | 5.52%                 | No            |                  2 | On Loan: No      |
| Sound Point CLO LTD                    | Sound Point CLO XIX Ltd.                                                                             | CUSIP: 83610JAA4<br>LEI: 5493001QI7ZD0IPL4A34 | Long             | ABS-O            | CORP              | KY        |    912321 | PA      | $913004.75    | 0.58%             | 2031-04-15      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| Soundview Home Equity Loan Tru         | Soundview Home Loan Trust                                                                            | CUSIP: 83612CAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    556607 | PA      | $540658.69    | 0.35%             | 2036-07-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| ONEMAIN FINANCE CORP                   | OneMain Finance Corp.                                                                                | CUSIP: 85172FAN9<br>LEI: 5493008I795YYBFWFU90 | Long             | DBT              | CORP              | US        |    168000 | PA      | $170486.40    | 0.11%             | 2026-03-15      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| BLOCK INC                              | Block, Inc.                                                                                          | CUSIP: 852234AN3<br>LEI: 549300OHIIUWSTIZME52 | Long             | DBT              | CORP              | US        |    100000 | PA      | $97903.30     | 0.06%             | 2026-06-01      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| STANDARD CHARTERED PLC                 | Standard Chartered plc                                                                               | CUSIP: 853254DB3<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |   1700000 | PA      | $1734077.40   | 1.11%             | 2028-05-14      | Variable      | 5.69%                 | No            |                  2 | On Loan: No      |
| Starwood Mortgage Residential          | Starwood Mortgage Residential Trust                                                                  | CUSIP: 85573AAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     27444 | PA      | $25962.41     | 0.02%             | 2050-02-25      | Variable      | 2.27%                 | No            |                  2 | On Loan: No      |
| STORE Master Funding LLC               | Store Master Funding I-VII                                                                           | CUSIP: 86212VAE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    228003 | PA      | $224882.06    | 0.14%             | 2048-10-20      | Fixed         | 4.29%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Co         | Structured Asset Securities Corporation Mortgage Loan Trust                                          | CUSIP: 86365DAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    884606 | PA      | $857462.46    | 0.55%             | 2037-11-25      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| TERRAFORM GLOBAL OPERATI               | Terraform Global Operating, LP                                                                       | CUSIP: 88104UAC7<br>LEI: 549300LC7QMVR79H5O86 | Long             | DBT              | CORP              | US        |    264000 | PA      | $262403.17    | 0.17%             | 2026-03-01      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| Textainer Marine Containers Li         | Textainer Marine Containers VII Ltd.                                                                 | CUSIP: 88315LAE8<br>LEI: 549300X48KLHDDGPK024 | Long             | ABS-O            | CORP              | US        |    259111 | PA      | $248370.75    | 0.16%             | 2045-08-21      | Fixed         | 2.73%                 | No            |                  2 | On Loan: No      |
| Textainer Marine Containers Li         | Textainer Marine Containers VII Ltd.                                                                 | CUSIP: 88315LAL2<br>LEI: 549300X48KLHDDGPK024 | Long             | ABS-O            | CORP              | BM        |    457333 | PA      | $420511.41    | 0.27%             | 2046-02-20      | Fixed         | 1.68%                 | No            |                  2 | On Loan: No      |
| Textainer Marine Containers Li         | Textainer Marine Containers Ltd.                                                                     | CUSIP: 88315LAS7<br>LEI: 549300X48KLHDDGPK024 | Long             | ABS-O            | CORP              | US        |     69333 | PA      | $61649.41     | 0.04%             | 2046-08-20      | Fixed         | 1.94%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust              | Towd Point Mortgage Trust                                                                            | CUSIP: 89175JAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    214197 | PA      | $209789.57    | 0.13%             | 2057-10-25      | Variable      | 2.75%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust              | Towd Point Mortgage Trust                                                                            | CUSIP: 89175VAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    196286 | PA      | $193538.30    | 0.12%             | 2058-03-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| Triton Container Finance LLC           | Triton Container Finance VIII LLC                                                                    | CUSIP: 89680HAE2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1533000 | PA      | $1399444.58   | 0.89%             | 2046-03-20      | Fixed         | 1.86%                 | No            |                  2 | On Loan: No      |
| TRITON CONTAINER                       | Triton Container International Ltd.                                                                  | CUSIP: 89680YAA3<br>LEI: 549300O4LZFLCX53XZ54 | Long             | DBT              | CORP              | BM        |    700000 | PA      | $685521.10    | 0.44%             | 2026-04-15      | Fixed         | 2.05%                 | No            |                  2 | On Loan: No      |
| UNITED AIRLINES INC                    | United Airlines, Inc.                                                                                | CUSIP: 90932LAG2<br>LEI: K1OQBWM7XEOO08LDNP29 | Long             | DBT              | CORP              | US        |    900000 | PA      | $894050.19    | 0.57%             | 2026-04-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| UNITED WHOLESALE MTGE LL               | United Wholesale Mortgage LLC                                                                        | CUSIP: 91153LAA5<br>LEI: 549300HW662MN1WU8550 | Long             | DBT              | CORP              | US        |    490000 | PA      | $489922.63    | 0.31%             | 2025-11-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UNIVERSAL HEALTH SVCS                  | Universal Health Services, Inc.                                                                      | CUSIP: 913903AZ3<br>LEI: 549300YGMGQDO0NMJD09 | Long             | DBT              | CORP              | US        |   1950000 | PA      | $1882637.07   | 1.20%             | 2026-09-01      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust             | Verus Securitization Trust                                                                           | CUSIP: 92536PAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    110347 | PA      | $107561.57    | 0.07%             | 2060-01-25      | Variable      | 3.42%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust             | Verus Securitization Trust                                                                           | CUSIP: 92538CAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    481521 | PA      | $465927.55    | 0.30%             | 2065-05-25      | Variable      | 2.22%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust             | Verus Securitization Trust                                                                           | CUSIP: 92538HAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    269425 | PA      | $224722.42    | 0.14%             | 2066-07-25      | Variable      | 1.35%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust             | Verus Securitization Trust                                                                           | CUSIP: 92538KAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    550452 | PA      | $476718.96    | 0.30%             | 2066-09-25      | Variable      | 1.37%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust             | Verus Securitization Trust                                                                           | CUSIP: 92538MAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    536980 | PA      | $469860.31    | 0.30%             | 2066-10-25      | Variable      | 1.89%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust             | Verus Securitization Trust                                                                           | CUSIP: 92539LAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    145812 | PA      | $127254.43    | 0.08%             | 2066-06-25      | Variable      | 1.44%                 | No            |                  2 | On Loan: No      |
| VONTIER CORP                           | Vontier Corp.                                                                                        | CUSIP: 928881AB7<br>LEI: 549300VVSQLG4P5K4639 | Long             | DBT              | CORP              | US        |    650000 | PA      | $635597.24    | 0.41%             | 2026-04-01      | Fixed         | 1.80%                 | No            |                  2 | On Loan: No      |
| WMRK Commercial Mortgage Trust         | WMRK Commercial Mortgage Trust                                                                       | CUSIP: 929342AB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2900000 | PA      | $2900000.00   | 1.85%             | 2027-11-15      | Floating      | 7.75%                 | No            |                  2 | On Loan: No      |
| WALGREENS BOOTS ALLIANCE               | Walgreens Boots Alliance, Inc.                                                                       | CUSIP: 931427AQ1<br>LEI: 549300RPTUOIXG4LIH86 | Long             | DBT              | CORP              | US        |    100000 | PA      | $97842.84     | 0.06%             | 2026-06-01      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| WEIR GROUP PLC (THE)                   | Weir Group plc                                                                                       | CUSIP: 94876QAA4<br>LEI: 549300KDR56WHY9I3D10 | Long             | DBT              | CORP              | GB        |   1091000 | PA      | $1063966.17   | 0.68%             | 2026-05-13      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| Wingstop Funding LLC                   | Wingstop Funding LLC                                                                                 | CUSIP: 974153AB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    443250 | PA      | $420082.61    | 0.27%             | 2050-12-05      | Fixed         | 2.84%                 | No            |                  2 | On Loan: No      |
| PMH NEWCO LP                           | Project Onyx I                                                                                       | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-O            | CORP              | US        |    915597 | PA      | $914263.64    | 0.58%             | 2027-01-26      | Variable      | 7.09%                 | No            |                  3 | On Loan: No      |
| PMH SPV - C LLC                        | Project Onyx II                                                                                      | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-O            | CORP              | US        |    253717 | PA      | $252823.53    | 0.16%             | 2027-01-26      | Variable      | 7.09%                 | No            |                  3 | On Loan: No      |
| BofA Securities, Inc.                  | U.S. Secured Overnight Financing Rate                                                                | CUSIP: N/A<br>LEI: 549300HN4UKV1E2R3U73       | N/A              | DIR              |  | US        |   -850000 | OU      | $28364.79     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| BofA Securities, Inc.                  | U.S. Secured Overnight Financing Rate                                                                | CUSIP: N/A<br>LEI: 549300HN4UKV1E2R3U73       | N/A              | DIR              |  | US        |   -980000 | OU      | $29583.12     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| BofA Securities, Inc.                  | U.S. Secured Overnight Financing Rate                                                                | CUSIP: N/A<br>LEI: 549300HN4UKV1E2R3U73       | N/A              | DIR              |  | US        |  -1800000 | OU      | $27451.08     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| BofA Securities, Inc.                  | U.S. Secured Overnight Financing Rate                                                                | CUSIP: N/A<br>LEI: 549300HN4UKV1E2R3U73       | N/A              | DIR              |  | US        |  -3000000 | OU      | $327829.26    | 0.21%             |  |  |  | No            |                  2 | On Loan: No      |
| BofA Securities, Inc.                  | U.S. Secured Overnight Financing Rate                                                                | CUSIP: N/A<br>LEI: 549300HN4UKV1E2R3U73       | N/A              | DIR              |  | US        | -55250000 | OU      | $-804211.82   | -0.51%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. Morgan Securities LLC             | J.P. Morgan Securities LLC                                                                           | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | Long             | RA               | CORP              | US        |    421624 | PA      | $421624.00    | 0.27%             |  |  |  | No            |                  2 | On Loan: No      |
| Bank of Montreal                       | Bank of Montreal                                                                                     | CUSIP: N/A<br>LEI: NQQ6HPCNCCU6TUTQYE16       | Long             | RA               | CORP              | US        |     84325 | PA      | $84325.00     | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas                            | BNP Paribas                                                                                          | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | Long             | RA               | CORP              | US        |    421624 | PA      | $421624.00    | 0.27%             |  |  |  | No            |                  2 | On Loan: No      |
| BofA Securities, Inc.                  | BofA Securities, Inc.                                                                                | CUSIP: N/A<br>LEI: 549300HN4UKV1E2R3U73       | Long             | RA               | CORP              | US        |    674599 | PA      | $674599.00    | 0.43%             |  |  |  | No            |                  2 | On Loan: No      |
| ELANCO ANIMAL HEALTH INC               | Elanco Animal Health, Inc.                                                                           | CUSIP: N/A<br>LEI: 549300SHPNDCE059M934       | Long             | LON              | CORP              | US        |    403278 | PA      | $402826.75    | 0.26%             | 2027-08-01      | Variable      | 6.17%                 | No            |                  2 | On Loan: No      |
| CELESTIAL-SATURN PARENT INC            | CoreLogic, Inc.                                                                                      | CUSIP: N/A<br>LEI: 54930086CD8K2UIL0516       | Long             | LON              | CORP              | US        |    675439 | PA      | $667630.53    | 0.43%             | 2028-06-02      | Variable      | 7.94%                 | No            |                  2 | On Loan: No      |
| CITADEL SECURITIES GLOBAL HOLDINGS LLC | Citadel Securities, LP                                                                               | CUSIP: N/A<br>LEI: 549300NV5RXBUS3X7L47       | Long             | LON              | CORP              | US        |    326706 | PA      | $327892.13    | 0.21%             | 2031-10-31      | Variable      | 6.33%                 | No            |                  2 | On Loan: No      |
| WWTHC II INC                           | World Wide Technology Holding Company LLC                                                            | CUSIP: N/A<br>LEI: 213800MTFQARCZL1PY64       | Long             | LON              | CORP              | US        |    264413 | PA      | $265404.71    | 0.17%             | 2030-03-01      | Variable      | 6.56%                 | No            |                  2 | On Loan: No      |
| JANE STREET GROUP LLC                  | Jane Street Group LLC                                                                                | CUSIP: N/A<br>LEI: 5493002N1IVX6KHGYO08       | Long             | LON              | CORP              | US        |    296134 | PA      | $295751.96    | 0.19%             | 2031-12-15      | Variable      | 6.33%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2025-07-30

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

**Signature:** James Howley

**Name of Signer:** James Howley

**Title:** CFO