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Form N-CSR Guggenheim Strategy Fund For: Sep 30

November 30, 2022 6:05 AM EST

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UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number 811-22946

Guggenheim Strategy Funds Trust
(Exact name of registrant as specified in charter)

702 King Farm Blvd, Suite 200 Rockville, Maryland 20850
(Address of principal executive offices) (Zip code)

Amy J. Lee
702 King Farm Blvd, Suite 200, Rockville, Maryland 20850
(Name and address of agent for service)

Registrant's telephone number, including area code: (301) 296-5100

Date of fiscal year end: September 30

Date of reporting period: October 1, 2021 – September 30, 2022

Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles.

 

A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget (“OMB”) control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. §3507.

 

 

Item 1. Reports to Stockholders.

The registrant's annual report transmitted to shareholders pursuant to Rule 30e-1 under the Investment Company Act of 1940, as amended (the “Investment Company Act”), is as follows:

 

 

Dear Shareholder:

 

Guggenheim Partners Investment Management, LLC (the “Investment Manager”) is pleased to present the shareholder report for the Funds in the Guggenheim Strategy Funds Trust:

Guggenheim Strategy Fund II, Guggenheim Strategy Fund III, and Guggenheim Variable Insurance Strategy Fund III (collectively, the “Funds”). The report covers the annual fiscal period ended September 30, 2022 (the “Reporting Period”).

The investment objective for the Funds is to seek a high level of income consistent with the preservation of capital. There is no guarantee that the Funds will achieve their objective.

The Investment Manager is responsible for the management of the Funds’ portfolio of investments. It is an affiliate of Guggenheim Partners, LLC (“Guggenheim”), a global diversified financial services firm.

Guggenheim Funds Distributors, LLC is the distributor of the Funds. Guggenheim Funds Distributors, LLC is affiliated with Guggenheim Partners, LLC and the Investment Manager.

We encourage you to read the Economic and Market Overview section of the report, which follows this letter, and then the Managers’ Commentary on each Fund.

We are committed to providing innovative investment solutions and appreciate the trust you place in us.

Sincerely,

Guggenheim Partners Investment Management, LLC

October 31, 2022

 

(Unaudited)

 

Read a prospectus and summary prospectus (if available) carefully before investing. It contains the investment objectives, risks, charges, expenses and other information, which should be considered carefully before investing. Obtain a prospectus and summary prospectus (if available) at guggenheiminvestments.com or call 800.820.0888.

 

This material is not intended as a recommendation or as investment advice of any kind, including in connection with rollovers, transfers, and distributions. Such material is not provided in a fiduciary capacity, may not be relied upon for or in connection with the making of investment decisions, and does not constitute a solicitation of an offer to buy or sell securities. All content has been provided for informational or educational purposes only and is not intended to be and should not be construed as legal or tax advice and/or a legal opinion. Always consult a financial, tax and/or legal professional regarding your specific situation.

 

 

The Strategy Funds may not be suitable for all investors. The investments in fixed-income instruments are subject to the possibility that interest rates could rise, causing the value of the holdings and share price to decline. Investors in asset- backed securities, including collateralized loan obligations generally receive payments that are part interest and part return of principal. These payments may vary based on the rate loans are repaid. Some asset-backed securities may have structures that make their reaction to interest rates and other factors difficult to predict, making their prices volatile and they are subject to liquidity and valuation risk. CLOs bear similar risks to investing in loans directly. Investments in loans involve special types of risks, including credit, interest rate, counterparty, prepayment, liquidity, and valuation risks. Loans are often below investment grade, may be unrated, and typically offer a fixed or floating interest rate. High yield and unrated debt securities are at a greater risk of default than investment grade bonds and may be less liquid, which may increase volatility. The use of leverage, through borrowings or instruments such as derivatives, may cause the fund to be more volatile and riskier than if it had not been leveraged. The more a fund invests in leveraged instruments, the more the leverage will magnify any gains or losses on those investments. Foreign securities carry unique or additional risks when compared to U.S. securities, including currency fluctuations, adverse political and economic developments, unreliable or untimely information, less liquidity and more volatility, limited legal recourse and higher transactional costs, all of which are enhanced when investing in emerging markets. In addition, investments in emerging markets are subject to risks associated with trading in smaller markets, lower volumes of trading, and being subject to lower levels of government regulation and less extensive accounting, financial and other reporting requirements. Please read the prospectus for more detailed information regarding these and other risks.

 

 

(Unaudited)

 

ECONOMIC AND MARKET OVERVIEW

 

Equity and fixed income markets declined during the 12-month period ended September 30, 2022, amid continued market volatility, Federal Reserve policy, and global economic headwinds.

The Federal Reserve (the “Fed”) has abandoned talk of a soft or even “softish” landing, with the latest Summary of Economic Projections pointing to a 90-basis-point rise in the unemployment rate, an increase never before experienced without a recession. One basis point equals 0.01%. The seemingly endless string of upside inflation surprises has cemented the Fed’s view that the labor market needs to soften and economic activity needs to weaken further, which could require interest rates heading even higher.

Signs are indicating that the economy is heading in the direction the Fed wants. While gross domestic product (“GDP”) rebounded in the third quarter of 2022 to an inflation-adjusted 2.6%, private domestic demand (consumption and fixed investment) continued to slow, growing just 0.1%. The slowdown was led by a significant contraction in housing activity, historically the first sector to be hit by rising rates, cutting about 1.4 percentage points from GDP’s growth rate. The sharp tightening in financial conditions indicates a broader economic slowdown is ahead, which may help to loosen up the labor market. Signs of a labor market slowdown are already evident, with monthly job growth at less than half the pace of early 2022, wage growth cooling, and job openings falling sharply.

Inflation remains high, but a variety of factors point to a substantial moderation in 2023. Goods prices have stopped rising, and supply chain improvement and input and import costs suggest outright deflation could lie ahead. Services inflation is now the main price stability concern, but even the Bureau of Labor Statistics and several Fed speakers have acknowledged that the lagged data on home rental prices doesn’t reflect the sharp slowdown in market rents that has taken place (and that would start to show up in the data next year).

With the economy cooling and inflation likely to fall, it is fair to expect that rate hikes are nearly coming to an end, particularly with rising strains in financial markets and overseas. But having been repeatedly burned by expectations that inflation would cool and fearing a replay of the “stop-start” rate hike campaigns of the 1970s, the Fed will likely err on the side of overdoing it with rate hikes, viewing a recession as the “least bad” outcome for the economy.

For the 12-month period ended September 30, 2022, the S&P 500® Index* returned -15.47%. The MSCI Europe-Australasia-Far East (“EAFE”) Index* returned -25.13%. The return of the MSCI Emerging Markets Index* was -28.11%.

In the bond market, the Bloomberg U.S. Aggregate Bond Index* posted a -14.60% return for the 12-month period, while the Bloomberg U.S. Corporate High Yield Index* returned -14.14%. The return of the ICE Bank of America (“BofA”) 3-Month U.S. Treasury Bill Index* was 0.62% for the 12-month period.

 

The opinions and forecasts expressed may not actually come to pass. This information is subject to change at any time, based on market and other conditions, and should not be construed as a recommendation of any specific security or strategy.

 

 

(Unaudited)

*Index Definitions:

The following indices are referenced throughout this report. Indices are unmanaged and not available for direct investment. Index performance does not reflect transaction costs, fees, or expenses.

Bloomberg U.S. Aggregate Bond Index is a broad-based flagship benchmark that measures the investment grade, U.S. dollar-denominated, fixed-rate taxable bond market, including U.S. Treasuries, government-related and corporate securities, mortgage-backed securities or “MBS” (agency fixed-rate and hybrid adjustable-rate mortgage, or “ARM”, pass-throughs), asset-backed securities (“ABS”), and commercial mortgage-backed securities (“CMBS”) (agency and non-agency).

Bloomberg U.S. Corporate High Yield Index measures the U.S. dollar-denominated, high yield, fixed-rate corporate bond market. Securities are classified as high yield if the middle rating of Moody’s, Fitch, and S&P is Ba1/BB +/BB + or below.

Bloomberg 1-3 Month U.S. Treasury Bill Index includes all publicly issued zero-coupon U.S. Treasury Bills that have a remaining maturity of less than 3 months and more than 1 month, are rated investment grade, and have $250 million or more of outstanding face value. In addition, the securities must be denominated in U.S. dollars and must be fixed rate and nonconvertible. The 1-3 Month U.S. Treasury Bill Index is market capitalization weighted and the securities in the index are updated on the last business day of each month.

ICE BofA 3-Month U.S. Treasury Bill Index is an unmanaged market Index of U.S. Treasury securities maturing in 90 days that assumes reinvestment of all income.

MSCI EAFE Index is a free float-adjusted market capitalization index that is designed to measure the equity market performance of developed markets, excluding the U.S. & Canada.

MSCI Emerging Markets Index is a free float-adjusted market capitalization weighted index that is designed to measure equity market performance in the global emerging markets.

S&P 500® is a broad-based index, the performance of which is based on the performance of 500 widely held common stocks chosen for market size, liquidity, and industry group representation.

 

(Unaudited)

 

Strategy Fund II

 

To Our Shareholders

Guggenheim Partners Investment Management, LLC (“GPIM”) serves as the investment manager to Guggenheim Strategy Fund II (“Fund”). The Fund is managed by a team of seasoned professionals at GPIM. This team includes Anne B. Walsh, CFA, JD, Chief Investment Officer, Fixed Income, Portfolio Manager, and Managing Partner; Steven H. Brown, CFA, Chief Investment Officer, Total Return and Macro Strategies, Senior Managing Director, and Portfolio Manager; Kris Dorr, Managing Director and Portfolio Manager; and Adam J. Bloch, Managing Director and Portfolio Manager. In the subsequent paragraphs, the investment team discusses the Fund’s performance and the market environment for the 12-month period ended September 30, 2022 (the “Reporting Period”).

 

For the Reporting Period, the Fund returned -2.08%, underperforming the Fund’s benchmark, the Bloomberg 1-3 Month U.S. Treasury Bill Index, which returned 0.64% for the same period.

 

What factors contributed or detracted from the Fund’s performance during the Reporting Period?

The Fund ended the Reporting Period down -2.08% while the benchmark finished up +0.64%. The dramatic rise in interest rates drove the majority of absolute performance, detracting roughly -2.3% from the Fund's performance over the Reporting Period. The performance effect from the widening in credit spreads was also negative, detracting about 2.8% on an absolute basis. Over the Reporting Period, we saw spreads in Investment Grade Corporates, High Yield Corporates, and AAA-rated Collateralized Loan Obligations (“CLOs”) widen by 75 basis points, 263 basis points, and 102 basis points, respectively. Carry contributed about +2.8% on an absolute basis and +1.8% on a relative basis to performance. Carry refers to the excess return accruing to higher yielding securities over lower yielding securities, assuming prices remain constant.

How did the Fund use derivatives during the Reporting Period?

During the Reporting Period, the Fund used forwards and swaps to help manage duration positioning, foreign exchange risk, and generate incremental income. Over the Reporting Period, interest rate swaps and total return swaps contributed to performance. In addition, the Fund hedged non-USD exposure with foreign-exchange derivatives, which had a positive impact on performance over the Reporting Period.

How was the Fund positioned at the end of the Reporting Period?

 

At 50% of net asset value (“NAV”), securitized credit continues to be the largest and growing asset class allocation within the Fund. As tail risks have risen across the market, we have increased our allocation to high grade pockets of securitized credit, picking credit quality and structural protection at attractive spreads versus comparably rated corporate credit. A unique opportunity has emerged in securitized credit in that investors are now able to source investments at steep dollar price discounts given both the rise in interest rates and widening in credit spreads that have occurred year-to-date. We believe this dynamic presents a compelling total return opportunity as investors are now able to capture not only

 

(Unaudited)

the traditional yield advantage offered by the sector in the form of higher coupons relative to similarly rated corporates, but also an accretion to par should rates fall or spreads tighten. In more normal market environments, the value proposition of much of securitized credit is typically limited to a carry advantage (i.e., the offered coupon) given the room for price appreciation above par ($100) is limited due to call structures. To this end, our buying efforts have been concentrated in the secondary market. In primary markets, we are finding opportunities in the Non-Agency Residential Mortgage-Backed Securities (“RMBS”) sector in senior tranches of Non-Qualified Mortgage deals, which price at dollar price discounts and offer yields and spreads comparable to BB-rated corporate credit.

Corporate credit totaled approximately 46% of the Fund’s NAV, with roughly 41% Investment Grade rated and 5% High Yield. While fundamental credit metrics, such as leverage and interest coverage, generally still show improving or healthy trends across sectors we expect them to start gradually deteriorating over the next several quarters and for default rates to pick up. However, all spread asset classes have already materially re-priced lower this year due to tighter financial conditions. Credit spread valuations are broadly in their 70th – 80th widest percentiles versus long term historical ranges, and absolute yields are at the highest levels since 2009. At current valuations the long-term value across credit assets is compelling although we expect volatility to remain elevated in the near-term. The Fund remains focused on high credit quality investment grade corporates at attractive absolute yields.

During the Reporting Period, the Fund modestly increased its interest rate exposure amid the backup in rates to the higher end of its historical range (approximately 0.75 year). As the Federal Reserve continues to reinforce its commitment to moderating and stabilizing inflationary pressures through decreasing the demand function, we expect long term growth and inflation expectations to fall. Consequently, this era of peak hawkishness in the market signals to us that rates are likely peaking, and that extending duration is prudent.

Though we expect to see continued volatility as markets grapple with the rapid tightening of financial conditions, at current valuations we see return distributions for fixed income skewed to the upside over the next year. With the Fund’s gross yield of nearly 6.0%, we believe the carry profile alone for such fixed income opportunities provides a significantly higher buffer to performance volatility from rates and spreads.

 

Performance displayed represents past performance which is no guarantee of future results.

 

The opinions and forecast expressed may not actually come to pass. This information is subject to change at any time, based on market and other conditions, and should not be construed as a recommendation of any specific security or strategy.

 

 

(Unaudited)

 

Strategy Fund III

 

To Our Shareholders

Guggenheim Partners Investment Management, LLC (“GPIM”) serves as the investment manager to Guggenheim Strategy Fund III (“Fund”). The Fund is managed by a team of seasoned professionals at GPIM. This team includes Anne B. Walsh, CFA, JD, Chief Investment Officer, Fixed Income, Portfolio Manager, and Managing Partner; Steven H. Brown, CFA, Chief Investment Officer, Total Return and Macro Strategies, Senior Managing Director, and Portfolio Manager; Kris Dorr, Managing Director and Portfolio Manager; and Adam J. Bloch, Managing Director and Portfolio Manager. In the subsequent paragraphs, the investment team discusses the Fund’s performance and the market environment for the 12-month period ended September 30, 2022 (the “Reporting Period”).

 

For the Reporting Period, the Fund returned -2.40%, underperforming the Fund’s benchmark, the Bloomberg 1-3 Month U.S. Treasury Bill Index, which returned 0.64% for the same period.

 

What factors contributed or detracted from the Fund’s performance during the Reporting Period?

The Fund ended the Reporting Period down -2.40% while the benchmark finished up +0.64%. The dramatic rise in interest rates drove the majority of absolute performance, detracting roughly -2.8% from the Fund's performance over the Reporting Period. The performance effect from the widening in credit spreads was also negative, detracting about -2.6% on an absolute basis. Over the Reporting Period, we saw spreads in Investment Grade Corporates, High Yield Corporates, and AAA-rated Collateralized Loan Obligations (“CLOs”) widen by 75 basis points, 263 basis points, and 102 basis points, respectively. Carry contributed about +2.9% on an absolute basis and +1.8% on a relative basis to performance. Carry refers to the excess return accruing to higher yielding securities over lower yielding securities, assuming prices remain constant.

How did the Fund use derivatives during the Reporting Period?

During the Reporting Period, the Fund used forwards and swaps to help manage duration positioning, foreign exchange risk, and generate incremental income. Over the Reporting Period, interest rate swaps and total return swaps contributed to performance. In addition, the Fund hedged non-USD exposure with foreign-exchange derivatives, which had a positive impact on performance over the Reporting Period.

How was the Fund positioned at the end of the Reporting Period?

 

At 50% of net asset value (“NAV”), securitized credit continues to be the largest and growing asset class allocation within the Fund. As tail risks have risen across the market, we have increased our allocation to high grade pockets of securitized credit, picking credit quality and structural protection at attractive spreads versus comparably rated corporate credit. We believe a unique opportunity has emerged in securitized credit in that investors are now able to source investments at steep dollar price discounts given both the rise in interest rates and widening in credit spreads that have occurred year-to-date. We believe this dynamic presents a compelling total return opportunity as investors are now able to capture

 

(Unaudited)

not only the traditional yield advantage offered by the sector in the form of higher coupons relative to similarly rated corporates, but also an accretion to par should rates fall or spreads tighten. In more normal market environments, the value proposition of much of securitized credit is typically limited to a carry advantage (i.e., the offered coupon) given the room for price appreciation above par ($100) is limited due to call structures. To this end, our buying efforts have been concentrated in the secondary market. In primary markets, we are finding opportunities in the Non-Agency Residential Mortgage-Backed Securities (“RMBS”) sector in senior tranches of Non-Qualified Mortgage deals, which price at dollar price discounts and offer yields and spreads comparable to BB-rated corporate credit.

Corporate credit totaled approximately 46% of the Fund’s NAV, with roughly 41% Investment Grade rated and 5% High Yield. While fundamental credit metrics, such as leverage and interest coverage, generally still show improving or healthy trends across sectors we expect them to start gradually deteriorating over the next several quarters and for default rates to pick up. However, all spread asset classes have already materially re-priced lower this year due to tighter financial conditions. Credit spread valuations are broadly in their 70th – 80th widest percentiles versus long term historical ranges, and absolute yields are at the highest levels since 2009. At current valuations the long-term value across credit assets is compelling although we expect volatility to remain elevated in the near-term. The Fund remains focused on high credit quality investment grade corporates at attractive absolute yields.

During the Reporting Period, the Fund modestly increased its interest rate exposure amid the backup in rates to the higher end of its historical range (approximately 0.75 year). As the Federal Reserve continues to reinforce its commitment to moderating and stabilizing inflationary pressures through decreasing the demand function, we expect long term growth and inflation expectations to fall. Consequently, this era of peak hawkishness in the market signals to us that rates are likely peaking, and that extending duration is prudent.

Though we expect to see continued volatility as markets grapple with the rapid tightening of financial conditions, at current valuations we see return distributions for fixed income skewed to the upside over the next year. With the Fund’s gross yield of nearly 6.0%, we believe the carry profile alone for such fixed income opportunities provides a significantly higher buffer to performance volatility from rates and spreads.

 

Performance displayed represents past performance which is no guarantee of future results.

 

The opinions and forecast expressed may not actually come to pass. This information is subject to change at any time, based on market and other conditions, and should not be construed as a recommendation of any specific security or strategy.

 

 

(Unaudited)

 

Variable Insurance Strategy Fund III

 

To Our Shareholders

Guggenheim Partners Investment Management, LLC (“GPIM”) serves as the investment manager to Guggenheim Variable Insurance Strategy Fund III (“Fund”). The Fund is managed by a team of seasoned professionals at GPIM. This team includes Anne B. Walsh, CFA, JD, Chief Investment Officer, Fixed Income, Portfolio Manager, and Managing Partner; Steven H. Brown, CFA, Chief Investment Officer, Total Return and Macro Strategies, Senior Managing Director, and Portfolio Manager; Kris Dorr, Managing Director and Portfolio Manager; and Adam J. Bloch, Managing Director and Portfolio Manager. In the subsequent paragraphs, the investment team discusses the Fund’s performance and the market environment for the 12-month period ended September 30, 2022 (the “Reporting Period”).

 

For the Reporting Period, the Fund returned -2.27%, underperforming the Fund’s benchmark, the Bloomberg 1-3 Month U.S. Treasury Bill Index, which returned 0.64% for the same period.

 

What factors contributed or detracted from the Fund’s performance during the Reporting Period?

The Fund ended the Reporting Period down -2.27% while the benchmark finished up +0.62%. The dramatic rise in interest rates drove the majority of absolute performance, detracting roughly -2.8% from the Fund's performance over the twelve month Reporting Period. The performance effect from the widening in credit spreads was also negative, detracting about -2.4% on an absolute basis. Over the Reporting Period, we saw spreads in Investment Grade Corporates, High Yield Corporates, and AAA-rated Collateralized Loan Obligations (“CLOs”) widen by 75 basis points, 263 basis points, and 102 basis points, respectively. Carry contributed about 2.8% on an absolute basis and 1.8% on a relative basis to performance. Carry refers to the excess return accruing to higher yielding securities over lower yielding securities, assuming prices remain constant.

How did the Fund use derivatives during the Reporting Period?

During the Reporting Period, the Fund used forwards and swaps to help manage duration positioning, foreign exchange risk, and generate incremental income. Over the Reporting Period, interest rate swaps and total return swaps contributed to performance. In addition, the Fund hedged non-USD exposure with foreign-exchange derivatives, which had a positive impact on performance over the Reporting Period.

How was the Fund positioned at the end of the Reporting Period?

 

At 50% of net asset value (“NAV”), securitized credit continues to be the largest and growing asset class allocation within the Fund. As tail risks have risen across the market, we have increased our allocation to high grade pockets of securitized credit, picking credit quality and structural protection at attractive spreads versus comparably rated corporate credit. We believe a unique opportunity has emerged in securitized credit in that investors are now able to source investments at steep dollar price discounts given both the rise in interest rates and widening in credit spreads that have occurred year-to-date. We believe this dynamic presents a compelling total return opportunity as investors are now able to capture

 

(Unaudited)

not only the traditional yield advantage offered by the sector in the form of higher coupons relative to similarly rated corporates, but also an accretion to par should rates fall or spreads tighten. In more normal market environments, the value proposition of much of securitized credit is typically limited to a carry advantage (i.e., the offered coupon) given the room for price appreciation above par ($100) is limited due to call structures. To this end, our buying efforts have been concentrated in the secondary market. In primary markets, we are finding opportunities in the Non-Agency Residential Mortgage-Backed Securities (“RMBS”) sector in senior tranches of Non-Qualified Mortgage deals, which price at dollar price discounts and offer yields and spreads comparable to BB-rated corporate credit.

Corporate credit totaled approximately 46% of the Fund’s NAV, with roughly 41% Investment Grade rated and 5% High Yield. While fundamental credit metrics, such as leverage and interest coverage, generally still show improving or healthy trends across sectors we expect them to start gradually deteriorating over the next several quarters and for default rates to pick up. However, all spread asset classes have already materially re-priced lower this year due to tighter financial conditions. Credit spread valuations are broadly in their 70th – 80th widest percentiles versus long term historical ranges, and absolute yields are at the highest levels since 2009. At current valuations the long-term value across credit assets is compelling although we expect volatility to remain elevated in the near-term. The Fund remains focused on high credit quality investment grade corporates at attractive absolute yields.

During the Reporting Period, the Fund modestly increased its interest rate exposure amid the backup in rates to the higher end of its historical range (approximately 0.75 year). As the Federal Reserve continues to reinforce its commitment to moderating and stabilizing inflationary pressures through decreasing the demand function, we expect long term growth and inflation expectations to fall. Consequently, this era of peak hawkishness in the market signals to us that rates are likely peaking, and that extending duration is prudent.

Though we expect to see continued volatility as markets grapple with the rapid tightening of financial conditions, at current valuations we see return distributions for fixed income skewed to the upside over the next year. With the Fund’s gross yield of nearly 6.0%, we believe the carry profile alone for such fixed income opportunities provides a significantly higher buffer to performance volatility from rates and spreads.

 

Performance displayed represents past performance which is no guarantee of future results.

 

The opinions and forecast expressed may not actually come to pass. This information is subject to change at any time, based on market and other conditions, and should not be construed as a recommendation of any specific security or strategy.

 

 

 

 

Guggenheim Strategy Fund II  
PERFORMANCE REPORT AND FUND PROFILE  September 30, 2022

 

Portfolio Breakdown % of Net Assets
Asset-Backed Securities 41.2%
Collateralized Mortgage Obligations 22.7%
Corporate Bonds 20.5%
Commercial Paper 5.0%
Senior Floating Rate Interests 3.7%
Foreign Government Debt 2.3%
Other Assets & Liabilities, net 4.6%
Net Assets 100.0%

 

Average Annual Returns

 

Periods Ended September 30, 2022      
  1 Year 5 Year Since Inception (03/11/14)
Guggenheim Strategy Fund II (2.08%) 1.45% 1.66%
Bloomberg 1-3 Month U.S. Treasury Bill Index 0.64% 1.10% 0.74%

  

Performance data quoted represents past performance, which is no guarantee of future results, and current performance may be lower or higher than the figures shown. Net asset value (NAV) performance data reflects fees and expenses of the Fund. The deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares is not reflected in the total returns. The investment return and principal value of an investment will fluctuate with changes in market conditions and other factors so that an investor’s shares, when redeemed, may be worth more or less than their original cost.

 

Since inception returns assume a purchase of the Fund at the initial NAV of $25.00 per share. Returns for periods of less than one year are not annualized.

 

The Bloomberg 1-3 Month U.S. Treasury Bill Index tracks the performance of U.S. Treasury bills with a remaining maturity of one to three months. U.S. Treasury bills, which are short-term loans to the U.S. government, are full faith and credit obligations of the U.S. Treasury and are generally regarded as being free of any risk of default. The referenced index is unmanaged and not available for direct investment. Index performance does not reflect transaction costs, fees or expenses.

 

Ten Largest Holdings (% of Total Net Assets)
Lake Shore MM CLO III LLC, 4.22% 2.6%
BCC Middle Market CLO LLC, 4.01% 2.6%
ABPCI Direct Lending Fund CLO VII, LP, 4.20% 2.5%
Sound Point CLO XIX Ltd., 3.51% 1.4%
JP Morgan Chase Commercial Mortgage Securities Trust, 4.36% 1.3%
State of Israel, 1.25% 1.2%
Athene Global Funding, 2.51% 1.2%
Palmer Square Loan Funding Ltd., 3.93% 1.2%
BX Commercial Mortgage Trust, 4.47% 1.2%
ABPCI Direct Lending Fund CLO V Ltd., 4.21% 1.2%
Top Ten Total 16.4%
“Ten Largest Holdings” excludes any temporary cash or derivative investments.

 

  

This graph compares a hypothetical $10,000 investment in the Fund, made at its inception, with a similar investment in the Bloomberg 1-3 Month U.S. Treasury Bill Index. Results include the reinvestment of all distributions and capital gains. Past performance is no guarantee of future results. The Bloomberg 1-3 Month U.S. Treasury Bill Index tracks the performance of U.S. Treasury bills with a remaining maturity of one to three months. U.S. Treasury bills, which are short-term loans to the U.S. government, are full faith and credit obligations of the U.S. Treasury and are generally regarded as being free of any risk of default. The referenced index is unmanaged. It is not possible to invest directly in the Bloomberg 1-3 Month U.S. Treasury Bill Index. Investment return and principal value will fluctuate with changes in market conditions and other factors and Fund shares, when redeemed, may be worth more or less than their original investment. 

Guggenheim Strategy Fund III  
PERFORMANCE REPORT AND FUND PROFILE  September 30, 2022

 

Portfolio Breakdown % of Net Assets
Asset-Backed Securities 38.1%
Corporate Bonds 28.1%
Collateralized Mortgage Obligations 21.8%
Senior Floating Rate Interests 5.6%
Foreign Government Debt 2.5%
Money Market Funds 2.2%
Commercial Paper 0.8%
Other Assets & Liabilities, net 0.9%
Net Assets 100.0%

  

Average Annual Returns
Periods Ended September 30, 2022      
  1 Year 5 Year Since Inception (03/11/14)
Guggenheim Strategy Fund III (2.40%) 1.52% 1.87%
Bloomberg 1-3 Month U.S. Treasury Bill Index 0.64% 1.10% 0.74%
         

Performance data quoted represents past performance, which is no guarantee of future results, and current performance may be lower or higher than the figures shown. Net asset value (NAV) performance data reflects fees and expenses of the Fund. The deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares is not reflected in the total returns. The investment return and principal value of an investment will fluctuate with changes in market conditions and other factors so that an investor’s shares, when redeemed, may be worth more or less than their original cost.

 

Since inception returns assume a purchase of the Fund at the initial NAV of $25.00 per share. Returns for periods of less than one year are not annualized.

 

The Bloomberg 1-3 Month U.S. Treasury Bill Index tracks the performance of U.S. Treasury bills with a remaining maturity of one to three months. U.S. Treasury bills, which are short-term loans to the U.S. government, are full faith and credit obligations of the U.S. Treasury and are generally regarded as being free of any risk of default. The referenced index is unmanaged and not available for direct investment. Index performance does not reflect transaction costs, fees or expenses.

 

Ten Largest Holdings (% of Total Net Assets)
BCC Middle Market CLO LLC, 4.01% 2.3%
Lake Shore MM CLO III LLC, 4.22% 2.3%
ABPCI Direct Lending Fund CLO VII, LP, 4.20% 2.2%
State of Israel, 1.25% 1.4%
Athene Global Funding, 2.84% 1.3%
Sound Point CLO XIX Ltd., 3.51% 1.2%
Palmer Square Loan Funding Ltd., 3.93% 1.2%
BX Commercial Mortgage Trust, 4.47% 1.1%
GA Global Funding Trust, 3.47% 1.1%
Ontario T-Bill 1.1%
Top Ten Total 15.2%
“Ten Largest Holdings” excludes any temporary cash or derivative investments.

 

 

This graph compares a hypothetical $10,000 investment in the Fund, made at its inception, with a similar investment in the Bloomberg 1-3 Month U.S. Treasury Bill Index. Results include the reinvestment of all distributions and capital gains. Past performance is no guarantee of future results. The Bloomberg 1-3 Month U.S. Treasury Bill Index tracks the performance of U.S. Treasury bills with a remaining maturity of one to three months. U.S. Treasury bills, which are short-term loans to the U.S. government, are full faith and credit obligations of the U.S. Treasury and are generally regarded as being free of any risk of default. The referenced index is unmanaged. It is not possible to invest directly in the Bloomberg 1-3 Month U.S. Treasury Bill Index. Investment return and principal value will fluctuate with changes in market conditions and other factors and Fund shares, when redeemed, may be worth more or less than their original investment. 

 

Guggenheim Variable Insurance Strategy Fund III  
PERFORMANCE REPORT AND FUND PROFILE  September 30, 2022

 

 

Portfolio Breakdown % of Net Assets
Investments  
Asset-Backed Securities 39.0%
Corporate Bonds 24.6%
Collateralized Mortgage Obligations 21.1%
Commercial Paper 4.8%
Senior Floating Rate Interests 3.9%
Foreign Government Debt 2.2%
Other Assets & Liabilities, net 4.4%
Net Assets 100.0%
   

 

Average Annual Returns*
Periods Ended September 30, 2022      
  1 Year 5 Year Since Inception (03/11/14)
Guggenheim Variable Insurance Strategy Fund III (2.27%) 1.44% 1.84%
Bloomberg 1-3 Month U.S. Treasury Bill Index 0.64% 1.10% 0.74%

 

Performance data quoted represents past performance, which is no guarantee of future results, and current

performance may be lower or higher than the figures shown. Net asset value (NAV) performance data reflects fees

and expenses of the Fund. The deduction of taxes that a shareholder would pay on Fund distributions or the

redemption of Fund shares is not reflected in the total returns. The investment return and principal value of an

investment will fluctuate with changes in market conditions and other factors so that an investor’s shares, when

redeemed, may be worth more or less than their original cost.

 

Since inception returns assume a purchase of the Fund at the initial NAV of $25.00 per share. Returns for periods of

less than one year are not annualized.

 

The Bloomberg 1-3 Month U.S. Treasury Bill Index tracks the performance of U.S. Treasury bills with a

remaining maturity of one to three months. U.S. Treasury bills, which are short-term loans to the U.S. government,

are full faith and credit obligations of the U.S. Treasury and are generally regarded as being free of any risk of

default. The referenced index is unmanaged and not available for direct investment. Index performance does not

reflect transaction costs, fees or expenses.

 

Ten Largest Holdings (% of Total Net Assets)
BCC Middle Market CLO LLC, 4.01% 2.3%
Lake Shore MM CLO III LLC, 4.22% 2.3%
ABPCI Direct Lending Fund CLO VII, LP, 4.20% 2.3%
KVK CLO 2013-1 Ltd., 3.93% 1.4%
Sound Point CLO XIX Ltd., 3.51% 1.3%
Palmer Square Loan Funding Ltd., 3.93% 1.2%
State of Israel, 1.25% 1.2%
Athene Global Funding, 2.51% 1.2%
NextEra Energy Capital Holdings, Inc., 2.84% 1.1%
Ontario T-Bill 1.0%
Top Ten Total 15.3%
“Ten Largest Holdings” excludes any temporary cash or derivative investments.

  

 

 

This graph compares a hypothetical $10,000 investment in the Fund, made at its inception, with a similar investment in the Bloomberg 1-3 Month U.S. Treasury Bill Index. Results include the reinvestment of all distributions and capital gains. Past performance is no guarantee of future results. The Bloomberg 1-3 Month U.S. Treasury Bill Index tracks the performance of U.S. Treasury bills with a remaining maturity of one to three months. U.S. Treasury bills, which are short-term loans to the U.S. government, are full faith and credit obligations of the U.S. Treasury and are generally regarded as being free of any risk of default. The referenced index is unmanaged. It is not possible to invest directly in the Bloomberg 1-3 Month U.S. Treasury Bill Index. Investment return and principal value will fluctuate with changes in market conditions and other factors and Fund shares, when redeemed, may be worth more or less than their original investment. 

 

ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited)
   

  

All mutual funds have operating expenses, and it is important for our shareholders to understand the impact of costs on their investments. Shareholders of a fund incur two types of costs: (i) transaction costs, including sales charges (loads) on purchase payments, reinvested dividends, other distributions, and exchange fees, and (ii) ongoing costs, including management fees, administrative services, and shareholder reports, among others. These ongoing costs, or operating expenses, are deducted from a fund’s gross income and reduce the investment return of the fund.

 

A fund’s expenses are expressed as a percentage of its average net assets, which is known as the expense ratio. The following examples are intended to help investors understand the ongoing costs (in dollars) of investing in a fund and to compare these costs with the ongoing costs of investing in other mutual funds.

 

The examples are based on an investment of $1,000 made at the beginning of the period and held for the entire six-month period beginning March 31, 2022 and ending September 30, 2022.

 

The following tables illustrate the Funds’ costs in two ways:

 

Table 1. Based on actual Fund return: This section helps investors estimate the actual expenses paid over the period. The “Ending Account Value” shown is derived from the Fund’s actual return, and the fifth column shows the dollar amount that would have been paid by an investor who started with $1,000 in the Fund. Investors may use the information here, together with the amount invested, to estimate the expenses paid over the period. Simply divide the Fund’s account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number provided under the heading “Expenses Paid During Period.”

 

Table 2. Based on hypothetical 5% return: This section is intended to help investors compare a fund’s cost with those of other mutual funds. The table provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses paid during the period. The example is useful in making comparisons because the U.S. Securities and Exchange Commission (the “SEC”) requires all mutual funds to calculate expenses based on the 5% return. Investors can assess a fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds.

 

The calculations illustrated above assume no shares were bought or sold during the period. Actual costs may have been higher or lower, depending on the amount of investment and the timing of any purchases or redemptions.

 

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads) on purchase payments, and contingent deferred sales charges ("CDSC") on redemptions, if any. Therefore, the second table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

 

More information about the Funds’ expenses, including annual expense ratios for periods up to five years (subject to the Fund's inception date), can be found in the Financial Highlights section of this report. For additional information on operating expenses and other shareholder costs, please refer to the appropriate Fund prospectus.

 

 

 
 

 

ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited)
   

 

  Expense Ratio1 Fund Return Beginning Account Value March 31, 2022 Ending Account Value September 30, 2022 Expenses Paid During Period2
Table 1. Based on actual Fund return3
Guggenheim Strategy Fund II 0.10% (1.06%) $1,000.00 $989.40 $0.50
Guggenheim Strategy Fund III 0.08% (1.21%) 1,000.00 987.90 0.40
Guggenheim Variable Insurance Strategy Fund III 0.18% (1.08%) 1,000.00 989.20 0.90
           
Table 2. Based on hypothetical 5% return (before expenses)
Guggenheim Strategy Fund II 0.10% 5.00% $1,000.00 $1,024.57 $0.51
Guggenheim Strategy Fund III 0.08% 5.00% 1,000.00 1,024.67 0.41
Guggenheim Variable Insurance Strategy Fund III 0.18% 5.00% 1,000.00 1,024.17 0.91

 

1Annualized and excludes expenses of the underlying funds in which the Funds invest, if any.
2Expenses are equal to the Fund's annualized expense ratio, net of any applicable fee waivers, multiplied by the average account value over the period, multiplied by 183/365 (to reflect the one-half year period).
3Actual cumulative return at net asset value for the period March 31, 2022 to September 30, 2022.

 

 

 

Guggenheim Strategy Fund II  
SCHEDULE OF INVESTMENTS September 30, 2022

 

  Face
Amount~
  Value
ASSET-BACKED SECURITIES†† - 41.2%
Collateralized Loan Obligations - 34.4%      
Lake Shore MM CLO III LLC      
2021-2A A1R, 4.22% (3 Month USD LIBOR + 1.48%, Rate Floor: 1.48%) due 10/17/31◊,1 7,650,000   $7,464,802
BCC Middle Market CLO LLC      
2021-1A A1R, 4.01% (3 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 10/15/33◊,1 7,750,000    7,444,445
ABPCI Direct Lending Fund CLO VII, LP      
2021-7A A1R, 4.20% (3 Month USD LIBOR + 1.43%, Rate Floor: 1.43%) due 10/20/31◊,1 7,500,000    7,163,100
Palmer Square Loan Funding Ltd.      
2022-1A A2, 3.93% (3 Month Term SOFR + 1.60%, Rate Floor: 1.60%) due 04/15/30◊,1 3,750,000    3,524,577
2021-2A B, 4.38% (3 Month USD LIBOR + 1.40%, Rate Floor: 1.40%) due 05/20/29◊,1 1,750,000    1,606,818
BXMT Ltd.      
2020-FL2 AS, 4.09% (1 Month Term SOFR + 1.26%, Rate Floor: 1.15%) due 02/15/38 2,500,000    2,417,180
2020-FL3 AS, 4.15% (30 Day Average SOFR + 1.86%, Rate Floor: 1.75%) due 11/15/37◊,1 1,750,000    1,713,232
Sound Point CLO XIX Ltd.      
2018-1A A, 3.51% (3 Month USD LIBOR + 1.00%, Rate Floor: 0.00%) due 04/15/31◊,1 4,135,000    4,020,851
ABPCI Direct Lending Fund CLO V Ltd.      
2021-5A A1R, 4.21% (3 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 04/20/31◊,1 3,500,000    3,423,035
Cerberus Loan Funding XXXVI, LP      
2021-6A A, 3.91% (3 Month USD LIBOR + 1.40%, Rate Floor: 1.40%) due 11/22/33◊,1 3,315,927    3,291,405
Woodmont Trust      
2020-7A A1A, 4.41% (3 Month USD LIBOR + 1.90%, Rate Floor: 1.90%) due 01/15/32◊,1 3,050,000    2,982,492
Golub Capital Partners CLO 36M Ltd.      
2018-36A A, 4.13% (3 Month USD LIBOR + 1.30%, Rate Floor: 0.00%) due 02/05/31◊,1  3,000,000   2,955,858
MidOcean Credit CLO VII      
2020-7A A1R, 3.55% (3 Month USD LIBOR + 1.04%, Rate Floor: 0.00%) due 07/15/29◊,1 2,785,955    2,738,324
CHCP Ltd.      
2021-FL1 A, 4.01% (1 Month Term SOFR + 1.16%, Rate Floor: 1.05%) due 02/15/38◊,1 2,747,863    2,695,493
Fortress Credit Opportunities XI CLO Ltd.      
2018-11A A1T, 3.81% (3 Month USD LIBOR + 1.30%, Rate Floor: 0.00%) due 04/15/31◊,1 2,500,000    2,451,442
LCCM Trust      
2021-FL3 A, 4.27% (1 Month USD LIBOR + 1.45%, Rate Floor: 1.45%) due 11/15/38◊,1 1,400,000    1,335,482
2021-FL2 B, 4.72% (1 Month USD LIBOR + 1.90%, Rate Floor: 1.90%) due 12/13/38◊,1 1,000,000    953,546
Golub Capital Partners CLO 49M Ltd.      
2021-49A AR, 4.24% (3 Month USD LIBOR + 1.53%, Rate Floor: 1.53%) due 08/26/33◊,1 2,250,000    2,150,334
Shackleton VIII CLO Ltd.      
2017-8A A2R, 3.63% (3 Month USD LIBOR + 0.92%, Rate Floor: 0.00%) due 10/20/27◊,1 2,110,564    2,083,358
Owl Rock CLO IV Ltd.      
2021-4A A1R, 4.58% (3 Month USD LIBOR + 1.60%, Rate Floor: 1.60%) due 08/20/33◊,1 2,150,000    2,049,884
FS Rialto      
2021-FL3 B, 4.74% (1 Month USD LIBOR + 1.80%, Rate Floor: 1.80%) due 11/16/36 2,000,000    1,876,638
Cerberus 2112 Levered LLC      
 4.83% (3 Month Term SOFR + 2.35%, Rate Floor: 2.35%) due 02/15/29◊,††† 1,850,000    1,848,292
 
 

Guggenheim Strategy Fund II  
SCHEDULE OF INVESTMENTS September 30, 2022

 

  Face
Amount~
  Value
ASSET-BACKED SECURITIES†† - 41.2% (continued)
Collateralized Loan Obligations - 34.4% (continued)      
ABPCI Direct Lending Fund IX LLC      
2021-9A A1R, 4.17% (3 Month USD LIBOR + 1.40%, Rate Floor: 1.40%) due 11/18/31◊,1  1,900,000   $1,836,748
Marathon CLO V Ltd.      
2017-5A A2R, 4.43% (3 Month USD LIBOR + 1.45%, Rate Floor: 0.00%) due 11/21/27◊,1 1,618,482    1,603,104
2017-5A A1R, 3.85% (3 Month USD LIBOR + 0.87%, Rate Floor: 0.00%) due 11/21/27◊,1 209,201    208,584
Venture XIV CLO Ltd.      
2020-14A ARR, 4.07% (3 Month USD LIBOR + 1.03%, Rate Floor: 1.03%) due 08/28/29◊,1 1,811,207    1,779,855
Parliament CLO II Ltd.      
2021-2A A, 2.83% (3 Month USD LIBOR + 1.35%, Rate Floor: 1.35%) due 08/20/32◊,1 1,750,000    1,714,730
HERA Commercial Mortgage Ltd.      
2021-FL1 A, 4.04% (1 Month USD LIBOR + 1.05%, Rate Floor: 1.05%) due 02/18/38 1,750,000    1,688,652
Cerberus Loan Funding XXXV, LP      
2021-5A A, 4.01% (3 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 09/22/33◊,1 1,750,000    1,675,223
Golub Capital Partners CLO 54M, LP      
2021-54A A, 4.36% (3 Month USD LIBOR + 1.53%, Rate Floor: 1.53%) due 08/05/33◊,1 1,750,000    1,675,098
Golub Capital Partners CLO 16 Ltd.      
2021-16A A1R2, 4.39% (3 Month USD LIBOR + 1.61%, Rate Floor: 1.61%) due 07/25/33◊,1 1,750,000    1,671,357
Cerberus Loan Funding XXX, LP      
2020-3A A, 4.36% (3 Month USD LIBOR + 1.85%, Rate Floor: 1.85%) due 01/15/33◊,1 1,500,000    1,468,709
BRSP Ltd.      
2021-FL1 B, 4.89% (1 Month USD LIBOR + 1.90%, Rate Floor: 1.90%) due 08/19/38◊,1  1,500,000   1,434,165
Golub Capital Partners CLO 33M Ltd.      
2021-33A AR2, 4.86% (3 Month USD LIBOR + 1.86%, Rate Floor: 1.86%) due 08/25/33◊,1 1,500,000    1,425,024
Carlyle GMS Finance MM CLO LLC      
2018-1A A11R, 4.06% (3 Month USD LIBOR + 1.55%, Rate Floor: 0.00%) due 10/15/31◊,1 1,400,000    1,366,788
Denali Capital CLO XI Ltd.      
2018-1A A1RR, 3.84% (3 Month USD LIBOR + 1.13%, Rate Floor: 0.00%) due 10/20/28◊,1 1,257,042    1,247,634
ABPCI Direct Lending Fund CLO II LLC      
2021-1A A1R, 4.31% (3 Month USD LIBOR + 1.60%, Rate Floor: 1.60%) due 04/20/32◊,1 1,250,000    1,217,303
LoanCore Issuer Ltd.      
2018-CRE1 AS, 4.32% (1 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 05/15/28◊,1 1,000,000    995,987
2018-CRE1 A, 3.95% (1 Month USD LIBOR + 1.13%, Rate Floor: 1.13%) due 05/15/28◊,1 12,226    12,218
Cerberus Loan Funding XXXI, LP      
2021-1A A, 4.01% (3 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 04/15/32◊,1 1,000,000    987,103
Wellfleet CLO Ltd.      
2020-2A A1R, 3.77% (3 Month USD LIBOR + 1.06%, Rate Floor: 0.00%) due 10/20/29◊,1 994,596    975,487
THL Credit Lake Shore MM CLO I Ltd.      
2021-1A A1R, 4.21% (3 Month USD LIBOR + 1.70%, Rate Floor: 1.70%) due 04/15/33◊,1 1,000,000    971,099
 
 

Guggenheim Strategy Fund II  
SCHEDULE OF INVESTMENTS September 30, 2022

 

  Face
Amount~
  Value
ASSET-BACKED SECURITIES†† - 41.2% (continued)
Collateralized Loan Obligations - 34.4% (continued)      
Cerberus Loan Funding XXXIII, LP      
2021-3A A, 4.07% (3 Month USD LIBOR + 1.56%, Rate Floor: 1.56%) due 07/23/33◊,1  1,000,000   $961,528
Cerberus Loan Funding XXXII, LP      
2021-2A A, 4.13% (3 Month USD LIBOR + 1.62%, Rate Floor: 1.62%) due 04/22/33◊,1 1,000,000    960,776
Cerberus Loan Funding XXVI, LP      
2021-1A AR, 4.01% (3 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 04/15/31◊,1 750,000    735,792
ABPCI Direct Lending Fund CLO I LLC      
2021-1A A1A2, 4.41% (3 Month USD LIBOR + 1.70%, Rate Floor: 1.70%) due 07/20/33◊,1 750,000    730,650
Cerberus Loan Funding XXXIV, LP      
2021-4A A, 4.01% (3 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 08/13/33◊,1 379,375    378,414
ACRE Commercial Mortgage Ltd.      
2021-FL4 AS, 4.09% (1 Month USD LIBOR + 1.10%, Rate Floor: 1.10%) due 12/18/37◊,1 350,000    340,809
Golub Capital Partners CLO 17 Ltd.      
2017-17A A1R, 4.43% (3 Month USD LIBOR + 1.65%, Rate Floor: 0.00%) due 10/25/30◊,1 300,000    295,553
Newfleet CLO Ltd.      
2018-1A A1R, 3.66% (3 Month USD LIBOR + 0.95%, Rate Floor: 0.00%) due 04/20/28◊,1 244,938    242,912
Total Collateralized Loan Obligations      98,791,890
Financial - 1.5%      
Madison Avenue Secured Funding Trust Series      
2022-1, 4.60% (1 Month Term SOFR + 1.85%, Rate Floor: 0.00%) due 10/12/23◊,1 1,675,000    1,675,000
Station Place Securitization Trust      
2022-SP1, 4.60% (1 Month Term SOFR + 1.85%, Rate Floor: 0.00%) due 10/12/23◊,1  1,675,000   1,675,000
Madison Avenue Secured Funding Trust      
2021-1, 4.58% (1 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 01/17/23◊,†††,1 950,000    950,000
Total Financial      4,300,000
Transport-Container - 1.5%      
Triton Container Finance VIII LLC      
2021-1A, 1.86% due 03/20/461 2,617,500    2,196,983
CLI Funding VIII LLC      
2021-1A, 1.64% due 02/18/461 1,259,393    1,078,161
Textainer Marine Containers VII Ltd.      
2021-1A, 1.68% due 02/20/461 742,333    627,828
2020-1A, 2.73% due 08/21/451 387,116    349,356
Total Transport-Container      4,252,328
Transport-Aircraft - 1.5%      
Raspro Trust      
2005-1A, 3.64% (3 Month USD LIBOR + 0.93%, Rate Floor: 0.93%) due 03/23/24◊,1 1,575,909    1,461,290
AASET US Ltd.      
2018-2A, 4.45% due 11/18/381 1,287,189    1,065,189
Castlelake Aircraft Securitization Trust      
2018-1, 4.13% due 06/15/431 1,164,114    1,018,555
Sapphire Aviation Finance II Ltd.      
2020-1A, 3.23% due 03/15/401 762,910    631,605
Total Transport-Aircraft      4,176,639
Net Lease - 1.3%      
Oak Street Investment Grade Net Lease Fund Series      
2020-1A, 1.85% due 11/20/501 3,388,100    2,980,911
 
 

Guggenheim Strategy Fund II  
SCHEDULE OF INVESTMENTS September 30, 2022

 

  Face
Amount~
  Value
ASSET-BACKED SECURITIES†† - 41.2% (continued)
Net Lease - 1.3% (continued)      
CF Hippolyta Issuer LLC      
2021-1A, 1.98% due 03/15/611  964,505   $811,018
Total Net Lease      3,791,929
Whole Business - 1.0%      
Applebee's Funding LLC / IHOP Funding LLC      
2019-1A, 4.19% due 06/05/491 2,079,000    1,969,828
Taco Bell Funding LLC      
2021-1A, 1.95% due 08/25/511 1,240,625    1,036,347
Total Whole Business      3,006,175
Total Asset-Backed Securities    
(Cost $123,591,947)   118,318,961
COLLATERALIZED MORTGAGE OBLIGATIONS†† - 22.7%
Residential Mortgage-Backed Securities - 18.1%      
CSMC Trust      
2021-RPL1, 1.67% (WAC) due 09/27/60◊,1 2,445,111    2,296,344
2020-RPL5, 3.02% (WAC) due 08/25/60◊,1 1,182,467    1,132,893
2020-NQM1, 1.21% due 05/25/651,2 876,358    801,209
2021-RPL7, 1.93% (WAC) due 07/27/61◊,1 842,432    771,017
2021-RPL4, 1.80% (WAC) due 12/27/60◊,1 610,306    567,713
BRAVO Residential Funding Trust      
2021-C, 1.62% due 03/01/611,2 1,764,688    1,608,968
2022-R1, 3.13% due 01/29/701,2 1,218,561    1,076,483
2021-HE1, 3.13% (30 Day Average SOFR + 0.85%, Rate Floor: 0.00%) due 01/25/70◊,1 472,432    466,966
2021-HE2, 3.13% (30 Day Average SOFR + 0.85%, Rate Floor: 0.00%) due 11/25/69◊,1 235,431    232,579
PRPM LLC      
2021-5, 1.79% due 06/25/261,2 1,474,831    1,326,441
2022-1, 3.72% due 02/25/271,2 1,379,203    1,283,775
2021-8, 1.74% (WAC) due 09/25/26◊,1 668,899    610,767
NRZ Advance Receivables Trust      
2020-T2, 1.48% due 09/15/531 2,550,000    2,433,213
2020-T3, 1.32% due 10/15/521 700,000    698,716
Legacy Mortgage Asset Trust      
2021-GS3, 1.75% due 07/25/611,2 1,514,137    1,378,998
2021-GS4, 1.65% due 11/25/601,2  1,241,695   1,134,948
2021-GS2, 1.75% due 04/25/611,2 600,462    557,093
NYMT Loan Trust      
2021-SP1, 1.67% due 08/25/611,2 2,512,938    2,267,902
2022-SP1, 5.25% due 07/25/621,2 832,703    797,725
Verus Securitization Trust      
2020-5, 1.22% due 05/25/651,2 1,339,045    1,236,723
2021-6, 1.89% (WAC) due 10/25/66◊,1 772,111    627,136
2019-4, 2.85% due 11/25/591,2 388,692    378,066
2020-1, 2.42% due 01/25/601,2 324,144    312,854
2019-4, 2.64% due 11/25/591,2 234,053    227,663
2021-3, 1.44% (WAC) due 06/25/66◊,1 271,733    220,159
New Residential Mortgage Loan Trust      
2018-2A, 3.50% (WAC) due 02/25/58◊,1 1,100,805    1,026,579
2019-1A, 3.50% (WAC) due 10/25/59◊,1 1,069,927    996,306
Home Equity Loan Trust      
2007-FRE1, 3.27% (1 Month USD LIBOR + 0.19%, Rate Floor: 0.19%) due 04/25/37 1,968,353    1,832,622
CFMT LLC      
2022-HB9, 3.25% (WAC) due 09/25/37◊,1 1,000,000    909,841
2021-HB5, 0.80% (WAC) due 02/25/31◊,1 792,599    762,216
Soundview Home Loan Trust      
2006-OPT5, 3.36% (1 Month USD LIBOR + 0.28%, Rate Floor: 0.28%) due 07/25/36 1,713,550    1,635,562
Imperial Fund Mortgage Trust      
2022-NQM2, 4.02% (WAC) due 03/25/67◊,1 1,656,646    1,488,021
Structured Asset Securities Corporation Mortgage Loan Trust      
2008-BC4, 3.71% (1 Month USD LIBOR + 0.63%, Rate Floor: 0.63%) due 11/25/37 1,526,302    1,482,066
FKRT      
2.21% due 11/30/58†††,3 1,550,000    1,474,249
 
 

Guggenheim Strategy Fund II  
SCHEDULE OF INVESTMENTS September 30, 2022

 

  Face
Amount~
  Value
COLLATERALIZED MORTGAGE OBLIGATIONS†† - 22.7% (continued)
Residential Mortgage-Backed Securities - 18.1% (continued)      
NovaStar Mortgage Funding Trust Series      
2007-2, 3.28% (1 Month USD LIBOR + 0.20%, Rate Cap/Floor: 11.00%/0.20%) due 09/25/37  1,391,280   $1,333,956
OSAT Trust      
2021-RPL1, 2.12% due 05/25/651,2 1,406,590    1,304,768
Towd Point Mortgage Trust      
2018-2, 3.25% (WAC) due 03/25/58◊,1 768,251    745,102
2017-5, 3.68% (1 Month USD LIBOR + 0.60%, Rate Floor: 0.00%) due 02/25/57◊,1 510,796    505,163
GCAT 2022-NQM4 Trust      
2022-NQM4, 5.73% due 08/25/671,2 1,296,587    1,249,370
Towd Point Revolving Trust      
4.83% due 09/25/643 1,250,000    1,207,937
Morgan Stanley ABS Capital I Incorporated Trust      
2006-NC1, 3.65% (1 Month USD LIBOR + 0.57%, Rate Floor: 0.57%) due 12/25/35 1,013,066    1,003,100
New Residential Advance Receivables Trust Advance Receivables Backed Notes      
2020-APT1, 1.04% due 12/16/521 1,000,000    989,323
Cascade Funding Mortgage Trust      
2018-RM2, 4.00% (WAC) due 10/25/68◊,3 716,728    691,323
2019-RM3, 2.80% (WAC) due 06/25/69◊,3 183,811    178,496
LSTAR Securities Investment Ltd.      
2021-1, 4.36% (1 Month USD LIBOR + 1.80%, Rate Floor: 1.80%) due 02/01/26◊,3 470,662    436,698
2021-2, 4.26% (1 Month USD LIBOR + 1.70%, Rate Floor: 1.70%) due 03/02/26◊,3 403,605    393,823
Citigroup Mortgage Loan Trust      
2022-A, 6.17% due 09/25/621,2 847,621    830,357
Banc of America Funding Trust      
2015-R2, 3.34% (1 Month USD LIBOR + 0.26%, Rate Floor: 0.26%) due 04/29/37◊,1 732,238    711,076
Alternative Loan Trust      
2007-OA7, 3.36% (1 Month USD LIBOR + 0.28%, Rate Floor: 0.28%) due 05/25/47  730,886   620,124
Bear Stearns Asset Backed Securities I Trust      
2006-HE9, 3.22% (1 Month USD LIBOR + 0.14%, Rate Floor: 0.28%) due 11/25/36 625,367    600,668
HarborView Mortgage Loan Trust      
2006-14, 3.29% (1 Month USD LIBOR + 0.30%, Rate Floor: 0.30%) due 01/25/47 650,335    564,787
Angel Oak Mortgage Trust      
2022-1, 3.29% (WAC) due 12/25/66◊,1 621,786    519,763
Residential Mortgage Loan Trust      
2020-1, 2.38% (WAC) due 01/26/60◊,1 505,894    476,118
Morgan Stanley Home Equity Loan Trust      
2006-2, 3.64% (1 Month USD LIBOR + 0.56%, Rate Floor: 0.56%) due 02/25/36 344,808    341,092
CSMC Series      
2014-2R, 2.46% (1 Month USD LIBOR + 0.20%, Rate Floor: 0.20%) due 02/27/46◊,1 313,538    309,322
CIT Mortgage Loan Trust      
2007-1, 4.43% (1 Month USD LIBOR + 1.35%, Rate Floor: 1.35%) due 10/25/37◊,1 263,216    261,265
Countrywide Asset-Backed Certificates      
2006-6, 3.42% (1 Month USD LIBOR + 0.34%, Rate Floor: 0.34%) due 09/25/36 240,765    240,419
Nationstar Home Equity Loan Trust      
2007-B, 3.30% (1 Month USD LIBOR + 0.22%, Rate Floor: 0.22%) due 04/25/37 214,150    211,972
Structured Asset Investment Loan Trust      
2005-2, 3.82% (1 Month USD LIBOR + 0.74%, Rate Floor: 0.74%) due 03/25/35 111,914    110,557
 
 

Guggenheim Strategy Fund II  
SCHEDULE OF INVESTMENTS September 30, 2022

  Face
Amount~
  Value
COLLATERALIZED MORTGAGE OBLIGATIONS†† - 22.7% (continued)
Residential Mortgage-Backed Securities - 18.1% (continued)      
FBR Securitization Trust      
2005-2, 3.83% (1 Month USD LIBOR + 0.75%, Rate Cap/Floor: 14.00%/0.75%) due 09/25/35  108,662   $108,243
Starwood Mortgage Residential Trust      
2020-1, 2.28% (WAC) due 02/25/50◊,1 52,438    50,639
Total Residential Mortgage-Backed Securities      52,049,274
Commercial Mortgage-Backed Securities - 4.6%      
BX Commercial Mortgage Trust      
2021-VOLT, 4.47% (1 Month USD LIBOR + 1.65%, Rate Floor: 1.65%) due 09/15/36◊,1 3,750,000    3,481,165
2022-LP2, 4.48% (1 Month Term SOFR + 1.56%, Rate Floor: 1.56%) due 02/15/39◊,1 1,027,208    966,911
JP Morgan Chase Commercial Mortgage Securities Trust      
2021-NYAH, 4.36% (1 Month USD LIBOR + 1.54%, Rate Floor: 1.54%) due 06/15/38◊,1 3,900,000    3,694,716
Citigroup Commercial Mortgage Trust      
2018-C6, 0.94% (WAC) due 11/10/51◊,4 48,341,867    1,742,937
Life Mortgage Trust      
2021-BMR, 3.92% (1 Month USD LIBOR + 1.10%, Rate Floor: 1.10%) due 03/15/38◊,1 933,822    889,349
JPMDB Commercial Mortgage Securities Trust      
2018-C8, 0.86% (WAC) due 06/15/51◊,4 43,145,222    876,456
BENCHMARK Mortgage Trust      
2019-B14, 0.91% (WAC) due 12/15/62◊,4 24,715,040    818,906
BXHPP Trust      
2021-FILM, 3.92% (1 Month USD LIBOR + 1.10%, Rate Floor: 1.10%) due 08/15/36◊,1 500,000    461,860
KKR Industrial Portfolio Trust      
2021-KDIP, 3.82% (1 Month USD LIBOR + 1.00%, Rate Floor: 1.00%) due 12/15/37◊,1  225,000   213,154
Total Commercial Mortgage-Backed Securities      13,145,454
Total Collateralized Mortgage Obligations    
(Cost $69,373,708)   65,194,728
CORPORATE BONDS†† - 20.5%
Financial - 9.2%      
GA Global Funding Trust      
3.47% (SOFR + 1.36%) due 04/11/25◊,1 3,300,000    3,223,242
1.63% due 01/15/261 600,000    525,923
Athene Global Funding      
2.51% due 03/08/241 3,700,000    3,534,826
F&G Global Funding      
0.90% due 09/20/241 3,450,000    3,139,019
First-Citizens Bank & Trust Co.      
3.93% due 06/19/245 1,650,000    1,627,724
Equinix, Inc.      
1.45% due 05/15/26 1,850,000    1,601,920
Mitsubishi UFJ Financial Group, Inc.      
5.06% due 09/12/255 1,600,000    1,583,177
Macquarie Group Ltd.      
5.11% due 08/09/261,5 1,600,000    1,567,273
Credit Suisse AG NY      
3.53% (SOFR Compounded Index + 1.26%) due 02/21/25 1,550,000    1,511,280
Sumitomo Mitsui Trust Bank Ltd.      
4.80% due 09/15/251 1,200,000    1,182,167
Citigroup, Inc.      
2.92% (SOFR + 0.69%) due 01/25/26 950,000    926,028
Standard Chartered plc      
1.32% due 10/14/231,5 900,000    899,101
FS KKR Capital Corp.      
4.25% due 02/14/251 900,000    834,821
American Equity Investment Life Holding Co.      
5.00% due 06/15/27 850,000    806,402
Cooperatieve Rabobank UA      
4.66% due 08/22/281,5 850,000    801,634
Mizuho Financial Group, Inc.      
5.51% due 09/13/285 800,000    781,995
Rocket Mortgage LLC / Rocket Mortgage Company-Issuer, Inc.      
2.88% due 10/15/261 900,000    738,000
Capital One Financial Corp.      
4.99% due 07/24/265 650,000    635,472
Jefferies Financial Group, Inc.      
5.50% due 10/18/23 350,000    349,328
 
 

Guggenheim Strategy Fund II  
SCHEDULE OF INVESTMENTS September 30, 2022

 

  Face
Amount~
  Value
CORPORATE BONDS†† - 20.5% (continued)
Financial - 9.2% (continued)      
Peachtree Corners Funding Trust      
3.98% due 02/15/251  250,000   $241,248
Total Financial      26,510,580
Consumer, Non-cyclical - 3.1%      
Triton Container International Ltd.      
0.80% due 08/01/231 1,050,000    1,001,900
2.05% due 04/15/261 900,000    763,917
1.15% due 06/07/241 800,000    728,617
Element Fleet Management Corp.      
1.60% due 04/06/241 1,800,000    1,693,895
Global Payments, Inc.      
4.95% due 08/15/27 1,600,000    1,524,385
Bio-Rad Laboratories, Inc.      
3.30% due 03/15/27 1,050,000    953,019
IQVIA, Inc.      
5.00% due 05/15/271 1,000,000    932,500
JBS USA LUX S.A. / JBS USA Food Company / JBS USA Finance, Inc.      
5.13% due 02/01/281 800,000    749,816
Spectrum Brands, Inc.      
5.75% due 07/15/25 350,000    330,760
Block, Inc.      
2.75% due 06/01/26 150,000    128,919
Total Consumer, Non-cyclical      8,807,728
Industrial - 2.9%      
Graphic Packaging International LLC      
0.82% due 04/15/241 2,550,000    2,368,159
Ryder System, Inc.      
3.35% due 09/01/25 2,500,000    2,364,905
TD SYNNEX Corp.      
1.25% due 08/09/24 900,000    827,539
Silgan Holdings, Inc.      
1.40% due 04/01/261 950,000    810,958
Stericycle, Inc.      
5.38% due 07/15/241 775,000    745,031
Vontier Corp.      
1.80% due 04/01/26 850,000    722,560
Jabil, Inc.      
4.25% due 05/15/27 250,000    233,033
1.70% due 04/15/26 250,000    217,183
Weir Group plc      
2.20% due 05/13/261 200,000    168,031
Total Industrial      8,457,399
Technology - 1.6%      
HCL America, Inc.      
1.38% due 03/10/261 2,800,000    2,450,829
CDW LLC / CDW Finance Corp.      
2.67% due 12/01/26 1,450,000    1,257,693
Infor, Inc.      
1.45% due 07/15/231  780,000   752,575
Total Technology      4,461,097
Consumer, Cyclical - 1.2%      
Warnermedia Holdings, Inc.      
3.64% due 03/15/251 2,150,000    2,036,097
Hyatt Hotels Corp.      
1.80% due 10/01/24 1,200,000    1,125,046
Newell Brands, Inc.      
6.38% due 09/15/27 200,000    198,046
Live Nation Entertainment, Inc.      
6.50% due 05/15/271 100,000    96,225
Total Consumer, Cyclical      3,455,414
Communications - 1.1%      
FactSet Research Systems, Inc.      
2.90% due 03/01/27 1,500,000    1,357,384
T-Mobile USA, Inc.      
2.63% due 04/15/26 650,000    589,043
2.25% due 02/15/26 250,000    223,695
Cogent Communications Group, Inc.      
3.50% due 05/01/261 850,000    748,126
Paramount Global      
4.75% due 05/15/25 360,000    353,930
Total Communications      3,272,178
Utilities - 0.6%      
Alexander Funding Trust      
1.84% due 11/15/231 1,750,000    1,637,522
Energy - 0.5%      
Valero Energy Corp.      
1.20% due 03/15/24 1,650,000    1,559,266
Basic Materials - 0.3%      
Reliance Steel & Aluminum Co.      
4.50% due 04/15/23 850,000    848,134
Total Corporate Bonds    
(Cost $63,491,750)   59,009,318
SENIOR FLOATING RATE INTERESTS††,◊ - 3.7%
Industrial - 1.5%      
SkyMiles IP Ltd.      
6.46% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.75%) due 10/20/27 1,473,190    1,474,339
TricorBraun Holdings, Inc.      
6.37% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.75%) due 03/03/28 981,271    919,697
Hunter Douglas, Inc.      
6.34% (3 Month Term SOFR + 3.50%, Rate Floor: 3.50%) due 02/26/29 1,000,000    818,500
Mileage Plus Holdings LLC      
8.78% (3 Month USD LIBOR + 5.25%, Rate Floor: 6.25%) due 06/21/27 807,500    809,373
 
 

 

Guggenheim Strategy Fund II  
SCHEDULE OF INVESTMENTS September 30, 2022

 

  Face
Amount~
  Value
SENIOR FLOATING RATE INTERESTS††,◊ - 3.7% (continued)
Industrial - 1.5% (continued)      
Filtration Group Corp.      
6.12% (1 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 03/31/25  440,403   $422,100
Total Industrial      4,444,009
Technology - 0.8%      
Emerald TopCo, Inc. (Press Ganey)      
6.62% (1 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 07/24/26 937,944    851,184
Dun & Bradstreet      
6.33% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.25%) due 02/06/26 845,656    816,270
Boxer Parent Company, Inc.      
6.87% (1 Month USD LIBOR + 3.75%, Rate Floor: 3.75%) due 10/02/25 539,835    510,403
MACOM Technology Solutions Holdings, Inc.      
5.37% (1 Month USD LIBOR + 2.25%, Rate Floor: 2.25%) due 05/17/24 135,980    133,226
Sabre GLBL, Inc.      
5.12% (1 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 02/22/24 118,533    116,682
Total Technology      2,427,765
Financial - 0.7%      
Citadel Securities, LP      
6.15% (1 Month Term SOFR + 3.00%, Rate Floor: 3.00%) due 02/02/28 750,000    739,687
USI, Inc.      
6.42% (3 Month USD LIBOR + 2.75%, Rate Floor: 2.75%) due 05/16/24 391,753    380,654
6.92% (3 Month USD LIBOR + 3.25%, Rate Floor: 3.25%) due 12/02/26 181,875    174,751
HUB International Ltd.      
5.77% (3 Month USD LIBOR + 3.00%, Rate Floor: 3.15%) due 04/25/25 293,862    282,169
Nexus Buyer LLC      
6.87% (1 Month USD LIBOR + 3.75%, Rate Floor: 3.75%) due 11/09/26  294,420   282,093
Total Financial      1,859,354
Communications - 0.3%      
Internet Brands, Inc.      
6.87% (1 Month USD LIBOR + 3.75%, Rate Floor: 3.75%) due 09/13/24 836,788    795,860
Consumer, Cyclical - 0.3%      
Power Solutions (Panther)      
6.37% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.25%) due 04/30/26 786,469    742,230
Energy - 0.1%      
ITT Holdings LLC      
5.87% (1 Month USD LIBOR + 2.75%, Rate Floor: 3.25%) due 07/10/28 194,040    184,823
Total Senior Floating Rate Interests    
(Cost $11,059,685)   10,454,041
FOREIGN GOVERNMENT DEBT†† - 2.3%
State of Israel
1.25% due 11/30/22 ILS  12,743,000   3,574,215  
Ontario T-Bill
 2.84% due 10/05/22†††,6 CAD  4,330,000   3,134,543  
Total Foreign Government Debt    
(Cost $7,166,860)     6,708,758  
COMMERCIAL PAPER†† - 5.0%
Cintas Corporation No. 2
3.25% due 10/03/221,6 4,300,000     4,299,223  
Mondelez International, Inc.
3.25% due 10/03/221,6 4,300,000     4,299,224  
Relx, Inc.
3.30% due 10/03/221,6 4,300,000     4,299,212  
Amphenol Corp.
3.23% due 10/03/221,6 1,500,000     1,499,731  
Total Commercial Paper    
(Cost $14,397,390)     14,397,390  
Total Investments - 95.4%    
(Cost $289,081,340)   $   274,083,196  
Other Assets & Liabilities, net - 4.6% 13,282,936  
Total Net Assets - 100.0%   $   287,366,132  
       

 

Guggenheim Strategy Fund II  
SCHEDULE OF INVESTMENTS September 30, 2022

 

Centrally Cleared Interest Rate Swap Agreements††    
Counterparty Exchange Floating Rate Type Floating Rate Index Fixed Rate Payment Frequency Maturity Date   Notional Amount Value Upfront Premiums Paid (Received) Unrealized Appreciation**
BofA Securities, Inc. CME Receive 3-Month USD LIBOR 0.94% Quarterly 10/26/24   $30,000,000 $2,068,094 $258 $2,067,836
BofA Securities, Inc. CME Receive USD - Secured Overnight Financing Rate 2.65% Annually 08/10/27    1,600,000  81,894  298  81,596
BofA Securities, Inc. CME Receive U.S. Secured Overnight Financing Rate 3.15% Annually 09/09/27   800,000 23,560 300  23,260
BofA Securities, Inc. CME Receive U.S. Secured Overnight Financing Rate 3.24% Annually 09/14/27    800,000  20,434  301  20,133
                  $2,193,982 $1,157 $2,192,825
                       

 

 

Forward Foreign Currency Exchange Contracts††    
Counterparty Currency Type Quantity Contract Amount Settlement Date Unrealized Appreciation (Depreciation)
Barclays Bank plc ILS Sell 8,385,525 2,658,725 USD 11/30/22 $291,439
UBS AG ILS Sell 4,516,763 1,430,316 USD 11/30/22  155,206
JPMorgan Chase Bank, N.A. CAD Sell 4,330,000 3,152,564 USD 10/05/22  16,618
Morgan Stanley Capital Services LLC CZK Sell 23,573 915 USD 12/02/22  (20)
            $463,243

 

~ The face amount is denominated in U.S. dollars unless otherwise indicated.
** Includes cumulative appreciation (depreciation). Variation margin is reported within the Statement of Assets and Liabilities.
†† Value determined based on Level 2, unless otherwise noted inputs — See Note 4.
††† Value determined based on Level 3 inputs — See Note 4.
Variable rate security. Rate indicated is the rate effective at September 30, 2022. 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 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 $206,545,776 (cost $217,469,914), or 71.9% of total net assets.
2 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 September 30, 2022. See table below for additional step information for each security.
3 Security is a 144A or Section 4(a)(2) security. These securities have been determined to be illiquid and restricted under guidelines established by the Board of Trustees. The total market value of 144A or Section 4(a)(2) illiquid and restricted securities is $4,382,526 (cost $4,573,987), or 1.5% of total net assets — See Note 9.
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.

 

  BofA — Bank of America
  CAD — Canadian Dollar
  CME — Chicago Mercantile Exchange
  CZK — Czech Koruna
  ILS — Israeli New Shekel
  LIBOR — London Interbank Offered Rate
  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 September 30, 2022 (See Note 4 in the Notes to Financial Statements):
 
Investments in Securities (Assets) Level 1 Quoted Prices Level 2 Significant Observable Inputs Level 3 Significant Unobservable Inputs   Total
Asset-Backed Securities   $ —   $ 115,520,669   $ 2,798,292     $ 118,318,961  
Collateralized Mortgage Obligations     —   63,720,479   1,474,249     65,194,728  
Corporate Bonds     —   59,009,318       —     59,009,318  
Senior Floating Rate Interests     —   10,454,041       —     10,454,041  
Foreign Government Debt     —   3,574,215   3,134,543     6,708,758  
Commercial Paper     —   14,397,390       —     14,397,390  
Interest Rate Swap Agreements**     —   2,192,825       —     2,192,825  
Forward Foreign Currency Exchange Contracts**     —   463,263       —     463,263  
Total Assets   $ —   $ 269,332,200   $ 7,407,084     $ 276,739,284  
           
 
 
Guggenheim Strategy Fund II  
SCHEDULE OF INVESTMENTS September 30, 2022

 

Investments in Securities (Liabilities) Level 1 Quoted Prices Level 2 Significant Observable Inputs Level 3 Significant Unobservable Inputs   Total
Forward Foreign Currency Exchange Contracts**   $ —   $ 20     $ —     $ 20  

 

           
** 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 categorized within Level 3 of the value hierarchy:

 

Category Ending Balance at
September 30, 2022
Valuation Technique Unobservable Inputs Input Range Weighted Average
Assets:          
Asset-Backed Securities  $                                 1,848,292 Option adjusted spread off prior month end broker quote Broker Quote
Asset-Backed Securities                                         950,000 Third Party Pricing Broker Quote
Collateralized Mortgage Obligations                                      1,474,249 Model Price Market Comparable Yields 6.9%
Foreign Government Debt                                      3,134,543 Third Party Pricing Vendor Price
Total Assets  $                                 7,407,084        

 

 

Significant changes in a quote, yield, market comparable yields, liquidation value or valuation multiples would generally result in significant changes in the fair value of the security. Any remaining Level 3 securities held by the Fund and excluded from the table above, were not considered material to the Fund.

 

The Fund’s fair valuation leveling guidelines were revised to 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.

 

Transfer between Level 2 and Level 3 may occur as markets fluctuate and/or the availability of data used in an investment’s valuation changes. For the year ended September 30, 2022, the Fund had securities with a total value of $1,474,249 transfer into Level 3 from Level 2 due to a lack of observable inputs.

 

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 year ended September 30, 2022:

 

  Assets   Liabilities
  Asset-Backed Securities Collateralized Mortgage Obligations Foreign Government Debt Total Assets Unfunded Loan Commitments
           
Beginning Balance  $7,200,000  $ 1,690,874  $-   $ 8,890,874  $-
Purchases/(Receipts) 2,800,000  - 3,151,516  5,951,516  -
(Sales, maturities and paydowns)/Fundings (7,200,000) (1,690,874)  -  (8,890,874)  -
Amortization of premiums/discounts  - (4) 1,105  1,101  -
Total realized gains (losses) included in earnings  - (791)  - (791)  -
Total change in unrealized appreciation (depreciation) included in earnings (1,708)  795 (18,078)  (18,991)  -
Transfers into Level 3  - 1,474,249  -  1,474,249  -
 Ending Balance   $2,798,292  $ 1,474,249  $ 3,134,543  $ 7,407,084  $-
Net change in unrealized appreciation (depreciation) for investments in Level 3 securities still held at September 30, 2022  $(1,708)  $-  $ (18,078)  $ (19,786)  -* 

 

*Security has a market value of $0.

 

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, if such a quote or price cannot be supported with other available market information.

 

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(s) Future Reset Date(s)
BRAVO Residential Funding Trust 2022-R1, 3.13% due 01/29/70 6.13% 01/30/25
BRAVO Residential Funding Trust 2021-C, 1.62% due 03/01/61 4.62% 09/26/24 5.62% 09/26/25
Citigroup Mortgage Loan Trust 2022-A, 6.17% due 09/25/62 9.17% 09/25/25
CSMC Trust 2020-NQM1, 1.21% due 05/25/65 2.21% 09/26/24
GCAT 2022-NQM4 Trust 2022-NQM4, 5.73% due 08/25/67 6.73% 08/01/26
Legacy Mortgage Asset Trust 2021-GS3, 1.75% due 07/25/61 4.75% 05/26/24 5.75% 05/26/25
Legacy Mortgage Asset Trust 2021-GS4, 1.65% due 11/25/60 4.65% 08/26/24 5.65% 08/26/25
Legacy Mortgage Asset Trust 2021-GS2, 1.75% due 04/25/61 4.75% 04/26/24 5.75% 04/26/25
NYMT Loan Trust 2022-SP1, 5.25% due 07/25/62 8.25% 07/01/25 9.25% 07/01/26
NYMT Loan Trust 2021-SP1, 1.67% due 08/25/61 4.67% 08/26/24 5.67% 08/26/25
OSAT Trust 2021-RPL1, 2.12% due 05/25/65 5.12% 06/26/24 6.12% 06/26/25
PRPM LLC 2022-1, 3.72% due 02/25/27 6.72% 02/25/25 7.72% 02/25/26
PRPM LLC 2021-5, 1.79% due 06/25/26 4.79% 06/26/24 5.79% 06/26/25
Verus Securitization Trust 2020-1, 2.42% due 01/25/60 3.42% 01/26/24
 
 

Guggenheim Strategy Fund II  
SCHEDULE OF INVESTMENTS September 30, 2022

 

 

Verus Securitization Trust 2019-4, 2.64% due 11/25/59 3.64% 10/26/23
Verus Securitization Trust 2019-4, 2.85% due 11/25/59 3.85% 10/26/23
Verus Securitization Trust 2020-5, 1.22% due 05/25/65 2.22% 10/26/24
 

 

Guggenheim Strategy Fund III  
SCHEDULE OF INVESTMENTS September 30, 2022

 

  Shares   Value
MONEY MARKET FUNDS - 2.2%
Dreyfus Treasury Obligations Cash Management Fund — Institutional Shares, 2.15%1 6,376,873     $   6,376,873  
Dreyfus Treasury Securities Cash Management Fund — Institutional Shares, 2.46%1 347,420     347,420  
Total Money Market Funds    
(Cost $6,724,293)     6,724,293  
  Face
Amount~
   
ASSET-BACKED SECURITIES†† - 38.1%
Collateralized Loan Obligations - 30.7%      
BCC Middle Market CLO LLC      
2021-1A A1R, 4.01% (3 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 10/15/33◊,2 7,250,000    6,964,158
Lake Shore MM CLO III LLC      
2021-2A A1R, 4.22% (3 Month USD LIBOR + 1.48%, Rate Floor: 1.48%) due 10/17/31◊,2 7,050,000    6,879,327
ABPCI Direct Lending Fund CLO VII, LP      
2021-7A A1R, 4.20% (3 Month USD LIBOR + 1.43%, Rate Floor: 1.43%) due 10/20/31◊,2 7,000,000    6,685,560
Palmer Square Loan Funding Ltd.      
2022-1A A2, 3.93% (3 Month Term SOFR + 1.60%, Rate Floor: 1.60%) due 04/15/30◊,2 3,750,000    3,524,577
2021-2A B, 4.38% (3 Month USD LIBOR + 1.40%, Rate Floor: 1.40%) due 05/20/29◊,2 1,250,000    1,147,727
Sound Point CLO XIX Ltd.      
2018-1A A, 3.51% (3 Month USD LIBOR + 1.00%, Rate Floor: 0.00%) due 04/15/31◊,2 3,750,000    3,646,479
BXMT Ltd.      
2020-FL2 AS, 4.09% (1 Month Term SOFR + 1.26%, Rate Floor: 1.15%) due 02/15/38 2,250,000    2,175,462
2020-FL3 AS, 4.15% (30 Day Average SOFR + 1.86%, Rate Floor: 1.75%) due 11/15/37◊,2 1,250,000    1,223,738
Cerberus Loan Funding XXXVI, LP      
2021-6A A, 3.91% (3 Month USD LIBOR + 1.40%, Rate Floor: 1.40%) due 11/22/33◊,2 3,101,997    3,079,056
Parliament CLO II Ltd.      
2021-2A A, 2.83% (3 Month USD LIBOR + 1.35%, Rate Floor: 1.35%) due 08/20/32◊,2  3,000,000   2,939,536
ABPCI Direct Lending Fund CLO V Ltd.      
2021-5A A1R, 4.21% (3 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 04/20/31◊,2 3,000,000    2,934,030
Woodmont Trust      
2020-7A A1A, 4.41% (3 Month USD LIBOR + 1.90%, Rate Floor: 1.90%) due 01/15/32◊,2 2,850,000    2,786,919
BRSP Ltd.      
2021-FL1 B, 4.89% (1 Month USD LIBOR + 1.90%, Rate Floor: 1.90%) due 08/19/38◊,2 2,750,000    2,629,302
Golub Capital Partners CLO 36M Ltd.      
2018-36A A, 4.13% (3 Month USD LIBOR + 1.30%, Rate Floor: 0.00%) due 02/05/31◊,2 2,500,000    2,463,215
MidOcean Credit CLO VII      
2020-7A A1R, 3.55% (3 Month USD LIBOR + 1.04%, Rate Floor: 0.00%) due 07/15/29◊,2 2,321,630    2,281,937
LCCM Trust      
2021-FL3 A, 4.27% (1 Month USD LIBOR + 1.45%, Rate Floor: 1.45%) due 11/15/38◊,2 1,300,000    1,240,091
2021-FL2 B, 4.72% (1 Month USD LIBOR + 1.90%, Rate Floor: 1.90%) due 12/13/38◊,2 1,000,000    953,546
Golub Capital Partners CLO 49M Ltd.      
2021-49A AR, 4.24% (3 Month USD LIBOR + 1.53%, Rate Floor: 1.53%) due 08/26/33◊,2 2,250,000    2,150,334
Fortress Credit Opportunities XI CLO Ltd.      
2018-11A A1T, 3.81% (3 Month USD LIBOR + 1.30%, Rate Floor: 0.00%) due 04/15/31◊,2 2,000,000    1,961,154
CHCP Ltd.      
2021-FL1 A, 4.01% (1 Month Term SOFR + 1.16%, Rate Floor: 1.05%) due 02/15/38◊,2 1,998,446    1,960,359

Guggenheim Strategy Fund III  
SCHEDULE OF INVESTMENTS September 30, 2022

 

 

  Face
Amount~
  Value
ASSET-BACKED SECURITIES†† - 38.1% (continued)
Collateralized Loan Obligations - 30.7% (continued)      
Cerberus 2112 Levered LLC      
 4.83% (3 Month Term SOFR + 2.35%, Rate Floor: 2.35%) due 02/15/29◊,†††  1,850,000   $1,848,291
ABPCI Direct Lending Fund IX LLC      
2021-9A A1R, 4.17% (3 Month USD LIBOR + 1.40%, Rate Floor: 1.40%) due 11/18/31◊,2 1,800,000    1,740,077
Cerberus Loan Funding XXXV, LP      
2021-5A A, 4.01% (3 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 09/22/33◊,2 1,750,000    1,675,223
Golub Capital Partners CLO 54M, LP      
2021-54A A, 4.36% (3 Month USD LIBOR + 1.53%, Rate Floor: 1.53%) due 08/05/33◊,2 1,750,000    1,675,098
Venture XIV CLO Ltd.      
2020-14A ARR, 4.07% (3 Month USD LIBOR + 1.03%, Rate Floor: 1.03%) due 08/28/29◊,2 1,584,806    1,557,373
Golub Capital Partners CLO 16 Ltd.      
2021-16A A1R2, 4.39% (3 Month USD LIBOR + 1.61%, Rate Floor: 1.61%) due 07/25/33◊,2 1,500,000    1,432,592
Owl Rock CLO IV Ltd.      
2021-4A A1R, 4.58% (3 Month USD LIBOR + 1.60%, Rate Floor: 1.60%) due 08/20/33◊,2 1,500,000    1,430,151
Shackleton VIII CLO Ltd.      
2017-8A A2R, 3.63% (3 Month USD LIBOR + 0.92%, Rate Floor: 0.00%) due 10/20/27◊,2 1,407,043    1,388,905
Carlyle GMS Finance MM CLO LLC      
2018-1A A11R, 4.06% (3 Month USD LIBOR + 1.55%, Rate Floor: 0.00%) due 10/15/31◊,2 1,350,000    1,317,974
Cerberus Loan Funding XXX, LP      
2020-3A A, 4.36% (3 Month USD LIBOR + 1.85%, Rate Floor: 1.85%) due 01/15/33◊,2 1,250,000    1,223,924
HERA Commercial Mortgage Ltd.      
2021-FL1 A, 4.04% (1 Month USD LIBOR + 1.05%, Rate Floor: 1.05%) due 02/18/38  1,250,000   1,206,180
Golub Capital Partners CLO 33M Ltd.      
2021-33A AR2, 4.86% (3 Month USD LIBOR + 1.86%, Rate Floor: 1.86%) due 08/25/33◊,2 1,250,000    1,187,520
Denali Capital CLO XI Ltd.      
2018-1A A1RR, 3.84% (3 Month USD LIBOR + 1.13%, Rate Floor: 0.00%) due 10/20/28◊,2 1,068,485    1,060,489
LoanCore Issuer Ltd.      
2018-CRE1 AS, 4.32% (1 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 05/15/28◊,2 1,000,000    995,987
2018-CRE1 A, 3.95% (1 Month USD LIBOR + 1.13%, Rate Floor: 1.13%) due 05/15/28◊,2 12,226    12,218
Cerberus Loan Funding XXXI, LP      
2021-1A A, 4.01% (3 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 04/15/32◊,2 1,000,000    987,103
Voya CLO Ltd.      
2020-1A AR, 3.57% (3 Month USD LIBOR + 1.06%, Rate Floor: 1.06%) due 04/15/31◊,2 1,000,000    978,428
ABPCI Direct Lending Fund CLO II LLC      
2021-1A A1R, 4.31% (3 Month USD LIBOR + 1.60%, Rate Floor: 1.60%) due 04/20/32◊,2 1,000,000    973,843
NewStar Fairfield Fund CLO Ltd.      
2018-2A A1N, 3.98% (3 Month USD LIBOR + 1.27%, Rate Floor: 1.27%) due 04/20/30◊,2 989,329    970,415
Cerberus Loan Funding XXXII, LP      
2021-2A A, 4.13% (3 Month USD LIBOR + 1.62%, Rate Floor: 1.62%) due 04/22/33◊,2 1,000,000    960,776
BDS Ltd.      
2021-FL8 C, 4.54% (1 Month USD LIBOR + 1.55%, Rate Floor: 1.55%) due 01/18/36◊,2 1,000,000    937,936

Guggenheim Strategy Fund III  
SCHEDULE OF INVESTMENTS September 30, 2022

 

  Face
Amount~
  Value
ASSET-BACKED SECURITIES†† - 38.1% (continued)
Collateralized Loan Obligations - 30.7% (continued)      
Greystone Commercial Real Estate Notes      
2021-FL3 B, 4.47% (1 Month USD LIBOR + 1.65%, Rate Floor: 1.65%) due 07/15/39◊,2  1,000,000   $918,237
Marathon CLO V Ltd.      
2017-5A A2R, 4.43% (3 Month USD LIBOR + 1.45%, Rate Floor: 0.00%) due 11/21/27◊,2 688,716    682,172
2017-5A A1R, 3.85% (3 Month USD LIBOR + 0.87%, Rate Floor: 0.00%) due 11/21/27◊,2 178,115    177,590
Wellfleet CLO Ltd.      
2020-2A A1R, 3.77% (3 Month USD LIBOR + 1.06%, Rate Floor: 0.00%) due 10/20/29◊,2 795,677    780,390
Cerberus Loan Funding XXVI, LP      
2021-1A AR, 4.01% (3 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 04/15/31◊,2 750,000    735,792
ABPCI Direct Lending Fund CLO I LLC      
2021-1A A1A2, 4.41% (3 Month USD LIBOR + 1.70%, Rate Floor: 1.70%) due 07/20/33◊,2 750,000    730,650
THL Credit Lake Shore MM CLO I Ltd.      
2021-1A A1R, 4.21% (3 Month USD LIBOR + 1.70%, Rate Floor: 1.70%) due 04/15/33◊,2 750,000    728,324
Cerberus Loan Funding XXXIII, LP      
2021-3A A, 4.07% (3 Month USD LIBOR + 1.56%, Rate Floor: 1.56%) due 07/23/33◊,2 750,000    721,146
Cerberus Loan Funding XXXIV, LP      
2021-4A A, 4.01% (3 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 08/13/33◊,2 370,122    369,185
ACRE Commercial Mortgage Ltd.      
2021-FL4 AS, 4.09% (1 Month USD LIBOR + 1.10%, Rate Floor: 1.10%) due 12/18/37◊,2 300,000    292,122
Golub Capital Partners CLO 17 Ltd.      
2017-17A A1R, 4.43% (3 Month USD LIBOR + 1.65%, Rate Floor: 0.00%) due 10/25/30◊,2 250,000   246,294
Newfleet CLO Ltd.      
2018-1A A1R, 3.66% (3 Month USD LIBOR + 0.95%, Rate Floor: 0.00%) due 04/20/28◊,2 244,938    242,912
Total Collateralized Loan Obligations      91,811,824
Whole Business - 1.6%      
Applebee's Funding LLC / IHOP Funding LLC      
2019-1A, 4.19% due 06/05/492 1,980,000    1,876,026
Domino's Pizza Master Issuer LLC      
2018-1A, 4.33% due 07/25/482 1,203,125    1,108,176
2018-1A, 4.12% due 07/25/482 481,250    452,958
Taco Bell Funding LLC      
2021-1A, 1.95% due 08/25/512 1,240,625    1,036,348
Wingstop Funding LLC      
2020-1A, 2.84% due 12/05/502 446,625    379,542
Total Whole Business      4,853,050
Financial - 1.4%      
Madison Avenue Secured Funding Trust Series      
2022-1, 4.60% (1 Month Term SOFR + 1.85%, Rate Floor: 0.00%) due 10/12/23◊,2 1,600,000    1,600,000
Station Place Securitization Trust      
2022-SP1, 4.60% (1 Month Term SOFR + 1.85%, Rate Floor: 0.00%) due 10/12/23◊,2 1,600,000    1,600,000
Madison Avenue Secured Funding Trust      
2021-1, 4.58% (1 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 01/17/23◊,†††,2 900,000    900,000
Total Financial      4,100,000
Transport-Aircraft - 1.3%      
Raspro Trust      
2005-1A, 3.64% (3 Month USD LIBOR + 0.93%, Rate Floor: 0.93%) due 03/23/24◊,2 1,772,897    1,643,951

Guggenheim Strategy Fund III  
SCHEDULE OF INVESTMENTS September 30, 2022

 

  Face
Amount~
  Value
ASSET-BACKED SECURITIES†† - 38.1% (continued)
Transport-Aircraft - 1.3% (continued)      
AASET US Ltd.      
2018-2A, 4.45% due 11/18/382  1,133,952   $938,381
Castlelake Aircraft Securitization Trust      
2018-1, 4.13% due 06/15/432 970,095    848,796
Sapphire Aviation Finance II Ltd.      
2020-1A, 3.23% due 03/15/402 762,910    631,605
Total Transport-Aircraft      4,062,733
Net Lease - 1.3%      
Oak Street Investment Grade Net Lease Fund Series      
2020-1A, 1.85% due 11/20/502 2,662,078    2,342,145
New Economy Assets Phase 1 Sponsor LLC      
2021-1, 1.91% due 10/20/612 1,000,000    846,171
CF Hippolyta Issuer LLC      
2021-1A, 1.98% due 03/15/612 723,379    608,263
Total Net Lease      3,796,579
Transport-Container - 1.1%      
Triton Container Finance VIII LLC      
2021-1A, 1.86% due 03/20/462 1,963,125    1,647,738
Textainer Marine Containers VII Ltd.      
2021-1A, 1.68% due 02/20/462 611,333    517,035
2020-1A, 2.73% due 08/21/452 348,404    314,420
CLI Funding VIII LLC      
2021-1A, 1.64% due 02/18/462 839,595    718,774
Total Transport-Container      3,197,967
Collateralized Debt Obligations - 0.7%      
Anchorage Credit Funding 4 Ltd.      
2021-4A AR, 2.72% due 04/27/392 2,250,000    2,060,885
Total Asset-Backed Securities    
(Cost $119,215,478)   113,883,038
CORPORATE BONDS†† - 28.1%
Financial - 12.8%      
Athene Global Funding      
2.84% (SOFR Compounded Index + 0.56%) due 08/19/24◊,2 3,850,000    3,746,085
GA Global Funding Trust      
3.47% (SOFR + 1.36%) due 04/11/25◊,2 3,300,000    3,223,242
1.63% due 01/15/262 450,000    394,442
Credit Suisse AG NY      
3.53% (SOFR Compounded Index + 1.26%) due 02/21/25  1,850,000   1,803,786
2.68% (SOFR Compounded Index + 0.39%) due 02/02/24 1,750,000    1,716,893
F&G Global Funding      
0.90% due 09/20/242 3,250,000    2,957,047
Morgan Stanley      
0.73% due 04/05/243 1,350,000    1,317,412
3.22% (SOFR + 0.95%) due 02/18/26 950,000    933,033
Bank of America Corp.      
2.93% (SOFR + 0.69%) due 04/22/25 2,100,000    2,065,373
Ameriprise Financial, Inc.      
3.00% due 04/02/25 2,000,000    1,909,700
Macquarie Bank Ltd.      
3.23% due 03/21/252 1,950,000    1,858,983
American Express Co.      
3.23% (SOFR + 0.93%) due 03/04/25 1,800,000    1,798,274
Sumitomo Mitsui Trust Bank Ltd.      
2.55% due 03/10/252 1,800,000    1,684,714
Macquarie Group Ltd.      
1.20% due 10/14/252,3 1,700,000    1,547,531
First-Citizens Bank & Trust Co.      
3.93% due 06/19/243 1,350,000    1,331,774
Equinix, Inc.      
1.45% due 05/15/26 1,500,000    1,298,854
Goldman Sachs Group, Inc.      
2.93% (SOFR + 0.70%) due 01/24/25 1,000,000    982,051
Citigroup, Inc.      
2.92% (SOFR + 0.69%) due 01/25/26 950,000    926,028
Jackson National Life Global Funding      
1.75% due 01/12/252 950,000    873,010
FS KKR Capital Corp.      
4.25% due 02/14/252 900,000    834,821
American Equity Investment Life Holding Co.      
5.00% due 06/15/27 850,000    806,402
Cooperatieve Rabobank UA      
4.66% due 08/22/282,3 800,000    754,479
Standard Chartered plc      
1.32% due 10/14/232,3 750,000    749,251
Capital One Financial Corp.      
4.99% due 07/24/263 750,000    733,237
Rocket Mortgage LLC / Rocket Mortgage Company-Issuer, Inc.      
2.88% due 10/15/262 850,000    697,000
Jefferies Financial Group, Inc.      
5.50% due 10/18/23 350,000    349,328

Guggenheim Strategy Fund III  
SCHEDULE OF INVESTMENTS September 30, 2022

 

  Face
Amount~
  Value
CORPORATE BONDS†† - 28.1% (continued)
Financial - 12.8% (continued)      
Brighthouse Financial Global Funding      
2.88% (SOFR + 0.76%) due 04/12/24◊,2 300,000   $297,140
Iron Mountain, Inc.      
5.00% due 07/15/282 275,000    236,500
Nordea Bank Abp      
3.98% (3 Month USD LIBOR + 0.94%) due 08/30/23◊,2 200,000    200,584
Peachtree Corners Funding Trust      
3.98% due 02/15/252 200,000    192,998
Total Financial      38,219,972
Industrial - 3.8%      
Boeing Co.      
1.95% due 02/01/24 3,050,000    2,926,273
1.43% due 02/04/24 950,000    902,460
Ryder System, Inc.      
3.35% due 09/01/25 1,700,000    1,608,135
3.75% due 06/09/23 700,000    695,360
Graphic Packaging International LLC      
0.82% due 04/15/242 1,950,000    1,810,945
Berry Global, Inc.      
0.95% due 02/15/24 1,200,000    1,127,416
TD SYNNEX Corp.      
1.25% due 08/09/24 850,000    781,565
Silgan Holdings, Inc.      
1.40% due 04/01/262 750,000    640,230
Vontier Corp.      
1.80% due 04/01/26 650,000    552,545
Jabil, Inc.      
1.70% due 04/15/26 200,000    173,746
Weir Group plc      
2.20% due 05/13/262 200,000    168,032
Total Industrial      11,386,707
Consumer, Non-cyclical - 2.6%      
Triton Container International Ltd.      
0.80% due 08/01/232 1,050,000    1,001,900
1.15% due 06/07/242 700,000    637,540
2.05% due 04/15/262 700,000    594,157
Global Payments, Inc.      
1.50% due 11/15/24 1,800,000    1,653,787
Element Fleet Management Corp.      
1.60% due 04/06/242 1,350,000    1,270,422
Bio-Rad Laboratories, Inc.      
3.30% due 03/15/27 1,050,000    953,019
IQVIA, Inc.      
5.00% due 05/15/272 1,000,000    932,500
FAGE International S.A. / FAGE USA Dairy Industry, Inc.      
5.63% due 08/15/262 501,000    444,828
Spectrum Brands, Inc.      
5.75% due 07/15/25 300,000    283,509
Block, Inc.      
2.75% due 06/01/26  100,000   85,946
Total Consumer, Non-cyclical      7,857,608
Technology - 2.4%      
HCL America, Inc.      
1.38% due 03/10/262 2,200,000    1,925,651
Microchip Technology, Inc.      
2.67% due 09/01/23 1,820,000    1,773,663
Infor, Inc.      
1.45% due 07/15/232 1,470,000    1,418,315
CDW LLC / CDW Finance Corp.      
2.67% due 12/01/26 1,350,000    1,170,955
Skyworks Solutions, Inc.      
0.90% due 06/01/23 1,000,000    970,175
Total Technology      7,258,759
Utilities - 2.3%      
NextEra Energy Capital Holdings, Inc.      
2.84% (SOFR Compounded Index + 0.54%) due 03/01/23 2,750,000    2,746,463
CenterPoint Energy Resources Corp.      
3.60% (3 Month USD LIBOR + 0.50%) due 03/02/23 1,668,000    1,664,119
Alexander Funding Trust      
1.84% due 11/15/232 1,350,000    1,263,231
ONE Gas, Inc.      
1.10% due 03/11/24 1,100,000    1,053,041
Total Utilities      6,726,854
Communications - 1.7%      
eBay, Inc.      
1.40% due 05/10/26 1,500,000    1,312,317
FactSet Research Systems, Inc.      
2.90% due 03/01/27 1,450,000    1,312,138
Rogers Communications, Inc.      
2.95% due 03/15/252 900,000    856,772
T-Mobile USA, Inc.      
2.63% due 04/15/26 500,000    453,110
2.25% due 02/15/26 200,000    178,956
Cogent Communications Group, Inc.      
3.50% due 05/01/262 700,000    616,104
Paramount Global      
4.75% due 05/15/25 330,000    324,436
Total Communications      5,053,833
Energy - 1.1%      
Enbridge, Inc.      
2.91% (SOFR Compounded Index + 0.63%) due 02/16/24 1,850,000    1,830,281
Valero Energy Corp.      
1.20% due 03/15/24 1,350,000    1,275,763

Guggenheim Strategy Fund III  
SCHEDULE OF INVESTMENTS September 30, 2022

 

  Face
Amount~
  Value
CORPORATE BONDS†† - 28.1% (continued)
Energy - 1.1% (continued)      
Occidental Petroleum Corp.      
2.70% due 02/15/23  97,000   $97,000
Total Energy      3,203,044
Consumer, Cyclical - 1.0%      
Warnermedia Holdings, Inc.      
3.64% due 03/15/252 2,150,000    2,036,097
Hyatt Hotels Corp.      
1.80% due 10/01/24 1,150,000    1,078,169
Total Consumer, Cyclical      3,114,266
Basic Materials - 0.4%      
Alcoa Nederland Holding BV      
5.50% due 12/15/272 700,000    652,855
Reliance Steel & Aluminum Co.      
4.50% due 04/15/23 650,000    648,573
Total Basic Materials      1,301,428
Total Corporate Bonds    
(Cost $89,482,740)   84,122,471
COLLATERALIZED MORTGAGE OBLIGATIONS†† - 21.8%
Residential Mortgage-Backed Securities - 18.4%      
PRPM LLC      
2022-1, 3.72% due 02/25/272,4 3,203,309    2,981,671
2021-5, 1.79% due 06/25/262,4 1,264,141    1,136,950
2021-8, 1.74% (WAC) due 09/25/26◊,2 631,738    576,835
CSMC Trust      
2021-RPL1, 1.67% (WAC) due 09/27/60◊,2 1,921,159    1,804,271
2020-RPL5, 3.02% (WAC) due 08/25/60◊,2 844,619    809,209
2021-RPL7, 1.93% (WAC) due 07/27/61◊,2 842,432    771,017
2020-NQM1, 1.21% due 05/25/652,4 719,399    657,709
2021-RPL4, 1.80% (WAC) due 12/27/60◊,2 610,306    567,713
BRAVO Residential Funding Trust      
2021-C, 1.62% due 03/01/612,4 2,745,071    2,502,839
2022-R1, 3.13% due 01/29/702,4 1,218,561    1,076,483
2021-HE1, 3.13% (30 Day Average SOFR + 0.85%, Rate Floor: 0.00%) due 01/25/70◊,2 367,447    363,196
2021-HE2, 3.13% (30 Day Average SOFR + 0.85%, Rate Floor: 0.00%) due 11/25/69◊,2 206,003    203,507
Verus Securitization Trust      
2020-5, 1.22% due 05/25/652,4 1,060,077    979,072
2021-5, 1.37% (WAC) due 09/25/66◊,2 778,053    629,063
2021-6, 1.89% (WAC) due 10/25/66◊,2 772,111    627,136
2019-4, 2.85% due 11/25/592,4  388,692   378,066
2021-4, 1.35% (WAC) due 07/25/66◊,2 372,642    297,319
2020-1, 2.42% due 01/25/602,4 270,120    260,711
2019-4, 2.64% due 11/25/592,4 208,047    202,367
2021-3, 1.44% (WAC) due 06/25/66◊,2 211,348    171,235
NYMT Loan Trust      
2021-SP1, 1.67% due 08/25/612,4 2,931,761    2,645,885
2022-SP1, 5.25% due 07/25/622,4 783,720    750,800
Legacy Mortgage Asset Trust      
2021-GS4, 1.65% due 11/25/602,4 1,241,695    1,134,948
2021-GS3, 1.75% due 07/25/612,4 1,219,721    1,110,859
2021-GS2, 1.75% due 04/25/612,4 480,370    445,675
NRZ Advance Receivables Trust      
2020-T2, 1.48% due 09/15/532 2,150,000    2,051,532
2020-T3, 1.32% due 10/15/522 600,000    598,900
New Residential Mortgage Loan Trust      
2018-2A, 3.50% (WAC) due 02/25/58◊,2 926,993    864,487
2019-1A, 3.50% (WAC) due 10/25/59◊,2 899,711    837,803
2017-5A, 4.58% (1 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 06/25/57◊,2 321,254    316,914
GCAT Trust      
2022-NQM3, 4.35% (WAC) due 04/25/67◊,2 1,791,390    1,673,850
Bear Stearns Asset-Backed Securities I Trust      
2006-HE9, 3.22% (1 Month USD LIBOR + 0.14%, Rate Floor: 0.28%) due 11/25/36 1,726,115    1,658,629
Angel Oak Mortgage Trust      
2021-6, 1.89% (WAC) due 09/25/66◊,2 1,350,063    1,057,173
2022-1, 3.29% (WAC) due 12/25/66◊,2 621,786    519,763

Guggenheim Strategy Fund III  
SCHEDULE OF INVESTMENTS September 30, 2022

 

  Face
Amount~
  Value
COLLATERALIZED MORTGAGE OBLIGATIONS†† - 21.8% (continued)
Residential Mortgage-Backed Securities - 18.4% (continued)      
Structured Asset Securities Corporation Mortgage Loan Trust      
2008-BC4, 3.71% (1 Month USD LIBOR + 0.63%, Rate Floor: 0.63%) due 11/25/37  1,621,696   $1,574,696
Towd Point Mortgage Trust      
2018-2, 3.25% (WAC) due 03/25/58◊,2 638,941    619,688
2017-6, 2.75% (WAC) due 10/25/57◊,2 526,521    505,913
2017-5, 3.68% (1 Month USD LIBOR + 0.60%, Rate Floor: 0.00%) due 02/25/57◊,2 429,717    424,979
Home Equity Loan Trust      
2007-FRE1, 3.27% (1 Month USD LIBOR + 0.19%, Rate Floor: 0.19%) due 04/25/37 1,661,314    1,546,755
CFMT LLC      
2022-HB9, 3.25% (WAC) due 09/25/37◊,2 1,000,000    909,841
2021-HB5, 0.80% (WAC) due 02/25/31◊,2 613,625    590,103
Imperial Fund Mortgage Trust      
2022-NQM2, 4.02% (WAC) due 03/25/67◊,2 1,656,646    1,488,021
FKRT      
2.21% due 11/30/58†††,5 1,450,000    1,379,136
Towd Point Revolving Trust      
4.83% due 09/25/645 1,250,000    1,207,937
Soundview Home Loan Trust      
2006-OPT5, 3.36% (1 Month USD LIBOR + 0.28%, Rate Floor: 0.28%) due 07/25/36 1,143,179    1,091,150
NovaStar Mortgage Funding Trust Series      
2007-2, 3.28% (1 Month USD LIBOR + 0.20%, Rate Cap/Floor: 11.00%/0.20%) due 09/25/37 1,133,636    1,086,927
OSAT Trust      
2021-RPL1, 2.12% due 05/25/652,4 1,165,460    1,081,094
HarborView Mortgage Loan Trust      
2006-14, 3.29% (1 Month USD LIBOR + 0.30%, Rate Floor: 0.30%) due 01/25/47 1,073,053    931,899
Argent Securities Incorporated Asset-Backed Pass-Through Certificates Series      
2005-W2, 3.82% (1 Month USD LIBOR + 0.74%, Rate Floor: 0.74%) due 10/25/35  946,656   926,966
Cascade Funding Mortgage Trust      
2018-RM2, 4.00% (WAC) due 10/25/68◊,5 716,728    691,323
2019-RM3, 2.80% (WAC) due 06/25/69◊,5 183,811    178,496
Morgan Stanley ABS Capital I Incorporated Trust      
2006-NC1, 3.65% (1 Month USD LIBOR + 0.57%, Rate Floor: 0.57%) due 12/25/35 820,933    812,857
New Residential Advance Receivables Trust Advance Receivables Backed Notes      
2020-APT1, 1.04% due 12/16/522 750,000    741,992
LSTAR Securities Investment Ltd.      
2021-1, 4.36% (1 Month USD LIBOR + 1.80%, Rate Floor: 1.80%) due 02/01/26◊,5 470,662    436,698
2021-2, 4.26% (1 Month USD LIBOR + 1.70%, Rate Floor: 1.70%) due 03/02/26◊,5 279,419    272,647
Encore Credit Receivables Trust      
2005-2, 3.82% (1 Month USD LIBOR + 0.74%, Rate Cap/Floor: 13.00%/0.74%) due 09/25/35 658,864    650,201
Banc of America Funding Trust      
2015-R2, 3.34% (1 Month USD LIBOR + 0.26%, Rate Floor: 0.26%) due 04/29/37◊,2 617,825    599,970
Alternative Loan Trust      
2007-OA7, 3.36% (1 Month USD LIBOR + 0.28%, Rate Floor: 0.28%) due 05/25/47 609,072    516,770
Nationstar Home Equity Loan Trust      
2007-B, 3.30% (1 Month USD LIBOR + 0.22%, Rate Floor: 0.22%) due 04/25/37 434,890    430,466
Residential Mortgage Loan Trust      
2020-1, 2.38% (WAC) due 01/26/60◊,2 449,683    423,216

Guggenheim Strategy Fund III  
SCHEDULE OF INVESTMENTS September 30, 2022

 

  Face
Amount~
  Value
COLLATERALIZED MORTGAGE OBLIGATIONS†† - 21.8% (continued)
Residential Mortgage-Backed Securities - 18.4% (continued)      
Morgan Stanley Home Equity Loan Trust      
2006-2, 3.64% (1 Month USD LIBOR + 0.56%, Rate Floor: 0.56%) due 02/25/36  289,639   $286,518
CSMC Series      
2014-2R, 2.46% (1 Month USD LIBOR + 0.20%, Rate Floor: 0.20%) due 02/27/46◊,2 227,568    224,508
Park Place Securities Incorporated Asset-Backed Pass-Through Certificates Series      
2005-WHQ3, 4.03% (1 Month USD LIBOR + 0.95%, Rate Floor: 0.95%) due 06/25/35 220,316    219,281
CIT Mortgage Loan Trust      
2007-1, 4.43% (1 Month USD LIBOR + 1.35%, Rate Floor: 1.35%) due 10/25/37◊,2 165,210    163,985
Countrywide Asset-Backed Certificates      
2006-6, 3.42% (1 Month USD LIBOR + 0.34%, Rate Floor: 0.34%) due 09/25/36 146,179    145,968
FBR Securitization Trust      
2005-2, 3.83% (1 Month USD LIBOR + 0.75%, Rate Cap/Floor: 14.00%/0.75%) due 09/25/35 108,662    108,243
Structured Asset Investment Loan Trust      
2005-2, 3.82% (1 Month USD LIBOR + 0.74%, Rate Floor: 0.74%) due 03/25/35 65,283    64,492
Starwood Mortgage Residential Trust      
2020-1, 2.28% (WAC) due 02/25/50◊,2 43,698    42,199
Total Residential Mortgage-Backed Securities      55,038,522
Commercial Mortgage-Backed Securities - 3.4%      
BX Commercial Mortgage Trust      
2021-VOLT, 4.47% (1 Month USD LIBOR + 1.65%, Rate Floor: 1.65%) due 09/15/36◊,2 3,500,000    3,249,087
2022-LP2, 4.48% (1 Month Term SOFR + 1.56%, Rate Floor: 1.56%) due 02/15/39◊,2 980,516    922,961
Morgan Stanley Capital I Trust      
2018-H3, 0.98% (WAC) due 07/15/51◊,6 51,729,547    1,648,543
Citigroup Commercial Mortgage Trust      
2018-C6, 0.94% (WAC) due 11/10/51◊,6  42,758,308   1,541,625
JP Morgan Chase Commercial Mortgage Securities Trust      
2021-NYAH, 4.36% (1 Month USD LIBOR + 1.54%, Rate Floor: 1.54%) due 06/15/38◊,2 850,000    805,259
Life Mortgage Trust      
2021-BMR, 3.92% (1 Month USD LIBOR + 1.10%, Rate Floor: 1.10%) due 03/15/38◊,2 737,228    702,118
JPMDB Commercial Mortgage Securities Trust      
2018-C8, 0.86% (WAC) due 06/15/51◊,6 28,834,890    585,755
BXHPP Trust      
2021-FILM, 3.92% (1 Month USD LIBOR + 1.10%, Rate Floor: 1.10%) due 08/15/36◊,2 500,000    461,859
KKR Industrial Portfolio Trust      
2021-KDIP, 3.82% (1 Month USD LIBOR + 1.00%, Rate Floor: 1.00%) due 12/15/37◊,2 187,500    177,628
Total Commercial Mortgage-Backed Securities      10,094,835
Total Collateralized Mortgage Obligations    
(Cost $69,625,684)   65,133,357
SENIOR FLOATING RATE INTERESTS††,◊ - 5.6%
Financial - 1.5%      
NFP Corp.      
6.37% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.25%) due 02/15/27 1,960,387    1,837,863
Citadel Securities, LP      
6.15% (1 Month Term SOFR + 3.00%, Rate Floor: 3.00%) due 02/02/28 700,000    690,375
Alliant Holdings Intermediate LLC      
6.37% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.25%) due 05/09/25 672,080    643,234
Cobham Ultra SeniorCo SARL      
7.06% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.25%) due 08/03/29 550,000    525,250
USI, Inc.      
6.42% (3 Month USD LIBOR + 2.75%, Rate Floor: 2.75%) due 05/16/24 293,814    285,491

Guggenheim Strategy Fund III  
SCHEDULE OF INVESTMENTS September 30, 2022

 

  Face
Amount~
  Value
SENIOR FLOATING RATE INTERESTS††,◊ - 5.6% (continued)
Financial - 1.5% (continued)      
Nexus Buyer LLC      
6.87% (1 Month USD LIBOR + 3.75%, Rate Floor: 3.75%) due 11/09/26  252,360   $241,793
HUB International Ltd.      
5.77% (3 Month USD LIBOR + 3.00%, Rate Floor: 3.15%) due 04/25/25 195,908    188,113
Total Financial      4,412,119
Industrial - 1.4%      
SkyMiles IP Ltd.      
6.46% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.75%) due 10/20/27 1,397,427    1,398,517
TricorBraun Holdings, Inc.      
6.37% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.75%) due 03/03/28 893,216    837,167
Hunter Douglas, Inc.      
6.34% (3 Month Term SOFR + 3.50%, Rate Floor: 3.50%) due 02/26/29 1,000,000    818,500
Mileage Plus Holdings LLC      
8.78% (3 Month USD LIBOR + 5.25%, Rate Floor: 6.25%) due 06/21/27 760,000    761,763
Filtration Group Corp.      
6.12% (1 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 03/31/25 342,536    328,300
Total Industrial      4,144,247
Technology - 1.0%      
Emerald TopCo, Inc. (Press Ganey)      
6.62% (1 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 07/24/26 740,482    671,988
Dun & Bradstreet      
6.33% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.25%) due 02/06/26 670,750    647,442
VT TopCo, Inc.      
6.87% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 08/01/25 566,045    537,742
CoreLogic, Inc.      
6.63% (1 Month USD LIBOR + 3.50%, Rate Floor: 4.00%) due 06/02/28 694,737    519,316
Boxer Parent Company, Inc.      
6.87% (1 Month USD LIBOR + 3.75%, Rate Floor: 3.75%) due 10/02/25 441,837    417,748
MACOM Technology Solutions Holdings, Inc.      
5.37% (1 Month USD LIBOR + 2.25%, Rate Floor: 2.25%) due 05/17/24 226,282    221,700
Sabre GLBL, Inc.      
5.12% (1 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 02/22/24  94,827   93,345
Total Technology      3,109,281
Communications - 0.6%      
Internet Brands, Inc.      
6.87% (1 Month USD LIBOR + 3.75%, Rate Floor: 3.75%) due 09/13/24 837,944    796,960
Recorded Books, Inc.      
7.08% (1 Month Term SOFR + 4.00%, Rate Floor: 4.00%) due 08/29/25 750,000    720,000
CSC Holdings LLC      
5.07% (1 Month USD LIBOR + 2.25%, Rate Floor: 2.25%) due 07/17/25 186,539    177,330
Total Communications      1,694,290
Consumer, Non-cyclical - 0.5%      
Elanco Animal Health, Inc.      
4.31% (1 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 08/02/27 704,644    668,974
Pearl Intermediate Parent LLC      
6.62% (1 Month USD LIBOR + 3.50%, Rate Floor: 4.25%) due 02/14/25 493,639    454,765
Agiliti      
5.38% (1 Month USD LIBOR + 2.75%, Rate Floor: 2.75%) due 01/04/26 296,923    286,531
Total Consumer, Non-cyclical      1,410,270
Consumer, Cyclical - 0.3%      
Power Solutions (Panther)      
6.37% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.25%) due 04/30/26 1,105,390    1,043,212
Energy - 0.2%      
ITT Holdings LLC      
5.87% (1 Month USD LIBOR + 2.75%, Rate Floor: 3.25%) due 07/10/28 682,110    649,710
Basic Materials - 0.1%      
Messer Industries USA, Inc.      
6.17% (3 Month USD LIBOR + 2.50%, Rate Floor: 2.50%) due 03/02/26 325,876    311,010
Total Senior Floating Rate Interests    
(Cost $17,850,143)   16,774,139
FOREIGN GOVERNMENT DEBT†† - 2.5%
State of Israel
1.25% due 11/30/22 ILS  15,258,000   4,279,633  

Guggenheim Strategy Fund III  
SCHEDULE OF INVESTMENTS September 30, 2022

 

  Face
Amount~
  Value

FOREIGN GOVERNMENT DEBT†† - 2.5% (continued)
Ontario T-Bill
2.84% due 10/05/22†††,7 CAD  4,260,000   $ 3,083,869  
Total Foreign Government Debt    
(Cost $7,908,151)     7,363,502  
COMMERCIAL PAPER†† - 0.8%
Amphenol Corp.
3.23% due 10/03/222,7 1,000,000       999,821  
Relx, Inc.
3.30% due 10/03/222,7 800,000     799,853  
Mondelez International, Inc.
3.25% due 10/03/222,7 300,000     299,946  
Cintas Corporation No. 2
3.25% due 10/03/222,7 300,000       299,946  
Total Commercial Paper    
(Cost $2,399,566)     2,399,566  
Total Investments - 99.1%    
(Cost $313,206,055)   $   296,400,366  
Other Assets & Liabilities, net - 0.9% 2,737,340  
Total Net Assets - 100.0%   $   299,137,706  

 

 

 
 

 

Guggenheim Strategy Fund III  
SCHEDULE OF INVESTMENTS September 30, 2022

 

Centrally Cleared Interest Rate Swap Agreements††    
Counterparty Exchange Floating Rate Type Floating Rate Index Fixed Rate Payment Frequency Maturity Date   Notional Amount Value

Upfront

Premiums

Paid

Unrealized Appreciation**
BofA Securities, Inc. CME Receive 3-Month USD LIBOR 0.24% Quarterly 09/22/23   $28,300,000 $1,147,305 $120 $1,147,185
BofA Securities, Inc. CME Receive 3-Month USD LIBOR 1.66% Quarterly 03/16/31    3,000,000  481,577  274  481,303
BofA Securities, Inc. CME Receive U.S. Secured Overnight Financing Rate 1.79% Annually 02/17/27    1,360,000  112,689  268  112,421
BofA Securities, Inc. CME Receive U.S. Secured Overnight Financing Rate 1.54% Annually 03/07/25    1,800,000  106,748  246  106,502
BofA Securities, Inc. CME Receive U.S. Secured Overnight Financing Rate 2.72% Annually 06/07/27    1,800,000  85,464  288  85,176
BofA Securities, Inc. CME Receive U.S. Secured Overnight Financing Rate 1.73% Annually 02/25/27    980,000  83,627  268  83,359
BofA Securities, Inc. CME Receive U.S. Secured Overnight Financing Rate 1.47% Annually 02/02/27    850,000  80,441  264  80,177
                  $2,097,851 $1,728 $2,096,123
                       

 

Forward Foreign Currency Exchange Contracts††    
Counterparty Currency Type Quantity Contract Amount Settlement Date Unrealized Appreciation (Depreciation)
Barclays Bank plc ILS Sell 10,041,975 3,183,922 USD 11/30/22 $349,009
UBS AG ILS Sell 5,406,750 1,712,148 USD 11/30/22  185,789
JPMorgan Chase Bank, N.A. CAD Sell 4,260,000 3,101,599 USD 10/05/22  16,349
Morgan Stanley Capital Services LLC CZK Sell 9,135 354 USD 12/02/22  (8)
            $551,139

 

 

Guggenheim Strategy Fund III  
SCHEDULE OF INVESTMENTS September 30, 2022

 

~ The face amount is denominated in U.S. dollars unless otherwise indicated.
** Includes cumulative appreciation (depreciation). Variation margin is reported within the Statement of Assets and Liabilities.
Value determined based on Level 1 inputs — See Note 4.
†† Value determined based on Level 2 inputs, unless otherwise noted — See Note 4.
††† Value determined based on Level 3 inputs — See Note 4.
Variable rate security. Rate indicated is the rate effective at September 30, 2022. 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 September 30, 2022.
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 $192,709,456 (cost $204,363,485), or 64.4% 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 September 30, 2022. See table below for additional step information for each security.
5 Security is a 144A or Section 4(a)(2) security. These securities have been determined to be illiquid and restricted under guidelines established by the Board of Trustees. The total market value of 144A or Section 4(a)(2) illiquid and restricted securities is $4,166,237 (cost $4,349,801), or 1.4% of total net assets — See Note 9.
6 Security is an interest-only strip.
7 Rate indicated is the effective yield at the time of purchase.

 

  BofA — Bank of America
  CAD — Canadian Dollar
  CME — Chicago Mercantile Exchange
  CZK — Czech Koruna
  ILS — Israeli New Shekel
  LIBOR — London Interbank Offered Rate
  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 September 30, 2022 (See Note 4 in the Notes to Financial Statements):
 
Investments in Securities (Assets) Level 1 Quoted Prices Level 2 Significant Observable Inputs Level 3 Significant Unobservable Inputs   Total
Money Market Funds $ 6,724,293     $ —     $ —     $ 6,724,293  
Asset-Backed Securities     —   111,134,747   2,748,291     113,883,038  
Corporate Bonds     —   84,122,471       —     84,122,471  
Collateralized Mortgage Obligations     —   63,754,221   1,379,136     65,133,357  
Senior Floating Rate Interests     —   16,774,139       —     16,774,139  
Foreign Government Debt     —   4,279,633   3,083,869     7,363,502  
Commercial Paper     —   2,399,566       —     2,399,566  
Interest Rate Swap Agreements**     —   2,096,123       —     2,096,123  
Forward Foreign Currency Exchange Contracts**     —   551,147       —     551,147  
Total Assets $ 6,724,293   $ 285,112,047   $ 7,211,296     $ 299,047,636  
           
Investments in Securities (Liabilities) Level 1 Quoted Prices Level 2 Significant Observable Inputs Level 3 Significant Unobservable Inputs   Total
Forward Foreign Currency Exchange Contracts**   $ —   $ 8     $ —     $ 8  
Unfunded Loan Commitments (Note 8)     —       —   817     817  
Total Liabilities   $ —   $ 8   $ 817     $ 825  
           
** 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 categorized within Level 3 of the value hierarchy:

 

Category Ending Balance at September 30, 2022     Valuation Technique Unobservable Inputs Input Range
Assets:        
Asset-Backed Securities $    1,848,291   Option adjusted spread off prior month end broker quote Broker Quote
Asset-Backed Securities          900,000   Third Party Pricing Broker Quote
Collateralized Mortgage Obligations       1,379,136   Model Price Market Comparable Yields 6.9%
Foreign Government Debt       3,083,869   Third Party Pricing Vendor Price
Total Assets $    7,211,296        
Liabilities:        
Unfunded Loan Commitments $              817   Model Price Purchase Price

 

Significant changes in a quote or market comparable yields would generally result in significant changes in the fair value of the security.

 

The Fund’s fair valuation leveling guidelines were revised to 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.

 

Transfers between Level 2 and Level 3 may occur as markets fluctuate and/or the availability of data used in an investment’s valuation changes. For the year ended September 30, 2022, the Fund had securities with a total value of $1,379,136 transfer into Level 3 from Level 2 due to a lack of observable inputs.

 

 

Guggenheim Strategy Fund III  
SCHEDULE OF INVESTMENTS September 30, 2022

 

 

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 year ended September 30, 2022:

  Assets   Liabilities
  Asset-Backed Securities Collateralized Mortgage Obligations Foreign Government Debt Total Assets Unfunded Loan Commitments
Beginning Balance  $    8,550,000  $     1,349,283  $                  -     $    9,899,283  $            (242)
Purchases/(Receipts)              2,750,000                             -              3,100,568              5,850,568                             -
(Sales, maturities and paydowns)/Fundings             (8,550,000)             (1,349,283)                             -             (9,899,283)                        101
Amortization of premiums/discounts                             -                           (3)                     1,087                     1,084                             -
Total realized gains (losses) included in earnings                             -                       (631)                             -                       (631)                        302
Total change in unrealized appreciation (depreciation) included in earnings                    (1,709)                        634                  (17,786)                  (18,861)                       (978)
Transfers into Level 3                             -              1,379,136                             -              1,379,136                             -
 Ending Balance   $    2,748,291  $     1,379,136  $     3,083,869  $    7,211,296  $            (817)
Net change in unrealized appreciation (depreciation) for investments in Level 3 securities still held at September 30, 2022  $          (1,709)  $                      -  $         (17,786)  $       (19,495)  $            (978)

 

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
BRAVO Residential Funding Trust 2022-R1, 3.13% due 01/29/70 6.13% 01/30/25
BRAVO Residential Funding Trust 2021-C, 1.62% due 03/01/61 4.62% 09/26/24 5.62% 09/26/25
CSMC Trust 2020-NQM1, 1.21% due 05/25/65 2.21% 09/26/24
Legacy Mortgage Asset Trust 2021-GS3, 1.75% due 07/25/61 4.75% 05/26/24 5.75% 05/26/25
Legacy Mortgage Asset Trust 2021-GS4, 1.65% due 11/25/60 4.65% 08/26/24 5.65% 08/26/25
Legacy Mortgage Asset Trust 2021-GS2, 1.75% due 04/25/61 4.75% 04/26/24 5.75% 04/26/25
NYMT Loan Trust 2021-SP1, 1.67% due 08/25/61 4.67% 08/26/24 5.67% 08/26/25
NYMT Loan Trust 2022-SP1, 5.25% due 07/25/62 8.25% 07/01/25 9.25% 07/01/26
OSAT Trust 2021-RPL1, 2.12% due 05/25/65 5.12% 06/26/24 6.12% 06/26/25
PRPM LLC 2022-1, 3.72% due 02/25/27 6.72% 02/25/25 7.72% 02/25/26
PRPM LLC 2021-5, 1.79% due 06/25/26 4.79% 06/26/24 5.79% 06/26/25
Verus Securitization Trust 2020-1, 2.42% due 01/25/60 3.42% 01/26/24
Verus Securitization Trust 2019-4, 2.64% due 11/25/59 3.64% 10/26/23
Verus Securitization Trust 2019-4, 2.85% due 11/25/59 3.85% 10/26/23
Verus Securitization Trust 2020-5, 1.22% due 05/25/65 2.22% 10/26/24

 

Guggenheim Variable Insurance Strategy Fund III  
SCHEDULE OF INVESTMENTS September 30, 2022

 

  Face
Amount~
  Value
ASSET-BACKED SECURITIES†† - 39.0%
Collateralized Loan Obligations - 31.9%      
BCC Middle Market CLO LLC      
2021-1A A1R, 4.01% (3 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 10/15/33◊,1 2,750,000   $2,641,577
Lake Shore MM CLO III LLC      
2021-2A A1R, 4.22% (3 Month USD LIBOR + 1.48%, Rate Floor: 1.48%) due 10/17/31◊,1 2,700,000    2,634,636
ABPCI Direct Lending Fund CLO VII, LP      
2021-7A A1R, 4.20% (3 Month USD LIBOR + 1.43%, Rate Floor: 1.43%) due 10/20/31◊,1 2,750,000    2,626,470
Palmer Square Loan Funding Ltd.      
2022-1A A2, 3.93% (3 Month Term SOFR + 1.60%, Rate Floor: 1.60%) due 04/15/30◊,1 1,500,000    1,409,831
2021-2A B, 4.38% (3 Month USD LIBOR + 1.40%, Rate Floor: 1.40%) due 05/20/29◊,1 750,000    688,636
BXMT Ltd.      
2020-FL2 AS, 4.09% (1 Month Term SOFR + 1.26%, Rate Floor: 1.15%) due 02/15/38 1,000,000    966,872
2020-FL3 AS, 4.15% (30 Day Average SOFR + 1.86%, Rate Floor: 1.75%) due 11/15/37◊,1 750,000    734,243
KVK CLO 2013-1 Ltd.      
2017-1A BR, 3.93% (3 Month USD LIBOR + 1.45%, Rate Floor: 0.00%) due 01/14/28◊,1 1,609,699    1,596,186
Sound Point CLO XIX Ltd.      
2018-1A A, 3.51% (3 Month USD LIBOR + 1.00%, Rate Floor: 0.00%) due 04/15/31◊,1 1,500,000    1,458,592
ABPCI Direct Lending Fund CLO V Ltd.      
2021-5A A1R, 4.21% (3 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 04/20/31◊,1 1,250,000    1,222,512
Cerberus Loan Funding XXXVI, LP      
2021-6A A, 3.91% (3 Month USD LIBOR + 1.40%, Rate Floor: 1.40%) due 11/22/33◊,1 1,176,619    1,167,918
Woodmont Trust      
2020-7A A1A, 4.41% (3 Month USD LIBOR + 1.90%, Rate Floor: 1.90%) due 01/15/32◊,1 1,100,000   1,075,653
Golub Capital Partners CLO 36M Ltd.      
2018-36A A, 4.13% (3 Month USD LIBOR + 1.30%, Rate Floor: 0.00%) due 02/05/31◊,1 1,000,000    985,286
CHCP Ltd.      
2021-FL1 A, 4.01% (1 Month Term SOFR + 1.16%, Rate Floor: 1.05%) due 02/15/38◊,1 999,223    980,179
Cerberus Loan Funding XXX, LP      
2020-3A A, 4.36% (3 Month USD LIBOR + 1.85%, Rate Floor: 1.85%) due 01/15/33◊,1 1,000,000    979,139
ABPCI Direct Lending Fund CLO II LLC      
2021-1A A1R, 4.31% (3 Month USD LIBOR + 1.60%, Rate Floor: 1.60%) due 04/20/32◊,1 1,000,000    973,843
Cerberus Loan Funding XXXII, LP      
2021-2A A, 4.13% (3 Month USD LIBOR + 1.62%, Rate Floor: 1.62%) due 04/22/33◊,1 1,000,000    960,776
MidOcean Credit CLO VII      
2020-7A A1R, 3.55% (3 Month USD LIBOR + 1.04%, Rate Floor: 0.00%) due 07/15/29◊,1 928,652    912,775
Fortress Credit Opportunities XI CLO Ltd.      
2018-11A A1T, 3.81% (3 Month USD LIBOR + 1.30%, Rate Floor: 0.00%) due 04/15/31◊,1 850,000    833,490
Cerberus 2112 Levered LLC      
 , 4.83% (3 Month Term SOFR + 2.35%, Rate Floor: 2.35%) due 02/15/29◊,††† 750,000    749,307
Cerberus Loan Funding XXXV, LP      
2021-5A A, 4.01% (3 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 09/22/33◊,1 750,000    717,953

 

 

Guggenheim Variable Insurance Strategy Fund III  
SCHEDULE OF INVESTMENTS September 30, 2022

  Face
Amount~
  Value
ASSET-BACKED SECURITIES†† - 39.0% (continued)
Collateralized Loan Obligations - 31.9% (continued)      
Golub Capital Partners CLO 54M, LP      
2021-54A A, 4.36% (3 Month USD LIBOR + 1.53%, Rate Floor: 1.53%) due 08/05/33◊,1  750,000   $717,899
Golub Capital Partners CLO 49M Ltd.      
2021-49A AR, 4.24% (3 Month USD LIBOR + 1.53%, Rate Floor: 1.53%) due 08/26/33◊,1 750,000    716,778
Golub Capital Partners CLO 16 Ltd.      
2021-16A A1R2, 4.39% (3 Month USD LIBOR + 1.61%, Rate Floor: 1.61%) due 07/25/33◊,1 750,000    716,296
Owl Rock CLO IV Ltd.      
2021-4A A1R, 4.58% (3 Month USD LIBOR + 1.60%, Rate Floor: 1.60%) due 08/20/33◊,1 750,000    715,076
ABPCI Direct Lending Fund IX LLC      
2021-9A A1R, 4.17% (3 Month USD LIBOR + 1.40%, Rate Floor: 1.40%) due 11/18/31◊,1 700,000    676,697
Venture XIV CLO Ltd.      
2020-14A ARR, 4.07% (3 Month USD LIBOR + 1.03%, Rate Floor: 1.03%) due 08/28/29◊,1 679,203    667,446
LoanCore Issuer Ltd.      
2018-CRE1 AS, 4.32% (1 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 05/15/28◊,1 500,000    497,993
2018-CRE1 A, 3.95% (1 Month USD LIBOR + 1.13%, Rate Floor: 1.13%) due 05/15/28◊,1 6,113    6,109
Cerberus Loan Funding XXVI, LP      
2021-1A AR, 4.01% (3 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 04/15/31◊,1 500,000    490,528
Parliament CLO II Ltd.      
2021-2A A, 2.83% (3 Month USD LIBOR + 1.35%, Rate Floor: 1.35%) due 08/20/32◊,1 500,000    489,923
Carlyle GMS Finance MM CLO LLC      
2018-1A A11R, 4.06% (3 Month USD LIBOR + 1.55%, Rate Floor: 0.00%) due 10/15/31◊,1  500,000   488,139
ABPCI Direct Lending Fund CLO I LLC      
2021-1A A1A2, 4.41% (3 Month USD LIBOR + 1.70%, Rate Floor: 1.70%) due 07/20/33◊,1 500,000    487,100
THL Credit Lake Shore MM CLO I Ltd.      
2021-1A A1R, 4.21% (3 Month USD LIBOR + 1.70%, Rate Floor: 1.70%) due 04/15/33◊,1 500,000    485,549
Cerberus Loan Funding XXXIII, LP      
2021-3A A, 4.07% (3 Month USD LIBOR + 1.56%, Rate Floor: 1.56%) due 07/23/33◊,1 500,000    480,764
BRSP Ltd.      
2021-FL1 B, 4.89% (1 Month USD LIBOR + 1.90%, Rate Floor: 1.90%) due 08/19/38◊,1 500,000    478,055
LCCM Trust      
2021-FL3 A, 4.27% (1 Month USD LIBOR + 1.45%, Rate Floor: 1.45%) due 11/15/38◊,1 500,000    476,958
Golub Capital Partners CLO 33M Ltd.      
2021-33A AR2, 4.86% (3 Month USD LIBOR + 1.86%, Rate Floor: 1.86%) due 08/25/33◊,1 500,000    475,008
HERA Commercial Mortgage Ltd.      
2021-FL1 B, 4.59% (1 Month USD LIBOR + 1.60%, Rate Floor: 1.60%) due 02/18/38◊,1 500,000    470,656
Denali Capital CLO XI Ltd.      
2018-1A A1RR, 3.84% (3 Month USD LIBOR + 1.13%, Rate Floor: 0.00%) due 10/20/28◊,1 439,965    436,672
Wellfleet CLO Ltd.      
2020-2A A1R, 3.77% (3 Month USD LIBOR + 1.06%, Rate Floor: 0.00%) due 10/20/29◊,1 397,838    390,195

Guggenheim Variable Insurance Strategy Fund III  
SCHEDULE OF INVESTMENTS September 30, 2022

 

  Face
Amount~
  Value
ASSET-BACKED SECURITIES†† - 39.0% (continued)
Collateralized Loan Obligations - 31.9% (continued)      
ACRE Commercial Mortgage Ltd.      
2021-FL4 AS, 4.09% (1 Month USD LIBOR + 1.10%, Rate Floor: 1.10%) due 12/18/37◊,1 250,000   $243,435
Cerberus Loan Funding XXXIV, LP      
2021-4A A, 4.01% (3 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 08/13/33◊,1 144,964    144,597
Newfleet CLO Ltd.      
2018-1A A1R, 3.66% (3 Month USD LIBOR + 0.95%, Rate Floor: 0.00%) due 04/20/28◊,1 81,646    80,971
Marathon CLO V Ltd.      
2017-5A A1R, 3.85% (3 Month USD LIBOR + 0.87%, Rate Floor: 0.00%) due 11/21/27◊,1 69,605    69,399
Total Collateralized Loan Obligations      37,218,117
Transport-Aircraft - 1.4%      
Raspro Trust      
2005-1A, 3.64% (3 Month USD LIBOR + 0.93%, Rate Floor: 0.93%) due 03/23/24◊,1 689,460    639,315
Sapphire Aviation Finance II Ltd.      
2020-1A, 3.23% due 03/15/401 762,910    631,605
Castlelake Aircraft Securitization Trust      
2018-1, 4.13% due 06/15/431 388,038    339,518
Total Transport-Aircraft      1,610,438
Financial - 1.3%      
Madison Avenue Secured Funding Trust Series      
2022-1, 4.60% (1 Month Term SOFR + 1.85%, Rate Floor: 0.00%) due 10/12/23◊,1 600,000    600,000
Station Place Securitization Trust      
2022-SP1, 4.60% (1 Month Term SOFR + 1.85%, Rate Floor: 0.00%) due 10/12/23◊,1 600,000    600,000
Madison Avenue Secured Funding Trust      
2021-1, 4.58% (1 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 01/17/23◊,†††,1 350,000   350,000
Total Financial      1,550,000
Transport-Container - 1.3%      
Triton Container Finance VIII LLC      
2021-1A, 1.86% due 03/20/461 872,500    732,328
Textainer Marine Containers VII Ltd.      
2021-1A, 1.68% due 02/20/461 262,000    221,586
2020-1A, 2.73% due 08/21/451 193,558    174,678
CLI Funding VIII LLC      
2021-1A, 1.64% due 02/18/461 419,798    359,387
Total Transport-Container      1,487,979
Net Lease - 1.1%      
Oak Street Investment Grade Net Lease Fund Series      
2020-1A, 1.85% due 11/20/501 1,210,036    1,064,611
CF Hippolyta Issuer LLC      
2021-1A, 1.98% due 03/15/611 289,352    243,305
Total Net Lease      1,307,916
Whole Business - 1.0%      
Applebee's Funding LLC / IHOP Funding LLC      
2019-1A, 4.19% due 06/05/491 792,000    750,411
Taco Bell Funding LLC      
2021-1A, 1.95% due 08/25/511 496,250    414,539
Total Whole Business      1,164,950
Collateralized Debt Obligations - 1.0%      
Anchorage Credit Funding 4 Ltd.      
2021-4A AR, 2.72% due 04/27/391 1,250,000    1,144,936
Total Asset-Backed Securities    
(Cost $47,522,053)   45,484,336
CORPORATE BONDS†† - 24.6%
Financial - 10.5%      
GA Global Funding Trust      
3.47% (SOFR + 1.36%) due 04/11/25◊,1 1,250,000    1,220,925
1.63% due 01/15/261 200,000    175,307
Athene Global Funding      
2.51% due 03/08/241 1,400,000    1,337,502
F&G Global Funding      
0.90% due 09/20/241 1,250,000    1,137,326

Guggenheim Variable Insurance Strategy Fund III  
SCHEDULE OF INVESTMENTS September 30, 2022

 

  Face
Amount~
  Value
CORPORATE BONDS†† - 24.6% (continued)
Financial - 10.5% (continued)      
Capital One Financial Corp.      
3.64% (SOFR + 1.35%) due 05/09/25  750,000   $740,400
American Express Co.      
3.23% (SOFR + 0.93%) due 03/04/25 700,000    699,328
Sumitomo Mitsui Trust Bank Ltd.      
2.55% due 03/10/251 700,000    655,167
First-Citizens Bank & Trust Co.      
3.93% due 06/19/242 600,000    591,900
Macquarie Group Ltd.      
5.11% due 08/09/261,2 600,000    587,727
Credit Suisse AG NY      
3.53% (SOFR Compounded Index + 1.26%) due 02/21/25 600,000    585,012
Equinix, Inc.      
1.45% due 05/15/26 650,000    562,837
Standard Chartered plc      
1.32% due 10/14/231,2 350,000    349,650
Bank of Nova Scotia      
3.25% (SOFR Compounded Index + 0.96%) due 03/11/24 350,000    349,125
Morgan Stanley      
3.22% (SOFR + 0.95%) due 02/18/26 350,000    343,749
Citigroup, Inc.      
2.92% (SOFR + 0.69%) due 01/25/26 350,000    341,168
FS KKR Capital Corp.      
4.25% due 02/14/251 350,000    324,653
Jackson National Life Global Funding      
1.75% due 01/12/251 350,000    321,635
Mizuho Financial Group, Inc.      
5.51% due 09/13/282 300,000    293,248
Rocket Mortgage LLC / Rocket Mortgage Company-Issuer, Inc.      
2.88% due 10/15/261 350,000    287,000
American Equity Investment Life Holding Co.      
5.00% due 06/15/27 300,000    284,613
Cooperatieve Rabobank UA      
4.66% due 08/22/281,2 300,000    282,930
Nordea Bank Abp      
3.98% (3 Month USD LIBOR + 0.94%) due 08/30/23◊,1 250,000    250,730
Jefferies Financial Group, Inc.      
5.50% due 10/18/23 150,000    149,712
Brighthouse Financial Global Funding      
2.88% (SOFR + 0.76%) due 04/12/24◊,1 150,000    148,570
Iron Mountain, Inc.      
5.00% due 07/15/281 125,000    107,500
Peachtree Corners Funding Trust      
3.98% due 02/15/251  100,000   96,499
Total Financial      12,224,213
Consumer, Non-cyclical - 3.6%      
Triton Container International Ltd.      
0.80% due 08/01/231 350,000    333,967
1.15% due 06/07/241 300,000    273,231
2.05% due 04/15/261 300,000    254,639
Global Payments, Inc.      
1.50% due 11/15/24 700,000    643,139
Element Fleet Management Corp.      
1.60% due 04/06/241 650,000    611,685
Bio-Rad Laboratories, Inc.      
3.30% due 03/15/27 400,000    363,055
Constellation Brands, Inc.      
3.60% due 05/09/24 350,000    342,394
IQVIA, Inc.      
5.00% due 05/15/271 350,000    326,375
JBS USA LUX S.A. / JBS USA Food Company / JBS USA Finance, Inc.      
5.13% due 02/01/281 300,000    281,181
CVS Health Corp.      
4.00% due 12/05/23 250,000    247,332
Stryker Corp.      
3.38% due 05/15/24 250,000    244,336
Spectrum Brands, Inc.      
5.75% due 07/15/25 150,000    141,754
Block, Inc.      
2.75% due 06/01/26 100,000    85,946
Total Consumer, Non-cyclical      4,149,034
Industrial - 2.9%      
Ryder System, Inc.      
3.35% due 09/01/25 800,000    756,770
3.75% due 06/09/23 300,000    298,011
Graphic Packaging International LLC      
0.82% due 04/15/241 900,000    835,821
Berry Global, Inc.      
0.95% due 02/15/24 450,000    422,781
TD SYNNEX Corp.      
1.25% due 08/09/24 350,000    321,821
Silgan Holdings, Inc.      
1.40% due 04/01/261 350,000    298,774
Vontier Corp.      
1.80% due 04/01/26 300,000    255,021
Weir Group plc      
2.20% due 05/13/261 200,000    168,031
Jabil, Inc.      
1.70% due 04/15/26 100,000    86,873
Total Industrial      3,443,903
Technology - 2.7%      
HCL America, Inc.      
1.38% due 03/10/261 1,000,000    875,296

Guggenheim Variable Insurance Strategy Fund III  
SCHEDULE OF INVESTMENTS September 30, 2022

 

  Face
Amount~
  Value
CORPORATE BONDS†† - 24.6% (continued)
Technology - 2.7% (continued)      
Microchip Technology, Inc.      
2.67% due 09/01/23  720,000   $701,669
Infor, Inc.      
1.45% due 07/15/231 690,000    665,739
CDW LLC / CDW Finance Corp.      
2.67% due 12/01/26 550,000    477,056
Skyworks Solutions, Inc.      
0.90% due 06/01/23 400,000    388,070
Total Technology      3,107,830
Utilities - 1.8%      
NextEra Energy Capital Holdings, Inc.      
2.84% (SOFR Compounded Index + 0.54%) due 03/01/23 1,250,000    1,248,392
Alexander Funding Trust      
1.84% due 11/15/231 650,000    608,223
OGE Energy Corp.      
0.70% due 05/26/23 250,000    243,377
Total Utilities      2,099,992
Communications - 1.3%      
FactSet Research Systems, Inc.      
2.90% due 03/01/27 550,000    497,708
Rogers Communications, Inc.      
2.95% due 03/15/251 350,000    333,189
T-Mobile USA, Inc.      
2.63% due 04/15/26 200,000    181,244
2.25% due 02/15/26 100,000    89,478
Cogent Communications Group, Inc.      
3.50% due 05/01/261 300,000    264,045
Paramount Global      
4.75% due 05/15/25 132,000    129,774
Total Communications      1,495,438
Consumer, Cyclical - 1.0%      
Warnermedia Holdings, Inc.      
3.64% due 03/15/251 850,000    804,969
Hyatt Hotels Corp.      
1.80% due 10/01/24 450,000    421,892
Total Consumer, Cyclical      1,226,861
Energy - 0.5%      
Valero Energy Corp.      
1.20% due 03/15/24 650,000    614,256
Basic Materials - 0.3%      
Reliance Steel & Aluminum Co.      
4.50% due 04/15/23 300,000    299,341
Total Corporate Bonds    
(Cost $30,552,134)   28,660,868
COLLATERALIZED MORTGAGE OBLIGATIONS†† - 21.1%
Residential Mortgage-Backed Securities - 17.3%      
CSMC Trust      
2021-RPL1, 1.67% (WAC) due 09/27/60◊,1 873,254    820,123
2020-RPL5, 3.02% (WAC) due 08/25/60◊,1 506,772    485,526
2021-RPL4, 1.80% (WAC) due 12/27/60◊,1 406,870    378,475
2020-NQM1, 1.21% due 05/25/651,3  340,079   310,917
2021-RPL7, 1.93% (WAC) due 07/27/61◊,1 294,851    269,856
PRPM LLC      
2022-1, 3.72% due 02/25/271,3 1,245,731    1,159,539
2021-5, 1.79% due 06/25/261,3 547,794    492,678
2021-8, 1.74% (WAC) due 09/25/26◊,1 260,127    237,520
NRZ Advance Receivables Trust      
2020-T2, 1.48% due 09/15/531 1,000,000    954,201
2020-T3, 1.32% due 10/15/521 300,000    299,450
Legacy Mortgage Asset Trust      
2021-GS3, 1.75% due 07/25/611,3 546,772    497,971
2021-GS4, 1.65% due 11/25/601,3 413,898    378,316
2021-GS2, 1.75% due 04/25/611,3 200,154    185,698
NYMT Loan Trust      
2021-SP1, 1.67% due 08/25/611,3 837,646    755,967
2022-SP1, 5.25% due 07/25/621,3 293,895    281,550
BRAVO Residential Funding Trust      
2022-R1, 3.13% due 01/29/701,3 487,425    430,593
2021-C, 1.62% due 03/01/611,3 392,153    357,548
2021-HE1, 3.13% (30 Day Average SOFR + 0.85%, Rate Floor: 0.00%) due 01/25/70◊,1 157,477    155,655
2021-HE2, 3.13% (30 Day Average SOFR + 0.85%, Rate Floor: 0.00%) due 11/25/69◊,1 88,287    87,217
Bear Stearns Asset-Backed Securities I Trust      
2006-HE9, 3.22% (1 Month USD LIBOR + 0.14%, Rate Floor: 0.28%) due 11/25/36 1,001,241    962,265
Verus Securitization Trust      
2020-5, 1.22% due 05/25/651,3 502,142    463,771
2020-1, 2.42% due 01/25/601,3 108,048    104,285
2019-4, 2.64% due 11/25/591,3 104,024    101,184
2021-3, 1.44% (WAC) due 06/25/66◊,1 90,578    73,386

Guggenheim Variable Insurance Strategy Fund III  
SCHEDULE OF INVESTMENTS September 30, 2022

 

  Face
Amount~
  Value
COLLATERALIZED MORTGAGE OBLIGATIONS†† - 21.1% (continued)
Residential Mortgage-Backed Securities - 17.3% (continued)      
CFMT LLC      
2022-HB9, 3.25% (WAC) due 09/25/37◊,1  500,000   $454,921
2021-HB5, 0.80% (WAC) due 02/25/31◊,1 281,245    270,464
New Residential Mortgage Loan Trust      
2018-2A, 3.50% (WAC) due 02/25/58◊,1 376,591    351,198
2019-1A, 3.50% (WAC) due 10/25/59◊,1 364,748    339,650
Verus Securitization Trust 2022-4      
2022-4, 4.74% (WAC) due 04/25/67◊,1 682,649    638,578
Imperial Fund Mortgage Trust      
2022-NQM2, 4.02% (WAC) due 03/25/67◊,1 709,991    637,723
Home Equity Loan Trust      
2007-FRE1, 3.27% (1 Month USD LIBOR + 0.19%, Rate Floor: 0.19%) due 04/25/37 684,126    636,951
Structured Asset Securities Corporation Mortgage Loan Trust      
2008-BC4, 3.71% (1 Month USD LIBOR + 0.63%, Rate Floor: 0.63%) due 11/25/37 591,442    574,301
FKRT      
2.21% due 11/30/58†††,4 550,000    523,121
Soundview Home Loan Trust      
2006-OPT5, 3.36% (1 Month USD LIBOR + 0.28%, Rate Floor: 0.28%) due 07/25/36 521,621    497,881
OSAT Trust      
2021-RPL1, 2.12% due 05/25/651,3 522,448    484,628
Towd Point Revolving Trust      
4.83% due 09/25/644 500,000    483,175
HarborView Mortgage Loan Trust      
2006-14, 3.29% (1 Month USD LIBOR + 0.30%, Rate Floor: 0.30%) due 01/25/47 536,527    465,950
Argent Securities Incorporated Asset-Backed Pass-Through Certificates Series      
2005-W2, 3.82% (1 Month USD LIBOR + 0.74%, Rate Floor: 0.74%) due 10/25/35 473,328    463,483
Towd Point Mortgage Trust      
2018-2, 3.25% (WAC) due 03/25/58◊,1  266,225   258,203
2017-5, 3.68% (1 Month USD LIBOR + 0.60%, Rate Floor: 0.00%) due 02/25/57◊,1 178,373    176,406
NovaStar Mortgage Funding Trust Series      
2007-2, 3.28% (1 Month USD LIBOR + 0.20%, Rate Cap/Floor: 11.00%/0.20%) due 09/25/37 443,149    424,890
New Residential Advance Receivables Trust Advance Receivables Backed Notes      
2020-APT1, 1.04% due 12/16/521 350,000    346,263
Morgan Stanley ABS Capital I Incorporated Trust      
2006-NC1, 3.65% (1 Month USD LIBOR + 0.57%, Rate Floor: 0.57%) due 12/25/35 349,333    345,896
LSTAR Securities Investment Ltd.      
2021-1, 4.36% (1 Month USD LIBOR + 1.80%, Rate Floor: 1.80%) due 02/01/26◊,4 235,331    218,349
2021-2, 4.26% (1 Month USD LIBOR + 1.70%, Rate Floor: 1.70%) due 03/02/26◊,4 124,186    121,176
Residential Mortgage Loan Trust      
2020-1, 2.38% (WAC) due 01/26/60◊,1 224,842    211,608
CSMC Series      
2014-2R, 2.46% (1 Month USD LIBOR + 0.20%, Rate Floor: 0.20%) due 02/27/46◊,1 192,169    189,584
Angel Oak Mortgage Trust      
2022-1, 3.29% (WAC) due 12/25/66◊,1 222,066    185,630
Cascade Funding Mortgage Trust      
2019-RM3, 2.80% (WAC) due 06/25/69◊,4 183,811    178,496
CIT Mortgage Loan Trust      
2007-1, 4.43% (1 Month USD LIBOR + 1.35%, Rate Floor: 1.35%) due 10/25/37◊,1 126,007    125,073
FBR Securitization Trust      
2005-2, 3.83% (1 Month USD LIBOR + 0.75%, Rate Cap/Floor: 14.00%/0.75%) due 09/25/35 108,662    108,243

Guggenheim Variable Insurance Strategy Fund III  
SCHEDULE OF INVESTMENTS September 30, 2022

 

  Face
Amount~
  Value
COLLATERALIZED MORTGAGE OBLIGATIONS†† - 21.1% (continued)
Residential Mortgage-Backed Securities - 17.3% (continued)      
Countrywide Asset-Backed Certificates      
2006-6, 3.42% (1 Month USD LIBOR + 0.34%, Rate Floor: 0.34%) due 09/25/36 94,586   $94,450
GS Mortgage-Backed Securities Trust      
2020-NQM1, 1.38% (WAC) due 09/27/60◊,1 100,442    91,606
Structured Asset Investment Loan Trust      
2005-2, 3.82% (1 Month USD LIBOR + 0.74%, Rate Floor: 0.74%) due 03/25/35 65,283    64,492
Starwood Mortgage Residential Trust      
2020-1, 2.28% (WAC) due 02/25/50◊,1 34,958    33,759
Total Residential Mortgage-Backed Securities      20,239,839
Commercial Mortgage-Backed Securities - 3.8%      
BX Commercial Mortgage Trust      
2021-VOLT, 4.47% (1 Month USD LIBOR + 1.65%, Rate Floor: 1.65%) due 09/15/36◊,1 1,250,000    1,160,388
2022-LP2, 4.48% (1 Month Term SOFR + 1.56%, Rate Floor: 1.56%) due 02/15/39◊,1 466,913    439,505
MTN Commercial Mortgage Trust 2022-LPFL      
2022-LPFL, 5.79% (1 Month Term SOFR + 2.94%, Rate Floor: 2.94%) due 03/15/39◊,1 800,000    757,752
Bank of America Merrill Lynch Commercial Mortgage Trust      
2017-BNK3, 1.16% (WAC) due 02/15/50◊,5 21,100,788    736,614
JP Morgan Chase Commercial Mortgage Securities Trust      
2021-NYAH, 4.36% (1 Month USD LIBOR + 1.54%, Rate Floor: 1.54%) due 06/15/38◊,1 350,000    331,577
Life Mortgage Trust      
2021-BMR, 3.92% (1 Month USD LIBOR + 1.10%, Rate Floor: 1.10%) due 03/15/38◊,1 344,040    327,655
BENCHMARK Mortgage Trust      
2019-B14, 0.91% (WAC) due 12/15/62◊,5 9,886,016    327,562
BXHPP Trust      
2021-FILM, 3.92% (1 Month USD LIBOR + 1.10%, Rate Floor: 1.10%) due 08/15/36◊,1 250,000   230,930
KKR Industrial Portfolio Trust      
2021-KDIP, 3.82% (1 Month USD LIBOR + 1.00%, Rate Floor: 1.00%) due 12/15/37◊,1 187,500    177,628
Total Commercial Mortgage-Backed Securities      4,489,611
Total Collateralized Mortgage Obligations    
(Cost $26,219,708)   24,729,450
SENIOR FLOATING RATE INTERESTS††,◊ - 3.9%
Industrial - 1.4%      
SkyMiles IP Ltd.      
6.46% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.75%) due 10/20/27 505,094    505,488
TricorBraun Holdings, Inc.      
6.37% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.75%) due 03/03/28 496,231    465,092
Hunter Douglas, Inc.      
6.34% (3 Month Term SOFR + 3.50%, Rate Floor: 3.50%) due 02/26/29 350,000    286,475
Mileage Plus Holdings LLC      
8.78% (3 Month USD LIBOR + 5.25%, Rate Floor: 6.25%) due 06/21/27 285,000    285,661
Filtration Group Corp.      
6.12% (1 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 03/31/25 146,801    140,700
Total Industrial      1,683,416
Technology - 0.9%      
Dun & Bradstreet      
6.33% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.25%) due 02/06/26 287,464    277,475
Emerald TopCo, Inc. (Press Ganey)      
6.62% (1 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 07/24/26 296,193    268,795
Boxer Parent Company, Inc.      
6.87% (1 Month USD LIBOR + 3.75%, Rate Floor: 3.75%) due 10/02/25 245,842    232,439
VT TopCo, Inc.      
6.87% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 08/01/25 218,174    207,265

Guggenheim Variable Insurance Strategy Fund III  
SCHEDULE OF INVESTMENTS September 30, 2022

  

  Face
Amount~
  Value
SENIOR FLOATING RATE INTERESTS††,◊ - 3.9% (continued)
Technology - 0.9% (continued)      
MACOM Technology Solutions Holdings, Inc.      
5.37% (1 Month USD LIBOR + 2.25%, Rate Floor: 2.25%) due 05/17/24  54,392   $53,290
Sabre GLBL, Inc.      
5.12% (1 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 02/22/24 47,413    46,673
Total Technology      1,085,937
Financial - 0.8%      
Alliant Holdings Intermediate LLC      
6.37% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.25%) due 05/09/25 295,420    282,741
Citadel Securities, LP      
6.15% (1 Month Term SOFR + 3.00%, Rate Floor: 3.00%) due 02/02/28 250,000    246,563
USI, Inc.      
6.42% (3 Month USD LIBOR + 2.75%, Rate Floor: 2.75%) due 05/16/24 146,907    142,745
Nexus Buyer LLC      
6.87% (1 Month USD LIBOR + 3.75%, Rate Floor: 3.75%) due 11/09/26 126,180    120,897
HUB International Ltd.      
5.77% (3 Month USD LIBOR + 3.00%, Rate Floor: 3.15%) due 04/25/25 97,954    94,056
Total Financial      887,002
Consumer, Cyclical - 0.4%      
Power Solutions (Panther)      
6.37% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.25%) due 04/30/26 455,849    430,208
Communications - 0.2%      
Internet Brands, Inc.      
6.87% (1 Month USD LIBOR + 3.75%, Rate Floor: 3.75%) due 09/13/24  295,337   280,892
Consumer, Non-cyclical - 0.1%      
Outcomes Group Holdings, Inc.      
7.17% (3 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 10/24/25 98,465    94,199
Energy - 0.1%      
ITT Holdings LLC      
5.87% (1 Month USD LIBOR + 2.75%, Rate Floor: 3.25%) due 07/10/28 65,340    62,236
Total Senior Floating Rate Interests    
(Cost $4,776,515)   4,523,890
FOREIGN GOVERNMENT DEBT†† - 2.2%
State of Israel
1.25% due 11/30/22 ILS  4,872,000   1,366,521  
Ontario T-Bill
2.84% due 10/05/22†††,6 CAD  1,720,000   1,245,130  
Total Foreign Government Debt    
(Cost $2,787,067)     2,611,651  
COMMERCIAL PAPER†† - 4.8%
Cintas Corporation No. 2
3.25% due 10/03/221,6 1,700,000     1,699,693  
Mondelez International, Inc.
3.25% due 10/03/221,6 1,700,000     1,699,693  
Relx, Inc.
3.30% due 10/03/221,6 1,200,000     1,199,780  
Amphenol Corp.
3.23% due 10/03/221,6 1,000,000     999,821  
Total Commercial Paper    
(Cost $5,598,987)     5,598,987  
Total Investments - 95.6%    
(Cost $117,456,464)   $   111,609,182  
Other Assets & Liabilities, net - 4.4% 5,075,304  
Total Net Assets - 100.0%   $   116,684,486  

 
 

 

Guggenheim Variable Insurance Strategy Fund III  
SCHEDULE OF INVESTMENTS September 30, 2022

 

Centrally Cleared Interest Rate Swap Agreements††    
Counterparty Exchange Floating Rate Type Floating Rate Index Fixed Rate Payment Frequency Maturity Date   Notional Amount Value Upfront Premiums Paid Unrealized Appreciation**
BofA Securities, Inc. CME Receive 3-Month USD LIBOR 0.24% Quarterly 09/22/23   $9,700,000 $393,246 $105 $393,141
BofA Securities, Inc. CME Receive 3-Month USD LIBOR 1.66% Quarterly 03/16/31    1,300,000  208,683  262  208,421
BofA Securities, Inc. CME Receive U.S. Secured Overnight Financing Rate 1.42% Annually 03/04/24    1,400,000  54,650  216  54,434
BofA Securities, Inc. CME Receive U.S. Secured Overnight Financing Rate 1.54% Annually 03/07/25    700,000  41,513  244  41,269
BofA Securities, Inc. CME Receive U.S. Secured Overnight Financing Rate 1.73% Annually 02/25/27   380,000 32,427 266 32,161
BofA Securities, Inc. CME Receive U.S. Secured Overnight Financing Rate 3.15% Annually 09/09/27    300,000  8,835  298  8,537
BofA Securities, Inc. CME Receive U.S. Secured Overnight Financing Rate 3.24% Annually 09/14/27    300,000  7,663  298  7,365
                  $747,017 $1,689 $745,328

 

Forward Foreign Currency Exchange Contracts††    
Counterparty Currency Type Quantity Contract Amount Settlement Date Unrealized Appreciation (Depreciation)
Barclays Bank plc ILS Sell 3,209,625 1,017,648 USD 11/30/22 $111,550
UBS AG ILS Sell 1,723,275 545,708 USD 11/30/22  59,218
JPMorgan Chase Bank, N.A. CAD Sell 1,720,000 1,252,289 USD 10/05/22  6,601
Morgan Stanley Capital Services LLC CZK Sell 4,140 161 USD 12/02/22  (3)
            $177,366

 

Guggenheim Variable Insurance Strategy Fund III  
SCHEDULE OF INVESTMENTS September 30, 2022

 

~ The face amount is denominated in U.S. dollars unless otherwise indicated.
** Includes cumulative appreciation (depreciation). Variation margin is reported within the Statement of Assets and Liabilities.
†† Value determined based on Level 2 inputs, unless otherwise noted — See Note 4.
††† Value determined based on Level 3 inputs — See Note 4.
Variable rate security. Rate indicated is the rate effective at September 30, 2022. 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 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 $81,087,585 (cost $85,379,899), or 69.5% of total net assets.
2 Security has a fixed rate coupon which will convert to a floating or variable rate coupon on a future date.
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 September 30, 2022. See table below for additional step information for each security.
4 Security is a 144A or Section 4(a)(2) security. These securities have been determined to be illiquid and restricted under guidelines established by the Board of Trustees. The total market value of 144A or Section 4(a)(2) illiquid and restricted securities is $1,524,317 (cost $1,593,299), or 1.3% of total net assets — See Note 9.
5 Security is an interest-only strip.
6 Rate indicated is the effective yield at the time of purchase.

 

  BofA — Bank of America
  CAD — Canadian Dollar
  CME — Chicago Mercantile Exchange
  CZK — Czech Koruna
  ILS — Israeli New Shekel
  LIBOR — London Interbank Offered Rate
  plc — Public Limited Company
  SOFR — Secured Overnight Financing Rate
  WAC — Weighted Average Coupon
 
See Sector Classification in Other Information section.

 

Guggenheim Variable Insurance Strategy Fund III  
SCHEDULE OF INVESTMENTS September 30, 2022

 

 

The following table summarizes the inputs used to value the Fund's investments at September 30, 2022 (See Note 4 in the Notes to Financial Statements):
 
Investments in Securities (Assets) Level 1 Quoted Prices Level 2 Significant Observable Inputs Level 3 Significant Unobservable Inputs   Total
Asset-Backed Securities   $ —   $ 44,385,029   $ 1,099,307     $ 45,484,336  
Corporate Bonds     —   28,660,868       —     28,660,868  
Collateralized Mortgage Obligations     —   24,206,329   523,121     24,729,450  
Senior Floating Rate Interests     —   4,523,890       —     4,523,890  
Foreign Government Debt     —   1,366,521   1,245,130     2,611,651  
Commercial Paper     —   5,598,987       —     5,598,987  
Interest Rate Swap Agreements**     —   745,328       —     745,328  
Forward Foreign Currency Exchange Contracts**     —   177,369       —     177,369  
Total Assets   $ —   $ 109,664,321   $ 2,867,558     $ 112,531,879 
           
Investments in Securities (Liabilities) Level 1 Quoted Prices Level 2 Significant Observable Inputs Level 3 Significant Unobservable Inputs   Total
Forward Foreign Currency Exchange Contracts**   $ —   $ 3     $    —     $      3  
Unfunded Loan Commitments (Note 8)     —       —   315     315  
Total Liabilities   $ —   $ 3   $ 315     $ 318  

 

** 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 categorized within Level 3 of the value hierarchy:

           
Category Ending Balance at September 30, 2022 Valuation Technique Unobservable Inputs Input Range Weighted Average
Assets:          
Asset-Backed Securities $       749,307   Option adjusted spread off prior month end broker quote Broker Quote
Asset-Backed Securities          350,000   Third Party Pricing Broker Quote
Collateralized Mortgage Obligations          523,121   Model Price Market Comparable Yields 6.9%
Foreign Government Debt       1,245,130   Third Party Pricing Vendor Price
Total Assets $    2,867,558          
Liabilities:          
Unfunded Loan Commitments $              315   Model Price Purchase Price

 

Significant changes in a quote, yield, market comparable yields, liquidation value or valuation multiples would generally result in significant changes in the fair value of the security. Any remaining Level 3 securities held by the Fund and excluded from the table above, were not considered material to the Fund.

 

The Fund’s fair valuation leveling guidelines were revised to 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.

 

Transfer between Level 2 and Level 3 may occur as markets fluctuate and/or the availability of data used in an investment’s valuation changes. For the year ended September 30, 2022, the Fund had securities with a total value of $523,121 transfer into Level 3 from Level 2 due to a lack of observable inputs.

 

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 year ended September 30, 2022:

 

  Assets   Liabilities
  Asset-Backed Securities Collateralized Mortgage Obligations Foreign Government Debt Total Assets Unfunded Loan Commitments
           
Beginning Balance  $3,650,000  $631,943  $ -   $ 4,281,943  $ -
Purchases/(Receipts) 1,100,000  - 1,251,872  2,351,872 -
(Sales, maturities and paydowns)/Fundings   (3,650,000) (631,943)  -  (4,281,943) -
Amortization of premiums/discounts  - (1)  439 438 -
Total realized gains (losses) included in earnings  - (296)  - (296) -
Total change in unrealized appreciation (depreciation) included in earnings  (693)  297 (7,181)  (7,577)  (315)
Transfers into Level 3  -  523,121  - 523,121 -
Transfers out of Level 3  -  -  - - -
 Ending Balance   $1,099,307  $523,121  $1,245,130  $ 2,867,558  $(315)
Net change in unrealized appreciation (depreciation) for investments in Level 3 securities still held at September 30, 2022  $(693)  $-  $ (7,181)  $(7,874)  $(315)

 

 

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, if such a quote or price cannot be supported with other available market information

 

 

Guggenheim Variable Insurance Strategy Fund III  
SCHEDULE OF INVESTMENTS September 30, 2022

 

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(s) Future Reset Date(s)
BRAVO Residential Funding Trust 2022-R1, 3.13% due 01/29/70 6.13% 01/30/25
BRAVO Residential Funding Trust 2021-C, 1.62% due 03/01/61 4.62% 09/26/24 5.62% 09/26/25
CSMC Trust 2020-NQM1, 1.21% due 05/25/65 2.21% 09/26/24
Legacy Mortgage Asset Trust 2021-GS3, 1.75% due 07/25/61 4.75% 05/26/24 5.75% 05/26/25
Legacy Mortgage Asset Trust 2021-GS4, 1.65% due 11/25/60 4.65% 08/26/24 5.65% 08/26/25
Legacy Mortgage Asset Trust 2021-GS2, 1.75% due 04/25/61 4.75% 04/26/24 5.75% 04/26/25
NYMT Loan Trust 2021-SP1, 1.67% due 08/25/61 4.67% 08/26/24 5.67% 08/26/25
NYMT Loan Trust 2022-SP1, 5.25% due 07/25/62 8.25% 07/01/25 9.25% 07/01/26
OSAT Trust 2021-RPL1, 2.12% due 05/25/65 5.12% 06/26/24 6.12% 06/26/25
PRPM LLC 2022-1, 3.72% due 02/25/27 6.72% 02/25/25 7.72% 02/25/26
PRPM LLC 2021-5, 1.79% due 06/25/26 4.79% 06/26/24 5.79% 06/26/25
Verus Securitization Trust 2020-1, 2.42% due 01/25/60 3.42% 01/26/24
Verus Securitization Trust 2019-4, 2.64% due 11/25/59 3.64% 10/26/23
Verus Securitization Trust 2020-5, 1.22% due 05/25/65 2.22% 10/26/24

 

 
 
   
Guggenheim Strategy Fund II  

 

STATEMENT OF ASSETS AND LIABILITIES

 

September 30, 2022

 

ASSETS:  
Investments, at value
(cost $289,081,340)
$274,083,196
Cash 11,809,244
Segregated cash with broker 525,000
Unamortized upfront premiums paid on interest rate swap agreements 1,157
Unrealized appreciation on forward foreign currency exchange contracts 463,263
Prepaid expenses 10,241
Receivables:  
Interest 1,401,672
Securities sold 657,534
Variation margin on interest rate swap agreements 46,849
Total assets 288,998,156
LIABILITIES:  
Segregated cash due to broker 307,842
Unrealized depreciation on forward foreign currency exchange contracts 20
Payable for:  
Fund shares redeemed 1,000,000
Distributions to shareholders 220,410
Fund accounting/administration fees 5,507
Trustees' fees* 1,743
Securities purchased 933
Miscellaneous 95,569
Total liabilities 1,632,024
NET ASSETS $287,366,132
NET ASSETS CONSIST OF:  
Paid in capital $302,409,652
Total distributable earnings (loss) (15,043,520)
Net assets $287,366,132
Capital shares outstanding 11,991,398
Net asset value per share $23.96

 


* Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act.

   
Guggenheim Strategy Fund III  

 

STATEMENT OF ASSETS

AND LIABILITIES

September 30, 2022

 

ASSETS:  
Investments, at value
(cost $313,206,055)
$296,400,366
Cash 354,459
Segregated cash with broker 455,000
Unamortized upfront premiums paid on interest rate swap agreements 1,728
Unrealized appreciation on forward foreign currency exchange contracts 551,147
Prepaid expenses 10,725
Receivables:  
Interest 1,438,613
Securities sold 292,790
Variation margin on interest rate swap agreements 30,096
Total assets 299,534,924
LIABILITIES:  
Unfunded loan commitments, at value (Note 8)
(commitment fees received $82)
817
Segregated cash due to broker 289,747
Unrealized depreciation on forward foreign currency exchange contracts 8
Payable for:  
Professional fees 44,073
Distributions to shareholders 26,389
Fund accounting/administration fees 5,173
Trustees' fees* 4,137
Transfer agent and administrative fees 1,174
Miscellaneous 25,700
Total liabilities 397,218
NET ASSETS $299,137,706
NET ASSETS CONSIST OF:  
Paid in capital $316,449,002
Total distributable earnings (loss) (17,311,296)
Net assets $299,137,706
Capital shares outstanding 12,455,209
Net asset value per share $24.02

 


* Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act.

 

   
Guggenheim Variable Insurance Strategy Fund III

 

STATEMENT OF ASSETS

AND LIABILITIES

September 30, 2022

 

ASSETS:  
Investments, at value
(cost $117,456,464)
$111,609,182
Cash 4,125,999
Segregated cash with broker 163,000
Unamortized upfront premiums paid on interest rate swap agreements 1,689
Unrealized appreciation on forward foreign currency exchange contracts 177,369
Prepaid expenses 9,070
Receivables:  
Interest 570,856
Securities sold 104,950
Variation margin on interest rate swap agreements 11,783
Total assets 116,773,898
LIABILITIES:  
Unfunded loan commitments, at value (Note 8)
(commitment fees received $–)
315
Segregated cash due to broker 13,305
Unrealized depreciation on forward foreign currency exchange contracts 3
Payable for:  
Professional fees 55,872
Pricing fees 9,603
Custodian fees 4,797
Fund accounting/administration fees 4,288
Transfer agent and administrative fees 765
Trustees' fees* 14
Miscellaneous 450
Total liabilities 89,412
NET ASSETS $116,684,486
NET ASSETS CONSIST OF:  
Paid in capital $122,464,652
Total distributable earnings (loss) (5,780,166)
Net assets $116,684,486
Capital shares outstanding 4,860,649
Net asset value per share $24.01

 


* Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act.

 

 

Guggenheim Strategy Fund II  

 

STATEMENT OF OPERATIONS

 

Year Ended September 30, 2022

 

INVESTMENT INCOME:  
Dividends $   116,765 
Interest 7,151,475 
Total investment income 7,268,240 
EXPENSES:  
Transfer agent and administrative fees 12,000 
Professional fees 149,672 
Fund accounting/administration fees 99,999 
Custodian fees 29,712 
Trustees' fees* 17,137 
Line of credit fees 14,925 
Interest expense 1,195 
Miscellaneous 35,642 
Total expenses 360,282 
Less:  
Earnings credits applied     (252)
Net expenses 360,030 
Net investment income 6,908,210 
NET REALIZED AND UNREALIZED GAIN (LOSS):  
Net realized gain (loss) on:
Investments     (2,984,160)
Investments sold short 8,944 
Swap agreements 2,419,101 
Forward foreign currency exchange contracts 139,313 
Foreign currency transactions     32,311
Net realized loss     (384,491)
Net change in unrealized appreciation (depreciation) on:  
Investments     (16,239,329)
Investments sold short     (12,224)
Swap agreements 1,977,769 
Forward foreign currency exchange contracts 599,421 
Foreign currency translations     (4,428)
Net change in unrealized appreciation (depreciation)     (13,678,791)
Net realized and unrealized loss     (14,063,282)
Net decrease in net assets resulting from operations $   (7,155,072)

* Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act.

 

 

Guggenheim Strategy Fund III  

 

STATEMENT OF OPERATIONS

 

Year Ended September 30, 2022

INVESTMENT INCOME:
Dividends $ 134,294
Interest 7,256,005
Total investment income 7,390,299
EXPENSES:
Transfer agent and administrative fees 12,000
Professional fees 131,932
Fund accounting/administration fees 99,999
Custodian fees 21,727
Trustees' fees* 19,654
Line of credit fees 15,085
Miscellaneous 38,466
Total expenses 338,863
Less:
Earnings credits applied (195)
Net expenses 338,668
Net investment income 7,051,631
NET REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) on:
Investments (1,966,113)
Investments sold short 10,595
Swap agreements