Form N-CSR Guggenheim Strategy Fund For: Sep 30

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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?

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.

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

(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?

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)

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

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%

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.

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.

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.

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

Annualized and excludes expenses of the underlying funds in which the Funds invest, if any.

Expenses 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).

Actual 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 05/25/65^1,2	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 03/01/61^1,2	1,764,688	1,608,968
2022-R1, 3.13% due 01/29/70^1,2	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 06/25/26^1,2	1,474,831	1,326,441
2022-1, 3.72% due 02/25/27^1,2	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 07/25/61^1,2	1,514,137	1,378,998
2021-GS4, 1.65% due 11/25/60^1,2	1,241,695	1,134,948
2021-GS2, 1.75% due 04/25/61^1,2	600,462	557,093
NYMT Loan Trust
2021-SP1, 1.67% due 08/25/61^1,2	2,512,938	2,267,902
2022-SP1, 5.25% due 07/25/62^1,2	832,703	797,725
Verus Securitization Trust
2020-5, 1.22% due 05/25/65^1,2	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 11/25/59^1,2	388,692	378,066
2020-1, 2.42% due 01/25/60^1,2	324,144	312,854
2019-4, 2.64% due 11/25/59^1,2	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 05/25/65^1,2	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 08/25/67^1,2	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 09/25/62^1,2	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 08/09/26^1,5	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 10/14/23^1,5	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 08/22/28^1,5	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 10/03/22^1,6	4,300,000	4,299,223
Mondelez International, Inc.
3.25% due 10/03/22^1,6	4,300,000	4,299,224
Relx, Inc.
3.30% due 10/03/22^1,6	4,300,000	4,299,212
Amphenol Corp.
3.23% due 10/03/22^1,6	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 10/14/25^2,3	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 08/22/28^2,3	800,000	754,479
Standard Chartered plc
1.32% due 10/14/23^2,3	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 02/25/27^2,4	3,203,309	2,981,671
2021-5, 1.79% due 06/25/26^2,4	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 05/25/65^2,4	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 03/01/61^2,4	2,745,071	2,502,839
2022-R1, 3.13% due 01/29/70^2,4	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 05/25/65^2,4	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 11/25/59^2,4	388,692	378,066
2021-4, 1.35% (WAC) due 07/25/66^◊,2	372,642	297,319
2020-1, 2.42% due 01/25/60^2,4	270,120	260,711
2019-4, 2.64% due 11/25/59^2,4	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 08/25/61^2,4	2,931,761	2,645,885
2022-SP1, 5.25% due 07/25/62^2,4	783,720	750,800
Legacy Mortgage Asset Trust
2021-GS4, 1.65% due 11/25/60^2,4	1,241,695	1,134,948
2021-GS3, 1.75% due 07/25/61^2,4	1,219,721	1,110,859
2021-GS2, 1.75% due 04/25/61^2,4	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 05/25/65^2,4	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 10/03/22^2,7	1,000,000	999,821
Relx, Inc.
3.30% due 10/03/22^2,7	800,000	799,853
Mondelez International, Inc.
3.25% due 10/03/22^2,7	300,000	299,946
Cintas Corporation No. 2
3.25% due 10/03/22^2,7	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.

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

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 08/09/26^1,2	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 10/14/23^1,2	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 08/22/28^1,2	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 05/25/65^1,3	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 02/25/27^1,3	1,245,731	1,159,539
2021-5, 1.79% due 06/25/26^1,3	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 07/25/61^1,3	546,772	497,971
2021-GS4, 1.65% due 11/25/60^1,3	413,898	378,316
2021-GS2, 1.75% due 04/25/61^1,3	200,154	185,698
NYMT Loan Trust
2021-SP1, 1.67% due 08/25/61^1,3	837,646	755,967
2022-SP1, 5.25% due 07/25/62^1,3	293,895	281,550
BRAVO Residential Funding Trust
2022-R1, 3.13% due 01/29/70^1,3	487,425	430,593
2021-C, 1.62% due 03/01/61^1,3	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 05/25/65^1,3	502,142	463,771
2020-1, 2.42% due 01/25/60^1,3	108,048	104,285
2019-4, 2.64% due 11/25/59^1,3	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 05/25/65^1,3	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 10/03/22^1,6	1,700,000	1,699,693
Mondelez International, Inc.
3.25% due 10/03/22^1,6	1,700,000	1,699,693
Relx, Inc.
3.30% due 10/03/22^1,6	1,200,000	1,199,780
Amphenol Corp.
3.23% due 10/03/22^1,6	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	—	—

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)

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

Step Coupon Bonds

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