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

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

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, 100 F Street, NE, Washington, DC 20549-1090. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.

Series E (Total Return Bond Series)

Variable Annuity

Semi-Annual Shareholder Report | June 30, 2026

This semi-annual shareholder report contains important information about the Series E (Total Return Bond Series) for the period from January 1, 2026 to June 30, 2026. You can find additional information about the fund at GuggenheimInvestments.com/variable-insurance-funds. You can also request this information by contacting 800 820 0888 or services@guggenheiminvestments.com.

What were the Fund's costs for the last six months? ^*

Based on a hypothetical $10,000 investment

Table Summary
Class	Costs of a $10,000 Investment	Costs Paid as a % of a $10,000 Investment**
Variable Annuity	$38	0.76%

Table Summary
*	Excludes expenses of the underlying funds in which the fund invests, if any.
**	Annualized

Fund Performance

How did the Fund perform over the last 10 years?

Cumulative performance^◊ for the fund’s most recently completed 10 years (as of June 30, 2026), assuming a $10,000 initial investment.

Table Summary
	Series E (Total Return Bond Series)	Bloomberg U.S. Aggregate Bond Index
6/30/16	$10,000	$10,000
6/30/17	$10,608	$9,969
6/30/18	$10,947	$9,929
6/30/19	$11,393	$10,710
6/30/20	$12,447	$11,646
6/30/21	$13,045	$11,607
6/30/22	$11,306	$10,413
6/30/23	$11,300	$10,315
6/30/24	$11,766	$10,587
6/30/25	$12,613	$11,230
6/30/26	$13,134	$11,656

Average Annual Total Returns^⋄^‡ as of June 30, 2026

Table Summary
Average Annual Total Returns	6 Month ~	One Year	Five Years	Ten Years
Series E (Total Return Bond Series)	1.02%	4.13%	0.14%	2.76%
Bloomberg U.S. Aggregate Bond Index	0.62%	3.79%	0.08%	1.54%

The fund's past performance is not a good predictor of the fund's future performance.

What factors materially affected the Fund's performance over the last six months?

Positive contributors to relative returns included the fund’s carry (or income) advantage, sector positioning, and security selection, with carry the largest contributor to both absolute and relative performance. Security selection within investment-grade credit contributed most of the positive spread performance, with spread tightening in non-agency residential mortgage-backed securities and asset backed securities also contributing positively. Duration detracted from both absolute and relative returns, as rates rose notably following March’s Strait of Hormuz closure and the fund’s duration was modestly overweight versus the Bloomberg U.S. Aggregate Bond Index.

Table Summary
⋄	The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the deduction of taxes that a shareholder would pay on fund distributions or redemption of fund shares. The Bloomberg U.S. Aggregate Bond Index is an unmanaged index and, unlike the fund, has no management fees or operating expenses to reduce its reported returns.
‡	Performance figures do not reflect fees and expenses associated with an investment in variable insurance products. If returns had taken into account these fees and expenses, performance would have been lower. Shares of a series of Guggenheim Variable Funds Trust are available only through the purchase of such products.
~	6 month returns are not annualized.

Guggenheim Investments

Series E (Total Return Bond Series) | Variable Annuity

Semi-Annual Shareholder Report | June 30, 2026

Fund Statistics as of June 30, 2026

Net Assets$195,537,117
Total Number of Portfolio Holdings701
Portfolio Turnover Rate36%

What did the Fund invest in?

Portfolio Composition by Quality Rating^{Footnote Reference(1)} (% of Total Investments) as of June 30, 2026

Table Summary
AAA	11.9%
AA	26.5%
A	14.0%
BBB	13.7%
BB	4.2%
B	1.2%
CCC	0.6%
CC	0.4%
C	0.1%
NR^{Footnote Reference(a)}	2.7%
Other Investments	24.7%

10 Largest Holdings^{Footnote Reference(2)} (% of Net Assets) as of June 30, 2026

Table Summary
Guggenheim Securitized Income ETF	27.9%
Uniform MBS 30 Year 3.00% due 08/15/56	5.6%
Uniform MBS 30 Year 5.50% due 08/01/56	3.0%
U.S. Treasury Inflation Indexed Bonds 1.25% due 04/15/31	2.9%
Uniform MBS 30 Year 2.50% due 08/15/56	1.8%
Uniform MBS 30 Year 5.00% due 08/01/56	1.6%
U.S. Treasury Bonds due 05/15/55	1.5%
U.S. Treasury Inflation Indexed Bonds 2.13% due 01/15/35	1.4%
U.S. Treasury Inflation Indexed Bonds 1.88% due 07/15/35	1.2%
Freddie Mac 5.50% due 02/01/56	0.8%
Total	47.7%

Holdings Diversification^{Footnote Reference(3)} (% of Net Assets) as of June 30, 2026

Table Summary
Value	Value
Other	6.3%
Centrally Cleared Interest Rate Swap Agreements Receive	-2.7%
Centrally Cleared Interest Rate Swap Agreements Pay	7.8%
U.S. Government Securities	9.8%
Interest Rate Futures Contracts Purchased	13.9%
Asset-Backed Securities	16.4%
Corporate Bonds	22.2%
Exchange-Traded Funds	27.9%
Collateralized Mortgage Obligations	29.3%

Footnote	Description
Footnote⁽¹⁾	Source: BlackRock Solutions. Credit quality ratings are measured on a scale that generally ranges from AAA (highest) to D (lowest). All securities except for those labeled “NR” have been rated by Moody’s, Standard & Poor’s (“S&P”), or Fitch, each of which is a Nationally Recognized Statistical Rating Organization (“NRSRO”). For purposes of this presentation, when ratings are available from more than one agency, the highest rating is used. Guggenheim Investments has converted ratings to the equivalent S&P rating.
Footnote⁽²⁾	10 Largest Holdings (as a % of Net Assets) excludes any temporary cash or derivative instruments.
Footnote⁽³⁾	Holdings Diversification (Market Exposure as a % of Net Assets) excludes any temporary cash investments, investments in Guggenheim Strategy Funds Trust mutual funds, in Guggenheim Ultra Short Duration Fund, or in Guggenheim Ultra Short Income ETF.
Footnote^(a)	NR (not rated) securities do not necessarily indicate low credit quality.

Availability of Additional Information

For additional information, including the fund’s prospectus, financial information, holdings and proxy voting information, go to GuggenheimInvestments.com/variable-insurance-funds or call 800 820 0888.

SA-C000027865-063026

Guggenheim Investments

Series F (Floating Rate Strategies Series)

Variable Annuity

Semi-Annual Shareholder Report | June 30, 2026

This semi-annual shareholder report contains important information about the Series F (Floating Rate Strategies Series) for the period from January 1, 2026 to June 30, 2026. You can find additional information about the fund at GuggenheimInvestments.com/variable-insurance-funds. You can also request this information by contacting 800 820 0888 or services@guggenheiminvestments.com.

What were the Fund's costs for the last six months? ^*

Based on a hypothetical $10,000 investment

Table Summary
Class	Costs of a $10,000 Investment	Costs Paid as a % of a $10,000 Investment**
Variable Annuity	$55	1.10%

Table Summary
*	Excludes expenses of the underlying funds in which the fund invests, if any.
**	Annualized

Fund Performance

How did the Fund perform over the last 10 years?

Cumulative performance^◊ for the fund’s most recently completed 10 years (as of June 30, 2026), assuming a $10,000 initial investment.

Table Summary
	Series F (Floating Rate Strategies Series)	Bloomberg U.S. Aggregate Bond Index	S&P UBS Leveraged Loan Index
6/30/16	$10,000	$10,000	$10,000
6/30/17	$10,645	$9,969	$10,749
6/30/18	$10,968	$9,929	$11,251
6/30/19	$11,276	$10,710	$11,718
6/30/20	$10,950	$11,646	$11,452
6/30/21	$11,755	$11,607	$12,788
6/30/22	$11,285	$10,413	$12,446
6/30/23	$12,441	$10,315	$13,703
6/30/24	$13,495	$10,587	$15,216
6/30/25	$14,261	$11,230	$16,357
6/30/26	$14,721	$11,656	$17,059

Average Annual Total Returns^⋄^‡ as of June 30, 2026

Table Summary
Average Annual Total Returns	6 Month ~	One Year	Five Years	Ten Years
Series F (Floating Rate Strategies Series)	1.70%	3.22%	4.60%	3.94%
Bloomberg U.S. Aggregate Bond Index	0.62%	3.79%	0.08%	1.54%
S&P UBS Leveraged Loan Index	1.38%	4.26%	5.94%	5.49%

The fund's past performance is not a good predictor of the fund's future performance.

What factors materially affected the Fund's performance over the last six months?

Absolute returns for the syndicated bank loan asset class and the fund were coupon-driven during the period. Bank loan prices broadly moved lower, dragged down by the technology sector. The fund continues to be positioned up in quality and up in liquidity. The fund outperformed its secondary index, the S&P UBS Leveraged Loan Index, over the period. Credit selection in the technology sector was strong, with the fund’s tech exposure returning 0.31% versus the Index’s -3.35%, while an underweight further aided performance as tech materially lagged the secondary index. Healthcare restructurings were also a material driver, crystallizing gains versus prior marks.

Table Summary
⋄	The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the deduction of taxes that a shareholder would pay on fund distributions or redemption of fund shares. The Bloomberg U.S. Aggregate Bond Index and the S&P UBS Leveraged Loan Index are unmanaged indices and, unlike the fund, have no management fees or operating expenses to reduce their reported returns.
‡	Performance figures do not reflect fees and expenses associated with an investment in variable insurance products. If returns had taken into account these fees and expenses, performance would have been lower. Shares of a series of Guggenheim Variable Funds Trust are available only through the purchase of such products.
~	6 month returns are not annualized.

Guggenheim Investments

Series F (Floating Rate Strategies Series) | Variable Annuity

Semi-Annual Shareholder Report | June 30, 2026

Fund Statistics as of June 30, 2026

Net Assets$42,711,719
Total Number of Portfolio Holdings278
Portfolio Turnover Rate24%

What did the Fund invest in?

Portfolio Composition by Quality Rating^{Footnote Reference(1)} (% of Total Investments) as of June 30, 2026

Table Summary
AAA	0.5%
BBB	11.1%
BB	36.2%
B	41.8%
CCC	1.8%
NR^{Footnote Reference(a)}	8.6%

10 Largest Holdings^{Footnote Reference(2)} (% of Net Assets) as of June 30, 2026

Table Summary
Guggenheim Floating Rate Strategies Fund — Institutional Shares	5.3%
Guggenheim Securitized Income ETF	2.0%
AI Aqua Merger Sub, Inc. 6.12% (3 Month Term SOFR + 2.50%, Rate Floor: 0.50%) due 07/31/28	1.2%
Blackhawk Network Holdings, Inc. 7.14% (1 Month Term SOFR + 3.50%, Rate Floor: 1.00%) due 03/12/29	1.1%
PetSmart LLC 7.65% (1 Month Term SOFR + 4.00%) due 08/18/32	1.1%
Ascend Learning LLC 6.64% (1 Month Term SOFR + 3.00%, Rate Floor: 0.50%) due 12/11/28	1.1%
Boxer Parent Co., Inc. 6.42% (3 Month Term SOFR + 2.75%) due 07/30/31	1.0%
Flutter Financing BV 5.48% (3 Month Term SOFR + 1.75%, Rate Floor: 0.50%) due 11/30/30	1.0%
AS Mileage Plan IP Ltd. 5.43% (3 Month Term SOFR + 1.75%) due 10/15/31	0.9%
DS Admiral Bidco LLC 7.98% (3 Month Term SOFR + 4.25%) due 06/26/31	0.9%
Total	15.6%

Holdings Diversification^{Footnote Reference(3)} (% of Net Assets) as of June 30, 2026

Table Summary
Value	Value
Other	2.6%
Corporate Bonds	3.3%
Mutual Funds	5.3%
Senior Floating Rate Interests	86.9%

Footnote	Description
Footnote⁽¹⁾	Source: BlackRock Solutions. Credit quality ratings are measured on a scale that generally ranges from AAA (highest) to D (lowest). All securities except for those labeled “NR” have been rated by Moody’s, Standard & Poor’s (“S&P”), or Fitch, each of which is a Nationally Recognized Statistical Rating Organization (“NRSRO”). For purposes of this presentation, when ratings are available from more than one agency, the highest rating is used. Guggenheim Investments has converted ratings to the equivalent S&P rating.
Footnote⁽²⁾	10 Largest Holdings (as a % of Net Assets) excludes any temporary cash or derivative instruments.
Footnote⁽³⁾	Holdings Diversification (Market Exposure as a % of Net Assets) excludes any temporary cash investments, investments in Guggenheim Strategy Funds Trust mutual funds, in Guggenheim Ultra Short Duration Fund, or in Guggenheim Ultra Short Income ETF.
Footnote^(a)	NR (not rated) securities do not necessarily indicate low credit quality.

Availability of Additional Information

SA-C000125779-063026

Guggenheim Investments

Series P (High Yield Series)

Variable Annuity

Semi-Annual Shareholder Report | June 30, 2026

This semi-annual shareholder report contains important information about the Series P (High Yield Series) for the period from January 1, 2026 to June 30, 2026. You can find additional information about the fund at GuggenheimInvestments.com/variable-insurance-funds. You can also request this information by contacting 800 820 0888 or services@guggenheiminvestments.com.

What were the Fund's costs for the last six months? ^*

Based on a hypothetical $10,000 investment

Table Summary
Class	Costs of a $10,000 Investment	Costs Paid as a % of a $10,000 Investment**
Variable Annuity	$51	1.03%

Table Summary
*	Excludes expenses of the underlying funds in which the fund invests, if any.
**	Annualized

Fund Performance

How did the Fund perform over the last 10 years?

Cumulative performance^◊ for the fund’s most recently completed 10 years (as of June 30, 2026), assuming a $10,000 initial investment.

Table Summary
	Series P (High Yield Series)	Bloomberg U.S. Aggregate Bond Index	Bloomberg U.S. Corporate High Yield Index
6/30/16	$10,000	$10,000	$10,000
6/30/17	$11,306	$9,969	$11,270
6/30/18	$11,486	$9,929	$11,565
6/30/19	$12,001	$10,710	$12,430
6/30/20	$11,676	$11,646	$12,434
6/30/21	$13,425	$11,607	$14,345
6/30/22	$11,945	$10,413	$12,507
6/30/23	$12,915	$10,315	$13,640
6/30/24	$14,186	$10,587	$15,064
6/30/25	$15,528	$11,230	$16,613
6/30/26	$16,058	$11,656	$17,595

Average Annual Total Returns^⋄^‡ as of June 30, 2026

Table Summary
Average Annual Total Returns	6 Month ~	One Year	Five Years	Ten Years
Series P (High Yield Series)	0.89%	3.42%	3.65%	4.85%
Bloomberg U.S. Aggregate Bond Index	0.62%	3.79%	0.08%	1.54%
Bloomberg U.S. Corporate High Yield Index	1.96%	5.91%	4.17%	5.81%

The fund's past performance is not a good predictor of the fund's future performance.

What factors materially affected the Fund's performance over the last six months?

During the period, the high yield market clipped its coupon as credit spreads were largely flat, with gains partially offset by higher rates. The primary contributor to the fund's performance was strong credit selection in capital goods, where the fund avoided several issuers pressured by the housing cycle. The primary detractor was weaker performance in technology, driven by certain issuers experiencing idiosyncratic credit stress.

Table Summary
⋄	The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the deduction of taxes that a shareholder would pay on fund distributions or redemption of fund shares. The Bloomberg U.S. Aggregate Bond Index and the Bloomberg U.S. Corporate High Yield Index are unmanaged indices and, unlike the fund, have no management fees or operating expenses to reduce their reported returns.
‡	Performance figures do not reflect fees and expenses associated with an investment in variable insurance products. If returns had taken into account these fees and expenses, performance would have been lower. Shares of a series of Guggenheim Variable Funds Trust are available only through the purchase of such products.
~	6 month returns are not annualized.

Guggenheim Investments

Series P (High Yield Series) | Variable Annuity

Semi-Annual Shareholder Report | June 30, 2026

Fund Statistics as of June 30, 2026

Net Assets$25,957,470
Total Number of Portfolio Holdings287
Portfolio Turnover Rate19%

What did the Fund invest in?

Portfolio Composition by Quality Rating^{Footnote Reference(1)} (% of Total Investments) as of June 30, 2026

Table Summary
AAA	2.6%
BBB	8.0%
BB	55.4%
B	24.0%
CCC	7.2%
NR^{Footnote Reference(a)}	2.8%

10 Largest Holdings^{Footnote Reference(2)} (% of Net Assets) as of June 30, 2026

Table Summary
Guggenheim Securitized Income ETF	2.0%
CPI CG, Inc. 10.00% due 07/15/29	1.0%
PetSmart LLC / PetSmart Finance Corp. 7.50% due 09/15/32	1.0%
Nassau Companies of New York 7.88% due 07/15/30	0.8%
Bausch Health Companies, Inc. 4.88% due 06/01/28	0.8%
Albion Financing 1 SARL / Aggreko Holdings, Inc. 7.00% due 05/21/30	0.8%
Allwyn Entertainment Financing UK plc 7.88% due 04/30/29	0.8%
Trinity Industries, Inc. 7.75% due 07/15/28	0.8%
TransMontaigne Partners LLC 8.50% due 06/15/30	0.8%
Alumina Pty Ltd. 6.38% due 09/15/32	0.8%
Total	9.6%

Holdings Diversification^{Footnote Reference(3)} (% of Net Assets) as of June 30, 2026

Table Summary
Value	Value
Other	8.3%
Corporate Bonds	88.4%

Footnote	Description
Footnote⁽¹⁾	Source: BlackRock Solutions. Credit quality ratings are measured on a scale that generally ranges from AAA (highest) to D (lowest). All securities except for those labeled “NR” have been rated by Moody’s, Standard & Poor’s (“S&P”), or Fitch, each of which is a Nationally Recognized Statistical Rating Organization (“NRSRO”). For purposes of this presentation, when ratings are available from more than one agency, the highest rating is used. Guggenheim Investments has converted ratings to the equivalent S&P rating.
Footnote⁽²⁾	10 Largest Holdings (as a % of Net Assets) excludes any temporary cash or derivative instruments.
Footnote⁽³⁾	Holdings Diversification (Market Exposure as a % of Net Assets) excludes any temporary cash investments, investments in Guggenheim Strategy Funds Trust mutual funds, in Guggenheim Ultra Short Duration Fund, or in Guggenheim Ultra Short Income ETF.
Footnote^(a)	NR (not rated) securities do not necessarily indicate low credit quality.

Availability of Additional Information

SA-C000027854-063026

Guggenheim Investments

Item 7. Financial Statements and Financial Highlights for Open-End Management Investment Companies.

The semi-annual Financial Statements and Financial Highlights are attached herewith.

This report and the financial statements contained herein are submitted for the general information of our shareholders. The report is not authorized for distribution to prospective investors unless preceded or accompanied by an effective prospectus.

CDX.NA.HY.43.V1 — Credit Default Swap North American High Yield Series 43 Index Version 1

CDX.NA.IG.45.V1 — Credit Default Swap North American Investment Grade Series 45 Index Version 1

ITRAXX.EUR.45.V1 — iTraxx Credit Default Swap European Investment Grade Series 45 Index Version 1

The following table summarizes the inputs used to value the Fund’s investments at June 30, 2026 (See Note 4 in the Notes to Financial Statements):

The Fund may hold assets and/or liabilities in which the fair value approximates the carrying amount for financial statement purposes. As of the period end, reverse repurchase agreements of $2,117,428 are categorized as Level 2 within the disclosure hierarchy — See Note 6.

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

Significant changes in a quote, yield, or liquidation value would generally result in significant changes in the fair value of the security.

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.

Following is a reconciliation of Level 3 assets for which significant unobservable inputs were used to determine fair value for the period ended June 30, 2026:

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.

Investments representing 5% or more of the outstanding voting shares of a company, or control of or by, or common control under Guggenheim Investments (“GI”), result in that company being considered an affiliated person, as defined in the Investment Company Act of 1940 (“affiliated issuer”).

The Fund may invest in Guggenheim Strategy Fund III, an underlying series of Guggenheim Strategy Funds Trust. Guggenheim Strategy Fund III is organized as an open-end management investment company managed by GI. Guggenheim Strategy Fund III is offered as a short-term investment option only to mutual funds, trusts, and other accounts managed by GI and/or its affiliates and is not available to the public. Guggenheim Strategy Fund III pays no investment management fees. The Fund could previously invest in certain other series of Guggenheim Strategy Funds Trust that are no longer offered.

Guggenheim Strategy Fund III’s annual report on Form N-CSR dated September 30, 2025 is available publicly or upon request. This information is available from the EDGAR database on the SEC’s website at https://www.sec. gov/Archives/edgar/data/1601445/000139834425021351/fp0095397-6_ncsrixbrl.htm. The Fund also may invest in certain of the underlying series of Guggenheim Funds Trust, which are structured as open-end management investment companies managed by GI, are available to the public and whose most recent annual report on Form N-CSR is available publicly or upon request.

Transactions during the period ended June 30, 2026, in which the company is an affiliated issuer, were as follows:

This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating the Fund’s performance for the periods presented.

The following table summarizes the inputs used to value the Fund’s investments at June 30, 2026 (See Note 4 in the Notes to Financial Statements):

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

Significant changes in a quote or valuation multiple 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.

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 period ended June 30, 2026, the Fund had securities with a total value of $358,063 transfer into Level 3 from Level 2 due to a lack of observable inputs and had securities with a total value of $253,579 transfer out of Level 3 into Level 2 due to the availability of current and reliable market-based data provided by a third-party pricing service which utilizes significant observable inputs.

Following is a reconciliation of Level 3 assets for which significant unobservable inputs were used to determine fair value for the period ended June 30, 2026:

Transactions during the period ended June 30, 2026, in which the company is an affiliated issuer, were as follows:

This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating the Fund’s performance for the periods presented.

The following table summarizes the inputs used to value the Fund’s investments at June 30, 2026 (See Note 4 in the Notes to Financial Statements):

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

Significant changes in a quote, yield, liquidation value or valuation multiple 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.

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 period ended June 30, 2026, the Fund did not have any securities transfer into Level 3 from Level 2 and had securities with a total value of $104,226 transfer out of Level 3 into Level 2 due to the availability of current and reliable market-based data provided by a third-party pricing service which utilizes significant observable inputs.

Following is a reconciliation of Level 3 assets for which significant unobservable inputs were used to determine fair value for the period ended June 30, 2026:

Transactions during the period ended June 30, 2026, in which the company is an affiliated issuer, were as follows:

This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating the Fund’s performance for the periods presented.

Guggenheim Variable Funds Trust (the “Trust”), a Delaware statutory trust, is registered with the U.S. Securities and Exchange Commission (the “SEC”) under the Investment Company Act of 1940 (the “1940 Act”), as an open-end investment company. The Trust consists of multiple series. Each series represents a separate fund (each, a “Fund” and collectively, the “Funds”). The Trust may issue an unlimited number of authorized shares. The Trust accounts for the assets of each Fund separately. At June 30, 2026, the Trust consisted of three Funds. The Trust offers shares of the Funds to insurance companies for their variable annuity and variable life insurance contracts.

Guggenheim Partners Investment Management, LLC (“GPIM” or the “Adviser”), which operates under the name Guggenheim Investments (“GI”), provides advisory services to the Funds. Guggenheim Funds Distributors, LLC (“GFD”) serves as the distributor for the Trust. GI and GFD are affiliated entities.

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

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

The net asset value per share (“NAV”) of each Fund is calculated by dividing the current value of the Fund’s securities and other assets, less all liabilities, by the number of outstanding shares of that Fund on the specified date.

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

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

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

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

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

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

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

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

Exchange-traded options are valued at the mean of the bid and ask prices on the principal exchange on which they are traded. Over-the-counter (“OTC”) options and options on swaps (“swaptions”) are valued using a price provided by a pricing service.

U.S. Government securities are valued by independent third-party pricing services, using the last traded fill price, or at the reported bid price at the close of business on the valuation date.

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

CLOs, CDOs, MBS, ABS, and other structured finance securities are generally valued using an independent third-party pricing service.

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

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

Forward foreign currency exchange contracts are valued daily based on the applicable exchange rate of the underlying currency.

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

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

A Fund may also fair value securities and assets when a significant event is deemed to have occurred after the time of a market quotation including for securities and assets traded on foreign markets and securities and assets for which market quotations are provided by independent third-party pricing services as of a time that is prior to the time when the Funds determine their NAV. There can be no assurance in each case that significant events will be identified.

Valuations of the Funds’ securities and other assets are supplied primarily by independent third-party pricing services pursuant to the processes set forth in the Valuation Designee Procedures. Valuations provided by the independent third-party pricing services are generally based on methods designed to approximate the amount that a Fund could reasonably expect to receive upon the sale of the portfolio security or asset. When providing valuations to the Funds, independent third-party pricing services use various inputs, methods, models and assumptions, which may include information provided by broker-dealers and other market makers. Independent third-party pricing services face the same challenges as the Funds in valuing securities and assets and may rely on limited available information. If the independent third-party pricing service cannot or does not provide a valuation for a particular investment, or such valuation is deemed unreliable, such investment is fair valued by the Adviser. A Fund may also use third-party service providers to model certain securities to determine fair market value. While a Fund’s use of fair valuation is intended to result in calculation of NAV that fairly reflects values of the Fund’s portfolio securities as of the time of pricing, a Fund cannot guarantee that any fair valuation will, in fact, approximate the amount the Fund would actually realize upon the sale of the securities in question.

Quotes from broker-dealers (i.e., prices provided by a broker-dealer or other market participant, which may or may not be committed to trade at that price), adjusted for fluctuations in criteria such as credit spreads and interest rates, may also be used to value a Fund’s assets. Quotes from broker-dealers and vendor prices based on broker quotes can vary in terms of depth (e.g., provided by a single broker-dealer) and frequency (e.g., provided on a daily, weekly, or monthly basis, or any other regular or irregular interval). Although quotes from broker-dealers and vendor prices based on broker quotes are typically received from established market participants, a Fund may not have the transparency to view the underlying inputs which support such quotes. Significant changes in a quote from a broker-dealer would generally result in significant changes in the fair value of the security.

Certain U.S. Government and Agency Obligations are traded on a discount basis; the interest rates shown on the Funds’ Schedules of Investments reflect the effective rates paid at the time of purchase by the Funds. Other securities bear interest at the rates shown, payable at fixed dates through maturity.

Inflation-indexed bonds are fixed-income securities whose principal value is periodically adjusted to the rate of inflation. The interest rate on these securities is generally fixed at issuance at a rate lower than typical bonds. Over the life of an inflation-indexed bond, however, interest will be paid based on a principal value which is adjusted for inflation. Any increase in the principal amount of an inflation-indexed bond is recognized as a component of interest on the Funds’ Statements of Operations, even though principal is not received until maturity.

Senior floating rate interests in which the Trust invests generally pay interest rates which are periodically adjusted by reference to a base short-term floating rate, plus a premium. These base lending rates are generally (i) the lending rate offered by one or more major European banks, (ii) the prime rate offered by one or more major United States banks, (iii) the bank’s certificate of deposit rate or (iv) the Secured Overnight Financing Rate (“SOFR”). Senior floating rate interests often require prepayments from excess cash flows or permit the borrower to repay at its election. The rate at which the borrower repays cannot be predicted with accuracy. As a result, the actual remaining maturity may be substantially less than the stated maturities disclosed in the Funds’ Schedules of Investments.

The Funds invest in loans and other similar debt obligations (“obligations”). A portion of the Funds’ investments in these obligations is sometimes referred to as “covenant lite” loans or obligations (“covenant lite obligations”), which are obligations that lack financial maintenance covenants or possess fewer or contingent financial maintenance covenants and other financial protections for lenders and investors. The Funds may also obtain exposure to covenant lite obligations through investment in securitization vehicles and other structured products. Many new, restructured or reissued obligations have not featured traditional covenants, which are intended to protect lenders and investors by (i) imposing certain restrictions or other limitations on a borrower’s operations or assets or (ii) providing certain rights to lenders. The Funds may have fewer rights with respect to covenant lite obligations, including fewer protections against the possibility of default and fewer remedies in the event of default. As a result, investments in (or exposure to) covenant lite obligations are subject to more risk than investments in (or exposure to) certain other types of obligations. The Funds are subject to other risks associated with investments in (or exposure to) obligations, including that obligations may not be considered “securities” under the federal laws and, as a result, the Funds may not be entitled to rely on the anti-fraud protections under the federal securities laws and instead may have to resort to state law and direct claims.

The Funds may purchase and sell interests in securities on a when-issued and delayed delivery basis, with payment and delivery scheduled for a future date. No income accrues to the Funds on such interests or securities in connection with such transactions prior to the date the Funds actually take delivery of such interests or securities. These transactions are subject to market fluctuations and are subject to the risk that the value at delivery may be more or less than the trade date purchase price. Although the Funds will generally purchase these securities with the intention of acquiring such securities, they may sell such securities before the settlement date.

Upon the purchase of an option, the premium paid is recorded as an investment, the value of which is marked-to-market daily. If a purchased option expires, the Fund realizes a loss in the amount of the cost of the option. When the Fund enters into a closing sale transaction, it realizes a gain or loss depending on whether the proceeds from the closing sale transaction are greater or less than the cost of the option. If the Fund exercises a put option, it realizes a gain or loss from the sale of the underlying security and the proceeds from such sale will be decreased by the premium originally paid. When the Fund exercises a call option, the cost of the security purchased by the Fund upon exercise increases by the premium originally paid.

When the Fund writes (sells) an option, an amount equal to the premium received is entered in that Fund’s accounting records as an asset and equivalent liability. The amount of the liability is subsequently marked-to-market to reflect the current value of the option written. When a written option expires, or if the Fund enters into a closing purchase transaction, it realizes a gain (or loss if the cost of a closing purchase transaction exceeds the premium received when the option was sold).

The Fund may purchase and write swaptions primarily to preserve a return or spread on a particular investment or portion of the Funds’ holdings, as a duration management technique or to protect against an increase in the price of securities it anticipates purchasing at a later date. The purchaser and writer of a swaption is buying or granting the right to enter into a previously agreed upon interest rate swap agreement at any time before the expiration of the options. The swaptions are forward premium swaptions which have extended settlement dates.

Upon entering into a futures contract, a Fund deposits and maintains as collateral such initial margin as required by the exchange on which the transaction is affected. Pursuant to the contract, the Fund agrees to receive from or pay to the broker an amount of cash equal to the daily fluctuation in value of the contract. Such receipts or payments are known as variation margin and are recorded by the Fund as unrealized appreciation or depreciation. When the contract is closed, the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed.

Swap agreements are marked-to-market daily and the change, if any, is recorded as unrealized appreciation or depreciation. Payments received or made as a result of an agreement or termination of an agreement are recognized as realized gains or losses.

Upon entering into certain centrally-cleared swap transactions, a Fund is required to deposit with its clearing broker an amount of cash or securities as an initial margin. Subsequent variation margin receipts or payments are received or made by the Fund depending on fluctuations in the fair value of the reference entity and are recorded by the Fund as unrealized appreciation or depreciation. When the contract is closed, the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed.

Upfront payments received or made by a Fund on credit default swap agreements and interest rate swap agreements are amortized over the expected life of the agreement. Periodic payments received or paid by a Fund are recorded as realized gains or losses. Payments received or made as a result of a credit event or termination of the contract are recognized, net of a proportional amount of the upfront payment, as realized gains or losses.

The change in value of a forward foreign currency exchange contract is recorded as unrealized appreciation or depreciation until the contract is closed. When the contract is closed, the Funds record a realized gain or loss equal to the difference between the value at the time the contract was opened and the value at the time it was closed.

The accounting records of the Funds are maintained in U.S. dollars. All assets and liabilities initially expressed in foreign currencies are converted into U.S. dollars at prevailing exchange rates. Purchases and sales of investment securities, dividend and interest income, and certain expenses are translated at the rates of exchange prevailing on the respective dates of such transactions. Changes in the relationship of these foreign currencies to the U.S. dollar can significantly affect the value of the investments and earnings of the Funds. Foreign investments may also subject the Funds to foreign government exchange restrictions, expropriation, taxation, or other political, social, geopolitical or economic developments, all of which could affect the market and/or credit risk of the investments.

The Funds do not isolate that portion of the results of operations resulting from changes in the foreign exchange rates on investments from the fluctuations arising from changes in the market prices of securities held. Such fluctuations are included with the net realized gain or loss and unrealized appreciation or depreciation on investments.

Reported net realized foreign exchange gains and losses arise from sales of foreign currencies and currency gains or losses realized between the trade and settlement dates on investment transactions. Net unrealized appreciation and depreciation arise from changes in the fair values of assets and liabilities other than investments in securities at the fiscal period end, resulting from changes in exchange rates.

The Funds may be subject to foreign taxes (a portion of which may be reclaimable) on income, stock dividends, capital gains on investments or certain foreign currency transactions. All foreign taxes are recorded in accordance with the applicable foreign tax regulations and rates that exist in the foreign jurisdictions in which the Funds invest. These foreign taxes, if any, are paid by the Funds and reflected in their Statements of Operations as follows: foreign taxes withheld at source are presented as a reduction of income and foreign taxes on capital gains from sales of investments are included with the net realized gain (loss) on investments. Foreign taxes payable or deferred as of June 30, 2026, if any, are disclosed in the Funds’ Statements of Assets and Liabilities.

Dividend and interest income from holdings in non-U.S. securities is recorded net of non-U.S. taxes paid. Management has analyzed the Funds’ tax positions taken on federal and applicable state income tax returns as well as its tax positions in non-U.S. jurisdictions in which it trades for the tax year ended December 31, 2025, the most recently completed tax year, and concluded that no additional provisions for income tax were required in the Funds’ financial statements. The Funds’ tax positions for the tax years for which the applicable statutes of limitations have not expired are subject to examination by the Internal Revenue Service, state departments of revenue and by foreign tax authorities.

Security transactions are recorded on the trade date for financial reporting purposes. Realized gains and losses from securities transactions are recorded using the identified cost basis. Proceeds from lawsuits related to investment holdings are recorded as a reduction to cost if the securities are still held and as realized gains if no longer held in the respective Fund. Dividend income is recorded on the ex-dividend date, net of applicable taxes withheld by foreign countries, if any. Taxable non-cash dividends are recorded as dividend income. Interest income, including amortization of premiums and accretion of discounts, is accrued on a daily basis. Interest income also includes paydown gains and losses on mortgage-backed and asset-backed securities and senior and subordinated loans. Amendment fees are earned as compensation for evaluating and accepting changes to the original loan agreement and are recognized when received. Dividend income from Real Estate Investment Trusts (“REITs”) is recorded based on the income included in the distributions received from the REIT investments using published REIT classifications, including some management estimates when actual amounts are not available. Distributions received in excess of this estimated amount are recorded as a reduction of the cost of investments or reclassified to realized gains. The actual amounts of income, return of capital, and realized gains are only determined by each REIT after its fiscal year-end, and may differ from the estimated amounts.

Income from residual collateralized loan obligations is recognized using the effective interest method. At the time of purchase, management estimates the future expected cash flows and determines the effective yield and estimated maturity date based on the estimated cash flows. Subsequent to the purchase, the estimated cash flows are updated periodically and a revised yield is calculated prospectively.

Certain Funds may receive other income from investments in senior loan interests including amendment fees, consent fees and commitment fees. These fees are recorded as income when received by the Funds and included in interest income on the Funds’ Statements of Operations.

Distributions of net investment income and net realized gains, if any, are declared and paid at least annually. Normally, all distributions of a Fund will automatically be reinvested without charge in additional shares of the same Fund. Distributions are recorded on the ex-dividend date and are determined in accordance with U.S. federal income tax regulations which may differ from U.S. GAAP.

Expenses directly attributable to a Fund are charged directly to the Fund. Other expenses common to various funds within the fund complex are generally allocated amongst such funds on the basis of average net assets.

Under the fee arrangement with the custodian, the Funds may earn credits based on overnight custody cash balances. These credits are utilized to reduce related custodial expenses. The custodian fees disclosed in the Funds’ Statements of Operations are before the reduction in expense from the related earnings credits, if any. Earnings credits for the period ended June 30, 2026, are disclosed in the Funds’ Statements of Operations.

The Funds may leave cash overnight in their cash account with their custodian. Periodically, a Fund may have cash due to their custodian bank as an overdraft balance. A fee is incurred on this overdraft, calculated by multiplying the overdraft by a rate based on the federal funds rate, which was 3.63% at June 30, 2026.

Under the Trust’s organizational documents, the Trustees and Officers of the Trust are indemnified against certain liabilities arising out of the performance of their duties to the Trust. In addition, throughout the normal course of business, the Trust, on behalf of the Funds, enters into contracts that contain a variety of representations and warranties which provide general indemnifications. The Funds’ maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Funds and/or their affiliates that have not yet occurred. However, based on experience, the Funds expect the risk of loss to be remote.

The Funds may acquire an interest in a special purpose acquisition company (“SPAC”) in an initial public offering or a secondary market transaction. SPAC investments carry many of the same risks as investments in initial public offering securities, such as erratic price movements, greater risk of loss, lack of information about the issuer, limited operating and little public or no trading history, and higher transaction costs. An investment in a SPAC is typically subject to a higher risk of dilution by additional later offerings of interests in the SPAC or by other investors exercising existing rights to purchase shares of the SPAC and interests in SPACs may be illiquid and/or be subject to restrictions on resale. A SPAC is a publicly traded company that raises investment capital for the purpose of acquiring the equity securities of one or more existing companies (or interests therein) via merger, combination, acquisition or other similar transactions. Unless and until an acquisition is completed, a SPAC generally invests its assets (less a portion retained to cover expenses) in U.S. government securities, money market securities and cash and does not typically pay dividends in respect of its common stock. SPAC investments are also subject to the risk that a significant portion of the funds raised by the SPAC may be expended during the search for a target acquisition or merger and that the SPAC may have limited time in which to conduct due diligence on potential business combination targets. Because SPACs are in essence blank check companies without operating history or ongoing business other than seeking acquisitions, the value of their securities is particularly dependent on the ability of the entity’s management to identify and complete a profitable acquisition. Among other conflicts of interest, the economic interests of the management, directors, officers and related parties of a SPAC can differ from the economic interests of public shareholders, which may lead to conflicts as they evaluate, negotiate and recommend business combination transactions to shareholders. This risk may become more acute as the deadline for the completion of a business combination nears. There is no guarantee that the SPACs in which the Funds invest will complete an acquisition or that any acquisitions that are completed will be profitable.

As part of their investment strategies, the Funds may utilize short sales and a variety of derivative instruments. These investments involve, to varying degrees, elements of market risk and risks in excess of amounts recognized on the Funds’ Statements of Assets and Liabilities. Valuation and accounting treatment of these instruments can be found under Significant Accounting Policies in Note 1 of these Notes to Financial Statements.

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

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

Hedge: an investment made in order to reduce the risk of adverse price movements in a security, by taking an offsetting position to protect against broad market moves.

Income: the use of any instrument that distributes cash flows typically based upon some rate of interest.

Index Exposure: the use of an instrument to obtain exposure to a listed or other type of index.

Speculation: the use of an instrument to express macro-economic and other investment views.

If a Fund’s investment strategy consistently involves applying leverage, the value of the Fund’s shares will tend to increase or decrease more than the value of any increase or decrease in the underlying index or other asset. In addition, because an investment in derivative instruments generally requires a small investment relative to the amount of investment exposure assumed, an opportunity for increased net income is created; but, at the same time, leverage risk will increase. A Fund’s use of leverage, through borrowings or instruments such as derivatives, may cause an investment in the Fund to be more volatile and riskier than if the Fund had not been leveraged.

A call option on a security gives the purchaser of the option the right to buy, and the writer of a call option the obligation to sell, the underlying security. The purchaser of a put option has the right to sell, and the writer of the put option the obligation to buy, the underlying security at any time during the option period. The risk associated with purchasing options is limited to the premium originally paid.

The following table represents the Funds’ use and volume of call/put options purchased on a monthly basis:

The risk in writing a call option is that a Fund may incur a loss if the market price of the underlying security increases and the option is exercised. The risk in writing a put option is that a Fund may incur a loss if the market price of the underlying security decreases and the option is exercised. In addition, there may be an imperfect correlation between the movement in prices of options and the underlying securities where a Fund may not be able to enter into a closing transaction because of an illiquid secondary market; or, for OTC options, a Fund may be at risk because of the counterparty’s inability to perform.

The following table represents the Funds’ use and volume of call/put options written on a monthly basis:

A futures contract is an agreement to purchase (long) or sell (short) an agreed upon amount of securities or other instruments at a set price for delivery at a future date. There are significant risks associated with a Fund’s use of futures contracts, including (i) there may be an imperfect or no correlation between the changes in market value of the underlying asset and the prices of futures contracts; (ii) there may not be a liquid secondary market for a futures contract; (iii) trading restrictions or limitations may be imposed by an exchange; and (iv) government regulations may restrict trading in futures contracts. When investing in futures, there is minimal counterparty credit risk to a Fund because futures are exchange-traded and the exchange’s clearinghouse, as counterparty to all exchange-traded futures, guarantees against default. Cash deposits are shown as segregated cash with broker on the Funds’ Statements of Assets and Liabilities; securities held as collateral are noted on the Funds’ Schedules of Investments.

The following table represents the Funds’ use and volume of futures on a monthly basis:

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

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

The following table represents the Funds’ use and volume of interest rate swaps on a monthly basis:

Credit default swaps are instruments which allow for the full or partial transfer of third-party credit risk, with respect to a particular entity or entities, from one counterparty to the other. A fund enters into credit default swaps as a “seller” or “buyer” of protection primarily to gain or reduce exposure to the investment grade and/or high yield bond market. A seller of credit default swaps is selling credit protection or assuming credit risk with respect to the underlying entity or entities. The buyer in a credit default swap is obligated to pay the seller a periodic stream of payments over the term of the contract provided that no event of default on an underlying reference obligation has occurred. If a credit event occurs, as defined under the terms of the swap agreement, the seller will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. The notional amount reflects the maximum potential amount the seller of credit protection could be required to pay to the buyer if a credit event occurs. The seller of protection receives periodic premium payments from the buyer and may also receive or pay an upfront premium adjustment to the stated periodic payments. In the event a credit default occurs on a credit default swap referencing an index, a factor adjustment will take place and the buyer of protection will receive a payment reflecting the par less the default recovery rate of the defaulted index component based on its weighting in the index. If no default occurs, the counterparty will pay the stream of payments and have no further obligations to the fund selling the credit protection. For a fund utilizing centrally cleared credit default swaps, the exchange bears the risk of loss resulting from a counterparty not being able to pay. For OTC credit default swaps, a fund bears the risk of loss of the amount expected to be received under a swap agreement in the event of the default or bankruptcy of a swap agreement counterparty, or in the case of a credit default swap in which a fund is selling credit protection, the default of a third party issuer.

The quoted market prices and resulting market values for credit default swap agreements on securities and credit indices serve as an indicator of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative had the notional amount of the swap agreement been closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.

The following table represents the Funds’ use and volume of credit default swaps on a monthly basis:

A forward foreign currency exchange contract is an agreement between two parties to exchange two designated currencies at a specific time in the future. Certain types of contracts may be cash settled, in an amount equal to the change in exchange rates during the term of the contract. The contracts can be used to hedge or manage exposure to foreign currency risks with portfolio investments or to gain exposure to foreign currencies.

The market value of a forward foreign currency exchange contract changes with fluctuations in foreign currency exchange rates. Furthermore, the Funds may be exposed to risk if the counterparties cannot meet the contract terms or if the currency value changes unfavorably as compared to the U.S. dollar.

The following table represents the Funds’ use and volume of forward foreign currency exchange contracts on a monthly basis:

The following is a summary of the location of derivative investments on the Funds’ Statements of Assets and Liabilities as of June 30, 2026:

The following tables set forth the fair value of the Funds’ derivative investments categorized by primary risk exposure at June 30, 2026:

The following is a summary of the location of derivative investments on the Funds’ Statements of Operations for the period ended June 30, 2026:

The following is a summary of the Funds’ realized gain (loss) and change in unrealized appreciation (depreciation) on derivative investments recognized on the Funds’ Statements of Operations categorized by primary risk exposure for the period ended June 30, 2026:

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

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

There are several risks associated with exposure to foreign currencies, foreign issuers and emerging markets. A Fund’s indirect and direct exposure to foreign currencies subjects the Fund to the risk that those currencies will decline in value relative to the U.S. dollar, or in the case of short positions, that the U.S. dollar will decline in value relative to the currency being hedged. Currency rates in foreign countries may fluctuate significantly over short periods of time for a number of reasons, including changes in interest rates and the imposition of currency controls or other political developments in the U.S. or abroad. In addition, the Funds may incur transaction costs in connection with conversions between various currencies. The Funds may, but are not obligated to, engage in currency hedging transactions, which generally involve buying currency forward, options or futures contracts. However, not all currency risks may be effectively hedged, and in some cases the costs of hedging techniques may outweigh expected benefits. In such instances, the value of securities denominated in foreign currencies can change significantly when foreign currencies strengthen or weaken relative to the U.S. dollar.

The Funds may invest in securities of foreign companies directly, or in financial instruments, such as ADRs and exchange-traded funds, which are indirectly linked to the performance of foreign issuers. Foreign markets can be more volatile than the U.S. market due to increased risks of adverse issuer, political, regulatory, market, or economic developments and can perform differently from the U.S. market. Investing in securities of foreign companies directly, or in financial instruments that are indirectly linked to the performance of foreign issuers, may involve risks not typically associated with investing in U.S. issuers. The value of securities denominated in foreign currencies, and of dividends from such securities, can change significantly when foreign currencies strengthen or weaken relative to the U.S. dollar. Foreign securities markets generally have less trading volume and less liquidity than U.S. markets, and prices in some foreign markets may fluctuate more than those of securities traded on U.S. markets. Many foreign countries lack accounting and disclosure standards comparable to those that apply to U.S. companies, and it may be more difficult to obtain reliable information regarding a foreign issuer’s financial condition and operations. Transaction costs and costs associated with custody services are generally higher for foreign securities than they are for U.S. securities. Some foreign governments levy withholding taxes against dividend and interest income. Although in some countries portions of these taxes are recoverable, the non-recovered portion will reduce the income received by the Funds.

In the normal course of business, the Funds enter into transactions subject to enforceable master netting arrangements or other similar arrangements. Generally, the right to offset in those agreements allows the Funds to counteract the exposure to a specific counterparty with collateral received from or delivered to that counterparty based on the terms of the arrangements. These arrangements provide for the right to liquidate upon the occurrence of an event of default, credit event upon merger or additional termination event.

In order to better define their contractual rights and to secure rights that will help the Funds mitigate their counterparty risk, the Funds may enter into an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA Master Agreement”) or similar agreement with their derivative contract counterparties. An ISDA Master Agreement is a bilateral agreement between a fund and a counterparty that governs OTC derivatives, including foreign exchange contracts, and typically contains, among other things, collateral posting terms and netting provisions in the event of a default and/or termination event. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of a default (close-out netting) or similar event, including the bankruptcy or insolvency of the counterparty.

For derivatives traded under an ISDA Master Agreement, the collateral requirements are typically calculated by netting the mark-to-market amount for each transaction under such agreement and comparing that amount to the value of any collateral currently pledged by the Funds and the counterparty. For financial reporting purposes, cash collateral that has been pledged to cover obligations of the Funds and cash collateral received from the counterparty, if any, are reported separately on the Funds’ Statements of Assets and Liabilities as segregated cash with broker/receivable for variation margin, or payable for swap settlement/variation margin. Cash and/or securities pledged or received as collateral by the Funds in connection with an OTC derivative subject to an ISDA Master Agreement generally may not be invested, sold or rehypothecated by the counterparty or the Funds, as applicable, absent an event of default under such agreement, in which case such collateral generally may be applied towards obligations due to and payable by such counterparty or the Funds, as applicable. Generally, the amount of collateral due from or to a counterparty must exceed a minimum transfer amount threshold (e.g., $300,000) before a transfer is required to be made. To the extent amounts due to the Funds from their counterparties are not fully collateralized, contractually or otherwise, the Funds bear the risk of loss from counterparty nonperformance. The Funds attempt to mitigate counterparty risk by only entering into agreements with counterparties that they believe to be of good standing and by monitoring the financial stability of those counterparties.

For financial reporting purposes, the Funds do not offset derivative assets and derivative liabilities that are subject to netting arrangements in the Funds’ Statements of Assets and Liabilities.

The following tables present derivative financial instruments and secured financing transactions that are subject to enforceable netting arrangements:

The Funds have the right to offset deposits against any related derivative liabilities outstanding with each counterparty with the exception of exchange-traded or centrally-cleared derivatives. The following table presents deposits held by others in connection with derivative instruments or other investments as of June 30, 2026.

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

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

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

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

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

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

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

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

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

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

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

Under the terms of an investment advisory contract between the Trust, on behalf of the Funds, and the Adviser, the Funds pay GI investment advisory fees on a monthly basis calculated daily at the annualized rates below, based on the average daily net assets of the Funds:

The Funds pay operating expenses, such as audit and accounting related services, legal services, custody, printing and mailing, among others. Certain expenses are allocated to various Funds within the complex based on relative net assets.

The Board has adopted a separate Distribution and Shareholder Services Plan pursuant to Rule 12b-1 under the 1940 Act that allows those Funds to pay distribution and shareholder services fees to GFD. The Funds will pay distribution and shareholder services fees to GFD at an annual rate not to exceed 0.25% of average daily net assets. GFD may, in turn, pay all or a portion of the proceeds from the distribution and shareholder services fees to insurance companies or their affiliates and qualified plan administrators (“intermediaries”) for services they provide on behalf of the Funds to current and prospective variable contract owners and qualified plan participants that invest in the Funds through the intermediaries.

Contractual expense limitation agreements for the following Funds provide that the total expenses be limited to a percentage of average net assets for the Funds, exclusive of brokerage costs, dividends or interest on securities sold short, expenses of other investment companies in which a Fund invests, interest, taxes, litigation, indemnification and extraordinary expenses. The limits are listed below:

GI is entitled to reimbursement by the Funds for fees waived or expenses reimbursed during any of the previous 36 months, beginning on the date of the expense limitation agreement, if on any day the estimated operating expenses are less than the indicated percentages. For purposes of this arrangement, GI is entitled to recoupment of previously waived fees or reimbursed expenses for 36 months from the date of the waiver or reimbursement by GI. At June 30, 2026, the amount of fees waived or expenses reimbursed that are subject to recoupment and will expire during the years ended December 31, are presented in the following table:

For the period ended June 30, 2026, GI recouped amounts from the Funds as follows:

If a Fund invests in a fund that is advised by the same adviser or an affiliated adviser, the investing Fund’s adviser has agreed to waive fees at the investing fund level to the extent necessary to offset the proportionate share of any management fee paid by the Fund with respect to its investment in such affiliated fund. Fee waivers will be calculated at the investing fund level without regard to any expense cap in effect for the investing fund. Fees waived under this arrangement are not subject to reimbursement to GI. For the period ended June 30, 2026, the following Funds waived fees related to investments in affiliated funds:

Certain trustees and officers of the Trust are also officers of GI and/or GFD. The Trust does not compensate its officers or trustees who are officers, directors and/or employees of GI or GFD.

The Bank of New York Mellon Corp. (“BNY”) serves as the Funds’ administrator, transfer agent, custodian and accounting agent. Prior to February 23, 2026, MUFG Investor Services (US), LLC served as the Funds’ transfer agent. As administrator, transfer agent and accounting agent, BNY maintains the books and records of the Funds’ securities and cash. As custodian, BNY is responsible for the custody of the Funds’ assets. For providing the aforementioned administrative and accounting services, BNY is entitled to receive a monthly fee equal to a percentage of the Funds’ average daily net assets and reimbursement of certain out of pocket expenses. For providing the aforementioned transfer agent and custodian services, BNY is entitled to receive a monthly fee based on the number of transactions during the month and the number of accounts under management, subject to certain minimum monthly fees, and reimbursement of certain out of pocket expenses.

Each of the Funds may enter into reverse repurchase agreements. Under a reverse repurchase agreement, a Fund sells securities and agrees to repurchase them at a particular price at a future date. In the event the buyer of securities under a reverse repurchase agreement files for bankruptcy or becomes insolvent, such buyer or its trustee or receiver may receive an extension of time to determine whether to enforce the Fund’s obligation to repurchase the securities, and the Fund’s use of the proceeds of the reverse repurchase agreement may effectively be restricted pending such decision.

For the period ended June 30, 2026, the following Funds entered into reverse repurchase agreements:

The following table presents reverse repurchase agreements that are subject to netting arrangements and offset in the Funds’ Statement of Assets and Liabilities in conformity with U.S. GAAP:

As of June 30, 2026, the Series E (Total Return Bond Series) Fund had $2,117,428, in reverse repurchase agreements outstanding with various counterparties. Details of the reverse repurchase agreements by counterparty are as follows:

The following is a summary of the remaining contractual maturities of the reverse repurchase agreements outstanding as of period-end, aggregated by asset class of the related collateral pledged by the Funds:

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

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

If a Fund makes a distribution to its shareholders in excess of its current and accumulated “earnings and profits” in any taxable year, the excess distribution will be treated as a return of capital to the extent of each shareholder’s basis (for tax purposes) in its shares, and any distribution in excess of basis will be treated as capital gain. A return of capital is not taxable, but it reduces the shareholder’s basis in its shares, which reduces the loss (or increases the gain) on a subsequent taxable disposition by such shareholder of the shares.

At June 30, 2026, the cost of investments for U.S. federal income tax purposes, the aggregate gross unrealized appreciation for all investments for which there was an excess of value over tax cost and the aggregate gross unrealized depreciation for all investments for which there was an excess of tax cost over value, were as follows:

For the period ended June 30, 2026, the cost of purchases and proceeds from sales of investment securities, excluding government securities, short-term investments and derivatives, were as follows:

For the period ended June 30, 2026, the cost of purchases and proceeds from sales of government securities were as follows:

The Funds are permitted to purchase or sell securities from or to certain affiliated funds under specified conditions outlined in procedures adopted by the Board. The procedures have been designed to ensure that any purchase or sale of securities by a Fund from or to another fund or portfolio that is or could be considered an affiliate by virtue of having a common investment adviser (or affiliated investment advisers), common trustees and/or common officers complies with Rule 17a-7 of the 1940 Act. Further, as defined under these procedures, each transaction is effected at the current market price. For the period ended June 30, 2026, the Funds did not engage in purchases and sales of securities pursuant to Rule 17a-7 of the 1940 Act.

Pursuant to the terms of certain loan agreements, certain Funds held unfunded loan commitments as of June 30, 2026. The Funds are obligated to fund these loan commitments at the borrower’s discretion.

The securities below are considered illiquid and restricted under guidelines established by the Board:

The Trust, along with other affiliated trusts, secured a 364-day committed, $1,190,000,000 line of credit from a syndicated bank group led by Citibank, N.A. A Fund may draw (borrow) from the line of credit as a temporary measure for emergency purposes, to facilitate redemption requests, or for other short-term liquidity purposes consistent with the Fund’s investment objective and program. For example, it may be advantageous for the Fund to borrow money rather than sell existing portfolio positions to meet redemption requests. Fees related to borrowings, if any, vary under this arrangement between the greater of Citibank’s “base rate”, SOFR plus 1%, or the federal funds rate plus 1/2 of 1%.

The commitment fee that may be paid by the Funds is at an annualized rate of 0.15% of the average daily amount of their allocated unused commitment amount. The commitment fee amount is allocated to the individual Funds based on the respective net assets of each participating Fund and is referenced in the Funds’ Statements of Operations under “Line of credit fees”. The Funds did not have any borrowings under this agreement as of and for the period ended June 30, 2026.

An operating segment is defined in FASB Accounting Standards Update 2023-07, Improvements to Reportable Segment Disclosures (“ASU 2023-07”) Segment Reporting (Topic 280) as a component of a public entity that engages in business activities from which it may recognize revenues and incur expenses, has operating results that are regularly reviewed by the public entity’s chief operating decision maker (“CODM”) to make decisions about resources to be allocated to the segment and assess its performance, and has discrete financial information available. The Officers of the Trust, subject to the oversight and supervision of the Board, serve as the CODM for the Funds.

Each of the Funds represents a single operating segment, as the CODM monitors the operating results of each Fund as a whole and each Fund’s long-term strategic asset allocation is pre-determined in accordance with the Fund’s investment objective which is executed by each Fund’s portfolio managers as a team. Each of the Funds uses a variety of investments to execute its investment strategy. Please refer to Note 1 – Organization and Significant Accounting Policies of these Notes to Financial Statements for additional details on the significant accounting policies and investment types used by the Funds. Please refer to each Fund’s Schedule of Investments for a breakdown of the types of investments from which each of the Funds generates its returns. Financial information in the form of total returns, expense ratios and changes in net assets (i.e., changes in net assets resulting from operations, subscriptions and redemptions), which are used by the CODM to assess the segment’s performance versus each Fund’s comparative benchmarks, among other metrics, and to make resource allocation decisions for each Fund’s single segment, is consistent with that presented within the Fund’s financial statements. Segment assets are reflected on each Fund’s Statement of Assets and Liabilities as “total assets” and significant segment income, expenses, and gain(loss) are listed on each Fund’s Statement of Operations.

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

The Funds evaluated subsequent events through the date the financial statements are issued and determined there were no material events that would require adjustment to or disclosure in the Funds’ financial statements.

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

The Trust files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT, and for reporting periods ended prior to March 31, 2019, filed such information on Form N-Q. The Funds’ Forms N-PORT and N-Q are available on the SEC’s website at https://www.sec. gov. Copies of the portfolio holdings are also available to shareholders, without charge and upon request, by calling 800.820.0888.

The remuneration paid to directors, officers, and others, if applicable, are included as part of the financial statements included under Item 7 of this Form.

The Board of Trustees (the “Board”) of Guggenheim Variable Funds Trust (the “Trust”), including a majority of the Independent Trustees, approved the renewal of the investment management agreements (as applicable to a specific Fund, the “Advisory Agreement” and collectively, the “Advisory Agreements”) with Guggenheim Partners Investment Management, LLC (“GPIM” or the “Adviser”) on behalf of the series of the Trust listed below (each a “Fund” and collectively, the “Funds”):

GPIM is an indirect subsidiary of Guggenheim Partners, LLC, a privately-held, global investment and advisory firm (“Guggenheim Partners”). Guggenheim Partners, GPIM and their affiliates may be referred to herein collectively as “Guggenheim.” “Guggenheim Investments” refers to the global asset management and investment advisory division of Guggenheim Partners and includes GPIM, Security Investors, LLC, Guggenheim Funds Investment Advisors, LLC and other affiliated investment management businesses of Guggenheim Partners.

At meetings held in person on April 14, 2026 (the “April Meeting”) and on May 14, 2026 (the “May Meeting”), the Contracts Review Committee of the Board (the “Committee”), consisting solely of Independent Trustees, met separately from Guggenheim to consider the proposed renewal of the Advisory Agreements. As part of its review process, the Committee was represented by independent legal counsel to the Independent Trustees (“Independent Legal Counsel”), from whom the Independent Trustees received separate legal advice and with whom they met separately. Independent Legal Counsel reviewed and discussed with the Committee various key aspects of the Trustees’ legal responsibilities relating to the proposed renewal of the Advisory Agreements and other principal contracts. The Committee took into account various materials received from Guggenheim and Independent Legal Counsel. The Committee also considered the variety of written materials, reports and oral presentations the Board received throughout the year regarding performance and operating results of the Funds, and other information relevant to its evaluation of the Advisory Agreements.

In connection with the contract review process, FUSE Research Network LLC (“FUSE”), an independent, third-party research provider, was engaged to prepare advisory contract renewal reports designed specifically to help the Board fulfill its advisory contract renewal responsibilities. The objective of the FUSE reports is to present the subject fund’s relative position regarding fees, expenses and total return performance, with peer group and universe comparisons. The Committee assessed the data provided in the FUSE reports as well as commentary presented by Guggenheim and FUSE. The Committee noted that although FUSE’s process typically results in the identification for each Fund of a universe of similar funds for performance comparisons and a narrower group of similar funds from the universe based on asset levels for comparative fee and expense data evaluation (i.e., the peer group), the peer group constituent funds identified by FUSE for Series F were the same as the performance universe constituent funds due to the Fund’s investment strategy and pricing.

In addition, Guggenheim provided materials and data in response to formal requests for information sent by Independent Legal Counsel on behalf of the Committee. Guggenheim also made a presentation at the April Meeting. Throughout the process, the Committee asked questions of management and requested certain additional information, which Guggenheim provided (collectively with the foregoing reports and materials, the “Contract Review Materials”). The Committee considered the Contract Review Materials in the context of its accumulated experience governing the Trust and other funds in the Guggenheim fund complex and weighed the factors and standards discussed with Independent Legal Counsel.

Following an analysis and discussion of relevant factors, including those identified below, and in the exercise of its business judgment, the Committee concluded that it was in the best interest of each Fund to recommend that the Board approve the renewal of the applicable Advisory Agreement for an additional annual term. Following its review of the Committee’s recommendation, the Board approved the renewal of the applicable Advisory Agreement for each Fund for a one-year period ending August 1, 2027 at a meeting held on May 13-14, 2026 (the “May Board Meeting” and together with the May Meeting, the “May Meetings”) and determined to adopt the Committee’s considerations and conclusions, which follow.

Nature, Extent and Quality of Services Provided by the Adviser: With respect to the nature, extent and quality of services currently provided by the Adviser, the Committee considered the qualifications, experience and skills of key personnel performing services for the Funds, including those personnel providing compliance and risk oversight, as well as the supervisors and reporting lines for such personnel. The Committee also considered other information, including Guggenheim’s resources and related efforts to retain, attract and motivate capable personnel to serve the Funds. In evaluating Guggenheim’s resources and capabilities, the Committee considered Guggenheim’s commitment to focusing on, and investing resources in support of, funds in the Guggenheim fund complex, including the Funds. The Committee also considered the acceptability of the terms of each Advisory Agreement, including the scope of services required to be performed by the Adviser.

The Committee’s review of the services provided by Guggenheim to the Funds included consideration of Guggenheim’s investment processes and resulting performance, portfolio oversight and risk management, and the related regular quarterly reports and presentations received by the Board. The Committee took into account the risks borne by Guggenheim in sponsoring and providing services to the Funds, including regulatory, operational, legal and entrepreneurial risks. The Committee considered the resources dedicated by Guggenheim to compliance functions and the reporting made to the Board by Guggenheim compliance personnel regarding Guggenheim’s adherence to regulatory requirements. The Committee also considered the regular reports the Board receives from the Trust’s Chief Compliance Officer regarding compliance policies and procedures established pursuant to Rule 38a-1 under the Investment Company Act of 1940, as amended. In connection with the Committee’s evaluation of the overall package of services provided by Guggenheim, the Committee considered Guggenheim’s administrative services, including its role in supervising, monitoring, coordinating and evaluating the various services provided by the fund administrator, accounting agent, transfer agent, distributor, custodian, independent auditor and other service providers to the Funds. The Committee evaluated the Office of Chief Financial Officer (the “OCFO”), which oversees certain services provided by service providers to the Funds and other funds in the Guggenheim fund complex, including the OCFO’s resources, personnel and services provided.

With respect to Guggenheim’s resources and the ability of the Adviser to carry out its responsibilities under the applicable Advisory Agreement, the Head of Finance Operations of Guggenheim Investments reviewed with the Committee financial information concerning the holding company for Guggenheim Investments, GIH Borrower, LLC (“GIHB”), and the various entities comprising Guggenheim Investments, and provided the audited consolidated financial statements of GIHB. (Thereafter, the Committee received the audited consolidated financial statements of GPIM.) The Committee also received information regarding the ownership structure of Guggenheim Investments and its parent company, Guggenheim Capital, LLC.

Based on the foregoing, and based on other information received (both oral and written) at the April Meeting and the May Meetings, as well as other considerations, including the Committee’s knowledge of how the Adviser performs its duties obtained through Board meetings, discussions and reports throughout the year, the Committee concluded that the Adviser and its personnel were qualified to serve the Funds in such capacity and may reasonably be expected to continue to provide a high quality of services under each Advisory Agreement with respect to the Funds.

Investment Performance: The Committee received, for each Fund, investment returns for the since-inception, ten-year, five-year, three-year, one-year and three-month periods ended December 31, 2025. In addition, the Committee received a comparison of each Fund’s performance to the performance of a benchmark, a universe of funds and a narrower peer group of similar funds based on asset levels as identified by FUSE (except as noted above with respect to Series F), in each case for the same periods (as available). The Committee also received from FUSE a description of the methodology for identifying each Fund’s peer group and universe for performance and expense comparisons. The Committee also received certain performance information as of March 31, 2026. In assessing each Fund’s performance, the Committee considered that the Board receives regular reporting from Guggenheim regarding performance and evaluates performance throughout the year.

In seeking to evaluate Fund performance over a full market cycle, the Committee focused its attention on five-year and three-year performance rankings as compared to the relevant universe of funds. Except as to the individual Fund discussed below, the Committee observed that the returns of each Fund ranked in the third quartile or better of such Fund’s performance universe for each of the five-year and three-year periods considered. In addition, the Committee made the following observations:

Series F (Floating Rate Strategies Series): The Fund’s returns ranked in the 100th percentile of its performance universe for the five-year and three-year periods ended December 31, 2025. The Committee considered management’s statement indicating that given the Fund’s relatively small size and frequent inflows and outflows, the Fund is positioned conservatively and with a strong liquidity profile. The Committee noted management’s statement indicating that although this portfolio construction creates a liquid portfolio compared to the Fund’s peers, it does sacrifice some of the return that is generally attributed to lower quality, smaller and less liquid credits. In addition, the Committee considered management’s further discussion at the April Meeting regarding the Fund’s performance, management’s outlook and steps being taken to address underperformance.

Based on the foregoing, and based on other information received (both oral and written) at the April Meeting and the May Meetings, as well as other considerations, the Committee concluded that: (i) each Fund’s performance was acceptable; or (ii) it was satisfied with Guggenheim’s responses and/or efforts to improve investment performance.

Comparative Fees, Costs of Services Provided and the Benefits Realized by the Adviser from Its Relationship with the Funds: The Committee compared each Fund’s contractual advisory fee, net effective management fee¹ and total net expense ratio to the applicable peer group. In addition, the Committee considered information regarding Guggenheim’s process for evaluating the competitiveness of each Fund’s fees and expenses, noting Guggenheim’s statement that evaluations seek to incorporate a variety of factors with a general focus on ensuring fees and expenses: (i) are competitive; (ii) give consideration to resource support requirements; and (iii) ensure Funds are able to deliver on shareholder return expectations.

As part of its evaluation of each Fund’s advisory fee, the Committee considered how such fees compared to the advisory fee charged by Guggenheim to one or more other clients that it manages pursuant to similar investment strategies, to the extent applicable, noting that, in certain instances, Guggenheim charges a lower advisory fee to such other clients. In this connection, the Committee considered, among other things, Guggenheim’s representations about the significant differences between managing mutual funds as compared to other types of accounts. The Committee also considered Guggenheim’s explanation that lower fees are charged in certain instances due to various other factors, including the scope of contract, type of investors, fee structure, applicable legal, governance and capital structures, tax status and historical pricing reasons. In addition, the Committee took into account Guggenheim’s discussion of the regulatory, operational, legal and entrepreneurial risks involved with the Funds as compared to other types of accounts. The Committee concluded that the information it received demonstrated that the aggregate services provided to, or the specific circumstances of, each Fund were sufficiently different from the services provided to, or the specific circumstances of, other clients with similar investment strategies and/or that the risks borne by Guggenheim were sufficiently greater than those associated with managing other clients with similar investment strategies to support the difference in fees.

In further considering the comparative fee and expense data presented in the Contract Review Materials and addressed by Guggenheim, the Committee took into account those Funds with currently effective expense limitation agreements with the Adviser. Except as to the individual Fund discussed below, the Committee observed that each Fund’s contractual advisory fee, net effective management fee and total net expense ratio each rank in the third quartile or better of such Fund’s peer group. In addition, the Committee made the following observations:

Series F (Floating Rate Strategies Series): The Fund’s contractual advisory fee ranks in the fourth quartile (100th percentile) of its peer group. The Fund’s net effective management fee ranks in the first quartile (1st percentile) of its peer group. The Fund’s total net expense ratio ranks in the third quartile (75th percentile) of its peer group. The Committee considered the Adviser’s statement explaining the higher fees that performance is driven by a unique investment approach that requires significant resources. The Committee also took into account the Fund’s currently effective expense limitation agreement with the Adviser.

With respect to the costs of services provided and benefits realized by Guggenheim Investments from its relationship with the Funds, the Committee reviewed a profitability analysis and data from management for each Fund setting forth the average assets under management for the twelve months ended December 31, 2025, gross revenues received, and expenses incurred directly or through allocations, by Guggenheim Investments, earnings and the operating margin/profitability rate, including variance information relative to the foregoing amounts as of December 31, 2024 and December 31, 2023. In addition, the Head of Finance Operations of Guggenheim Investments reviewed with, and addressed questions from, the Committee concerning the expense allocation methodology employed in producing the profitability analysis. In the course of its review of Guggenheim Investments’ profitability, the Committee took into account the methods used by Guggenheim Investments to determine expenses and profit and the representation by the Head of Finance Operations of Guggenheim Investments that such methods provided a reasonable basis for determining the profitability of the Adviser with respect to each Fund. The Committee considered all of the foregoing, among other things, in evaluating the costs of services provided, the profitability to Guggenheim Investments and the profitability rates presented.

The Committee also considered other benefits available to the Adviser because of its relationship with the Funds and noted Guggenheim’s statement that it does not believe the Adviser derives any such “fall-out” benefits. In this regard, the Committee noted Guggenheim’s statement indicating that, although it does not consider such benefits to be fall-out benefits, the Adviser may benefit from certain synergies, such as enhanced visibility of the Adviser and its products and services with the correlative opportunity to increase sales and distribution of these products and services, and other synergies arising from offering a broad spectrum of products and services, including the Funds.

Based on the foregoing, and based on other information received (both oral and written) at the April Meeting and the May Meetings, as well as other considerations, the Committee concluded that the comparative fees and the benefits realized by the Adviser from its relationship with the Funds were appropriate and that the Adviser’s profitability from its relationship with the Funds was not unreasonable.

Economies of Scale: The Committee received and considered information regarding whether there have been economies of scale with respect to the management of the Funds as Fund assets grow, whether the Funds have appropriately benefited from any economies of scale, and whether there is potential for realization of any further economies of scale. The Committee considered whether economies of scale in the provision of services to the Funds were being passed along to and shared with the shareholders. The Committee considered that Guggenheim believes it is appropriately sharing potential economies of scale and that Guggenheim’s decrease in overall expenses in 2025 was attributable to decreases in operating expenses, product costs and third-party distribution costs due to the sale of Guggenheim Investments’ actively-managed equity funds business in 2024 as well as the closure of certain funds in 2024.

The Committee also noted the process employed by the Adviser to evaluate whether it would be appropriate to institute a new breakpoint for a Fund, with consideration given to, among other things: (i) the Fund’s size and trends in asset levels over recent years; (ii) the competitiveness of the expense levels; (iii) whether expense waivers are in place; (iv) changes and trends in revenue and expenses; (v) whether there are any anticipated expenditures that may benefit the Fund in the future; (vi) Fund profitability; (vii) relative Fund performance; (viii) the nature, extent and quality of services management provides to the Fund; and (ix) the complexity of the Fund’s investment strategy and the resources required to support the Fund.

As part of its assessment of economies of scale, the Committee took into account Guggenheim’s representation that it seeks to share economies of scale through a number of means, including advisory fees set at competitive rates pre-assuming future asset growth, expense waivers and limitations, and investments in personnel, operations and infrastructure to support the fund business. The Committee also received information regarding amounts that had been shared with shareholders through such expense waivers and limitations. Thus, the Committee considered the size of the Funds and the competitiveness of and/or other determinations made regarding the current advisory fee for each Fund, as well as whether a Fund is subject to an expense limitation.

The Committee concluded that the investment advisory fees are fair and reasonable in light of the extent and quality of the services provided and other benefits received and that the renewal of the applicable Advisory Agreement is in the best interest of each Fund. In reaching this conclusion, no single factor was determinative or conclusive and individual Committee members, in the exercise of their informed business judgment, may afford different weights to different factors.

Following its review of the Committee’s analysis and determinations, the Board adopted the considerations and conclusions of the Committee and determined to approve the renewal of the Advisory Agreements.

Item 8. Changes in and Disagreements with Accountants for Open-End Management Investment Companies.

Item 10. Remuneration Paid to Directors, Officers, and Others of Open-End Management Investment Companies.

The information is included as part of the material filed under Item 7 of this Form.

Item 11. Statement Regarding Basis for Approval of Investment Advisory Contract.

The information is included as part of the material filed under Item 7 of this Form.

Item 12. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.

Item 14. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.

There have been no changes to the procedures by which shareholders may recommend nominees to the registrant’s board of trustees.

Item 17. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

ITEM 7: FINANCIAL STATEMENTS AND FINANCIAL HIGHLIGHTS FOR OPEN-END MANAGEMENT INVESTMENT COMPANIES (SEMI-ANNUAL FINANCIAL REPORT) SERIES E (TOTAL RETURN BOND SERIES)	2
SERIES F (FLOATING RATE STRATEGIES SERIES)	32
SERIES P (HIGH YIELD SERIES)	48
NOTES TO FINANCIAL STATEMENTS	62
OTHER INFORMATION	85
ITEM 8: CHANGES IN AND DISAGREEMENTS WITH ACCOUNTANTS FOR OPEN-END MANAGEMENT INVESTMENT COMPANIES	86
ITEM 9: PROXY DISCLOSURES FOR OPEN-END MANAGEMENT INVESTMENT COMPANIES	87
ITEM 10: REMUNERATION PAID TO DIRECTORS, OFFICERS, AND OTHERS OF OPEN-END MANAGEMENT INVESTMENT COMPANIES	88
ITEM 11: STATEMENT REGARDING BASIS FOR APPROVAL OF INVESTMENT ADVISORY CONTRACT	89

	SHARES		VALUE
COMMON STOCKS - 0.0%
COMMUNICATIONS - 0.0%
LuxCo 3 SARL		905	$	17,827

FINANCIAL - 0.0%
Pershing Square Tontine Holdings, Ltd. — Class A*^,(a),(b)		76,590		8

Total Common Stocks
(Cost $13,840)				17,835

PREFERRED STOCKS - 2.1%
FINANCIAL - 2.0%
Citigroup, Inc.
6.75%		300,000		304,188
6.88%		250,000		256,029
6.63%		100,000		101,880
6.25%		2,400		60,384
Wells Fargo & Co.
6.13%		500,000		505,919
6.85%		100,000		103,923
Charles Schwab Corp.
6.10%		300,000		300,066
4.00%		200,000		187,668
Bank of New York Mellon Corp.
3.75%		400,000		397,200
5.95%		50,000		50,171
JPMorgan Chase & Co.
6.10%		300,000		303,798
6.50%		110,000		112,641
Bank of America Corp.
6.25%		325,000		328,905
4.38%		70,000		69,744
Goldman Sachs Group, Inc.
6.85%		212,000		217,978
7.50%		100,000		104,894
Corebridge Financial, Inc.
6.88%		113,000		117,587
State Street Corp.
6.45%		100,000		101,943
CNO Financial Group, Inc.
5.13% due 11/25/60		6,000		99,420
American National Group, Inc.
7.38%		4,000		93,880
Selective Insurance Group, Inc.
4.60%		4,000		63,040
First Republic Bank
4.25%		16,525		3
4.50%		675		—
Total Financial				3,881,261

UTILITIES - 0.1%
NextEra Energy Capital Holdings, Inc.
6.50% due 04/15/86		4,750		118,845
6.50% due 06/01/85		2,100		51,093
Total Utilities				169,938

ENERGY - 0.0%
Venture Global LNG, Inc.
9.00%^(c)		150,000		146,447

Total Preferred Stocks
(Cost $4,689,559)				4,197,646

WARRANTS - 0.0%
Pershing Square SPARC Holdings, Ltd.
Expiring 12/31/49*^,(a),(b)		23,402		2
Ginkgo Bioworks Holdings, Inc.
Expiring 09/16/26*		684		1
Pershing Square Tontine Holdings, Ltd.
Expiring 07/24/27*^,(a),(b)		8,510		1
Total Warrants
(Cost $1,584)				4

EXCHANGE-TRADED FUNDS - 27.9%
Guggenheim Securitized Income ETF^(d)		1,086,191		54,581,315
Total Exchange-Traded Funds
(Cost $54,610,872)				54,581,315

MONEY MARKET FUNDS^(e) - 0.5%
BNY Dreyfus Treasury Securities Cash Management Fund — Institutional Shares, 3.53%^(f)		778,170		778,170
BNY Dreyfus Treasury Obligations Cash Management Fund — Institutional Shares, 3.52%^(f)		179,967		179,967
Total Money Market Funds
(Cost $958,137)				958,137

	FACE AMOUNT^~
COLLATERALIZED MORTGAGE OBLIGATIONS - 29.3%
GOVERNMENT AGENCY - 17.8%
Uniform MBS 30 Year
3.00% due 08/15/56		12,485,000	10,878,532
5.50% due 08/01/56		5,820,000	5,830,412
2.50% due 08/15/56		4,210,000	3,516,008
5.00% due 08/01/56		3,257,647	3,197,335
2.00% due 08/15/56		1,210,000	965,725
Freddie Mac
5.50% due 02/01/56		1,488,967	1,494,667
5.50% due 09/01/53		795,618	809,082
6.00% due 08/01/54		599,944	622,891
5.50% due 09/01/54		566,642	575,219
5.00% due 11/25/51		543,431	540,710
6.00% due 09/01/54		517,204	536,250
5.50% due 04/01/55		385,083	387,593
5.00% due 10/25/51		270,623	269,726
5.50% due 06/01/53		192,408	195,404
5.00% due 02/25/52		111,152	110,515
Fannie Mae
5.50% due 09/01/54		937,560	951,323
6.00% due 09/01/54		849,241	880,480
5.50% due 05/01/55		561,859	565,464

	FACE AMOUNT^~		VALUE
COLLATERALIZED MORTGAGE OBLIGATIONS - 29.3% (continued)
GOVERNMENT AGENCY - 17.8% (continued)
5.00% due 01/25/53		561,092	$	557,011
5.50% due 04/01/55		370,838		373,265
5.00% due 10/25/51		361,425		360,737
5.00% due 02/25/54		327,013		323,371
5.00% due 11/25/53		258,962		257,794
Ginnie Mae
5.25% due 03/20/52		261,403		262,211
5.00% due 01/20/55		148,853		147,014
Fannie Mae-Aces
1.60% (WAC) due 03/25/35^à^,(g)		2,416,228		178,258
Total Government Agency				34,786,997

RESIDENTIAL MORTGAGE-BACKED SECURITIES - 10.0%
NLT Trust
2026-NQM1, 7.07% (WAC) due 02/25/71^à^,(c)		1,283,159		1,336,775
2025-NQM1, 7.46% (WAC) due 10/25/70^à^,(c)		1,111,656		1,154,362
FIGRE Trust
2025-PF2, 5.22% (WAC) due 10/25/55^à^,(c)		547,237		538,093
2025-HE6, 5.14% (WAC) due 09/25/55^à^,(c)		298,942		295,090
2024-HE3, 6.13% (WAC) due 07/25/54^à^,(c)		233,495		235,336
2024-HE2, 6.38% (WAC) due 05/25/54^à^,(c)		170,365		173,035
2025-HE1, 5.83% (WAC) due 01/25/55^à^,(c)		141,082		142,217
2026-HE2, 5.25% (WAC) due 01/25/56^à^,(c)		138,566		136,486
2025-HE8, 5.21% (WAC) due 11/25/55^à^,(c)		128,898		127,781
2024-HE4, 5.06% (WAC) due 09/25/54^à^,(c)		63,647		63,357
2024-HE1, 6.17% (WAC) due 03/25/54^à^,(c)		55,353		56,048
OBX Trust
2025-NQM16, 5.21% due 08/25/65^(c),(h)		375,205		370,990
2024-NQM11, 6.13% due 06/25/64^(c),(h)		258,266		259,287
2024-NQM3, 6.43% due 12/25/63^(c),(h)		243,175		243,745
2024-NQM13, 5.37% due 06/25/64^(c),(h)		135,167		134,861
2024-NQM2, 6.18% due 12/25/63^(c),(h)		121,851		121,889
2024-NQM5, 6.29% due 01/25/64^(c),(h)		113,579		113,880
2024-NQM6, 6.85% due 02/25/64^(c),(h)		73,100		73,527
2024-NQM9, 6.44% due 01/25/64^(c),(h)		52,107		52,330
2024-NQM8, 6.59% due 05/25/64^(c),(h)		47,859		48,087
NYMT Loan Trust
2025-INV2, 5.46% due 10/25/60^(c),(h)		969,431		960,340
PRPM LLC
2025-7, 5.50% due 08/25/30^(c),(h)		346,731		345,295
2025-8, 5.39% due 10/25/30^(c),(h)		309,412		307,592
2025-6, 5.77% due 08/25/28^(c),(h)		216,215		215,508
Morgan Stanley Residential Mortgage Loan Trust
2025-SPL1, 4.25% due 02/25/65^(c),(h)		421,397		405,912
2025-NQM9, 5.22% due 09/25/70^(c),(h)		259,520		256,339
Angel Oak Mortgage Trust
2024-2, 6.25% due 01/25/69^(c),(h)		310,170		310,337
2025-12, 5.34% due 12/25/70^(c),(h)		187,215		185,415
2023-1, 4.75% due 09/26/67^(c),(h)		138,590		137,862
JP Morgan Mortgage Trust
2021-12, 2.50% (WAC) due 02/25/52^à^,(c)		461,539		432,005
2021-13, 2.50% (WAC) due 04/25/52^à^,(c)		205,045		190,888
GCAT Trust
2023-NQM3, 6.89% due 08/25/68^(c),(h)		252,958		253,412
2025-NQM4, 5.73% due 06/25/70^(c),(h)		195,912		195,618
2025-INV3, 6.00% (WAC) due 08/25/55^à^,(c)		150,879		151,327
Ameriquest Mortgage Securities Trust
2006-M3, 3.92% (1 Month Term SOFR + 0.27%, Rate Floor: 0.16%) due 10/25/36^à		1,909,259		571,458
Towd Point Mortgage Trust
2025-FIX1, 5.16% due 09/25/65^(c),(h)		300,000		295,921
2025-CES4, 5.46% due 10/25/65^(c),(h)		250,000		248,339
Easy Street Mortgage Loan Trust
2025-RTL2, 5.61% due 10/25/40^(c),(h)		500,000		498,900
RCKT Mortgage Trust
2025-CES8, 5.25% (WAC) due 08/25/55^à^,(c)		382,017		380,465
2024-CES4, 6.15% due 06/25/44^(c),(h)		106,047		106,454
Legacy Mortgage Asset Trust
2021-GS5, 6.25% due 07/25/67^(c)		246,564		246,806
2021-GS3, 5.75% due 07/25/61^(c)		221,539		221,812
LHOME Mortgage Trust
2025-RTL3, 5.24% due 08/25/40^(c),(h)		250,000		249,774

	FACE AMOUNT^~		VALUE
COLLATERALIZED MORTGAGE OBLIGATIONS - 29.3% (continued)
RESIDENTIAL MORTGAGE-BACKED SECURITIES - 10.0% (continued)
2024-RTL5, 5.32% due 09/25/39^(c),(h)		200,000	$	200,194
Saluda Grade Alternative Mortgage Trust
2025-RRTL1, 5.32% due 10/25/40^(c),(h)		250,000		247,810
2025-LOC4, 5.38% (30 Day Average SOFR + 1.75%) due 06/25/55^à^,(c)		114,050		114,722
2023-FIG4, 6.72% (WAC) due 11/25/53^à^,(c)		84,517		86,409
HOMES Trust
2025-AFC3, 5.34% due 08/25/60^(c),(h)		413,082		410,215
Starwood Mortgage Residential Trust
2020-1, 2.41% (WAC) due 02/25/50^à^,(c)		417,776		402,887
Archwest Mortgage Trust
2025-RTL1, 5.20% due 10/25/40^(c),(h)		400,000		397,993
Securitized Asset-Backed Receivables LLC Trust
2007-BR2, 4.12% (1 Month Term SOFR + 0.47%, Rate Floor: 0.36%) due 02/25/37^à^,(c)		434,392		383,312
PMT Loan Trust
2025-INV8, 6.00% (WAC) due 07/25/56^à^,(c)		336,425		338,487
Master Asset-Backed Securities Trust
2006-WMC4, 4.06% (1 Month Term SOFR + 0.41%, Rate Floor: 0.30%) due 10/25/36^à		1,038,568		325,217
Home Equity Loan Trust
2007-FRE1, 3.95% (1 Month Term SOFR + 0.30%, Rate Floor: 0.19%) due 04/25/37^à		332,013		317,906
Provident Funding Mortgage Trust
2026-1, 5.00% (WAC) due 01/25/56^à^,(c)		193,660		191,300
2025-4, 5.50% (WAC) due 09/25/55^à^,(c)		111,170		111,033
OSAT Trust
2021-RPL1, 6.12% due 05/25/65^(c)		296,507		296,750
BRAVO Residential Funding Trust
2023-NQM2, 4.50% due 05/25/62^(c),(h)		180,539		179,067
2024-NQM1, 6.40% due 12/01/63^(c),(h)		116,839		116,960
First Franklin Mortgage Loan Trust
2006-FF16, 4.18% (1 Month Term SOFR + 0.53%, Rate Floor: 0.42%) due 12/25/36^à		756,252		290,408
CSMC Trust
2021-RPL4, 4.15% (WAC) due 12/27/60^à^,(c)		267,248		266,375
HarborView Mortgage Loan Trust
2006-14, 4.05% (1 Month Term SOFR + 0.41%, Rate Floor: 0.30%) due 01/25/47^à		256,714		245,893
New Residential Mortgage Loan Trust
2024-NQM2, 5.42% due 09/25/64^(c)		173,288		171,757
2025-NQM3, 5.53% (WAC) due 05/25/65^à^,(c)		71,788		71,859
American Home Mortgage Investment Trust
2007-1, 2.08% due 05/25/47^(g)		1,531,855		233,716
EFMT
2025-CES4, 5.43% due 06/25/60^(c),(h)		187,204		187,139
NovaStar Mortgage Funding Trust
2007-2, 3.96% (1 Month Term SOFR + 0.31%, Rate Floor: 0.20%) due 09/25/37^à		180,332		178,114
Cross Mortgage Trust
2025-H6, 5.54% due 07/25/70^(c),(h)		162,182		161,653
CAFL Issuer, LP
2025-RRTL2, 5.18% due 11/28/40^(c),(h)		150,000		148,981
Washington Mutual Mortgage Pass-Through Certificates WMALT Series Trust
2006-AR9, 4.58% (1 Year CMT Rate + 0.84%, Rate Floor: 0.84%) due 11/25/46^à		160,786		140,980
Vista Point Securitization Trust
2024-CES3, 5.68% due 01/25/55^(c),(h)		129,995		130,103
Imperial Fund Mortgage Trust
2022-NQM2, 4.20% (WAC) due 03/25/67^à^,(c)		135,509		127,639
ACHM Trust
2025-HE3, 5.20% (WAC) due 11/25/55^à^,(c)		90,317		89,046
Mill City Securities Ltd.
2024-RS2, 3.00% due 08/01/69^(c),(h)		63,933		61,019
LSTAR Securities Investment Ltd.
2024-1, 7.69% (30 Day Average SOFR + 4.10%, Rate Floor: 3.10%) due 01/01/29^à^,(c)		42,755		42,728
Sequoia Mortgage Trust
2024-5, 6.00% (WAC) due 06/25/54^à^,(c)		35,752		35,823

Series
Series E	(Total Return Bond Series)
Series F	(Floating Rate Strategies Series)
Series P	(High Yield Series)

SCHEDULE OF INVESTMENTS (Unaudited)	June 30, 2026
SERIES E (TOTAL RETURN BOND SERIES)

SCHEDULE OF INVESTMENTS (Unaudited) (continued)	June 30, 2026
SERIES E (TOTAL RETURN BOND SERIES)

	FACE AMOUNT^~		VALUE
CORPORATE BONDS - 22.2% (continued)
FINANCIAL - 11.0% (continued)
United Wholesale Mortgage LLC
5.50% due 04/15/29^(c)		300,000	$	278,686
Citadel Securities Global Holdings LLC
6.20% due 06/18/35^(c)		250,000		255,477
MetLife, Inc.
6.35% due 03/15/55⁽ⁱ⁾		150,000		153,737
5.85% due 03/15/56⁽ⁱ⁾		100,000		98,665
AmFam Holdings, Inc.
2.81% due 03/11/31^(c)		200,000		176,233
3.83% due 03/11/51^(c)		100,000		70,017
Credit Agricole S.A.
5.26% due 01/12/37^(c),(i)		250,000		245,901
BNP Paribas S.A.
4.92% due 01/15/34^(c),(i)		250,000		245,251
Jefferies Finance LLC / JFIN Co.-Issuer Corp.
5.00% due 08/15/28^(c)		245,000		236,564
Capital One Financial Corp.
6.38% due 06/08/34⁽ⁱ⁾		150,000		158,722
5.20% due 09/11/36⁽ⁱ⁾		75,000		73,009
Insured Lending 1 Ltd.
6.50% due 02/04/32^(a),(k)	EUR	200,000		228,500
Old Republic International Corp.
5.70% due 06/01/36		225,000		225,811
Stewart Information Services Corp.
3.60% due 11/15/31		250,000		222,241
Jefferies Financial Group, Inc.
6.20% due 04/14/34		133,000		136,127
5.50% due 02/15/36		70,000		67,549
6.25% due 01/15/36		17,000		17,358
American National Group, Inc.
6.00% due 07/15/35		141,000		140,473
7.00% due 12/01/55⁽ⁱ⁾		75,000		73,235
Westpac Banking Corp.
3.02% due 11/18/36⁽ⁱ⁾		150,000		133,924
3.13% due 11/18/41		73,000		54,059
2.67% due 11/15/35⁽ⁱ⁾		27,000		24,318
Equitable Holdings, Inc.
6.70% due 03/28/55⁽ⁱ⁾		202,000		207,542
Fairfax Financial Holdings Ltd.
5.63% due 08/16/32		100,000		102,526
5.75% due 05/20/35		100,000		102,365
Encore Capital Group, Inc.
6.63% due 04/15/31^(c)		200,000		202,300
Nationwide Building Society
5.54% due 07/14/36^(c),(i)		200,000		201,483
EQT AB
5.85% due 05/08/35^(c)		200,000		200,882
Sumitomo Life Insurance Co.
5.88% due 09/10/55^(c),(i)		200,000		198,998
Sumitomo Mitsui Financial Group, Inc.
5.05% due 01/15/37⁽ⁱ⁾		200,000		196,382
Hunt Companies, Inc.
5.25% due 04/15/29^(c)		198,000		195,652
Avilease Capital Ltd.
4.75% due 11/12/30^(c)		200,000		195,578
Santander UK Group Holdings plc
5.14% due 09/22/36⁽ⁱ⁾		200,000		194,377
Trustage Financial Group, Inc.
4.63% due 04/15/32^(c)		200,000		193,804
Carlyle Group, Inc.
5.05% due 09/19/35		200,000		191,468
Blue Owl GP Stakes IV Financing Spv A LLC
5.38% due 10/30/32^(a)		200,000		190,735
Farmers Insurance Exchange
7.00% due 10/15/64^(c),(i)		180,000		180,872
Americo Life, Inc.
3.45% due 04/15/31^(c)		200,000		178,845
CNO Financial Group, Inc.
6.45% due 06/15/34		170,000		177,146
Blue Owl IV SR SEC A
5.94% due 08/22/45^(a)		182,000		176,120
Lazard Group LLC
5.63% due 08/01/35		175,000		175,562
Sherwood Financing plc
7.90% (3 Month EURIBOR + 5.50%) due 12/15/29^à	EUR	150,000		172,232
Prudential Financial, Inc.
3.70% due 10/01/50⁽ⁱ⁾		130,000		120,500
6.25% due 06/15/56⁽ⁱ⁾		50,000		50,111
Dyal Capital Partners III (A), LP
6.55% due 06/15/44^(a)		168,000		170,244
Jane Street Group / JSG Finance, Inc.
7.13% due 04/30/31^(c)		160,000		165,433
FS KKR Capital Corp.
3.25% due 07/15/27		117,000		113,956
2.63% due 01/15/27		51,000		50,059
LPL Holdings, Inc.
6.00% due 05/20/34		160,000		163,670
Blue Owl IV SR SEC B
5.94% due 08/22/45^(a)		168,000		162,573
Reinsurance Group of America, Inc.
6.38% due 09/15/56⁽ⁱ⁾		110,000		109,105
6.65% due 09/15/55⁽ⁱ⁾		50,000		50,552
Grand River Funding Trust II
7.28% due 02/15/56^(c)		150,000		155,766
Morgan Stanley
5.31% due 01/18/41⁽ⁱ⁾		80,000		77,966
5.94% due 02/07/39⁽ⁱ⁾		75,000		77,344
Belrose Funding Trust II
6.79% due 05/15/55^(c)		150,000		153,587
Beacon Funding Trust
6.27% due 08/15/54^(c)		150,000		152,919

	FACE AMOUNT^~		VALUE
ASSET-BACKED SECURITIES - 16.4% (continued)
COLLATERALIZED LOAN OBLIGATIONS - 7.0% (continued)
BXMT Ltd.
2020-FL2 AS, 5.15% (1 Month Term SOFR + 1.51%, Rate Floor: 1.51%) due 02/15/38^à^,(c)		788,614	$	787,092
Dryden 37 Senior Loan Fund 2015-37A BR, 5.33% (3 Month Term SOFR + 1.66%, Rate Floor: 1.40%) due 01/15/31^à^,(c)		367,868		368,350
2015-37A CR, 7.18% (3 Month Term SOFR + 3.51%, Rate Floor: 3.25%) due 01/15/31^à^,(c)		333,333		334,959
2015-37A SUB due 01/15/31^(a),(c),(l)		298,799		546
Golub Capital Partners CLO 69M
2023-69A CR, 5.70% (3 Month Term SOFR + 2.05%, Rate Floor: 2.05%) due 11/09/38^à^,(c)		300,000		299,775
2023-69A BR, 5.35% (3 Month Term SOFR + 1.70%, Rate Floor: 1.70%) due 11/09/38^à^,(c)		300,000		299,263
KREF Ltd.
2021-FL2 C, 5.75% (1 Month Term SOFR + 2.11%, Rate Floor: 2.00%) due 02/15/39^à^,(c)		500,000		497,034
2021-FL2 AS, 5.05% (1 Month Term SOFR + 1.41%, Rate Floor: 1.30%) due 02/15/39^à^,(c)		90,157		90,167
Golub Capital Partners CLO 54M, LP
2021-54A CR, 6.11% (3 Month Term SOFR + 2.45%, Rate Floor: 2.45%) due 08/05/37^à^,(c)		500,000		500,621
KKR CLO 16 Ltd.
16 A2R3, 5.28% (3 Month Term SOFR + 1.60%, Rate Floor: 1.60%) due 10/20/34^à^,(c)		500,000		500,500
Ares Direct Lending CLO 1 LLC
2024-1AR BR due 07/25/38^à^,(c)		250,000		250,000
2024-1A B, 5.87% (3 Month Term SOFR + 2.20%, Rate Floor: 2.20%) due 04/25/36^à^,(c)		250,000		249,714
CIFC Funding Ltd.
2015-4A BR3, 5.23% (3 Month Term SOFR + 1.55%, Rate Floor: 1.55%) due 01/17/39^à^,(c)		500,000		499,618
Cerberus Loan Funding 50 LLC
2025-1A B, 5.62% (3 Month Term SOFR + 1.95%, Rate Floor: 1.95%) due 07/15/37^à^,(c)		500,000		499,176
Owl Rock CLO XXIV LLC
2026-24A B, 5.37% (3 Month Term SOFR + 1.70%, Rate Floor: 1.70%) due 01/22/38^à^,(c)		500,000		498,786
LoanCore Issuer Ltd.
2021-CRE6 C, 6.04% (1 Month Term SOFR + 2.41%, Rate Floor: 2.30%) due 11/15/38^à^,(c)		500,000		497,075
Eldridge CLO Ltd.
2025-1A B, 5.33% (3 Month Term SOFR + 1.65%, Rate Floor: 1.65%) due 10/20/38^à^,(c)		250,000		250,848
2025-2A C, 5.50% (3 Month Term SOFR + 1.85%, Rate Floor: 1.85%) due 01/20/39^à^,(c)		200,000		200,536
TRTX Issuer Ltd.
2025-FL6 A, 5.17% (1 Month Term SOFR + 1.54%, Rate Floor: 1.54%) due 09/18/42^à^,(c)		300,000		300,692
2025-FL7 B, 5.59% (1 Month Term SOFR + 1.95%, Rate Floor: 1.95%) due 06/18/43^à^,(c)		150,000		150,119
Ares Direct Lending CLO 6 LLC
2025-2A B, 5.48% (3 Month Term SOFR + 1.80%, Rate Floor: 1.80%) due 10/16/37^à^,(c)		400,000		399,131
BDS LLC
2025-FL15 B, 5.54% (1 Month Term SOFR + 1.90%, Rate Floor: 1.90%) due 03/19/43^à^,(c)		300,000		298,100
2025-FL16 B, 5.49% (1 Month Term SOFR + 1.85%, Rate Floor: 1.85%) due 06/19/43^à^,(c)		100,000		99,098
Golub Capital Partners CLO 49M Ltd.
2020-49A A2R2, 5.36% (3 Month Term SOFR + 1.68%, Rate Floor: 1.68%) due 07/20/38^à^,(c)		350,000		349,983
BCRED CLO LLC
2026-1A B, 5.35% (3 Month Term SOFR + 1.70%, Rate Floor: 1.70%) due 04/24/39^à^,(c)		350,000		349,138

	FACE AMOUNT^~		VALUE
SENIOR FLOATING RATE INTERESTS - 3.1% (continued)
INDUSTRIAL - 0.4% (continued)
Capstone Acquisition Holdings, Inc.
8.24% (1 Month Term SOFR + 4.50%, Rate Floor: 1.00%) due 11/13/29^à^,(a)		147,496	$	146,945
Total Industrial				741,416

ENERGY - 0.2%
Transmontaigne Operating Co., LP
5.89% (1 Month Term SOFR + 2.25%, Rate Floor: 1.50%) due 03/16/30^à		199,360		199,277
Bip PipeCo Holdings LLC
5.68% (3 Month Term SOFR + 2.00%) due 12/06/30^à		198,310		197,875
Liquid Tech Solutions Holdings LLC
7.23% (3 Month Term SOFR + 3.50%) due 10/12/32^à		93,079		92,209
Total Energy				489,361

TECHNOLOGY - 0.2%
Blue Finco SARL
6.98% (3 Month Term SOFR + 3.25%) due 07/12/32^à		198,000		188,941
Ascend Learning LLC
6.64% (1 Month Term SOFR + 3.00%, Rate Floor: 0.50%) due 12/11/28^à		188,568		183,644
Datix Bidco Ltd.
8.73% (6 Month SONIA + 5.00%) due 04/30/31^à^,(a)	GBP	71,200		93,898
8.73% (6 Month Term SOFR + 5.00%, Rate Floor: 0.50%) due 04/30/31^à^,(a)		20,000		19,888
Total Technology				486,371

CONSUMER, NON-CYCLICAL - 0.1%
Corpay Technologies Operating Co. LLC
5.39% (1 Month Term SOFR + 1.75%) due 11/05/32^à		248,751		247,995

COMMUNICATIONS - 0.1%
Discovery Global Holdings, Inc.
6.14% (1 Month Term SOFR + 2.50%) due 06/20/33^à		98,077		98,068
Level 3 Financing, Inc.
6.39% (1 Month Term SOFR + 2.75%) due 03/29/32^à		30,000		29,991
Total Communications				128,059
Total Senior Floating Rate Interests
(Cost $6,139,191)				6,127,402

FEDERAL AGENCY BONDS - 0.9%
Tennessee Valley Authority
4.25% due 09/15/65		1,000,000		817,203
5.38% due 04/01/56		750,000		752,483
5.25% due 02/01/55		50,000		49,327
4.63% due 09/15/60		5,000		4,425
Tennessee Valley Authority Principal Strips
due 01/15/48^(p),(q)		500,000		158,619
Total Federal Agency Bonds
(Cost $2,607,964)				1,782,057

FOREIGN GOVERNMENT DEBT - 0.8%
Australia Government Bond
4.25% due 03/21/36	AUD	1,840,000		1,226,561
Eagle Funding Luxco SARL
5.50% due 08/17/30^(c)		250,000		251,013
Total Foreign Government Debt
(Cost $1,474,950)				1,477,574

MUNICIPAL BONDS - 0.2%
ILLINOIS - 0.2%
State of Illinois General Obligation Unlimited
5.65% due 12/01/38		288,889		297,458

CALIFORNIA - 0.0%
California Public Finance Authority Revenue Bonds
5.40% due 11/15/31		50,000		50,810
Total Municipal Bonds
(Cost $343,187)				348,268

	CONTRACTS/ NOTIONAL VALUE
LISTED OPTIONS PURCHASED - 0.0%
Call Options on:
Interest Rate Options
3-Month SOFR Futures Contracts Expiring March 2027 with strike price of $97.50 (Notional Value $19,663,600)		82	8,200
3-Month SOFR Futures Contracts Expiring September 2026 with strike price of $97.50 (Notional Value $27,624,438)		115	1,438
Total Listed Options Purchased
(Cost $88,878)			9,638

OTC INTEREST RATE SWAPTIONS PURCHASED^(r) - 0.0%
Call Swaptions on:
Interest Rate Swaptions
Morgan Stanley Capital Services LLC 2-Year Interest Rate Swap Expiring December 2026 with exercise rate of 3.38%		2,913,000	3,521
Barclays Bank plc 2-Year Interest Rate Swap Expiring December 2026 with exercise rate of 3.38%		1,619,000	1,957

	CONTRACTS/ NOTIONAL VALUE		VALUE
OTC INTEREST RATE SWAPTIONS WRITTEN^(r) - (0.1)% (continued)
Call Swaptions on: (continued)
Interest Rate Swaptions (continued)
BNP Paribas 9-Month/5-Year Interest Rate Swap Expiring September 2026 with exercise rate of 2.85%		1,370,000	$	(130	)
Morgan Stanley Capital Services LLC 9-Month/5-Year Interest Rate Swap Expiring September 2026 with exercise rate of 2.85%		1,370,000		(130	)
The Toronto-Dominion Bank 9-Month/5-Year Interest Rate Swap Expiring September 2026 with exercise rate of 2.85%		1,370,000		(130	)
Total Interest Rate Swaptions				(582	)

Put Swaptions on:
Interest Rate Swaptions
The Toronto-Dominion Bank 2-Year Interest Rate Swap Expiring September 2026 with exercise rate of 3.95%		971,000		(3,802	)
The Toronto-Dominion Bank 2-Year Interest Rate Swap Expiring September 2026 with exercise rate of 3.95%		969,000		(3,810	)
Bank of America, N.A. 2-Year Interest Rate Swap Expiring December 2026 with exercise rate of 3.95%		971,000		(5,020	)
Barclays Bank plc 2-Year Interest Rate Swap Expiring December 2026 with exercise rate of 3.95%		971,000		(5,020	)
The Toronto-Dominion Bank 2-Year Interest Rate Swap Expiring September 2026 with exercise rate of 3.95%		1,272,000		(5,042	)
Barclays Bank plc 1-Year/2-Year Interest Rate Swap Expiring August 2026 with exercise rate of 3.71%		837,500		(5,432	)
BNP Paribas 1-Year/2-Year Interest Rate Swap Expiring August 2026 with exercise rate of 3.71%		837,500		(5,432	)
JPMorgan Chase Bank, N.A. 2-Year Interest Rate Swap Expiring September 2026 with exercise rate of 3.95%		1,946,000		(7,619	)
BNP Paribas 2-Year Interest Rate Swap Expiring September 2026 with exercise rate of 3.95%		1,948,000		(7,658	)
Bank of America, N.A. 2-Year Interest Rate Swap Expiring December 2026 with exercise rate of 3.95%		1,618,000		(8,410	)
BNP Paribas 1-Year/2-Year Interest Rate Swap Expiring August 2026 with exercise rate of 3.64%		1,172,500		(8,843	)
Morgan Stanley Capital Services LLC 1-Year/2-Year Interest Rate Swap Expiring August 2026 with exercise rate of 3.64%		1,172,500		(8,843	)
BNP Paribas 1-Year/2-Year Interest Rate Swap Expiring August 2026 with exercise rate of 3.69%		1,340,000		(9,095	)
The Toronto-Dominion Bank 1-Year/2-Year Interest Rate Swap Expiring August 2026 with exercise rate of 3.69%		1,340,000		(9,096	)
Citibank, N.A. 2-Year Interest Rate Swap Expiring September 2026 with exercise rate of 3.95%		2,604,000		(10,195	)
Morgan Stanley Capital Services LLC 2-Year Interest Rate Swap Expiring December 2026 with exercise rate of 3.95%		2,913,000		(15,141	)
Barclays Bank plc 2-Year Interest Rate Swap Expiring December 2026 with exercise rate of 3.95%		3,237,000		(16,825	)
Total Interest Rate Swaptions				(135,283	)

Total OTC Interest Rate Swaptions Written
(Premium received $146,497)				(135,865	)

Other Assets & Liabilities, net - (13.1)%				(25,688,928	)
Total Net Assets - 100.0%			$	195,537,117

^~	The face amount is denominated in U.S. dollars unless otherwise indicated.
^*	Non-income producing security.
^à	Variable rate security. Rate indicated is the rate effective at June 30, 2026. 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.
^(a)	Value determined based on Level 3 inputs — See Note 4.
^(b)	Special Purpose Acquisition Company (SPAC).
^(c)	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) liquid securities is $70,977,288 (cost $72,998,381), or 36.3% of total net assets.

^(d)	Affiliated issuer.
^(e)	A copy of each underlying unaffiliated fund’s financial statements is available at the SEC’s website at www.sec.gov.
^(f)	Rate indicated is the 7-day yield as of June 30, 2026.
^(g)	Security is an interest-only strip.
^(h)	Security is a step up/down bond. The coupon increases or decreases at regular intervals until the bond reaches full maturity. Rate indicated is the rate at June 30, 2026. See table below for additional step information for each security.
⁽ⁱ⁾	Security has a fixed rate coupon which will convert to a floating or variable rate coupon on a future date.
^(j)	Perpetual maturity.
^(k)	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 $268,224 (cost $274,195), or 0.1% of total net assets - See Note 10.
^(l)	Security has no stated coupon. However, it is expected to receive residual cash flow payments on defined deal dates.
^(m)	Security is in default of interest and/or principal obligations.
⁽ⁿ⁾	Face amount of security is adjusted for inflation.
^(o)	All or a portion of these securities have been physically segregated in connection with the reverse repurchase agreements. As of June 30, 2026, the total value of securities segregated was $3,808,777.
^(p)	Security is a principal-only strip.
^(q)	Zero coupon rate security.
^(r)	Swaptions — See additional disclosure in the swaptions table below for more information on swaptions.

Description	Number of Contracts		Expiration Date	Notional Amount		Value and Unrealized Appreciation (Depreciation)^(a)
Interest Rate Futures Contracts Purchased
U.S. Treasury Long Bond Futures Contracts		111	Sep 2026	$	12,549,937	$	172,081
U.S. Treasury 10 Year Note Futures Contracts		50	Sep 2026		5,488,282		30,013
U.S. Treasury 5 Year Note Futures Contracts		46	Sep 2026		4,920,922		1,904
U.S. Treasury 2 Year Note Futures Contracts		20	Sep 2026		4,121,875		(355	)
						$	203,643
Interest Rate Futures Contracts Sold Short
U.S. Treasury Ultra Long Bond Futures Contracts		13	Sep 2026		1,502,719	$	(17,898	)

Counterparty		Exchange		Index		Protection Premium Rate				Payment Frequency		Maturity Date		Notional Amount				Value				Upfront Premiums Paid				Unrealized Appreciation^(a)
Bank of America Securities, Inc.		ICE		CDX. NA.IG.45.V1			1.00	%		Quarterly		06/20/31		$	1,800,000			$	39,967			$	34,144			$	5,823

Counterparty	Exchange	Floating Rate Type	Floating Rate Index	Fixed Rate			Payment Frequency	Maturity Date	Notional Amount		Value			Upfront Premiums Paid (Received)			Unrealized Appreciation (Depreciation)^(a)
J.P. Morgan Securities LLC	CME	Pay	U.S. Secured Overnight Financing Rate		4.21	%	Annually	07/11/27	$	4,000,000	$	17,594		$	106		$	17,488
J.P. Morgan Securities LLC	CME	Pay	U.S. Secured Overnight Financing Rate		4.27	%	Annually	06/27/27		4,500,000		11,409			102			11,307
Bank of America Securities, Inc.	CME	Pay	U.S. Secured Overnight Financing Rate		3.95	%	Annual	07/02/29		1,675,000		(85	)		—			(85	)
Bank of America Securities, Inc.	CME	Receive	U.S. Secured Overnight Financing Rate		3.94	%	Annually	06/23/31		4,275,000		(5,562	)		(3,562	)		(2,000	)
Bank of America Securities, Inc.	CME	Receive	U.S. Secured Overnight Financing Rate		4.14	%	Annually	06/12/36		1,000,000		(9,913	)		—			(9,913	)
Bank of America Securities, Inc.	CME	Pay	U.S. Secured Overnight Financing Rate		2.78	%	Annually	07/18/27		5,000,000		(119,916	)		27			(119,943	)
											$	(106,473	)	$	(3,327	)	$	(103,146	)

Counterparty/ Description	Floating Rate Type	Floating Rate Index	Payment Frequency	Fixed Rate			Expiration Date	Exercise Rate			Swaption Notional Amount		Swaption Value
Call
Morgan Stanley Capital Services LLC 2-Year Interest Rate Swap	Pay	12 Month SOFR	Annual		3.38	%	12/28/26		3.38	%	$	2,913,000	$	3,521
Barclays Bank plc 2-Year Interest Rate Swap	Pay	12 Month SOFR	Annual		3.38	%	12/28/26		3.38	%		1,619,000		1,957
Barclays Bank plc 2-Year Interest Rate Swap	Pay	12 Month SOFR	Annual		3.25	%	12/28/26		3.25	%		1,618,000		1,471
Bank of America, N.A. 2-Year Interest Rate Swap	Pay	12 Month SOFR	Annual		3.25	%	12/28/26		3.25	%		1,618,000		1,471
Citibank, N.A. 2-Year Interest Rate Swap	Pay	12 Month SOFR	Annual		3.43	%	09/28/26		3.43	%		2,604,000		1,266
Barclays Bank plc 2-Year Interest Rate Swap	Pay	12 Month SOFR	Annual		3.38	%	12/24/26		3.38	%		971,000		1,155
Bank of America, N.A. 2-Year Interest Rate Swap	Pay	12 Month SOFR	Annual		3.38	%	12/24/26		3.38	%		971,000		1,155
Barclays Bank plc 9-Month/5-Year Interest Rate Swap	Pay	12 Month SOFR	Annual		3.35	%	09/21/26		3.35	%		1,370,000		918
Morgan Stanley Capital Services LLC 9-Month/5- Year Interest Rate Swap	Pay	12 Month SOFR	Annual		3.35	%	09/21/26		3.35	%		1,370,000		918
The Toronto- Dominion Bank 9-Month/5-Year Interest Rate Swap	Pay	12 Month SOFR	Annual		3.35	%	09/21/26		3.35	%		1,370,000		918
BNP Paribas 9-Month/5-Year Interest Rate Swap	Pay	12 Month SOFR	Annual		3.35	%	09/21/26		3.35	%		1,370,000		918
JPMorgan Chase Bank, N.A. 2-Year Interest Rate Swap	Pay	12 Month SOFR	Annual		3.43	%	09/24/26		3.43	%		1,946,000		907
The Toronto-Dominion Bank 2-Year Interest Rate Swap	Pay	12 Month SOFR	Annual		3.43	%	09/28/26		3.43	%		1,272,000		618
BNP Paribas 2-Year Interest Rate Swap	Pay	12 Month SOFR	Annual		3.30	%	09/25/26		3.30	%		1,948,000		614
The Toronto-Dominion Bank 2-Year Interest Rate Swap	Pay	12 Month SOFR	Annual		3.43	%	09/24/26		3.43	%		971,000		453
The Toronto-Dominion Bank 2-Year Interest Rate Swap	Pay	12 Month SOFR	Annual		3.30	%	09/25/26		3.30	%		969,000		305
													$	18,565

Counterparty/ Description	Floating Rate Type	Floating Rate Index	Payment Frequency	Fixed Rate			Expiration Date	Exercise Rate			Swaption Notional Amount		Swaption Value
BNP Paribas 1-Year/2-Year Interest Rate Swap	Pay	12 Month SOFR	Annual		3.71	%	08/19/26		3.71	%	$	837,500	$	(5,432	)
Barclays Bank plc 1-Year/2-Year Interest Rate Swap	Pay	12 Month SOFR	Annual		3.71	%	08/19/26		3.71	%		837,500		(5,432	)
JPMorgan Chase Bank, N.A. 2-Year Interest Rate Swap	Pay	12 Month SOFR	Annual		3.95	%	09/24/26		3.95	%		1,946,000		(7,619	)
BNP Paribas 2-Year Interest Rate Swap	Pay	12 Month SOFR	Annual		3.95	%	09/25/26		3.95	%		1,948,000		(7,658	)
Bank of America, N.A. 2-Year Interest Rate Swap	Pay	12 Month SOFR	Annual		3.95	%	12/28/26		3.95	%		1,618,000		(8,410	)
BNP Paribas 1-Year/2-Year Interest Rate Swap	Pay	12 Month SOFR	Annual		3.64	%	08/13/26		3.64	%		1,172,500		(8,843	)
Morgan Stanley Capital Services LLC 1-Year/2- Year Interest Rate Swap	Pay	12 Month SOFR	Annual		3.64	%	08/13/26		3.64	%		1,172,500		(8,843	)
BNP Paribas 1-Year/2-Year Interest Rate Swap	Pay	12 Month SOFR	Annual		3.69	%	08/14/26		3.69	%		1,340,000		(9,095	)
The Toronto-Dominion Bank 1-Year/2-Year Interest Rate Swap	Pay	12 Month SOFR	Annual		3.69	%	08/14/26		3.69	%		1,340,000		(9,096	)
Citibank, N.A. 2-Year Interest Rate Swap	Pay	12 Month SOFR	Annual		3.95	%	09/24/26		3.95	%		2,604,000		(10,195	)
Morgan Stanley Capital Services LLC 2-Year Interest Rate Swap	Pay	12 Month SOFR	Annual		3.95	%	12/28/26		3.95	%		2,913,000		(15,141	)
Barclays Bank plc 2-Year Interest Rate Swap	Pay	12 Month SOFR	Annual		3.95	%	12/28/26		3.95	%		3,237,000		(16,825	)
													$	(135,283	)

^~	The face amount is denominated in U.S. dollars unless otherwise indicated.
^(a)	Includes cumulative appreciation (depreciation). Variation margin is reported within the Statement of Assets and Liabilities.

Investments in Securities (Assets)	Level 1 Quoted Prices		Level 2 Significant Observable Inputs		Level 3 Significant Unobservable Inputs		Total
Common Stocks	$	—	$	17,827	$	8	$	17,835
Preferred Stocks		486,662		3,710,984		—		4,197,646
Warrants		1		—		3		4
Exchange-Traded Funds		54,581,315		—		—		54,581,315
Money Market Funds		958,137		—		—		958,137
Collateralized Mortgage Obligations		—		56,360,135		865,382		57,225,517
Corporate Bonds		—		39,798,714		3,565,905		43,364,619
Asset-Backed Securities		—		28,189,895		3,883,552		32,073,447
U.S. Government Securities		—		19,186,961		—		19,186,961
Senior Floating Rate Interests		—		4,747,850		1,379,552		6,127,402
Federal Agency Bonds		—		1,782,057		—		1,782,057
Foreign Government Debt		—		1,477,574		—		1,477,574
Municipal Bonds		—		348,268		—		348,268
Options Purchased		9,638		—		—		9,638
Interest Rate Swaptions Purchased		—		18,565		—		18,565
Interest Rate Futures Contracts^(a)		203,998		—		—		203,998
Credit Default Swap Agreements^(a)		—		5,823		—		5,823
Interest Rate Swap Agreements^(a)		—		28,795		—		28,795
Forward Foreign Currency Exchange Contracts^(a)		—		5,674		—		5,674
Unfunded Loan Commitments (Note 9)		—		—		874		874
Total Assets	$	56,239,751	$	155,679,122	$	9,695,276	$	221,614,149

Investments in Securities (Liabilities)	Level 1 Quoted Prices		Level 2 Significant Observable Inputs		Level 3 Significant Unobservable Inputs		Total
Options Written	$	7,075	$	—	$	—	$	7,075
Interest Rate Swaptions Written		—		135,865		—		135,865
Interest Rate Futures Contracts^(a)		18,253		—		—		18,253
Credit Default Swap Agreements^(a)		—		12,827		—		12,827
Interest Rate Swap Agreements^(a)		—		131,941		—		131,941
Unfunded Loan Commitments (Note 9)		—		—		160		160
Total Liabilities	$	25,328	$	280,633	$	160	$	306,121

Category	Ending Balance at June 30, 2026		Valuation Technique	Unobservable Inputs	Input Range		Weighted Average^(a)
Assets:
Asset-Backed Securities	$	1,924,169	Yield Analysis	Yield		6.0%-7.3%		6.6	%
Asset-Backed Securities		1,365,198	Option adjusted spread off prior month end broker quote	Broker Quote		—		—
Asset-Backed Securities		525,000	Third Party Pricing	Broker Quote		—		—
Asset-Backed Securities		68,639	Third Party Pricing	Trade Price		—		—
Asset-Backed Securities		546	Third Party Pricing	Vendor Price		—		—
Collateralized Mortgage Obligations		846,072	Option adjusted spread off prior month end broker quote	Broker Quote		—		—
Collateralized Mortgage Obligations		19,310	Third Party Pricing	Vendor Price		—		—
Common Stocks		8	Model Price	Liquidation Value		—		—
Corporate Bonds		3,337,405	Option adjusted spread off prior month end broker quote	Broker Quote		—		—
Corporate Bonds		228,500	Third Party Pricing	Broker Quote		—		—
Senior Floating Rate Interests		898,651	Third Party Pricing	Broker Quote		—		—
Senior Floating Rate Interests		480,901	Model Price	Purchase Price		—		—
Unfunded Loan Commitments		874	Model Price	Purchase Price		—		—
Warrants		3	Model Price	Liquidation Value		—		—
Total Assets	$	9,695,276
Liabilities:
Unfunded Loan Commitments	$	160	Model Price	Purchase Price		—		—

	Beginning Balance		Purchases/ (Receipts)		(Sales, maturities and paydowns)/ Fundings			Amortization of premiums/ discounts			Total realized gains (losses) included in earnings
Assets
Asset-Backed Securities	$	3,508,701	$	468,639	$	(75,836	)	$	—		$	—
Corporate Bonds		5,216,173		116,916		(1,865,614	)		—			237,841
Senior Floating Rate Interests		861,363		936,353		(412,463	)		387			210
Warrants		3		—		—			—			—
Common Stocks		8		—		—			—			—
Collateralized Mortgage Obligations		887,025		—		(8,776	)		(2,424	)		(618	)

	Total change in unrealized appreciation (depreciation) included in earnings			Transfers into Level 3		Ending Balance			Net change in unrealized appreciation (depreciation) for investments in Level 3 securities still held at June 30, 2026
Assets
Asset-Backed Securities	$	(18,498	)	$	546	$	3,883,552		$	(18,498	)
Corporate Bonds		(139,411	)		—		3,565,905			(77,028	)
Senior Floating Rate Interests		(6,298	)		—		1,379,552			(6,214	)
Warrants		—			—		3			—
Common Stocks		—			—		8			—
Collateralized Mortgage Obligations		(9,825	)		—		865,382			(9,827	)
Unfunded Loan Commitments		(1,766	)		—		874			367
Total Assets	$	(175,798	)	$	546	$	9,695,276		$	(111,200	)

Liabilities
Unfunded Loan Commitments	$	(68	)	$	—	$	(160	)	$	—

Name	Coupon Rate at Next Reset Date	Next Rate Reset Date
Angel Oak Mortgage Trust 2024-2, 6.25% due 01/25/69	7.25%	01/01/28
Angel Oak Mortgage Trust 2023-1, 4.75% due 09/26/67	5.75%	01/01/27
Angel Oak Mortgage Trust 2025-12, 5.34% due 12/25/70	6.34%	11/01/29
Archwest Mortgage Trust 2025-RTL1, 5.20% due 10/25/40	6.16%	04/25/28
BRAVO Residential Funding Trust 2023-NQM2, 4.50% due 05/25/62	5.50%	02/01/27
BRAVO Residential Funding Trust 2024-NQM1, 6.40% due 12/01/63	7.40%	01/01/28
CAFL Issuer, LP 2025-RRTL2, 5.18% due 11/28/40	6.03%	06/28/28
Cross Mortgage Trust 2025-H6, 5.54% due 07/25/70	6.54%	07/01/29
Easy Street Mortgage Loan Trust 2025-RTL2, 5.61% due 10/25/40	7.50%	12/25/27
EFMT 2025-CES4, 5.43% due 06/25/60	6.43%	07/01/29
GCAT Trust 2023-NQM3, 6.89% due 08/25/68	7.89%	09/01/27
GCAT Trust 2025-NQM4, 5.73% due 06/25/70	6.73%	07/01/29
HOMES Trust 2025-AFC3, 5.34% due 08/25/60	6.34%	09/01/29
LHOME Mortgage Trust 2025-RTL3, 5.24% due 08/25/40	6.24%	02/25/28
LHOME Mortgage Trust 2024-RTL5, 5.32% due 09/25/39	6.32%	03/25/27
Mill City Securities Ltd. 2024-RS2, 3.00% due 08/01/69	6.00%	12/01/27
Morgan Stanley Residential Mortgage Loan Trust 2025-NQM9, 5.22% due 09/25/70	6.22%	11/01/29
Morgan Stanley Residential Mortgage Loan Trust 2025-SPL1, 4.25% due 02/25/65	5.25%	09/01/29
NYMT Loan Trust 2025-INV2, 5.46% due 10/25/60	6.46%	09/01/29
OBX Trust 2025-NQM16, 5.21% due 08/25/65	6.21%	09/01/29

Name	Coupon Rate at Next Reset Date	Next Rate Reset Date
OBX Trust 2024-NQM13, 5.37% due 06/25/64	6.37%	08/01/28
OBX Trust 2024-NQM5, 6.29% due 01/25/64	7.29%	03/01/28
OBX Trust 2024-NQM9, 6.44% due 01/25/64	7.66%	06/01/28
OBX Trust 2024-NQM11, 6.13% due 06/25/64	7.08%	07/01/28
OBX Trust 2024-NQM8, 6.59% due 05/25/64	7.59%	05/01/28
OBX Trust 2024-NQM3, 6.43% due 12/25/63	7.43%	02/01/28
OBX Trust 2024-NQM2, 6.18% due 12/25/63	7.18%	01/01/28
OBX Trust 2024-NQM6, 6.85% due 02/25/64	7.85%	04/01/28
PRPM LLC 2025-7, 5.50% due 08/25/30	8.50%	08/01/28
PRPM LLC 2025-6, 5.77% due 08/25/28	8.77%	08/01/28
PRPM LLC 2025-8, 5.39% due 10/25/30	8.39%	10/01/28
RCKT Mortgage Trust 2024-CES4, 6.15% due 06/25/44	7.15%	05/01/28
Saluda Grade Alternative Mortgage Trust 2025-RRTL1, 5.32% due 10/25/40	6.32%	03/01/28
Towd Point Mortgage Trust 2025-FIX1, 5.16% due 09/25/65	6.16%	09/01/29
Towd Point Mortgage Trust 2025-CES4, 5.46% due 10/25/65	6.46%	10/01/29
Vista Point Securitization Trust 2024-CES3, 5.68% due 01/25/55	6.68%	12/01/28

Security Name	Value 12/31/25		Additions		Reductions			Realized Gain (Loss)			Change in Unrealized Appreciation (Depreciation)			Value 06/30/26		Shares 06/30/26		Investment Income
Exchange-Traded Funds
Guggenheim Securitized Income ETF	$	—	$	54,610,932	$	(44	)	$	(16	)	$	(29,557	)	$	54,581,315		1,086,191	$	—
Mutual Funds
Guggenheim Variable Insurance Strategy Fund III		26,595,868		27,967,327		(54,610,932	)		—			47,737			—		—		994,367
	$	26,595,868	$	82,578,259	$	(54,610,976	)	$	(16	)	$	18,180		$	54,581,315			$	994,367

STATEMENT OF ASSETS AND LIABILITIES (Unaudited)
SERIES E (TOTAL RETURN BOND SERIES)

ASSETS:
Investments in unaffiliated issuers, at value (cost $172,591,643)	$	166,787,670
Investments in affiliated issuers, at value (cost $54,610,872)		54,581,315
Unrealized appreciation on unfunded loan commitments (Note 9)		874
Cash		22,635
Unrealized appreciation on forward foreign currency exchange contracts		5,674
Receivables:
Interest		1,217,656
Fund shares sold		306,250
Investments sold		134,419
Variation margin on credit default swap agreements		22,334
Variation margin on interest rate swap agreements		16,009
Foreign tax reclaims		2,338
Dividends		1,844
Other assets		15,596
Total assets		223,114,614

LIABILITIES:
Reverse repurchase agreements (Note 6)		2,117,428
Unrealized depreciation on unfunded loan commitments (Note 9)		160
Options written, at value (premiums received $190,961)		142,940
Unamortized upfront premiums received on OTC swap agreements		2,328
Unrealized depreciation on OTC swap agreements		2,992
Segregated cash due to broker		117,358
Payable for:
Investments purchased		24,923,514
Variation margin on futures contracts		140,376
Investment advisory fees		51,749
Distribution and service fees		39,917
Fund shares redeemed		18,399
Transfer agent fees		9,326
Fund accounting/administration fees		8,607
Due to Investment Adviser		2,403
Total liabilities		27,577,497
NET ASSETS	$	195,537,117

NET ASSETS CONSIST OF:
Paid-in capital	$	209,596,550
Total distributable earnings (loss)		(14,059,433	)
Net assets	$	195,537,117
Capital shares outstanding		13,154,281
Net asset value per share	$	14.86

STATEMENT OF OPERATIONS (Unaudited)
SERIES E (TOTAL RETURN BOND SERIES)
Six Months Ended June 30, 2026

INVESTMENT INCOME:
Dividends from securities of unaffiliated issuers	$	10,679
Dividends from securities of affiliated issuers		994,367
Interest from securities of unaffiliated issuers (net of foreign withholding tax of $4,025)		4,128,185
Total investment income		5,133,231

EXPENSES:
Investment advisory fees		371,426
Distribution and service fees		238,093
Professional fees		39,744
Custodian fees		21,676
Transfer agent fees		13,235
Fund accounting/administration fees		7,869
Trustees’ fees and expenses*		7,698
Interest expense		2,244
Line of credit fees		1,857
Miscellaneous		20,475
Recoupment of previously waived fees		13,119
Total expenses		737,436
Expenses waived by Adviser		(10,521	)
Net expenses		726,915
Net investment income		4,406,316
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers		77,960
Investments in affiliated issuers		(16	)
Swap agreements		(259,198	)
Futures contracts		(313,317	)
Options purchased		(112,848	)
Options written		45,786
Forward foreign currency exchange contracts		9,914
Foreign currency transactions		4,059
Net realized loss		(547,660	)
Net change in unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers		(1,850,696	)
Investments in affiliated issuers		18,180
Swap agreements		(66,936	)
Futures contracts		185,745
Options purchased		(88,898	)
Options written		(36,060	)
Forward foreign currency exchange contracts		6,049
Foreign currency translations		759
Net change in unrealized appreciation (depreciation)		(1,831,857	)
Net realized and unrealized loss		(2,379,517	)
Net increase in net assets resulting from operations	$	2,026,799

	Six Months Ended June 30, 2026 (Unaudited)			Year Ended December 31, 2025
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS:
Net investment income	$	4,406,316		$	7,910,106
Net realized loss on investments		(547,660	)		(1,378,895	)
Net change in unrealized appreciation (depreciation) on investments		(1,831,857	)		6,079,503
Net increase in net assets resulting from operations		2,026,799			12,610,714
Distributions to shareholders		—			(7,171,232	)

CAPITAL SHARE TRANSACTIONS:
Proceeds from sale of shares		13,337,350			42,212,221
Distributions reinvested		—			7,171,232
Cost of shares redeemed		(10,077,873	)		(28,610,499	)
Net increase from capital share transactions		3,259,477			20,772,954
Net increase in net assets		5,286,276			26,212,436
NET ASSETS:
Beginning of period		190,250,841			164,038,405
End of period	$	195,537,117		$	190,250,841

CAPITAL SHARE ACTIVITY:
Shares sold		901,686			2,903,122
Shares issued from reinvestment of distributions		—			507,159
Shares redeemed		(681,228	)		(1,961,817	)
Net increase in shares		220,458			1,448,464

	Six Months Ended 06/30/2026^(a)			Year Ended 12/31/2025			Year Ended 12/31/2024			Year Ended 12/31/2023			Year Ended 12/31/2022			Year Ended 12/31/2021
Per Share Data
Net asset value, beginning of period	$	14.71		$	14.28		$	14.39		$	13.97		$	17.23		$	18.09
Income (loss) from investment operations:
Net investment income (loss)^(b)		0.34			0.66			0.69			0.62			0.53			0.44
Net gain (loss) on investments (realized and unrealized)		(0.19	)		0.38			(0.25	)		0.33			(3.29	)		(0.51	)
Total from investment operations		0.15			1.04			0.44			0.95			(2.76	)		(0.07	)
Less distributions from:
Net investment income		—			(0.61	)		(0.55	)		(0.53	)		(0.46	)		(0.30	)
Net realized gains		—			—			—			—			(0.04	)		(0.49	)
Total distributions		—			(0.61	)		(0.55	)		(0.53	)		(0.50	)		(0.79	)
Net asset value, end of period	$	14.86		$	14.71		$	14.28		$	14.39		$	13.97		$	17.23
Total Return^(c)		1.02	%		7.48	%		3.09	%		6.95	%		(16.15	)%		(0.43	)%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	195,537		$	190,251		$	164,038		$	150,283		$	135,066		$	174,203
Ratios to average net assets:
Net investment income (loss)		4.63	%		4.50	%		4.80	%		4.44	%		3.54	%		2.51	%
Total expenses^(d)		0.77	%		0.96	%		0.95	%		1.02	%		0.90	%		0.85	%
Net expenses^(e)		0.76	%		0.84	%		0.89	%		0.95	%		0.85	%		0.78	%
Portfolio turnover rate		36	%		51	%		88	%		91	%		51	%		84	%
Supplemental Ratios to average net assets of:
Net expenses, excluding expenses excluded from the expense limitation agreement		0.76	%		0.78	%		0.77	%		0.76	%		0.76	%		0.78	%
Recoupment of previously waived fees^(f)		0.01	%		0.01	%		0.04	%		—			—			—