Guggenheim Variable Insurance Strategy Fund III

NPORT-P false 0000217087 XXXXXXXX S000010070 C000027869 Guggenheim Variable Funds Trust 811-02753 0000217087 549300QDJHZ1HF5UC735 702 King Farm Blvd., Suite 200 Rockville 20850 301-296-5100 Series N (Managed Asset Allocation Series) S000010070 549300QJDJXCBA1UXY78 2020-12-31 2020-06-30 N 42292156.60 74787.33 42217369.27 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 USD N Guggenheim Partners Investment Management LLC N/A Guggenheim Variable Insurance Strategy Fund III N/A 92041.63500000 NS USD 2277110.05000000 5.393775333173 Long EC RF US N 1 N N N iShares MSCI EAFE ETF 549300O0XO3KDQV68404 iShares MSCI EAFE ETF 464287465 30723.00000000 NS USD 1870109.01000000 4.429714694062 Long EC RF US N 1 N N N Guggenheim Partners Investment Management LLC N/A Guggenheim Ultra Short Duration Fund - Institutional Class 40169J523 103525.84300000 NS USD 1026976.36000000 2.432592029673 Long EC RF US N 1 N N N iShares 7-10 Year Treasury Bon 549300XS1PPZG92M8L16 iShares 7-10 Year Treasury Bond ETF 464287440 16534.00000000 NS USD 2014998.58000000 4.772913648676 Long EC RF US N 1 N N N Dreyfus Treasury Securities Ca 549300U78VESCW509025 Dreyfus Treasury Securities Cash Management Fund - Institutional Shares N/A 2427855.60000000 NS USD 2427855.60000000 5.750845308414 Long STIV RF US N 1 N N N iShares 1-3 Year Treasury Bond 549300W0WX9TL4G6HM56 iShares 1-3 Year Treasury Bond ETF 464287457 21644.00000000 NS USD 1874586.84000000 4.440321300010 Long EC RF US N 1 N N N ASX Trade24 N/A SPI 200 Index Futures Contracts N/A -1.00000000 NC 256.76000000 0.000608185693 N/A DE AU N 1 Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 Short S&P/ASX 200 AS51 2020-09-17 -101720.04000000 AUD 256.76000000 N N N Chicago Mercantile Exchange N/A S&P 500 Index Mini Futures Contracts N/A 15.00000000 NC USD 52217.46000000 0.123687147974 N/A DE US N 1 Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 Long S&P 500 Index US78378X1072 2020-09-18 2260970.04000000 USD 52217.46000000 N N N Guggenheim Partners Investment Management LLC N/A Guggenheim Strategy Fund II N/A 74169.65800000 NS USD 1834215.64000000 4.344694308802 Long EC RF US N 1 N N N iShares iBoxx $ Investment Gra 549300FYCXFXG8POR355 iShares iBoxx $ Investment Grade Corporate Bond ETF 464287242 25042.00000000 NS USD 3368149.00000000 7.978111990965 Long EC RF US N 1 N N N Chicago Mercantile Exchange N/A NASDAQ-100 Index Mini Futures Contracts N/A 1.00000000 NC USD -130.47000000 -0.00030904341 N/A DE US N 1 Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 Long NASDAQ 100 Stock Index NDX 2020-09-18 202805.47000000 USD -130.47000000 N N N ICE Futures US Indices N/A MSCI EAFE Index Futures Contracts N/A 53.00000000 NC USD 23912.55000000 0.056641497121 N/A DE US N 1 Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 Long MSCI EAFE Index MXEA 2020-09-18 4689112.45000000 USD 23912.55000000 N N N Eurex N/A DAX Index Futures Contracts N/A -1.00000000 NC -8035.38000000 -0.01903335081 N/A DE DE N 1 Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 Short Deutsche Boerse AG German Stock Index DAX DE0008469008 2020-09-18 -339082.80000000 EUR -8035.38000000 N N N Chicago Board of Trade N/A U.S. Treasury 2 Year Note Futures Contracts N/A 6.00000000 NC USD 128.08000000 0.000303382238 N/A DIR US N 1 Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 Long N/A US 2yr 6% 2020-09-30 1324793.79000000 USD 128.08000000 N N N SPDR S&P 500 ETF Trust 549300NZAMSJ8FXPQQ63 SPDR S&P 500 ETF Trust 78462F103 21124.00000000 NS USD 6513796.64000000 15.42918649985 Long EC RF US N 1 N N N iShares Core S&P Mid-Cap ETF 549300ODQWH5PC0IUZ78 iShares Core S&P Mid-Capital ETF 464287507 12226.00000000 NS USD 2174027.32000000 5.149603960625 Long EC RF US N 1 N N N Vanguard S&P 500 ETF 549300D8V8ZP5GRJOC71 Vanguard S&P 500 ETF 922908363 24464.00000000 NS USD 6933831.52000000 16.42412030852 Long EC RF US N 1 N N N Guggenheim Partners Investment Management LLC N/A Guggenheim Strategy Fund III N/A 88950.83000000 NS USD 2205980.58000000 5.225291433702 Long EC RF US N 1 N N N TREASURY BILL 254900HROIFWPRGM1V77 U.S. Treasury Bills 912796WX3 997000.00000000 PA USD 996925.36000000 2.361410427125 Long DBT UST US N 2 2020-07-23 None 0.00000000 N N N N N N Chicago Mercantile Exchange N/A Nikkei 225 (CME) Index Futures Contracts N/A -2.00000000 NC USD 9142.90000000 0.021656726030 N/A DE US N 1 Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 Short Nikkei 225 JP9010C00002 2020-09-10 -232492.90000000 USD 9142.90000000 N N N Chicago Mercantile Exchange N/A Russell 2000 Index Mini Futures Contracts N/A 24.00000000 NC USD 90899.47000000 0.215312966136 N/A DE US N 1 Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 Long Russell 2000 Index RTY 2020-09-18 1632780.53000000 USD 90899.47000000 N N N Chicago Mercantile Exchange N/A S&P MidCap 400 Index Mini Futures Contracts N/A 3.00000000 NC USD 19270.89000000 0.045646828149 N/A DE US N 1 Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 Long S&P Midcap 400 Index MID 2020-09-18 514129.11000000 USD 19270.89000000 N N N Euronext Derivatives Paris N/A CAC 40 10 Euro Index Futures Contracts N/A 5.00000000 NC 4516.87000000 0.010699079734 N/A DE FR N 1 Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 Long CAC 40 Index FR0003500008 2020-07-17 273069.92000000 EUR 4516.87000000 N N N Chicago Mercantile Exchange N/A Japanese Yen Futures Contracts N/A -2.00000000 NC USD -243.20000000 -0.00057606621 N/A DFE US N 1 Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 Short N/A Japanese Yen 2020-09-14 -231506.80000000 USD -243.20000000 N N N iShares Core U.S. Aggregate Bo 549300F7VSXTKBGHJE47 iShares Core U.S. Aggregate Bond ETF 464287226 56314.00000000 NS USD 6656877.94000000 15.76810221742 Long EC RF US N 1 N N N Hong Kong Futures Exchange N/A Hang Seng Index Futures Contracts N/A 1.00000000 NC -4364.77000000 -0.01033880148 N/A DE HK N 2 Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 Long Hong Kong Hang Seng Index HSI 2020-07-30 160138.14000000 HKD -4364.77000000 N N N ICE Futures Europe Financials N/A FTSE 100 Index Futures Contracts N/A -1.00000000 NC -258.23000000 -0.00061166767 N/A DE GB N 1 Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 Short FTSE 100 Index GB0001383545 2020-09-18 -76669.04000000 GBP -258.23000000 N N N iShares Core S&P 500 ETF 5493007M4YMN8XL48C14 iShares Core S&P 500 ETF 464287200 2.00000000 NS USD 619.38000000 0.001467121260 Long EC RF US N 1 N N N Chicago Board of Trade N/A U.S. Treasury 10 Year Note Futures Contracts N/A 24.00000000 NC USD 11385.39000000 0.026968497082 N/A DIR US N 1 Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 Long N/A US 10yr 6% 2020-09-21 3328364.61000000 USD 11385.39000000 N N N 2020-07-30 Guggenheim Variable Funds Trust John Sullivan John Sullivan CFO