British Pound Futures Contracts

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 2022-12-31 2022-12-31 N 36032021.96 59197.15 35972824.81 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 57660.50000000 USD N 60% S&P 500 Index/40% Bloomberg US Aggregate Bond Index SPLAGGUSD Chicago Mercantile Exchange N/A British Pound Futures Contracts N/A 5.00000000 NC USD -3262.75000000 -0.00907004111 N/A DFE US N 1 Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 Long N/A British Pound 2023-03-13 381700.25000000 USD -3262.75000000 N N N Dreyfus Treasury Securities Ca 549300U78VESCW509025 Dreyfus Treasury Securities Cash Management Fund - Institutional Shares N/A 1630605.08000000 NS USD 1630605.08000000 4.532880274519 Long STIV RF US N 1 N N N ICE Futures Europe Financials N/A FTSE 100 Index Futures Contracts N/A -1.00000000 NC -103.95000000 -0.00028896813 N/A DE GB N 2 Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 Short FTSE 100 Index GB0001383545 2023-03-17 -91555.81000000 GBP -103.95000000 N N N Eurex N/A DAX Index Futures Contracts N/A -1.00000000 NC 13191.07000000 0.036669541715 N/A DE DE N 1 Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 Short Deutsche Boerse AG German Stock Index DAX DE0008469008 2023-03-17 -379245.63000000 EUR 13191.07000000 N N N Guggenheim Partners Investment Management LLC N/A Guggenheim Ultra Short Duration Fund - Institutional Class 40169J523 105191.30900000 NS USD 1014044.22000000 2.818917406002 Long EC RF US N 1 N N N iShares Core S&P Mid-Cap ETF 549300ODQWH5PC0IUZ78 iShares Core S&P Mid-Cap ETF 464287507 9114.00000000 NS USD 2204585.46000000 6.128474679550 Long EC RF US N 1 N N N iShares 1-3 Year Treasury Bond 549300W0WX9TL4G6HM56 iShares 1-3 Year Treasury Bond ETF 464287457 21409.00000000 NS USD 1737768.53000000 4.830781400066 Long EC RF US N 1 N N N Guggenheim Partners Investment Management LLC N/A Guggenheim Strategy Fund III N/A 42899.52800000 NS USD 1032162.64000000 2.869284370776 Long EC RF US N 1 N N N TREASURY BILL 254900HROIFWPRGM1V77 U.S. Treasury Bills 912796ZK8 334000.00000000 PA USD 333522.17000000 0.927150346856 Long DBT UST US N 2 2023-01-17 None 0.00000000 N N N N N N Guggenheim Partners Investment Management LLC N/A Guggenheim Strategy Fund II N/A 63901.20200000 NS USD 1536184.90000000 4.270403862120 Long EC RF US N 1 N N N iShares TIPS Bond ETF 549300EHD1VQKMRQ0829 iShares TIPS Bond ETF 464287176 3987.00000000 NS USD 424376.28000000 1.179713526089 Long EC RF US N 1 N N N iShares 7-10 Year Treasury Bon 549300XS1PPZG92M8L16 iShares 7-10 Year Treasury Bond ETF 464287440 20726.00000000 NS USD 1985136.28000000 5.518433124129 Long EC RF US N 1 N N N iShares Core S&P 500 ETF 5493007M4YMN8XL48C14 iShares Core S&P 500 ETF 464287200 2.00000000 NS USD 768.42000000 0.002136112479 Long EC RF US N 1 N N N ICE Futures US Indices N/A MSCI EAFE Index Futures Contracts N/A 32.00000000 NC USD -60189.28000000 -0.16731874774 N/A DE US N 1 Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 Long MSCI EAFE Index N/A 2023-03-17 3178749.28000000 USD -60189.28000000 N N N Chicago Board of Trade N/A U.S. Treasury 2 Year Note Futures Contracts N/A 2.00000000 NC USD 371.92000000 0.001033891561 N/A DIR US N 1 Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 Long N/A US 2yr 6% 2023-03-31 409628.08000000 USD 371.92000000 N N N Chicago Mercantile Exchange N/A NASDAQ-100 Index Mini Futures Contracts N/A -2.00000000 NC USD 29419.16000000 0.081781623087 N/A DE US N 1 Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 Short NASDAQ 100 Stock Index N/A 2023-03-17 -470339.16000000 USD 29419.16000000 N N N Guggenheim Partners Investment Management LLC N/A Guggenheim Variable Insurance Strategy Fund III N/A 45728.55400000 NS USD 1100686.29000000 3.059771635431 Long EC RF US N 1 N N N Chicago Mercantile Exchange N/A Russell 2000 Index Mini Futures Contracts N/A 17.00000000 NC USD -42342.69000000 -0.11770743672 N/A DE US N 1 Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 Long Russell 2000 Index N/A 2023-03-17 1547947.69000000 USD -42342.69000000 N N N iShares iBoxx High Yield Corpo N/A iShares iBoxx High Yield Corporate Bond ETF 464288513 5736.00000000 NS USD 422341.68000000 1.174057589946 Long EC RF US N 1 N N N iShares iBoxx $ Investment Gra 549300FYCXFXG8POR355 iShares iBoxx $ Investment Grade Corporate Bond ETF 464287242 21221.00000000 NS USD 2237330.03000000 6.219500530795 Long EC RF US N 1 N N N Schwab U.S. Aggregate Bond ETF N/A Schwab U.S. Aggregate Bond ETF 808524839 117462.00000000 NS USD 5362140.30000000 14.90608627018 Long EC RF US N 1 N N N Chicago Mercantile Exchange N/A Nikkei 225 (CME) Index Futures Contracts N/A -1.00000000 NC USD 9396.70000000 0.026121662809 N/A DE US N 1 Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 Short Nikkei 225 JP9010C00002 2023-03-09 -138246.70000000 USD 9396.70000000 N N N iShares MSCI EAFE ETF 549300O0XO3KDQV68404 iShares MSCI EAFE ETF 464287465 35262.00000000 NS USD 2314597.68000000 6.434295033056 Long EC RF US N 1 N N N Chicago Mercantile Exchange N/A S&P MidCap 400 Index Mini Futures Contracts N/A -1.00000000 NC USD 758.11000000 0.002107451955 N/A DE US N 1 Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 Short S&P Midcap 400 Index N/A 2023-03-17 -245088.11000000 USD 758.11000000 N N N Chicago Board of Trade N/A U.S. Treasury 10 Year Note Futures Contracts N/A 7.00000000 NC USD -3293.08000000 -0.00915435475 N/A DIR US N 1 Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 Long N/A US 10yr 6% 2023-03-22 788168.08000000 USD -3293.08000000 N N N iShares Russell 1000 Value ETF 549300KLSYN5NN4YNM90 iShares Russell 1000 Value ETF 464287598 4533.00000000 NS USD 687429.45000000 1.910968776099 Long EC RF US N 1 N N N Vanguard S&P 500 ETF 549300D8V8ZP5GRJOC71 Vanguard S&P 500 ETF 922908363 22530.00000000 NS USD 7915690.20000000 22.00463889563 Long EC RF US N 1 N N N SPDR S&P 500 ETF Trust 549300NZAMSJ8FXPQQ63 SPDR S&P 500 ETF Trust 78462F103 10501.00000000 NS USD 4015897.43000000 11.16369773908 Long EC RF US N 1 N N N Chicago Mercantile Exchange N/A S&P 500 Index Mini Futures Contracts N/A -1.00000000 NC USD -2693.83000000 -0.00748851393 N/A DE US N 1 Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 Short S&P 500 INDEX US78378X1072 2023-03-17 -190381.17000000 USD -2693.83000000 N N N Chicago Mercantile Exchange N/A Euro FX Futures Contracts N/A -3.00000000 NC USD -2463.90000000 -0.00684933700 N/A DFE US N 1 Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 Short N/A Euro 2023-03-13 -401017.35000000 USD -2463.90000000 N N N 2023-01-30 Guggenheim Variable Funds Trust Jim Howley Jim Howley CFO