Guggenheim Strategy Fund II

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LLC FOR8UP27PHTHYVLBNG30 Long CAC 40 Index FR0003500008 2024-01-19 80815.46000000 EUR 723.76000000 N N N Chicago Board of Trade N/A Dow Jones Industrial Average Index Mini Futures Contracts N/A 1.00000000 NC USD 8208.06000000 0.023064076665 N/A DE US N 1 Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 Long Dow Jones Industrial Average US2605661048 2024-03-15 181806.94000000 USD 8208.06000000 N N N Chicago Mercantile Exchange N/A Euro FX Futures Contracts N/A 2.00000000 NC USD -17.60000000 -0.00004945477 N/A DFE US N 1 Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 Long N/A Euro 2024-03-18 276892.60000000 USD -17.60000000 N N N Chicago Mercantile Exchange N/A S&P 500 Index Mini Futures Contracts N/A 1.00000000 NC USD 8460.56000000 0.023773584071 N/A DE US N 1 Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 Long S&P 500 INDEX US78378X1072 2024-03-15 232489.44000000 USD 8460.56000000 N N N Chicago Mercantile Exchange N/A S&P MidCap 400 Index Mini Futures Contracts N/A 1.00000000 NC USD 638.06000000 0.001792904140 N/A DE US N 1 Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 Long S&P Midcap 400 Index N/A 2024-03-15 280171.94000000 USD 638.06000000 N N N Eurex N/A DAX Index Futures Contracts N/A -1.00000000 NC -1656.30000000 -0.00465408758 N/A DE DE N 1 Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 Short Deutsche Boerse AG German Stock Index DAX DE0008469008 2024-03-15 -453943.64000000 EUR -1656.30000000 N N N Chicago Mercantile Exchange N/A Japanese Yen Futures Contracts N/A -1.00000000 NC USD -3038.75000000 -0.00853867576 N/A DFE US N 1 Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 Short N/A Japanese Yen 2024-03-18 -86686.25000000 USD -3038.75000000 N N N ICE Futures US Indices N/A MSCI EAFE Index Futures Contracts N/A 22.00000000 NC USD 103803.70000000 0.291681163998 N/A DE US N 1 Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 Long MSCI EAFE Index N/A 2024-03-15 2373836.30000000 USD 103803.70000000 N N N Chicago Mercantile Exchange N/A Nikkei 225 (CME) Index Futures Contracts N/A -1.00000000 NC USD 721.70000000 0.002027926712 N/A DE US N 1 Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 Short Nikkei 225 JP9010C00002 2024-03-07 -167246.70000000 USD 721.70000000 N N N Montreal Exchange N/A S&P/TSX 60 IX Index Futures Contracts N/A 1.00000000 NC 6330.63000000 0.017788629184 N/A DE CA N 1 Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 Long S&P/TSX 60 Index N/A 2024-03-14 180792.90000000 CAD 6330.63000000 N N N Chicago Mercantile Exchange N/A Russell 2000 Index Mini Futures Contracts N/A 9.00000000 NC USD 70876.32000000 0.199157520565 N/A DE US N 1 Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 Long Russell 2000 Index N/A 2024-03-15 850273.68000000 USD 70876.32000000 N N N Chicago Mercantile Exchange N/A Swiss Franc Futures Contracts N/A -2.00000000 NC USD -30.10000000 -0.00008457890 N/A DFE US N 1 Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 Short N/A Swiss Franc 2024-03-18 -299557.40000000 USD -30.10000000 N N N Chicago Board of Trade N/A U.S. Treasury 2 Year Note Futures Contracts N/A 2.00000000 NC USD 4465.66000000 0.012548193434 N/A DIR US N 1 Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 Long N/A US 2yr 6% 2024-03-28 407299.96000000 USD 4465.66000000 N N N Chicago Board of Trade N/A U.S. Treasury 10 Year Note Futures Contracts N/A 8.00000000 NC USD 31548.98000000 0.088650435479 N/A DIR US N 1 Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 Long N/A US 10yr 6% 2024-03-19 870326.02000000 USD 31548.98000000 N N N ASX Trade24 N/A SPI 200 Index Futures Contracts N/A -1.00000000 NC -1925.16000000 -0.00540956545 N/A DE AU N 1 Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 Short S&P/ASX 200 N/A 2024-03-21 -125767.23000000 AUD -1925.16000000 N N N ICE Futures Europe Financials N/A FTSE 100 Index Futures Contracts N/A 1.00000000 NC 2061.39000000 0.005792362263 N/A DE GB N 1 Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 Long FTSE 100 Index GB0001383545 2024-03-15 94811.62000000 GBP 2061.39000000 N N N 2024-07-15 Guggenheim Variable Funds Trust James Howley James Howley CFO