# EDGAR Filing Document

**Accession Number:** 0001364924
**File Stem:** 0001752724-23-014737
**Filing Date:** 2023-1
**Character Count:** 48487
**Document Hash:** e053137de615659d104adf88ff263e3d
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-23-014737.hdr.sgml**: 20230126

**ACCESSION NUMBER**: 0001752724-23-014737

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20221130

**FILED AS OF DATE**: 20230126

**DATE AS OF CHANGE**: 20230126

**PERIOD START**: 20230531

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** Fidelity Rutland Square Trust II
- **CENTRAL INDEX KEY:** 0001364924
- **IRS NUMBER:** 000000000
- **STATE OF INCORPORATION:** DE
- **FISCAL YEAR END:** 0228

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-21991
- **FILM NUMBER:** 23556598

**BUSINESS ADDRESS:**
- **STREET 1:** 245 SUMMER STREET
- **CITY:** BOSTON
- **STATE:** MA
- **ZIP:** 02210
- **BUSINESS PHONE:** 617-563-7000

**MAIL ADDRESS:**
- **STREET 1:** 245 SUMMER STREET
- **CITY:** BOSTON
- **STATE:** MA
- **ZIP:** 02210

## Series and Classes Contracts Data

### Strategic Advisers Alternatives Fund (Series ID: S000076543)

| Class ID   | Class Name                           | Ticker Symbol   |
|:---|:---|:---|
| C000236518 | Strategic Advisers Alternatives Fund | FSLTX           |

## Form NPORT-P: Monthly Portfolio Investments Report

### NPORT-P: Part A: General Information

**Item A.1. Information about the Registrant.**

- **a. Name of Registrant:** Fidelity Rutland Square Trust II

- **b. Investment Company Act file number:** 811-21991

- **c. CIK number of Registrant:** 0001364924

- **d. LEI of Registrant:** 1KZ3JN58GDRI3EZKKG06

- **e. Address and telephone number of Registrant.**

  - **Street Address 1:** 245 Summer Street

  - **City:** Boston

  - **State:** MA

  - **Foreign country:** US

  - **Zip / Postal Code:** 02210

  - **Telephone number:** 1-800-FIDELITY

**Item A.2. Information about the Series.**

- **a. Name of Series:** Strategic Advisers Alternatives Fund

- **b. EDGAR series identifier (if any):** S000076543

- **c. LEI of Series:** 549300L8V38YP5EMDB42

**Item A.3. Reporting period.**

- **a. Date of fiscal year-end:** 2023-05-31

- **b. Date as of which information is reported:** 2022-11-30

**Item A.4. Final filing**

Does the Fund anticipate that this will be its final filing on Form N-PORT? **No**

### Fund Information

**Total Assets:** $1835597582.30

**Total Liabilities:** $7891991.89

**Net Assets:** $1827705590.41

**Amount of Assets Invested in Other Investment Companies:** $5387100.00

**Delayed Delivery Securities:** $907664.06

**Cash Not Reported:** $1004822.19

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000236518 | 1.20%                | -0.10%               | -0.79%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-210062.77              | $7363803.14                                |
| Month 2  | $-19926.31               | $2565574.20                                |
| Month 3  | $-4775367.98             | $-10203029.87                              |

**Designated Index Information**

- **Index Name:** N/A

- **Index Identifier:** N/A

### Schedule of Portfolio Investments

| Name                                                              | Title                                               | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |     Balance | Units   | Value (USD)   | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| CHICAGO BOARD OPTIONS EXCHANGE                                    | S and P 500 INDX PUT 2100 10/20/2023                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               | CORP              | US        |         117 | NC      | $193635.00    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| ICE FUTURES US                                                    | COCOA FUTURE MAR23 CCH3                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              | CORP              | US        |          20 | NC      | $9347.60      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                       | KOSPI2 FUTURE TRS EQUITY BULLET GST SWAP 12/08/2022 | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DIR              | CORP              | GB        |     1000000 | NC      | $1226.68      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RBB FD INC                                                        | Abbey Capital Futures Strategy A                    | CUSIP: 74925K375<br>LEI: N/A                  | Long             | EC               | RF                | US        |     5821258 | NS      | $78645194.81  | 4.30%             |  |  |  | No            |                  1 | On Loan: No      |
| NEW YORK MERCANTILE EXCHANGE                                      | GASOLINE RBOB FUT MAR23 XBH3                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              | CORP              | US        |         -10 | NC      | $-29308.82    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| BARCLAYS BANK PLC                                                 | FX Forward: HKD/USD settle 2022-12-14               | CUSIP: N/A<br>LEI: G5GSEF7VJP5I7OUK5573       | N/A              | DFE              | CORP              | GB        |           1 | NC      | $25.39        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NEW YORK MERCANTILE EXCHANGE                                      | PLATINUM FUTURE JAN23 PLF3                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              | CORP              | US        |          18 | NC      | $46068.24     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE INC                                     | PIMCO CDX HY39 5Y ICE 12/20/27                      | CUSIP: N/A<br>LEI: 5493000F4ZO33MV32P92       | N/A              | DCR              | CORP              | US        |      800000 | NC      | $10055.02     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCH INC                                       | 3 MONTH SOFR FUT DEC23 SFRZ3                        | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DE               | CORP              | US        |         -57 | NC      | $-10778.66    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| EUREX DEUTSCHLAND                                                 | SHORT EURO-BTP FU FUT DEC22 BTSZ2                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | DE        |          21 | NC      | $1463.58      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| LONDON CLEARING HOUSE                                             | PIMCO LCH SWAP 11/16/2027                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | GB        |   -14500000 | NC      | $16834.14     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS BANK PLC                                                 | FX Forward: USD/THB settle 2022-12-15               | CUSIP: N/A<br>LEI: G5GSEF7VJP5I7OUK5573       | N/A              | DFE              | CORP              | GB        |           1 | NC      | $-68206.84    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| EURONEXT PARIS-MONEP                                              | CAC40 10 EURO FUT DEC22 CFZ2                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               | CORP              | FR        |           5 | NC      | $9451.26      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| LONDON METAL EXCHANGE                                             | ALUMINUM FUT MAR23 LAH23                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              | CORP              | GB        |         -42 | NC      | $-84525.00    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| BNP PARIBAS                                                       | FX Forward: MXN/USD settle 2022-12-15               | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |           1 | NC      | $53137.18     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MINNEAPOLIS GRAIN EXCHANGE                                        | RED WHEAT FUT MGE MAR23 MWH3                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              | CORP              | US        |         -14 | NC      | $10517.52     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| NEW YORK MERCANTILE EXCHANGE                                      | PALLADIUM FUTURE MAR23 PAH3                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              | CORP              | US        |          -8 | NC      | $72854.90     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| GOLDMAN SACHS BANK USA                                            | FX Forward: USD/MXN settle 2022-12-01               | CUSIP: N/A<br>LEI: KD3XUN7C6T14HNAYLU02       | N/A              | DFE              | CORP              | US        |           1 | NC      | $-33.82       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS BANK PLC                                                 | FX Forward: BRL/USD settle 2022-12-15               | CUSIP: N/A<br>LEI: G5GSEF7VJP5I7OUK5573       | N/A              | DFE              | CORP              | GB        |           1 | NC      | $50257.60     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LONDON METAL EXCHANGE                                             | LME LEAD FUTURE MAR23 LLH3                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              | CORP              | GB        |           8 | NC      | $7700.00      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| ICE-ICE FUTURES LTD                                               | BRENT CRUDE FUTR APR23 COJ3                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              | CORP              | GB        |          -4 | NC      | $-7605.36     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| ICE FUTURES EUROPE - AGRICULTURAL PRODUCTS DIVISION               | COFF ROBUSTA 10TN FUT JAN23 DFF3                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              | CORP              | GB        |         -46 | NC      | $-47134.98    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE INC                                     | PIMCO ICE SWAP 12/20/2027                           | CUSIP: N/A<br>LEI: 5493000F4ZO33MV32P92       | N/A              | DCR              | CORP              | US        |     2500000 | NC      | $30357.78     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SINGAPORE EXCHANGE DERIVATIVES CLEARING LTD                       | SGX IRON ORE 62% FUT MAR23 SCOH3                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              | CORP              | SG        |         -30 | NC      | $-9819.20     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                            | KC HRW WHEAT FUT MAR23 KWH3                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              | CORP              | US        |         -22 | NC      | $10354.08     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| EURONEXT PARIS MATIF                                              | MILL WHEAT EURO FUT MAR23 CAH3                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              | CORP              | FR        |         -52 | NC      | $9648.76      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO BOARD OPTIONS EXCHANGE                                    | S and P 500 INDX PUT 2400 11/17/2023                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               | CORP              | US        |         124 | NC      | $352780.00    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| ICE FUTURES US                                                    | COTTON NO.2 FUTR MAR23 CTH3                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              | CORP              | US        |         -30 | NC      | $-10564.10    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| GOLDMAN SACHS BANK USA                                            | FX Forward: USD/ILS settle 2022-12-13               | CUSIP: N/A<br>LEI: KD3XUN7C6T14HNAYLU02       | N/A              | DFE              | CORP              | US        |           1 | NC      | $-167.67      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NEW YORK MERCANTILE EXCHANGE                                      | NATURAL GAS FUTR MAR23 NGH23                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              | CORP              | US        |          -8 | NC      | $-40986.16    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| MEFF RENTA VAR EXCH (MADRID)                                      | IBEX 35 INDX FUTR DEC22 IBZ2                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               | CORP              | ES        |           3 | NC      | $-992.35      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| ROYAL BANK OF CANADA                                              | FX Forward: HKD/USD settle 2022-12-14               | CUSIP: N/A<br>LEI: ES7IP3U3RHIGC71XBU11       | N/A              | DFE              | CORP              | CA        |           1 | NC      | $-3.46        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COMMODITY EXCHANGE INC                                            | SILVER FUTURE MAR23 SIH3                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              | CORP              | US        |           2 | NC      | $3105.86      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| UST BILLS                                                         | UST BILLS 0% 02/23/2023                             | CUSIP: 912796T33<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     1800000 | PA      | $1782672.38   | 0.10%             | 2023-02-23      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| HONG KONG FUTURES EXCHANGE                                        | HSCEI FUTURES DEC22 HCZ2                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               | CORP              | HK        |          -4 | NC      | $-9376.99     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| American Beacon Global Evoluti                                    | American Beacon AHL Mgd Futs Strat A                | CUSIP: 024525644<br>LEI: N/A                  | Long             | EC               | RF                | US        |    10694863 | NS      | $128980049.53 | 7.06%             |  |  |  | No            |                  1 | On Loan: No      |
| GOLDMAN SACHS BANK USA                                            | FX Forward: USD/ILS settle 2022-12-15               | CUSIP: N/A<br>LEI: KD3XUN7C6T14HNAYLU02       | N/A              | DFE              | CORP              | US        |           1 | NC      | $-56410.94    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ICE FUTURES EUROPE - AGRICULTURAL PRODUCTS DIVISION               | WHITE SUGAR (ICE) FUT MAR23 QWH3                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              | CORP              | GB        |          36 | NC      | $6581.32      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| NEW YORK MERCANTILE EXCHANGE                                      | WTI CRUDE FUTURE MAR23 CLH3                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              | CORP              | US        |          -6 | NC      | $2487.88      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| ICE FUTURES US                                                    | COFFEE 'C' FUTURE MAR23 KCH3                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              | CORP              | US        |         -44 | NC      | $-245665.28   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| SINGAPORE EXCHANGE DERIVATIVES CLEARING LTD                       | SGX NIFTY 50 FUT DEC22 IHZ2                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               | CORP              | SG        |          32 | NC      | $40330.88     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| LONDON CLEARING HOUSE                                             | IRS HKD 4.50000 12/21/22 5Y LCH                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | GB        |   -43700000 | NC      | $13975.97     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF NEW YORK MELLON EMPLOYEE BENEFIT COLLECTIVE INVT FD PLAN. | Absolute Convertible Arbitrage Inv                  | CUSIP: 34984T253<br>LEI: 549300VMOZD9W6DJLT40 | Long             | EC               | RF                | US        |    19171081 | NS      | $210881893.85 | 11.54%            |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO MERCANTILE EXCH INC                                       | PIMCO CME SWAP 11/14/27                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |   -26700000 | NC      | $2425.96      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                     | FX Forward: PEN/USD settle 2022-12-15               | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |           1 | NC      | $-2622.25     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ITALIAN DERIVATIVES MARKET                                        | FTSE/MIB IDX FUT DEC22 STZ2                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               | CORP              | IT        |           2 | NC      | $4698.38      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| ICE FUTURES EUROPE FINANCIALS                                     | FTSE 100 IDX FUT DEC22 Z Z2                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               | CORP              | GB        |          14 | NC      | $29820.83     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| EUROPEAN ENERGY DERIVATIVES EXCHANGE NV                           | ECX EMISSION FUT DEC22 MOZ22                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              | CORP              | NL        |           4 | NC      | $51067.54     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| LONDON METAL EXCHANGE                                             | LME NICKEL FUTURE MAR23 LNH3                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              | CORP              | GB        |          -2 | NC      | $-18936.00    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Cedar Ridge Unconstrained Cred                                    | First Trust Merger Arbitrage Cl I                   | CUSIP: 46141T869<br>LEI: 549300BGHA8LNTCXW526 | Long             | EC               | RF                | US        |    15648798 | NS      | $168381071.02 | 9.21%             |  |  |  | No            |                  1 | On Loan: No      |
| BNP PARIBAS                                                       | FX Forward: SGD/USD settle 2022-12-15               | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |           1 | NC      | $11220.79     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                      | PIMCO CME SWAP 01/04/2027                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |    -4700000 | NC      | $614.27       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LONDON CLEARING HOUSE                                             | PIMCO LCH SWAP 12/21/2027                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | GB        |    12400000 | NC      | $39373.50     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ICE-ICE FUTURES LTD                                               | ICE RTD MONTH COA FUT JAN23 XAF3                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              | CORP              | GB        |          -2 | NC      | $-159918.74   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                       | BOVESPA INDEX FUT TRS EQUITY GST SWAP 12/14/2022    | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DIR              | CORP              | GB        |          26 | NC      | $11457.85     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OPTIONS EXCHANGE                                    | S and P 500 INDX PUT 3730 02/17/2023                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               | CORP              | US        |          55 | NC      | $276100.00    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| EURONEXT EQF, EQUITIES AND INDICES DERIVATIVES                    | AMSTERDAM IDX FUT DEC22 EOZ2                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               | CORP              | NL        |           2 | NC      | $1291.61      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| EUROPEAN ENERGY DERIVATIVES EXCHANGE NV                           | TTF NAT GAS F FUT MAR23 TZTH3                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              | CORP              | NL        |         -10 | NC      | $-185150.18   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| ICE FUTURES EUROPE - AGRICULTURAL PRODUCTS DIVISION               | COCOA FUTURE - IC MAR23 QCH3                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              | CORP              | GB        |          54 | NC      | $32863.22     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| LONDON CLEARING HOUSE                                             | PIMCO LCH SWAP 12/21/27                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | GB        |   -44700000 | NC      | $15964.41     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                            | WHEAT FUTURE(CBT) MAR23 W H3                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              | CORP              | US        |         -36 | NC      | $17356.16     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| ROYAL BANK OF CANADA                                              | FX Forward: USD/HKD settle 2022-12-14               | CUSIP: N/A<br>LEI: ES7IP3U3RHIGC71XBU11       | N/A              | DFE              | CORP              | CA        |           1 | NC      | $-29.47       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                            | SOYBEAN OIL FUTR MAR23 BOH3                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              | CORP              | US        |          68 | NC      | $84470.12     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| LONDON CLEARING HOUSE                                             | PIMCO LCH SWAP 09/21/27                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | GB        |    -3900000 | NC      | $-21789.55    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS BANK PLC                                                 | FX Forward: USD/ZAR settle 2023-02-13               | CUSIP: N/A<br>LEI: G5GSEF7VJP5I7OUK5573       | N/A              | DFE              | CORP              | GB        |           1 | NC      | $260.14       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| EUREX DEUTSCHLAND                                                 | EURO STOXX BANK FUT DEC22 CAZ2                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               | CORP              | DE        |         216 | NC      | $31586.71     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO MERCANTILE EXCH INC                                       | IRS MXN 8.6300 11/15/22-5Y* CME                     | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |   -63400000 | NC      | $-14516.08    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                            | SOYBEAN FUTURE MAR23 S H3                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              | CORP              | US        |          -8 | NC      | $-22595.56    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| CBOE FUTURES EXCHANGE                                             | CBOE VIX FUTURE DEC22 UXZ2                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               | CORP              | US        |         -38 | NC      | $88786.69     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO BOARD OPTIONS EXCHANGE                                    | CBOE MINI SPX INDEX OPTIONS PUT 364 12/16/2022      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               | CORP              | US        |         514 | NC      | $14135.00     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| EATON VANCE MUT FDS TR                                            | Eaton Vance Glbl Macro Abs Ret Advtg A              | CUSIP: 277923280<br>LEI: 549300FGUNKHMTW51F25 | Long             | EC               | RF                | US        |    13750392 | NS      | $133791310.06 | 7.32%             |  |  |  | No            |                  1 | On Loan: No      |
| BNP PARIBAS                                                       | FX Forward: ZAR/USD settle 2022-12-15               | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |           1 | NC      | $-6221.28     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCH INC                                       | NASDAQ 100 E-MINI FUT DEC22 NQZ2                    | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DE               | CORP              | US        |           1 | NC      | $6612.03      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| EUREX DEUTSCHLAND                                                 | VSTOXX FUTURE DEC22 FVSZ2                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               | CORP              | DE        |        -185 | NC      | $29791.95     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| GOLDMAN SACHS BANK USA                                            | IRS MYR P 4.00000 12/21/22 5Y GLM SWAP              | CUSIP: N/A<br>LEI: KD3XUN7C6T14HNAYLU02       | N/A              | DIR              | CORP              | US        |    19000000 | NC      | $-19629.71    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE INC                                     | CDX ITRAXX XOV38 5Y ICE 12/20/2027                  | CUSIP: N/A<br>LEI: 5493000F4ZO33MV32P92       | N/A              | DCR              | CORP              | US        |     1300000 | NC      | $19908.17     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                             | FX Forward: PHP/USD settle 2022-12-15               | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |           1 | NC      | $6300.22      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                       | SET50 FUT TRS EQTY BULLET GST                       | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DIR              | CORP              | GB        |       58200 | NC      | $10431.50     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LONDON CLEARING HOUSE                                             | PIMCO LCH SWAP 03/15/28                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | GB        | -3214000000 | NC      | $-217.80      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fidelity Revere Street Trust                                      | Fidelity Cash Central Fund                          | CUSIP: 31635A105<br>LEI: 549300BDV45LJNXBZC55 | Long             | STIV             | RF                | US        |     3997052 | NS      | $3997851.80   | 0.22%             |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO BOARD OPTIONS EXCHANGE                                    | S and P 500 INDX PUT 3340 01/20/2023                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               | CORP              | US        |          50 | NC      | $30000.00     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| ICE-ICE FUTURES LTD                                               | UK NATURAL GAS FUTJAN23 FNF3                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              | CORP              | GB        |         -10 | NC      | $-199825.92   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO MERCANTILE EXCH INC                                       | LIVE CATTLE FUTR APR23 LCJ3                         | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DCO              | CORP              | US        |           8 | NC      | $-2420.40     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Fidelity Colchester Street Trust                                  | FIMM MM Government Portfolio - Instl Cl             | CUSIP: 31607A703<br>LEI: 549300SHPEJB1OPRCV46 | Long             | EC               | RF                | US        |   127226537 | NS      | $127226537.38 | 6.96%             |  |  |  | No            |                  1 | On Loan: No      |
| MERGER FUND                                                       | The Merger Fund A                                   | CUSIP: 589509108<br>LEI: 549300TXJCENVSEMYP88 | Long             | EC               | RF                | US        |     9592809 | NS      | $166818953.69 | 9.13%             |  |  |  | No            |                  1 | On Loan: No      |
| BANK OF NEW YORK MELLON EMPLOYEE BENEFIT COLLECTIVE INVT FD PLAN. | BlackRock Systematic Multi-Strat Inv A              | CUSIP: 09260C109<br>LEI: 549300VMOZD9W6DJLT40 | Long             | EC               | RF                | US        |    28467679 | NS      | $284676792.81 | 15.58%            |  |  |  | No            |                  1 | On Loan: No      |
| SOUTH AFRICAN FUTURES EXCHANGE                                    | FTSE/JSE TOP 40 FUT DEC22 AIZ2                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               | CORP              | ZA        |          14 | NC      | $12912.45     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| ICE-ICE FUTURES LTD                                               | ICE RTD MONTH COA FUT MAR23 XAH3                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              | CORP              | GB        |          -2 | NC      | $-152218.74   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| CITIBANK N.A.                                                     | FX Forward: USD/MXN settle 2023-03-21               | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |           1 | NC      | $0.00         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                       | FX Forward: USD/COP settle 2022-12-15               | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |           1 | NC      | $-46502.20    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LONDON CLEARING HOUSE                                             | PIMCO LCH SWAP 09/21/2027                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | GB        |   100900000 | NC      | $541.17       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ROYAL BANK OF CANADA                                              | FX Forward: USD/CHF settle 2022-12-15               | CUSIP: N/A<br>LEI: ES7IP3U3RHIGC71XBU11       | N/A              | DFE              | CORP              | CA        |           1 | NC      | $1505.30      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| EUREX DEUTSCHLAND                                                 | SWISS MKT IX FUTR DEC22 SMZ2                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               | CORP              | DE        |           5 | NC      | $12529.87     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| UST BILLS                                                         | UST BILLS 0% 02/16/2023                             | CUSIP: 912796YA1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    57200000 | PA      | $56695186.55  | 3.10%             | 2023-02-16      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| STATE STR INVT TR                                                 | State Street Instl US Govt MMkt Premier             | CUSIP: 857492706<br>LEI: 549300CCOK7OZZUAS108 | Long             | EC               | RF                | US        |      683820 | NS      | $683819.52    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| EUREX DEUTSCHLAND                                                 | DAX INDEX FUTURE DEC22 GXZ2                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               | CORP              | DE        |           1 | NC      | $4395.80      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| GOLDMAN SACHS BANK USA                                            | FX Forward: CLP/USD settle 2022-12-15               | CUSIP: N/A<br>LEI: KD3XUN7C6T14HNAYLU02       | N/A              | DFE              | CORP              | US        |           1 | NC      | $12805.94     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COMPASS EMP US 500 VOLATILITY WEIGHTED FUND92647P                 | Victory Market Neutral Income I                     | CUSIP: 92647P654<br>LEI: N/A                  | Long             | EC               | RF                | US        |    15257369 | NS      | $137468894.87 | 7.52%             |  |  |  | No            |                  1 | On Loan: No      |
| LoCorr Spectrum Income Fund                                       | LoCorr Long/Short Commodity Strats A                | CUSIP: 540132404<br>LEI: N/A                  | Long             | EC               | RF                | US        |     9989185 | NS      | $110879958.34 | 6.07%             |  |  |  | No            |                  1 | On Loan: No      |
| SINGAPORE EXCHANGE DERIVATIVES CLEARING LTD                       | FTSE CHINA A50 FUT DEC22 XUZ2                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               | CORP              | SG        |        -156 | NC      | $-88373.54    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| ICE-ICE FUTURES LTD                                               | ICE RTD MONTH COA FUT FEB23 XAG3                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              | CORP              | GB        |          -2 | NC      | $-157818.74   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| CITIBANK N.A.                                                     | FX Forward: USD/KRW settle 2022-12-15               | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |           1 | NC      | $-62853.98    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MONTREAL EXCHANGE (THE)                                           | S and P/TSX 60 IX FUT DEC22 PTZ2                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               | CORP              | CA        |           1 | NC      | $1524.92      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| BANK OF AMERICA, N.A.                                             | FX Forward: NZD/USD settle 2022-12-15               | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |           1 | NC      | $4175.10      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE INC                                     | PIMCO ICE FUT 12/20/2027                            | CUSIP: N/A<br>LEI: 5493000F4ZO33MV32P92       | N/A              | DCR              | CORP              | US        |     4200000 | NC      | $13311.24     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LONDON CLEARING HOUSE                                             | LCH IRS SONIO2% MAC 03/15/2033                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | GB        |      400000 | NC      | $-6967.95     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                     | FX Forward: USD/IDR settle 2022-12-15               | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |           1 | NC      | $-3605.07     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LONDON METAL EXCHANGE                                             | LME ZINC FUTURE MAR23 LXH3                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              | CORP              | GB        |         -20 | NC      | $-20825.00    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| STOCKHOLM STOCK EXCHANGE                                          | OMXS30 IND FUTURE DEC22 QCZ2                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               | CORP              | SE        |          11 | NC      | $-904.00      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| CITIBANK N.A.                                                     | FX Forward: USD/MXN settle 2023-03-21               | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |           1 | NC      | $0.00         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PIMCO FDS                                                         | PIMCO TRENDS Managed Futures Strat Instl            | CUSIP: 72201U455<br>LEI: O7M5VNOD7AVYOESOBU56 | Long             | EC               | RF                | US        |     8533936 | NS      | $106503526.82 | 5.83%             |  |  |  | No            |                  1 | On Loan: No      |
| NEW YORK MERCANTILE EXCHANGE                                      | NY HARB ULSD FUT MAR23 HOH3                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              | CORP              | US        |           2 | NC      | $701.56       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| GOLDMAN SACHS BANK USA                                            | FX Forward: USD/MXN settle 2023-03-21               | CUSIP: N/A<br>LEI: KD3XUN7C6T14HNAYLU02       | N/A              | DFE              | CORP              | US        |           1 | NC      | $-240.10      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCH INC                                       | PIMCO CME SWAP 01/04/27                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |   -18500000 | NC      | $-53681.11    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ICE FUTURES US                                                    | SUGAR #11 (WORLD) FUT MAR23 SBH3                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              | CORP              | US        |         140 | NC      | $-39544.40    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO BOARD OPTIONS EXCHANGE                                    | S and P 500 INDX PUT 2350 09/15/2023                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               | CORP              | US        |         120 | NC      | $246000.00    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| SINGAPORE EXCHANGE DERIVATIVES CLEARING LTD                       | MSCI SING IX ETS FUT DEC22 QZZ2                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               | CORP              | SG        |         -48 | NC      | $-4830.57     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| ROYAL BANK OF CANADA                                              | FX Forward: USD/SGD settle 2022-12-16               | CUSIP: N/A<br>LEI: ES7IP3U3RHIGC71XBU11       | N/A              | DFE              | CORP              | CA        |           1 | NC      | $-384.81      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                     | FX Forward: USD/INR settle 2022-12-15               | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |           1 | NC      | $-15067.69    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ROWE T PRICE INTL FUNDS INC                                       | T. Rowe Price Dynamic Global Bond Inv               | CUSIP: 77956H575<br>LEI: C339HPVTHLLM709WSU55 | Long             | EC               | RF                | US        |    11344864 | NS      | $108343446.59 | 5.93%             |  |  |  | No            |                  1 | On Loan: No      |
| SINGAPORE EXCHANGE DERIVATIVES CLEARING LTD                       | FTSE TAIWAN INDEX FUT DEC22 TWTZ2                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               | CORP              | SG        |         -13 | NC      | $-1830.26     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |

### Signature

**Date Signed:** 2022-12-30

**Name of Applicant:** Stacie M. Smith

**Signature:** Stacie M. Smith

**Name of Signer:** Stacie M. Smith

**Title:** President and Treasurer