# EDGAR Filing Document

**Accession Number:** 0001364924
**File Stem:** 0001364924-25-000220
**Filing Date:** 2025-7
**Character Count:** 271407
**Document Hash:** a4f931dd54194499d4733e92e54b4ba7
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001364924-25-000220.hdr.sgml**: 20250725

**ACCESSION NUMBER**: 0001364924-25-000220

**CONFORMED SUBMISSION TYPE**: N-CSR

**PUBLIC DOCUMENT COUNT**: 24

**CONFORMED PERIOD OF REPORT**: 20250531

**FILED AS OF DATE**: 20250725

**DATE AS OF CHANGE**: 20250725

**EFFECTIVENESS DATE**: 20250725

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** Fidelity Rutland Square Trust II
- **CENTRAL INDEX KEY:** 0001364924

**ORGANIZATION NAME:**
- **EIN:** 000000000
- **STATE OF INCORPORATION:** DE
- **FISCAL YEAR END:** 0228

**FILING VALUES:**
- **FORM TYPE:** N-CSR
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-21991
- **FILM NUMBER:** 251149173

**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           |

?xml version='1.0' encoding='ASCII'? Prospectus - Investment Objective

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

**FORM N-CSR**

**CERTIFIED SHAREHOLDER REPORT OF REGISTERED**

**MANAGEMENT INVESTMENT COMPANIES**

Investment Company Act file number <u>811-21991</u>

<u>Fidelity Rutland Square Trust II</u>

(Exact name of registrant as specified in charter)

<u>245 Summer St., Boston, Massachusetts 02210</u>

(Address of principal executive offices) (Zip code)

Nicole Macarchuk, Secretary

245 Summer St.

<u>Boston, Massachusetts 02210</u>

(Name and address of agent for service)

Registrant's telephone number, including area code:

<u>617-563-7000</u>

---

| | |
|:---|:---|
| Date of fiscal year end: | May 31 |
| Date of reporting period: | May 31, 2025 |

---

Item 1.

<u>Reports to Stockholders</u> This report on Form N-CSR relates solely to the Registrant's Strategic Advisers Alternatives Fund (the "Fund"):

---

| | |
|:---|:---|
| **ANNUAL SHAREHOLDER REPORT \|** AS OF MAY 31, 2025 | &nbsp;&nbsp;&nbsp;&nbsp;This report describes changes to the Fund that occurred during the reporting period. |
| Strategic Advisers® Alternatives Fund<br> **Strategic Advisers® Alternatives Fund : FSLTX** <br>| &nbsp;&nbsp;&nbsp;&nbsp;This report describes changes to the Fund that occurred during the reporting period. |

---

This annual shareholder report contains information about Strategic Advisers® Alternatives Fund for the period June 1, 2024 to May 31, 2025. You can find additional information about the Fund at **fundresearch.fidelity.com/prospectus/sec**. You can also request this information by contacting us at 1-800-544-3455 or by sending an e-mail to fidfunddocuments@fidelity.com.

**What were your Fund costs for the last year?**

(based on hypothetical $10,000 investment)

**FUND COST (PREVIOUS YEAR)**

---

| | | |
|:---|:---|:---|
|  | **Costs of a $10,000 investment** | **Costs paid as a percentage of a $10,000 investment**  |
| Strategic Advisers® Alternatives Fund  | $15  | 0.14% |

---

**What affected the Fund's performance this period?**

• Global equities achieved a strong gain for the 12 months ending May 31, 2025, amid resilient global economic growth, slowing inflation, global monetary easing, a generally weaker U.S. dollar and anticipated earnings growth in 2025. U.S. taxable investment-grade bonds also posted a solid advance. The Federal Reserve's decision to cut its policy interest rate aided bonds in the first half of the period. During the second half, a modest rotation out of U.S. equities sparked demand for fixed-income investments.

• The Fund is designed to achieve low correlation with stocks over a full market cycle. It accomplished that goal this period, in addition to meeting its volatility target.

• The portfolio's investments are organized into four categories: Return-seeking, Diversifying, Trend and Defensive. Overall, Diversifying managers added the most value, led by Fidelity® SAI Convertible Arbitrage Fund (+13%) and BlackRock Global Equity Market Neutral Fund (+17%).

• Fidelity SAI Convertible Arbitrage, along with Absolute Convertible Arbitrage Fund (+8%) - another manager pursuing a similar strategy - benefited from positive carry on their holdings.

• Exposures across various sectors in both the U.S. and Europe, driven by sentiment signals, fueled the performance of BlackRock Global Equity Market Neutral Fund.

• The Systematic Global Macro mandate from sub-adviser Capital Fund Management (+16%) was another notable standout. This manager's long exposures to natural gas and crude oil, the U.S. dollar, along with equity markets in the U.S. and China, drove its result.

• Eaton Vance Global Macro Absolute Return Advantage Fund (+10%) also helped due to this manager's fixed-income and currency stakes in Eastern Europe, Africa and Latin America.

• On the downside, two trend-following strategies worked against the portfolio: a sub-advised mandate from PIMCO (-13%) and American Beacon AHL Managed Futures Strategy Fund (-10%) Both struggled due to unfavorable positioning in commodities, U.S. equities and the greenback.

• John Hancock Diversified Macro Fund (-13%) - in the Diversifying group - also detracted for similar reasons. We reallocated assets away from this manager in favor of others this period.

• In terms of notable positioning changes, we funded Capital Fund Management as a sub-adviser in July 2024. This strategy seeks to capitalize on macro themes affecting financial assets using directional and relative-value trading strategies. We also added BlackRock Global Equity Market Neutral Fund and Federated Hermes MDT Market Neutral Fund.

**How did the Fund perform over the life of Fund?**

**CUMULATIVE PERFORMANCE**

July 12, 2022 through May 31, 2025.

Initial investment of $10,000.

---

| | | | | |
|:---|:---|:---|:---|:---|
| Strategic Advisers® Alternatives Fund<br>| $10000 | $9989<br>| $10546<br>| $11212<br>|
| ICE® BofA® US 3-Month Treasury Bill Index<br>| $10000 | $10311<br>| $10874<br>| $11392<br>|
| Bloomberg U.S. Aggregate Bond Index<br>| $10000 | $9905<br>| $10034<br>| $10582<br>|
|  | 2022 | 2023 | 2024 | 2025 |

---

![](img109685_1.jpg)

**AVERAGE ANNUAL TOTAL RETURNS:**

---

| | | |
|:---|:---|:---|
|  | **1 Year** | **Life of Fund** A |
| Strategic Advisers® Alternatives Fund | 6.32% | 4.04% |
| ICE® BofA® US 3-Month Treasury Bill Index | 4.76%<br>| 4.62% |
| Bloomberg U.S. Aggregate Bond Index | 5.46%<br>| 1.98% |

---

**A** From July 12, 2022

---

| |
|:---|
| Visit **www.fidelity.com** for more recent performance information. <br>|
| *The Fund's past performance is not a good predictor of the Fund's future performance.* The graph and table do not reflect the deduction of taxes that a shareholder would pay on fund distributions or redemption of fund shares.<br>|

---

**Key Fund Statistics**

(as of May 31, 2025)

---

| | |
|:---|:---|
| **KEY FACTS**<br>|  |
| Fund Size | $2828292191<br>|
| Number of Holdings | 1176<br>|
| Total Advisory Fee | $3269832<br>|
| Portfolio Turnover | 109%<br>|

---

**What did the Fund invest in?** (as of May 31, 2025)

---

| | |
|:---|:---|
| **DERIVATIVE EXPOSURE**<br> **(% of Fund's net assets)** |  |
| Futures Contracts | 59.7 |
| Swaps | 39.6 |
| Options | 0.0 |
| Forward Foreign Currency Contracts | 14.9 |

---

---

| | |
|:---|:---|
| Alternative Funds | 33.0 |
| Fixed-Income Funds | 4.4 |
| Corporate Bonds | 0.4 |
| Asset-Backed Securities | 0.2 |
| U.S. Treasury Obligations | 0.1 |
| CMOs and Other Mortgage Related Securities | 0.1 |
| Options | 0.0 |
| U.S. Government Agency - Mortgage Securities | 0.0 |
| Foreign Government and Government Agency Obligations | 0.0 |
| Futures Contracts | 27.9 |
| Swaps | 18.5 |
| Forward Foreign Currency Contracts | 7.0 |
| Short-Term Investments and Net Other Assets (Liabilities) | 8.4 |

---

---

| |
|:---|
| **ASSET ALLOCATION (% of Fund's Total Exposure)** |
| ![](img6570_20250531_AA.jpg) <br>|

---

---

| |
|:---|
| Alternative Funds - 33.0&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| Fixed-Income Funds - 4.4&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| Corporate Bonds - 0.4&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| Asset-Backed Securities - 0.2&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| U.S. Treasury Obligations - 0.1&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| CMOs and Other Mortgage Related Securities - 0.1 |
| Options - 0.0&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| U.S. Government Agency - Mortgage Securities - 0.0 |
| Foreign Government and Government Agency Obligations - 0.0 |
| Futures Contracts - 27.9&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| Swaps - 18.5&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| Forward Foreign Currency Contracts - 7.0 |
| Short-Term Investments and Net Other Assets (Liabilities) - 8.4 |

---

---

| | |
|:---|:---|
| **TOP HOLDINGS** **(% of Fund's net assets)**<br>|  |
| Fidelity SAI Convertible Arbitrage Fund | 15.9<br>|
| BlackRock Global Equity Market Neutral Fund A Shares | 9.5<br>|
| Eaton Vance Global Macro Absolute Return Advantage Fund Class A | 9.5<br>|
| Stone Ridge Diversified Alternatives Fund Class I | 9.4<br>|
| BlackRock Systematic Multi-Strategy Fund Investor A Shares | 9.4<br>|
| Fidelity Investments Money Market Government Portfolio - Institutional Class | 8.8<br>|
| Federated Hermes MDT Market Neutral Fund A Shares | 7.2<br>|
| State Street Institutional U.S. Government Money Market Fund Premier Class | 6.0<br>|
| Absolute Convertible Arbitrage Fund Investor Shares | 5.9<br>|
| The Merger Fund Class A | 5.1<br>|
|  | 86.7 |

---

**How has the Fund changed?**

This is a summary of certain changes to the Fund since June 1, 2024. For more complete information, you may review the Fund's next prospectus, which we expect to be available by July 30, 2025 at **fundresearch.fidelity.com/prospectus/sec** or upon request at 1-800-544-3455 or by sending an e-mail to fidfunddocuments@fidelity.com.

The fees associated with this class changed during the reporting year. The variations in class fees are primarily the result of the following changes: Management fee Strategic Advisers entered into new sub-advisory agreements on behalf of the fund during the reporting period.

---

| | | |
|:---|:---|:---|
| Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2025 FMR LLC. All rights reserved. | Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2025 FMR LLC. All rights reserved. | Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2025 FMR LLC. All rights reserved. |
| ![](img6570_20250531_2.jpg)<br>| ![](img109685_3.jpg) | For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit **fundresearch.fidelity.com/prospectus/sec**<br> 1.9913342.101 6570-TSRA-0725 <br>|

---

Item 2.

<u>Code of Ethics</u>

As of the end of the period, May 31, 2025, Fidelity Rutland Square Trust II (the trust) has adopted a code of ethics, as defined in Item 2 of Form N-CSR, that applies to its President and Treasurer and its Chief Financial Officer. A copy of the code of ethics is filed as an exhibit to this Form N-CSR.

Item 3.

<u>Audit Committee Financial Expert</u>

The Board of Trustees of the trust has determined that Heidi L. Steiger is an audit committee financial expert, as defined in Item 3 of Form N-CSR. Ms. Steiger is independent for purposes of Item 3 of Form N-CSR.

Item 4.

<u>Principal Accountant Fees and Services</u>

<u>Fees and Services</u>

The following table presents fees billed by PricewaterhouseCoopers LLP ("PwC") in each of the last two fiscal years for services rendered to Strategic Advisers Alternatives Fund (the "Fund"):

**<u>Services Billed by PwC</u>**

**<u>May 31, 2025 Fees<sup>A</sup></u>**

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | **Audit Fees** | **Audit-Related Fees** | **Tax Fees** | **All Other Fees** |
| Strategic Advisers Alternatives Fund | $65900  | $5600  | $19500  | $12100  |

---

**<u>May 31, 2024 Fees</u><sup>A</sup>**

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | **Audit Fees** | **Audit-Related Fees** | **Tax Fees** | **All Other Fees** |
| Strategic Advisers Alternatives Fund | $60000  | $5000  | $16600  | $10600  |

---

<sup>A</sup> Amounts may reflect rounding.

The following table(s) present(s) fees billed by PwC that were required to be approved by the Audit Committee for services that relate directly to the operations and financial reporting of the Fund(s) and that are rendered on behalf of Strategic Advisers, LLC

("Strategic Advisers") and entities controlling, controlled by, or under common control with Strategic Advisers (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser) that provide ongoing services to the Fund(s) ("Fund Service Providers"):

**<u>Services Billed by PwC</u>**

---

| | | |
|:---|:---|:---|
|  | **<u>May 31, 2025<sup>A</sup></u>** | **<u>May 31, 2024</u><sup>A</sup>** |
| Audit-Related Fees | $9845100  | $9367800  |
| Tax Fees | $1000  | $61000  |
| All Other Fees | $35000  | $- |

---

<sup>A</sup> Amounts may reflect rounding

"Audit-Related Fees" represent fees billed for assurance and related services that are reasonably related to the performance of the fund audit or the review of the fund's financial statements and that are not reported under Audit Fees.

"Tax Fees" represent fees billed for tax compliance, tax advice or tax planning that relate directly to the operations and financial reporting of the fund.

"All Other Fees" represent fees billed for services provided to the fund or Fund Service Provider, a significant portion of which are assurance related, that relate directly to the operations and financial reporting of the fund, excluding those services that are reported under Audit Fees, Audit-Related Fees or Tax Fees.

Assurance services must be performed by an independent public accountant.

\* \* \*

The aggregate non-audit fees billed by PwC for services rendered to the Fund(s), Strategic Advisers (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any Fund Service Provider for each of the last two fiscal years of the Fund(s) are as follows:

---

| | | |
|:---|:---|:---|
| **<u>Billed By</u>** | **<u>May 31, 2025<sup>A</sup></u>** | **<u>May 31, 2024</u><sup>A</sup>** |
| PwC | $14914800  | $14895600  |

---

<sup>A</sup> Amounts may reflect rounding

The trust's Audit Committee has considered non-audit services that were not pre-approved that were provided by PwC to Fund Service Providers to be compatible with maintaining the independence of PwC in its(their) audit of the Fund(s), taking into

account representations from PwC, in accordance with Public Company Accounting Oversight Board rules, regarding its independence from the Fund(s) and its(their) related entities and Strategic Advisers' review of the appropriateness and permissibility under applicable law of such non-audit services prior to their provision to the Fund(s) Service Providers.

<u>Audit Committee Pre-Approval Policies and Procedures</u>

The trust's Audit Committee must pre-approve all audit and non-audit services provided by a fund's independent registered public accounting firm relating to the operations or financial reporting of the fund. Prior to the commencement of any audit or non-audit services to a fund, the Audit Committee reviews the services to determine whether they are appropriate and permissible under applicable law.

The Audit Committee has adopted policies and procedures to, among other purposes, provide a framework for the Committee's consideration of non-audit services by the audit firms that audit the Fidelity funds. The policies and procedures require that any non-audit service provided by a fund audit firm to a Fidelity fund and any non-audit service provided by a fund auditor to a Fund Service Provider that relates directly to the operations and financial reporting of a Fidelity fund ("Covered Service") are subject to approval by the Audit Committee before such service is provided.

All Covered Services must be approved in advance of provision of the service either: (i) by formal resolution of the Audit Committee, or (ii) by oral or written approval of the service by the Chair of the Audit Committee (or if the Chair is unavailable, such other member of the Audit Committee as may be designated by the Chair to act in the Chair's absence). The approval contemplated by (ii) above is permitted where the Treasurer determines that action on such an engagement is necessary before the next meeting of the Audit Committee.

Non-audit services provided by a fund audit firm to a Fund Service Provider that do not relate directly to the operations and financial reporting of a Fidelity fund are reported to the Audit Committee periodically.

<u>Non-Audit Services Approved Pursuant to Rule 2-01(c)(7)(i)(C) and (ii) of Regulation S-X ("De Minimis Exception")</u>

There were no non-audit services approved or required to be approved by the Audit Committee pursuant to the De Minimis Exception during the Fund's(s') last two fiscal years relating to services provided to (i) the Fund(s) or (ii) any Fund Service Provider that relate directly to the operations and financial reporting of the Fund(s).

The Registrant has not retained, for the preparation of the audit report on the financial statements included in the Form N-CSR, a registered public accounting firm that has a branch or office that is located in a foreign jurisdiction and that the Public Company Accounting Oversight Board (the "PCAOB") has determined that the PCAOB is unable

to inspect or investigate completely because of a position taken by an authority in the foreign jurisdiction.

The Registrant is not a "foreign issuer," as defined in 17 CFR 240.3b-4.

Item 5.

<u>Audit Committee of Listed Registrants</u>

Not applicable.

Item 6.

<u>Investments</u>

(a) Not applicable.

(b) Not applicable.

Item 7.

<u>Financial Statements and Financial Highlights for Open-End Management Investment Companies</u>

**Strategic Advisers® Alternatives Fund**

*Offered exclusively to certain managed account clients of Strategic Advisers LLC or its affiliates - not available for sale to the general public*

**Annual Report**

**May 31, 2025**

![](img109675_1.jpg)

![](img109675_2.jpg)

**Contents**

---

| |
|:---|
| **[Item 7: Consolidated Financial Statements and Consolidated Financial Highlights for Open-End Management Investment Companies (Annual Report)](#Sec_Item7Consolidated_SAA-ANN_0)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **[Strategic Advisers® Alternatives Fund](#Sub_Sec_Fund_6570_SAA-ANN)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **[Notes to Consolidated Financial Statements](#Sub_Sec_NotestoFinancialStatements6570_SAA-ANN)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **[Report of Independent Registered Public Accounting Firm](#Sub_Sec_ReportofIndependentRegisteredPublicAccountingFirm_SAA-ANN_0)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **[Distributions](#Sub_Sec_Distributions_SAA-ANN)** |
| **[Item 8: Changes in and Disagreements with Accountants for Open-End Management Investment Companies](#Sec_Item8_SAA-ANN)** |
| **[Item 9: Proxy Disclosures for Open-End Management Investment Companies](#Sec_Item9_SAA-ANN)** |
| **[Item 10: Remuneration Paid to Directors, Officers, and others of Open-End Management Investment Companies](#Sec_Item10_SAA-ANN)** |
| **[Item 11: Statement Regarding Basis for Approval of Investment Advisory Contract](#Sec_Item11_SAA-ANN)** |

---

To view a fund's proxy voting guidelines and proxy voting record for the 12-month period ended June 30, visit http://www.fidelity.com/proxyvotingresults or visit the Securities and Exchange Commission's (SEC) web site at http://www.sec.gov.

You may also call 1-800-544-3455 to request a free copy of the proxy voting guidelines.

Standard & Poor's, S&P and S&P 500 are registered service marks of The McGraw-Hill Companies, Inc. and have been licensed for use by Fidelity Distributors Corporation.

Other third-party marks appearing herein are the property of their respective owners.

All other marks appearing herein are registered or unregistered trademarks or service marks of FMR LLC or an affiliated company.© 2025 FMR LLC. All rights reserved.

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

*A fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-PORT. Forms N-PORT are available on the SEC's web site at http://www.sec.gov. A fund's Forms N-PORT may be reviewed and copied at the SEC's Public Reference Room in Washington, DC. Information regarding the operation of the SEC's Public Reference Room may be obtained by calling 1-800-SEC-0330.*

*For a complete list of a fund's portfolio holdings, view the most recent holdings listing, semiannual report, or annual report on Fidelity's web site at http://www.fidelity.com, http://www.institutional.fidelity.com, or http://www.401k.com, as applicable.*

**NOT FDIC INSURED •MAY LOSE VALUE •NO BANK GUARANTEE**

*Neither the Fund nor Fidelity Distributors Corporation is a bank.*

**Item 7: Consolidated Financial Statements and Consolidated Financial Highlights for Open-End Management Investment Companies (Annual Report)**

**Strategic Advisers® Alternatives Fund**

**Consolidated Schedule of Investments May 31, 2025**

Showing Percentage of Net Assets

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Alternative Funds - 71.1%** | &nbsp;&nbsp;**Alternative Funds - 71.1%** | &nbsp;&nbsp;**Alternative Funds - 71.1%** |
|  | Shares | Value ($)<br>|
| Absolute Convertible Arbitrage Fund Investor Shares  | 14465656 | 166933675 |
| American Beacon AHL Managed Futures Strategy Fund Investor Class  | 6169035 | 53177080 |
| BlackRock Global Equity Market Neutral Fund A Shares  | 18731479 | 269358668 |
| BlackRock Systematic Multi-Strategy Fund Investor A Shares  | 25322932 | 263105267 |
| Federated Hermes MDT Market Neutral Fund A Shares  | 9819753 | 204741858 |
| Fidelity SAI Alternative Risk Premia Commodity Strategy Fund (b) | 6044608 | 60687860 |
| Fidelity SAI Alternative Risk Premia Strategy Fund (b) | 2813130 | 26949787 |
| Fidelity SAI Convertible Arbitrage Fund (b) | 41005617 | 448191399 |
| First Trust Merger Arbitrage Fund Class I  | 4710826 | 51253783 |
| Fulcrum Diversified Absolute Return Fund Super Institutional Class  | 5439078 | 52595884 |
| JHancock Diversified Macro Fund Class A  | 567 | 4819 |
| Stone Ridge Diversified Alternatives Fund Class I  | 26059254 | 265804391 |
| The Merger Fund Class A  | 8140501 | 145145131 |
| <br> **TOTAL ALTERNATIVE FUNDS**<br> (Cost $1,952,946,389) |  | **2007949602** |

---

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**Asset-Backed Securities - 0.4%** | &nbsp;&nbsp;**Asset-Backed Securities - 0.4%** | &nbsp;&nbsp;**Asset-Backed Securities - 0.4%** | &nbsp;&nbsp;**Asset-Backed Securities - 0.4%** |
|  |  | Principal<br> Amount (a)<br>| Value ($)<br>|
| BAILIWICK OF JERSEY - 0.0%  |  |  |  |
| Verdelite Static CLO Ltd Series 2024-1A Class A, CME Term SOFR 3 month Index + 1.13%, 5.3995% 7/20/2032 (c)(d)(e) |  | 420460 | 420503 |
| CANADA - 0.1%  |  |  |  |
| Master Cr Card Tr II Series 2023-2A Class A, U.S. 30-Day Avg. SOFR Index + 0.85%, 5.1813% 1/21/2027 (c)(d)(e) |  | 1200000 | 1200609 |
| Trillium Credit Card Trust II Series 2023-3A Class A, U.S. SOFR Index + 0.85%, 5.1692% 8/26/2028 (c)(d)(e) |  | 1200000 | 1200988 |
| TOTAL CANADA |  |  | 2401597 |
| GRAND CAYMAN (UK OVERSEAS TER) - 0.2%  |  |  |  |
| Agl Clo 14 Ltd Series 2025-14A Class AR, CME Term SOFR 3 month Index + 1.13%, 5.3995% 12/2/2034 (c)(d)(e) |  | 300000 | 299425 |
| Carlyle Global Market Strategies Series 2024-4A Class A1RR, CME Term SOFR 3 month Index + 1.22%, 5.4895% 7/20/2032 (c)(d)(e) |  | 257537 | 257635 |
| Carval Clo I Ltd / Carval Clo I LLC Series 2024-1A Class AR, CME Term SOFR 3 month Index + 1.23%, 5.4905% 7/16/2031 (c)(d)(e) |  | 892402 | 891503 |
| Lcm 31 Ltd Series 2024-31A Class AR, CME Term SOFR 3 month Index + 1.28%, 5.5495% 7/20/2034 (c)(d)(e) |  | 300000 | 299914 |
| Madison Park Funding Xlix Ltd Series 2025-49A Class AR, CME Term SOFR 3 month Index + 1.05%, 5.3195% 10/19/2034 (c)(d)(e) |  | 300000 | 299592 |
| MF1 Multifamily Housing Mortgage Loan Trust Series 2021-FL7 Class A, CME Term SOFR 1 month Index + 1.1945%, 5.5212% 10/16/2036 (c)(d)(e) |  | 291555 | 291182 |
| Mountain View Clo Xvi Ltd Series 2024-1A Class A1R, CME Term SOFR 3 month Index + 1.46%, 5.7161% 4/15/2034 (c)(d)(e) |  | 1000000 | 1000750 |
| Ofsi Bsl Xi Ltd Series 2024-10A Class AR, CME Term SOFR 3 month Index + 1.27%, 5.5395% 4/20/2034 (c)(d)(e) |  | 500000 | 499055 |
| Rad Clo 4 Ltd Series 2024-4A Class AR, CME Term SOFR 3 month Index + 1.23%, 5.5118% 4/25/2032 (c)(d)(e) |  | 513241 | 512731 |
| Sound Point CLO XXVIII Ltd Series 2024-3A Class A1R, CME Term SOFR 3 month Index + 1.28%, 5.5618% 1/25/2032 (c)(d)(e) |  | 873810 | 873907 |
| Tralee Clo VI Ltd Series 2024-6A Class A1RR, CME Term SOFR 3 month Index + 1.22%, 5.5018% 10/25/2032 (c)(d)(e) |  | 290843 | 290676 |
| TOTAL GRAND CAYMAN (UK OVERSEAS TER) |  |  | 5516370 |
| IRELAND - 0.0%  |  |  |  |
| Cumulus Static Clo Series 2024-1A Class A, 3 month EURIBOR + 1.2%, 3.343% 11/15/2033 (c)(d)(e) | EUR | 263180 | 298613 |
| UNITED STATES - 0.1%  |  |  |  |
| CarMax Series 2023-3 Class A2A, 5.72% 11/16/2026  |  | 10184 | 10189 |
| Citibank Credit Card Issuance Trust Series 2017-A6 Class A6, CME Term SOFR 1 month Index + 0.8845%, 5.2097% 5/14/2029 (c)(d) |  | 900000 | 908259 |
| Citibank Credit Card Issuance Trust Series 2023-A1 Class A1, 5.23% 12/8/2027  |  | 500000 | 501647 |
| Citizens Auto Receivables Trust Series 2023-2 Class A2B, U.S. 30-Day Avg. SOFR Index + 0.73%, 5.0623% 10/15/2026 (c)(d)(e) |  | 11895 | 11897 |
| Enterprise Fleet Financing LLC Series 2022-3 Class A2, 4.38% 7/20/2029 (e) |  | 478125 | 477550 |
| GM Financial Automobile Leasing Trust Series 2025-1 Class A2A, 4.54% 5/20/2027 (d) |  | 800000 | 800510 |
| SCCU Auto Receivables Trust Series 2024-1A Class A2, 5.45% 12/15/2027 (e) |  | 255047 | 255584 |
| Toyota Auto Receivables Owner Trust Series 2023-C Class A2B, U.S. 30-Day Avg. SOFR Index + 0.4%, 4.7323% 8/17/2026 (c)(d) |  | 26325 | 26329 |
| Toyota Lease Owner Trust Series 2025-A Class A2A, 4.58% 7/20/2027 (e) |  | 400000 | 400475 |
| Volkswagen Auto Loan Enhanced Trust Series 2023-1 Class A2B, U.S. 30-Day Avg. SOFR Index + 0.52%, 4.8466% 12/21/2026 (c)(d) |  | 7073 | 7074 |
| World Omni Auto Receivables Tr Series 2023-C Class A2B, U.S. 30-Day Avg. SOFR Index + 0.41%, 4.7423% 12/15/2026 (c)(d) |  | 4296 | 4295 |
| TOTAL UNITED STATES |  |  | 3403809 |
| <br> **TOTAL ASSET-BACKED SECURITIES**<br> (Cost $12,009,097) |  |  | <br> **12040892** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Collateralized Mortgage Obligations - 0.1%** | &nbsp;&nbsp;**Collateralized Mortgage Obligations - 0.1%** | &nbsp;&nbsp;**Collateralized Mortgage Obligations - 0.1%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| UNITED STATES - 0.1%  |  |  |
| Fannie Mae Guaranteed REMIC Series 2024-10 Class AF, U.S. 30-Day Avg. SOFR Index + 0.9%, 5.2357% 12/25/2050 (c)(d) | 66738 | 67325 |
| Fannie Mae Guaranteed REMIC Series 2024-54 Class FC, U.S. 30-Day Avg. SOFR Index + 0.97%, 5.292% 8/25/2054 (c)(d) | 288980 | 288648 |
| Fannie Mae Mortgage pass-thru certificates Series 2024-100 Class FA, U.S. 30-Day Avg. SOFR Index + 1.1%, 5.422% 6/25/2054 (c)(d) | 265553 | 263749 |
| Fannie Mae Mortgage pass-thru certificates Series 2025-16 Class FN, U.S. 30-Day Avg. SOFR Index + 0.95%, 5.272% 1/25/2055 (c)(d) | 289383 | 289231 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2024-5383 Class AF, U.S. 30-Day Avg. SOFR Index + 1%, 5.3357% 8/15/2048 (c)(d) | 63932 | 64518 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2024-5442 Class FB, U.S. 30-Day Avg. SOFR Index + 0.97%, 5.292% 8/25/2054 (c)(d) | 341523 | 341470 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2024-5480 Class FG, U.S. 30-Day Avg. SOFR Index + 1.15%, 5.472% 12/25/2054 (c)(d) | 255969 | 255623 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-5500 Class UF, U.S. 30-Day Avg. SOFR Index + 0.9%, 5.222% 11/25/2054 (c)(d) | 269224 | 268762 |
| Ginnie Mae Mortgage pass-thru certificates Series 2017-H05 Class FC, CME Term SOFR 1 month Index + 0.8645%, 5.1834% 2/20/2067 (c)(d) | 895135 | 897345 |
| Ginnie Mae Mortgage pass-thru certificates Series 2023-H20 Class FL, U.S. 30-Day Avg. SOFR Index + 1.1%, 5.4283% 5/20/2073 (c)(d) | 168935 | 169608 |
| Ginnie Mae Mortgage pass-thru certificates Series 2024-H12 Class FC, U.S. 30-Day Avg. SOFR Index + 0.9%, 5.2283% 7/20/2074 (c)(d) | 400867 | 399659 |
| TOTAL UNITED STATES |  | 3305938 |
| <br> **TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS**<br> (Cost $3,302,441) |  | <br> **3305938** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Fixed-Income Funds - 9.5%** | &nbsp;&nbsp;**Fixed-Income Funds - 9.5%** | &nbsp;&nbsp;**Fixed-Income Funds - 9.5%** |
|  | Shares | Value ($)<br>|
| Eaton Vance Global Macro Absolute Return Advantage Fund Class A <br>(Cost $235,147,362)<br>| 24420806 | **267163619** |

---

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**Foreign Government and Government Agency Obligations - 0.0%** | &nbsp;&nbsp;**Foreign Government and Government Agency Obligations - 0.0%** | &nbsp;&nbsp;**Foreign Government and Government Agency Obligations - 0.0%** | &nbsp;&nbsp;**Foreign Government and Government Agency Obligations - 0.0%** |
|  |  | Principal<br> Amount (a)<br>| Value ($)<br>|
| BRAZIL - 0.0%  |  |  |  |
| Brazilian Federative Republic Treasury Bills 0% 10/1/2025 (f)<br> (Cost $31,328) | BRL | 200000 | **33383** |

---

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**Non-Convertible Corporate Bonds - 0.8%** | &nbsp;&nbsp;**Non-Convertible Corporate Bonds - 0.8%** | &nbsp;&nbsp;**Non-Convertible Corporate Bonds - 0.8%** | &nbsp;&nbsp;**Non-Convertible Corporate Bonds - 0.8%** |
|  |  | Principal<br> Amount (a)<br>| Value ($)<br>|
| CANADA - 0.2%  |  |  |  |
| Financials - 0.2% |  |  |  |
| Banks - 0.0% |  |  |  |
| Bank of Nova Scotia/The 3 month Australia Bank Bill Rate + 0.9%, 4.7962% 10/27/2025 (c)(d) | AUD | 1000000 | 645805 |
| Royal Bank of Canada U.S. SOFR Averages Index + 0.46%, 4.7663% 8/3/2026 (c)(d) |  | 700000 | 700259 |
|  |  |  | 1346064 |
| Capital Markets - 0.2% |  |  |  |
| CPPIB Capital Inc U.S. SOFR Index + 1.25%, 5.5966% 3/11/2026 (c)(d)(g) |  | 3000000 | 3024624 |
| TOTAL CANADA |  |  | 4370688 |
| FINLAND - 0.0%  |  |  |  |
| Financials - 0.0% |  |  |  |
| Financial Services - 0.0% |  |  |  |
| Kuntarahoitus Oyj U.S. SOFR Averages Index + 1%, 5.3221% 2/2/2029 (c)(d)(e) |  | 800000 | 815052 |
| FRANCE - 0.0%  |  |  |  |
| Financials - 0.0% |  |  |  |
| Banks - 0.0% |  |  |  |
| BNP Paribas SA 2.219% 6/9/2026 (d)(e) |  | 600000 | 599693 |
| GERMANY - 0.1%  |  |  |  |
| Consumer Discretionary - 0.1% |  |  |  |
| Automobiles - 0.1% |  |  |  |
| BMW US Capital LLC U.S. SOFR Averages Index + 0.8%, 5.0885% 8/13/2026 (c)(d)(e) |  | 700000 | 702435 |
| Volkswagen Group of America Finance LLC 1.25% 11/24/2025 (e) |  | 800000 | 786016 |
|  |  |  | 1488451 |
| Financials - 0.0% |  |  |  |
| Capital Markets - 0.0% |  |  |  |
| Deutsche Bank AG/New York NY 2.129% 11/24/2026 (d) |  | 700000 | 690207 |
| Health Care - 0.0% |  |  |  |
| Pharmaceuticals - 0.0% |  |  |  |
| Bayer US Finance II LLC 4.25% 12/15/2025 (e) |  | 500000 | 498140 |
| TOTAL GERMANY |  |  | 2676798 |
| IRELAND - 0.0%  |  |  |  |
| Financials - 0.0% |  |  |  |
| Consumer Finance - 0.0% |  |  |  |
| AerCap Ireland Capital DAC / AerCap Global Aviation Trust 1.75% 1/30/2026  |  | 500000 | 489871 |
| JAPAN - 0.0%  |  |  |  |
| Financials - 0.0% |  |  |  |
| Banks - 0.0% |  |  |  |
| Sumitomo Mitsui Financial Group Inc U.S. SOFR Index + 1.3%, 5.6304% 7/13/2026 (c)(d) |  | 500000 | 504055 |
| NETHERLANDS - 0.0%  |  |  |  |
| Financials - 0.0% |  |  |  |
| Banks - 0.0% |  |  |  |
| Cooperatieve Rabobank UA/NY U.S. SOFR Averages Index + 0.62%, 4.9008% 8/28/2026 (c)(d) |  | 700000 | 702247 |
| SINGAPORE - 0.0%  |  |  |  |
| Financials - 0.0% |  |  |  |
| Banks - 0.0% |  |  |  |
| DBS Group Holdings Ltd U.S. SOFR Index + 0.61%, 4.9563% 9/12/2025 (c)(d)(e) |  | 400000 | 400268 |
| SWEDEN - 0.0%  |  |  |  |
| Financials - 0.0% |  |  |  |
| Banks - 0.0% |  |  |  |
| Swedbank AB 5.337% 9/20/2027 (g) |  | 600000 | 609652 |
| SWITZERLAND - 0.0%  |  |  |  |
| Financials - 0.0% |  |  |  |
| Banks - 0.0% |  |  |  |
| UBS AG/Australia 3 month Australia Bank Bill Rate + 0.87%, 4.7445% 7/30/2025 (c)(d)(g) | AUD | 1000000 | 645006 |
| Capital Markets - 0.0% |  |  |  |
| UBS Group AG 6.373% 7/15/2026 (d)(e) |  | 300000 | 300419 |
| TOTAL SWITZERLAND |  |  | 945425 |
| UNITED KINGDOM - 0.1%  |  |  |  |
| Consumer Staples - 0.1% |  |  |  |
| Tobacco - 0.1% |  |  |  |
| BAT Capital Corp 3.215% 9/6/2026  |  | 600000 | 589823 |
| BAT International Finance PLC 1.668% 3/25/2026  |  | 300000 | 292893 |
|  |  |  | 882716 |
| Financials - 0.0% |  |  |  |
| Banks - 0.0% |  |  |  |
| Barclays PLC 4.375% 1/12/2026  |  | 200000 | 199518 |
| NatWest Markets PLC 5.0546% 8/12/2025 (g) | AUD | 400000 | 258276 |
| Standard Chartered Bank/New York 4.853% 12/3/2027  |  | 250000 | 251987 |
|  |  |  | 709781 |
| TOTAL UNITED KINGDOM |  |  | 1592497 |
| UNITED STATES - 0.4%  |  |  |  |
| Communication Services - 0.0% |  |  |  |
| Media - 0.0% |  |  |  |
| Cox Communications Inc 3.35% 9/15/2026 (e) |  | 1000000 | 981166 |
| Consumer Discretionary - 0.0% |  |  |  |
| Automobiles - 0.0% |  |  |  |
| Hyundai Capital America U.S. SOFR Index + 1.15%, 5.4563% 8/4/2025 (c)(d)(e) |  | 300000 | 300317 |
| Energy - 0.0% |  |  |  |
| Oil, Gas & Consumable Fuels - 0.0% |  |  |  |
| Energy Transfer LP 5.95% 12/1/2025  |  | 500000 | 501384 |
| Financials - 0.2% |  |  |  |
| Banks - 0.0% |  |  |  |
| Citigroup Inc CME Term SOFR 3 month Index + 1.5116%, 5.8092% 7/1/2026 (c)(d) |  | 600000 | 600699 |
| Capital Markets - 0.1% |  |  |  |
| Goldman Sachs Group Inc/The 1.431% 3/9/2027 (d) |  | 800000 | 779864 |
| Consumer Finance - 0.0% |  |  |  |
| Ford Motor Credit Co LLC 4.687% 6/9/2025  |  | 700000 | 699927 |
| Financial Services - 0.0% |  |  |  |
| Global Payments Inc 1.2% 3/1/2026  |  | 800000 | 778600 |
| Insurance - 0.1% |  |  |  |
| Jackson National Life Global Funding 4.9% 1/13/2027 (e) |  | 150000 | 150570 |
| New York Life Global Funding U.S. SOFR Averages Index + 0.58%, 4.9018% 1/16/2026 (c)(d)(e) |  | 1000000 | 1002358 |
| Protective Life Global Funding U.S. SOFR Index + 0.5%, 4.8193% 7/22/2026 (c)(d)(e) |  | 200000 | 199821 |
|  |  |  | 1352749 |
| TOTAL FINANCIALS |  |  | 4211839 |
| Health Care - 0.1% |  |  |  |
| Health Care Providers & Services - 0.0% |  |  |  |
| Elevance Health Inc 5.35% 10/15/2025  |  | 500000 | 500775 |
| Life Sciences Tools & Services - 0.1% |  |  |  |
| Illumina Inc 5.8% 12/12/2025  |  | 622000 | 624074 |
| TOTAL HEALTH CARE |  |  | 1124849 |
| Industrials - 0.0% |  |  |  |
| Machinery - 0.0% |  |  |  |
| Westinghouse Air Brake Technologies Corp 3.2% 6/15/2025  |  | 800000 | 799081 |
| Materials - 0.1% |  |  |  |
| Chemicals - 0.0% |  |  |  |
| International Flavors & Fragrances Inc 1.23% 10/1/2025 (e) |  | 124000 | 122460 |
| Containers & Packaging - 0.1% |  |  |  |
| Berry Global Inc 1.57% 1/15/2026  |  | 1000000 | 977913 |
| TOTAL MATERIALS |  |  | 1100373 |
| Utilities - 0.0% |  |  |  |
| Electric Utilities - 0.0% |  |  |  |
| Pacific Gas and Electric Co 3.15% 1/1/2026  |  | 1000000 | 989066 |
| TOTAL UNITED STATES |  |  | 10008075 |
| <br> **TOTAL NON-CONVERTIBLE CORPORATE BONDS**<br> (Cost $23,646,759) |  |  | <br> **23714321** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Repurchase Agreements - 0.7%** | &nbsp;&nbsp;**Repurchase Agreements - 0.7%** | &nbsp;&nbsp;**Repurchase Agreements - 0.7%** |
|  | Maturity<br> Amount ($)<br>| Value ($)<br>|
| BNP Paribas, S.A. 4.43%, dated 6/2/2025 due 6/3/2025 (h) | 11301391 | 11300000 |
| Repurchase Agreements\*  | 9803618 | 9800000 |
| <br> **TOTAL REPURCHASE AGREEMENTS**<br> (Cost $21,100,000) |  | **21100000** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**U.S. Government Agency - Mortgage Securities - 0.5%** | &nbsp;&nbsp;**U.S. Government Agency - Mortgage Securities - 0.5%** | &nbsp;&nbsp;**U.S. Government Agency - Mortgage Securities - 0.5%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| Uniform Mortgage Backed Securities 6% 6/1/2055 (i)(j) | 10100000 | 10201395 |
| Uniform Mortgage Backed Securities 6.5% 6/1/2055 (i)(j) | 2400000 | 2464499 |
| Uniform Mortgage Backed Securities 6.5% 7/1/2055 (i)(j) | 2400000 | 2462249 |
| <br> **TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES**<br> (Cost $15,099,382) |  | **15128143** |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;**Certificates of Deposit - 0.0%** | &nbsp;&nbsp;**Certificates of Deposit - 0.0%** | &nbsp;&nbsp;**Certificates of Deposit - 0.0%** | &nbsp;&nbsp;**Certificates of Deposit - 0.0%** | &nbsp;&nbsp;**Certificates of Deposit - 0.0%** |
|  |  | Yield (%) (k) | Principal<br> Amount (a)<br>| Value ($)<br>|
| MUFG Bank Ltd/Sydney 3 month Australia Bank Bill Rate + 0.87%, 4.6776% 2/17/2026 (c)(d) | AUD | 4.66 | 500000 | 323373 |
| Sumitomo Mitsui Banking Corp/Sydney 3 month Australia Bank Bill Rate + 0.85%, 4.6443% 2/20/2026 (c)(d) | AUD | 4.63 | 400000 | 258678 |
| <br> **TOTAL CERTIFICATES OF DEPOSIT**<br> (Cost $578,617) |  |  |  | **582051** |

---

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**U.S. Treasury Obligations - 0.2%** | &nbsp;&nbsp;**U.S. Treasury Obligations - 0.2%** | &nbsp;&nbsp;**U.S. Treasury Obligations - 0.2%** | &nbsp;&nbsp;**U.S. Treasury Obligations - 0.2%** |
|  | Yield (%) (k) | Principal<br> Amount (a)<br>| Value ($)<br>|
| US Treasury Bills 0% 6/26/2025  | 4.23 | 43000 | 42878 |
| US Treasury Bills 0% 6/5/2025  | 4.22 | 476000 | 475831 |
| US Treasury Bills 0% 7/10/2025 (n) | 4.26 | 161000 | 160282 |
| US Treasury Bills 0% 7/15/2025  | 4.25 | 500000 | 497480 |
| US Treasury Bills 0% 7/17/2025  | 4.26 | 100000 | 99472 |
| US Treasury Bills 0% 7/22/2025  | 4.25 to 4.26 | 200000 | 198828 |
| US Treasury Bills 0% 7/24/2025 (n) | 4.24 | 100000 | 99389 |
| US Treasury Bills 0% 7/31/2025 (n) | 4.24 to 4.26 | 715000 | 710046 |
| US Treasury Bills 0% 8/14/2025 (n) | 4.25 | 71000 | 70390 |
| US Treasury Bills 0% 8/19/2025 (n) | 4.25 | 359000 | 355706 |
| US Treasury Bills 0% 8/21/2025 (n) | 4.25 | 115000 | 113918 |
| US Treasury Bills 0% 8/7/2025 (n) | 4.26 to 4.31 | 1090000 | 1081548 |
| US Treasury Bills 0% 9/16/2025  | 4.27 | 300000 | 296271 |
| US Treasury Bills 0% 9/23/2025  | 4.29 | 200000 | 197348 |
| <br> **TOTAL U.S. TREASURY OBLIGATIONS**<br> (Cost $4,398,961) |  |  | **4399387** |

---

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**Money Market Funds - 15.0%** | &nbsp;&nbsp;**Money Market Funds - 15.0%** | &nbsp;&nbsp;**Money Market Funds - 15.0%** | &nbsp;&nbsp;**Money Market Funds - 15.0%** |
|  | Yield (%) | Shares | Value ($)<br>|
| Fidelity Cash Central Fund (l) | 4.32 | 5525890 | 5526995 |
| Fidelity Investments Money Market Government Portfolio - Institutional Class (b)(m) | 4.22 | 245828346 | 245828347 |
| State Street Institutional U.S. Government Money Market Fund Investor Class (m) | 4.19 | 424873 | 424873 |
| State Street Institutional U.S. Government Money Market Fund Premier Class (m) | 4.27 | 170375648 | 170375648 |
| <br> **TOTAL MONEY MARKET FUNDS**<br> (Cost $422,155,863) |  |  | **422155863** |

---

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **Purchased Options - 0.0** | **Purchased Options - 0.0** | **Purchased Options - 0.0** | **Purchased Options - 0.0** | **Purchased Options - 0.0** | **Purchased Options - 0.0** | **Purchased Options - 0.0** |
|  | Counterparty | Number<br> of Contracts | Notional Amount ($) | Exercise<br> Price ($) | Expiration<br> Date | Value ($) |
| Put Options |  |  |  |  |  |  |
| S&P 500 Index | Chicago Board Options Exchange | 39 | 23055591 | 5610 | 08/15/25 | 338520 |
| S&P 500 Index | Chicago Board Options Exchange | 30 | 17735070 | 5030 | 07/18/25 | 40200 |
| S&P 500 Index | Chicago Board Options Exchange | 30 | 17735070 | 5330 | 06/20/25 | 19500 |
| S&P 500 Index | Chicago Board Options Exchange | 82 | 48475858 | 3900 | 05/15/26 | 367360 |
| S&P 500 Index | Chicago Board Options Exchange | 73 | 43155337 | 3450 | 04/17/26 | 198925 |
| S&P 500 Index | Chicago Board Options Exchange | 87 | 51431703 | 3750 | 03/20/26 | 281445 |
|  |  |  |  |  |  | **1245950** |
| **TOTAL PURCHASED OPTIONS**<br> (Cost $2077539) |  |  |  |  |  | **1245950** |

---

---

| | |
|:---|:---|
| <br> **TOTAL INVESTMENT IN SECURITIES - 98.3%**<br> (Cost $2,692,493,738)<br>| <br>**2778819149** |
| **NET OTHER ASSETS (LIABILITIES) - 1.7%**  | **49473042** |
| **NET ASSETS - 100.0%** | **2828292191** |

---

---

| | | |
|:---|:---|:---|
| **TBA Sale Commitments**  | **TBA Sale Commitments**  | **TBA Sale Commitments**  |
|  | Principal<br> Amount (a) | Value ($) |
| U.S. Government Agency - Mortgage Securities |  |  |
| Uniform Mortgage Backed Securities 5% 7/1/2040 | (600000) | (600070) |
| Uniform Mortgage Backed Securities 6% 6/1/2055 | (10100000) | (10201395) |
| Uniform Mortgage Backed Securities 6% 7/1/2055 | (800000) | (807001) |
| Uniform Mortgage Backed Securities 6.5% 6/1/2055 | (2400000) | (2464499) |
| Uniform Mortgage Backed Securities 6.5% 7/1/2055 | (1100000) | (1128531) |
| TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES  |  | (15201496) |
| **TOTAL TBA SALE COMMITMENTS**<br> (Proceeds $15,156,789) |  | <br> **(15201496)** |

---

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;**Futures Contracts**  | &nbsp;&nbsp;**Futures Contracts**  | &nbsp;&nbsp;**Futures Contracts**  | &nbsp;&nbsp;**Futures Contracts**  | &nbsp;&nbsp;**Futures Contracts**  | &nbsp;&nbsp;**Futures Contracts**  |
|  | Number <br> of contracts | Expiration <br> Date | Notional <br> Amount ($)<br>| Value ($)<br>| Unrealized<br> Appreciation/<br> (Depreciation) ($)<br>|
| Purchased |  |  |  |  |  |
| Commodity Contracts |  |  |  |  |  |
| CBOT Soybean Contracts (United States) | 9 | Nov 2025 | 462038 | (7334) | (7334) |
| CBOT Soybean Oil Contracts (United States) | 67 | Dec 2025 | 1915530 | 70566 | 70566 |
| CEC Gold Bullion Contracts (United States) | 5 | Aug 2025 | 1657700 | 22489 | 22489 |
| CEC Gold Bullion Contracts (United States) | 43 | Aug 2025 | 14256220 | 170177 | 170177 |
| CME Lean Hogs Contracts (United States) | 12 | Aug 2025 | 504120 | 11038 | 11038 |
| CME Live Cattle Contracts (United States) | 8 | Oct 2025 | 663680 | 7191 | 7191 |
| ICE Brent Crude Contracts (United Kingdom) | 8 | Jul 2025 | 496400 | (17349) | (17349) |
| ICE Brent Crude Oil Contracts (United Kingdom) | 1 | Aug 2025 | 61570 | (2831) | (2831) |
| ICE Brent Crude Oil Contracts (United Kingdom) | 43 | Jun 2025 | 2699540 | (65939) | (65939) |
| ICE Canola Contracts (United States) | 39 | Jul 2025 | 404167 | 29928 | 29928 |
| ICE Canola Contracts (United States) | 34 | Nov 2025 | 341202 | 15626 | 15626 |
| ICE Coffee Contracts (United States) | 10 | Sep 2025 | 1274250 | (121810) | (121810) |
| ICE Coffee Robusta Contracts (United Kingdom) | 1 | Nov 2025 | 44230 | (8101) | (8101) |
| ICE Cotton Contracts (United States) | 1 | Mar 2026 | 34610 | 317 | 317 |
| ICE Cotton No 2 Contracts (United States) | 10 | Dec 2025 | 338750 | (4810) | (4810) |
| ICE Cotton No 2 Contracts (United States) | 24 | Jul 2025 | 780720 | (25500) | (25500) |
| ICE ENDEX Carbon Emission Contracts (Netherlands) | 6 | Dec 2025 | 479682 | (19286) | (19286) |
| ICE Frozen Concentrated Orange Juice Contracts (United States) | 2 | Sep 2025 | 83610 | 4750 | 4750 |
| ICE Frozen Concentrated Orange Juice Contracts (United States) | 6 | Jul 2025 | 256545 | 18825 | 18825 |
| ICE Gas Oil Contracts (United Kingdom) | 27 | Jul 2025 | 1595025 | (48581) | (48581) |
| ICE Gas Oil Contracts (United Kingdom) | 2 | Sep 2025 | 117800 | (4027) | (4027) |
| ICE Gas Oil Contracts (United Kingdom) | 13 | Jun 2025 | 778700 | 17335 | 17335 |
| ICE Gas Oil Contracts (United Kingdom) | 10 | Aug 2025 | 588250 | (15911) | (15911) |
| ICE Robusta Coffee 10-T Contracts (United Kingdom) | 13 | Sep 2025 | 580190 | (66316) | (66316) |
| ICE Robusta Coffee 10-T Contracts (United Kingdom) | 16 | Jul 2025 | 721600 | (88039) | (88039) |
| ICE WTI Crude Contracts (United Kingdom) | 6 | Jun 2025 | 364740 | 3763 | 3763 |
| ICE WTI Crude Contracts (United Kingdom) | 3 | Aug 2025 | 177000 | 217 | 217 |
| ICE WTI Crude Contracts (United Kingdom) | 6 | Jul 2025 | 358740 | (13657) | (13657) |
| ICE Canola Contracts (United States) | 2 | Jan 2026 | 20248 | 736 | 736 |
| LME Aluminum Contracts (United Kingdom) | 19 | Aug 2025 | 1183106 | (18600) | (18600) |
| LME Lead Contracts (United Kingdom) | 10 | Aug 2025 | 489590 | (11329) | (11329) |
| LME Nickel Contracts (United Kingdom) | 8 | Jul 2025 | 726687 | (41469) | (41469) |
| LME Nickel Contracts (United Kingdom) | 6 | Aug 2025 | 547815 | (15771) | (15771) |
| LME Zinc Contracts (United Kingdom) | 5 | Aug 2025 | 327418 | (6993) | (6993) |
| NYMEX Gasoline RBOB Contracts (United States) | 3 | Aug 2025 | 245738 | (7650) | (7650) |
| NYMEX Gasoline RBOB Contracts (United States) | 10 | Jun 2025 | 846342 | (31103) | (31103) |
| NYMEX Gasoline RBOB Contracts (United States) | 4 | Jul 2025 | 333950 | (4119) | (4119) |
| NYMEX Heating Oil Contracts (United States) | 3 | Aug 2025 | 252655 | (4197) | (4197) |
| NYMEX Heating Oil Contracts (United States) | 16 | Jun 2025 | 1347629 | (52425) | (52425) |
| NYMEX Heating Oil Contracts (United States) | 6 | Jul 2025 | 503269 | (2699) | (2699) |
| NYMEX Natural Gas Contracts (United States) | 10 | Jun 2025 | 344700 | (81030) | (81030) |
| NYMEX Palladium Bullion Contracts (United States) | 2 | Sep 2025 | 193720 | (8399) | (8399) |
| NYMEX Palladium Bullion Contracts (United States) | 14 | Sep 2025 | 1356040 | (33346) | (33346) |
| NYMEX Platinum Bullion Contracts (United States) | 14 | Jul 2025 | 738430 | (22391) | (22391) |
| NYMEX RBOB Contracts (United States) | 1 | Sep 2025 | 75571 | 1750 | 1750 |
| NYMEX WTI Crude Contracts (United States) | 7 | Aug 2025 | 413000 | (11423) | (11423) |
| NYMEX WTI Crude Contracts (United States) | 14 | Jul 2025 | 837060 | (13316) | (13316) |
| NYMEX WTI Crude Contracts (United States) | 5 | Sep 2025 | 292300 | (7939) | (7939) |
| NYMEX WTI Crude Contracts (United States) | 53 | Jun 2025 | 3221870 | (31939) | (31939) |
| NYMEX WTI Crude Contracts (United States) | 7 | Jul 2025 | 425530 | (8026) | (8026) |
| SGX-DC Iron Ore Contracts (Singapore) | 145 | Jul 2025 | 1386780 | (45783) | (45783) |
| **TOTAL COMMODITY CONTRACTS** |  |  |  |  | (594730) |
| Equity Contracts |  |  |  |  |  |
| ASX 24 S&P/ASX 200 Index Contracts (Australia) | 7 | Jun 2025 | 953992 | 18856 | 18856 |
| CBOE VIX Index Contracts (United States) | 43 | Jul 2025 | 904630 | (15047) | (15047) |
| CBOE VIX Index Contracts (United States) | 90 | Jun 2025 | 1801971 | (64033) | (64033) |
| CBOE VIX Index Contracts (United States) | 11 | Aug 2025 | 235091 | 70 | 70 |
| CBOT Dow Jones Contracts (United States) | 12 | Jun 2025 | 2537640 | 49515 | 49515 |
| CME E-Mini NASDAQ 100 Index Contracts (United States) | 1 | Jun 2025 | 427535 | 3291 | 3291 |
| CME E-Mini S&P 500 Index Contracts (United States) | 76 | Jun 2025 | 22480800 | 1287792 | 1287792 |
| Eurex Deutschland DAX Contracts (Germany) | 11 | Jun 2025 | 7508021 | 198717 | 198717 |
| Eurex Deutschland SMI Contracts (Germany) | 83 | Jun 2025 | 12324945 | (509911) | (509911) |
| Eurex Deutschland STOXX Limited Contracts (Germany) | 62 | Jun 2025 | 709611 | 60176 | 60176 |
| FTSE/JSE Top 40 Index Contracts (South Africa) | 16 | Jun 2025 | 772040 | 12098 | 12098 |
| HKFE HSI Contracts (Hong Kong) | 7 | Jun 2025 | 374233 | (21) | (21) |
| HKFE HSI Contracts (Hong Kong) | 10 | Jun 2025 | 1478492 | 2320 | 2320 |
| ICE Financial Times 100 Contracts (United Kingdom) | 5 | Jun 2025 | 591588 | (1033) | (1033) |
| ICE MSCI Emerging Markets Index Contracts (United States) | 102 | Jun 2025 | 5861430 | 268540 | 268540 |
| IDEM FTSE MIB Index Contracts (Italy) | 11 | Jun 2025 | 2506483 | 113311 | 113311 |
| MEFF IBEX 35 Index Contracts (Spain) | 5 | Jun 2025 | 803433 | 25983 | 25983 |
| NSE IFSC Limited S&P CNX Nifty Index Contracts (India) | 28 | Jun 2025 | 1390872 | (15610) | (15610) |
| OSE TOPIX Contracts (Japan) | 35 | Jun 2025 | 6804441 | 449414 | 449414 |
| SGX-DC FTSE China A50 Index Contracts (Singapore) | 477 | Jun 2025 | 6356502 | (20093) | (20093) |
| SGX-DC FTSE Taiwan RIC Capped Price Return TWD Index Contracts (Singapore) | 39 | Jun 2025 | 2733120 | (30331) | (30331) |
| SGX-DC MSCI Index Contracts (Singapore) | 109 | Jun 2025 | 3470506 | 4263 | 4263 |
| SGX-DC Nikkei 225 Index Contracts (Singapore) | 2 | Jun 2025 | 263769 | 1100 | 1100 |
| TME S&P/TSX 60 Index Contracts (Canada) | 46 | Jun 2025 | 10511604 | 586521 | 586521 |
| WSE WIG 20 Index Contracts (Poland) | 46 | Jun 2025 | 684522 | 9132 | 9132 |
| **TOTAL EQUITY CONTRACTS** |  |  |  |  | 2435020 |
| Foreign Exchange Contracts |  |  |  |  |  |
| CME Australian Dollar Contracts (United States) | 284 | Jun 2025 | 18299540 | 551766 | 551766 |
| CME Euro/United States Dollar Cross Contracts (United States) | 162 | Jun 2025 | 23024250 | 908270 | 908270 |
| CME Japanese Yen Contracts (United States) | 159 | Jun 2025 | 13835981 | 565033 | 565033 |
| CME Mexican Peso Contracts (United States) | 733 | Jun 2025 | 18874750 | 1023539 | 1023539 |
| CME New Zealand Dollar Contracts (United States) | 9 | Jun 2025 | 537930 | 2613 | 2613 |
| CME Norwegian Krone Contracts (United States) | 39 | Jun 2025 | 5540098 | (64072) | (64072) |
| CME South African Rand Contracts (United States) | 107 | Jun 2025 | 2975938 | 183421 | 183421 |
| CME United Kingdom Pound Contracts (United States) | 810 | Jun 2025 | 68191875 | 2666144 | 2666144 |
| CME Euro/Czech Koruna Cross Contracts (United States) | 18 | Jun 2025 | 3278435 | 15344 | 15344 |
| CME Euro/Polish Zloty Cross Contracts (United States) | 56 | Jun 2025 | 7468082 | (39088) | (39088) |
| CME Euro/Hungarian Forint Cross Contracts (United States) | 54 | Jun 2025 | 4545965 | (8089) | (8089) |
| **TOTAL FOREIGN EXCHANGE CONTRACTS** |  |  |  |  | 5804881 |
| Interest Rate Contracts |  |  |  |  |  |
| ASX 3 Year Treasury Bond Contracts (Australia) | 238 | Jun 2025 | 16497244 | 138569 | 138569 |
| ASX 90 Day Bill Contract (Australia) | 50 | Sep 2025 | 31964389 | 24726 | 24726 |
| ASX 90 Day Bill Contract (Australia) | 39 | Dec 2025 | 24945034 | 27150 | 27150 |
| ASX 90 Day Bill Contract (Australia) | 9 | Sep 2026 | 5757391 | 5865 | 5865 |
| ASX 90 Day Bill Contract (Australia) | 18 | Jun 2026 | 11515346 | 13009 | 13009 |
| ASX 90 Day Bill Contract (Australia) | 27 | Mar 2026 | 17272597 | 21353 | 21353 |
| CBOT 10 Year Ultra US Treasury Bond Contracts (United States) | 13 | Sep 2025 | 1466563 | 10747 | 10747 |
| CBOT 2 Year US Treasury Note Contracts (United States) | 153 | Sep 2025 | 31749891 | 52285 | 52285 |
| CBOT 5 Year US Treasury Note Contracts (United States) | 140 | Sep 2025 | 15162656 | 82988 | 82988 |
| CME Three-Month SOFR Index Contracts (United States) | 18 | Jun 2026 | 4339125 | (3169) | (3169) |
| Eurex Euro-BTP Contracts (Germany) | 433 | Jun 2025 | 59563379 | 652199 | 652199 |
| Eurex Euro-Bobl Contracts (Germany) | 277 | Jun 2025 | 37471871 | 347829 | 347829 |
| Eurex Euro-Bund Contracts (Germany) | 635 | Jun 2025 | 94603820 | 374900 | 374900 |
| Eurex Euro-Oat Contracts (Germany) | 73 | Jun 2025 | 10423147 | 32841 | 32841 |
| Eurex Short-Term Euro-BTP Contracts (Germany) | 199 | Jun 2025 | 24436985 | 121969 | 121969 |
| ICE Sonia O/N Deposit Rates Swap Contracts (United Kingdom) | 9 | Sep 2026 | 2920128 | (3642) | (3642) |
| ICE Three Month EURIBOR Index Contracts (United States) | 55 | Mar 2026 | 15344684 | 29943 | 29943 |
| ICE United Kingdom of Great Britain and Northern Ireland Contracts (United Kingdom) | 155 | Sep 2025 | 19104615 | (1767) | (1767) |
| OSE Japan Government Contracts (Japan) | 6 | Jun 2025 | 5799646 | 17573 | 17573 |
| TME Three Month CORRA Contracts (Canada) | 5 | Sep 2026 | 889077 | 762 | 762 |
| TME Three Month CORRA Contracts (Canada) | 6 | Dec 2025 | 1066401 | (531) | (531) |
| TME Three Month CORRA Contracts (Canada) | 4 | Dec 2026 | 710970 | (873) | (873) |
| TME Three Month CORRA Contracts (Canada) | 6 | Jun 2026 | 1067166 | (675) | (675) |
| TME Three Month CORRA Contracts (Canada) | 7 | Mar 2026 | 1245091 | 1095 | 1095 |
| TMX 10Y Canadian Bond Contracts (Canada) | 147 | Sep 2025 | 13101301 | 101315 | 101315 |
| TMX 2Y Canadian Bond Contracts (Canada) | 3 | Sep 2025 | 230976 | 352 | 352 |
| TMX 5Y Canadian Bond Contracts (Canada) | 6 | Sep 2025 | 499246 | 1796 | 1796 |
| **TOTAL INTEREST RATE CONTRACTS** |  |  |  |  | 2048609 |
| TOTAL PURCHASED |  |  |  |  | 9693780 |
| Sold |  |  |  |  |  |
| Commodity Contracts |  |  |  |  |  |
| CBOT Corn Contracts (United States) | 55 | Sep 2025 | 1163938 | 12811 | 12811 |
| CBOT Corn Contracts (United States) | 35 | Sep 2025 | 740688 | 39840 | 39840 |
| CBOT Corn Contracts (United States) | 91 | Dec 2025 | 1995175 | 67479 | 67479 |
| CBOT Corn Contracts (United States) | 145 | Jul 2025 | 3219000 | 285773 | 285773 |
| CBOT Corn Contracts (United States) | 7 | Mar 2026 | 158900 | 2820 | 2820 |
| CBOT Corn Contracts (United States) | 11 | May 2026 | 254650 | 7936 | 7936 |
| CBOT Corn Contracts (United States) | 3 | Jul 2026 | 70275 | (407) | (407) |
| CBOT HRW Wheat Contracts (United States) | 25 | Jul 2025 | 667500 | 28837 | 28837 |
| CBOT HRW Wheat Contracts (United States) | 68 | Jul 2025 | 1815600 | 118332 | 118332 |
| CBOT Hard Red Winter Wheat Contracts (United States) | 31 | Dec 2025 | 881563 | 49242 | 49242 |
| CBOT Hard Red Winter Wheat Contracts (United States) | 8 | Mar 2026 | 234900 | (1595) | (1595) |
| CBOT KC HRW Wheat Contracts (United States) | 42 | Sep 2025 | 1148700 | 83200 | 83200 |
| CBOT KC HRW Wheat Contracts (United States) | 69 | Sep 2025 | 1887150 | 59131 | 59131 |
| CBOT KC HRW Wheat Contracts (United States) | 20 | Jul 2025 | 533250 | 32630 | 32630 |
| CBOT KC HRW Wheat Contracts (United States) | 157 | Jul 2025 | 4186013 | 436868 | 436868 |
| CBOT Soybean Contracts (United States) | 5 | Jul 2025 | 260438 | (7187) | (7187) |
| CBOT Soybean Contracts (United States) | 85 | Jul 2025 | 4427438 | 49631 | 49631 |
| CBOT Soybean Contracts (United States) | 46 | Nov 2025 | 2361525 | (12762) | (12762) |
| CBOT Soybean Meal Contracts (United States) | 8 | Sep 2025 | 242320 | 4251 | 4251 |
| CBOT Soybean Meal Contracts (United States) | 24 | Dec 2025 | 740880 | 1940 | 1940 |
| CBOT Soybean Meal Contracts (United States) | 21 | Dec 2025 | 648270 | 5139 | 5139 |
| CBOT Soybean Meal Contracts (United States) | 18 | Jul 2025 | 533340 | 9215 | 9215 |
| CBOT Soybean Meal Contracts (United States) | 43 | Jul 2025 | 1274090 | 57616 | 57616 |
| CBOT Soybean Meal Contracts (United States) | 12 | Aug 2025 | 360000 | 6641 | 6641 |
| CBOT Soybean Meal Contracts (United States) | 5 | Oct 2025 | 152200 | 3018 | 3018 |
| CBOT Soybean Meal Contracts (United States) | 2 | Jan 2026 | 62240 | (765) | (765) |
| CBOT Soybean Oil Contracts (United States) | 4 | Sep 2025 | 113544 | 5372 | 5372 |
| CBOT Soybean Oil Contracts (United States) | 16 | Dec 2025 | 457440 | 2439 | 2439 |
| CBOT Soybean Oil Contracts (United States) | 27 | Jul 2025 | 759618 | (77497) | (77497) |
| CBOT Soybean Oil Contracts (United States) | 58 | Jul 2025 | 1631772 | 43845 | 43845 |
| CBOT Soybean Oil Contracts (United States) | 9 | Aug 2025 | 254394 | 6614 | 6614 |
| CBOT Soybean Oil Contracts (United States) | 5 | Oct 2025 | 142200 | 3301 | 3301 |
| CBOT Soybean Oil Contracts (United States) | 2 | Jan 2026 | 57300 | 1903 | 1903 |
| CBOT Soybeans Contracts (United States) | 4 | Sep 2025 | 203600 | 3928 | 3928 |
| CBOT Soybeans Contracts (United States) | 8 | Aug 2025 | 414700 | 7056 | 7056 |
| CBOT Soybeans Contracts (United States) | 4 | Jan 2026 | 208150 | 915 | 915 |
| CBOT Wheat Contracts (United States) | 25 | Sep 2025 | 685313 | 32462 | 32462 |
| CBOT Wheat Contracts (United States) | 18 | Sep 2025 | 493425 | 22531 | 22531 |
| CBOT Wheat Contracts (United States) | 16 | Dec 2025 | 456800 | 24286 | 24286 |
| CBOT Wheat Contracts (United States) | 2 | Mar 2026 | 59100 | 2570 | 2570 |
| CBOT Wheat Contracts (United States) | 1 | May 2026 | 30125 | (490) | (490) |
| CEC Copper Contracts (United States) | 7 | Sep 2025 | 827663 | (57483) | (57483) |
| CEC Copper Contracts (United States) | 3 | Sep 2025 | 354713 | (4768) | (4768) |
| CEC Silver Bullion Contracts (United States) | 1 | Sep 2025 | 166670 | (1322) | (1322) |
| CME Cattle Feeder Contracts (United States) | 2 | Aug 2025 | 298825 | (6467) | (6467) |
| CME Lean Hogs Contracts (United States) | 20 | Jun 2025 | 810600 | 3342 | 3342 |
| CME Lean Hogs Contracts (United States) | 35 | Aug 2025 | 1470350 | (67385) | (67385) |
| CME Lean Hogs Contracts (United States) | 7 | Oct 2025 | 248990 | (16117) | (16117) |
| CME Lean Hogs Contracts (United States) | 70 | Jul 2025 | 2937900 | (118259) | (118259) |
| CME Live Cattle Contracts (United States) | 47 | Aug 2025 | 3935780 | (92304) | (92304) |
| CME Live Cattle Contracts (United States) | 11 | Jun 2025 | 948090 | (44457) | (44457) |
| CME Live Cattle Contracts (United States) | 18 | Oct 2025 | 1493280 | (55814) | (55814) |
| CME Live Cattle Contracts (United States) | 11 | Dec 2025 | 915970 | (59267) | (59267) |
| CME Silver Bullion Contracts (United States) | 122 | Jul 2025 | 20147690 | 194611 | 194611 |
| COMEX Copper Contracts (United States) | 36 | Jul 2025 | 4209750 | 215306 | 215306 |
| EEX Phelix DE Baseload Contracts (Germany) | 1 | Jun 2025 | 199839 | 14439 | 14439 |
| Euronext MATIF Rapeseed Contracts (France) | 4 | Jul 2025 | 107754 | (65) | (65) |
| Euronext MATIF Rapeseed Contracts (France) | 5 | Oct 2025 | 136183 | (1316) | (1316) |
| Euronext MATIF Rapeseed Contracts (France) | 1 | Jan 2026 | 27364 | (299) | (299) |
| Euronext MATIF Rapeseed Contracts (France) | 1 | Apr 2026 | 27407 | (637) | (637) |
| Euronext MATIF Wheat Contracts (France) | 26 | Mar 2026 | 324739 | 14152 | 14152 |
| Euronext MATIF Wheat Contracts (France) | 4 | May 2026 | 51038 | 177 | 177 |
| Euronext Mill Wheat Contracts (France) | 118 | Sep 2025 | 1344855 | 76540 | 76540 |
| Euronext Mill Wheat Contracts (France) | 142 | Sep 2025 | 1618385 | 208793 | 208793 |
| Euronext Mill Wheat Contracts (France) | 171 | Dec 2025 | 2060543 | 139195 | 139195 |
| ICE Brent Crude Oil Contracts (United Kingdom) | 10 | Jun 2025 | 627800 | 232 | 232 |
| ICE Coal Contracts (United Kingdom) | 3 | Jul 2025 | 284400 | 8218 | 8218 |
| ICE Coal Contracts (United Kingdom) | 3 | Sep 2025 | 287400 | 5218 | 5218 |
| ICE Coal Contracts (United Kingdom) | 3 | Aug 2025 | 285750 | 6868 | 6868 |
| ICE Cocoa Contracts (United Kingdom) | 2 | Sep 2025 | 173889 | (8571) | (8571) |
| ICE Cocoa Contracts (United Kingdom) | 2 | Jul 2025 | 176260 | (1996) | (1996) |
| ICE Cocoa Contracts (United Kingdom) | 5 | Jul 2025 | 440651 | 16121 | 16121 |
| ICE Cocoa Contracts (United States) | 2 | Dec 2025 | 171080 | 10465 | 10465 |
| ICE Cocoa Contracts (United States) | 7 | Jul 2025 | 685370 | (29468) | (29468) |
| ICE Coffee Contracts (United States) | 3 | Sep 2025 | 382275 | 30780 | 30780 |
| ICE Coffee Contracts (United States) | 1 | Dec 2025 | 125869 | 8379 | 8379 |
| ICE Coffee Contracts (United States) | 16 | Jul 2025 | 2054700 | 186391 | 186391 |
| ICE Cotton No 2 Contracts (United States) | 12 | Dec 2025 | 406500 | 3577 | 3577 |
| ICE ENDEX Carbon Emission Contracts (Netherlands) | 3 | Dec 2025 | 239841 | 33075 | 33075 |
| ICE ENDEX Natural Gas Contracts (Netherlands) | 5 | Jun 2025 | 144575 | 2331 | 2331 |
| ICE ENDEX Natural Gas Contracts (Netherlands) | 20 | Jun 2025 | 578299 | 66883 | 66883 |
| ICE ENDEX Natural Gas Contracts (Netherlands) | 5 | Jul 2025 | 145643 | 3276 | 3276 |
| ICE Gas Oil Contracts (United Kingdom) | 9 | Jul 2025 | 531675 | (11336) | (11336) |
| ICE Gas Oil Contracts (United Kingdom) | 4 | Aug 2025 | 235300 | 8706 | 8706 |
| ICE Natural Gas Contracts (United Kingdom) | 15 | Jun 2025 | 498833 | 35108 | 35108 |
| ICE Natural Gas Contracts (United Kingdom) | 5 | Jun 2025 | 166278 | 13593 | 13593 |
| ICE Robusta Coffee 10-T Contracts (United Kingdom) | 8 | Jul 2025 | 360800 | 23034 | 23034 |
| ICE Sugar Contracts (United States) | 82 | Sep 2025 | 1582403 | 64936 | 64936 |
| ICE Sugar Contracts (United States) | 49 | Sep 2025 | 945582 | 47902 | 47902 |
| ICE Sugar Contracts (United States) | 14 | Feb 2026 | 277379 | 4176 | 4176 |
| ICE Sugar Contracts (United States) | 170 | Jun 2025 | 3246320 | 234402 | 234402 |
| ICE White Sugar Contracts (United Kingdom) | 4 | Nov 2025 | 94860 | 3535 | 3535 |
| ICE White Sugar Contracts (United Kingdom) | 19 | Sep 2025 | 449350 | 29877 | 29877 |
| ICE White Sugar Contracts (United Kingdom) | 34 | Jul 2025 | 809370 | 25749 | 25749 |
| ICE White Sugar Contracts (United Kingdom) | 43 | Jul 2025 | 1023615 | 99298 | 99298 |
| ICE Cocoa Contracts (United States) | 1 | Sep 2025 | 92200 | (5253) | (5253) |
| LME Aluminum Contracts (United Kingdom) | 17 | Jul 2025 | 1036295 | (28513) | (28513) |
| LME Aluminum Contracts (United Kingdom) | 19 | Aug 2025 | 1183106 | (24876) | (24876) |
| LME Lead Contracts (United Kingdom) | 16 | Aug 2025 | 783344 | 727 | 727 |
| LME Nickel Contracts (United Kingdom) | 18 | Jul 2025 | 1635045 | (81442) | (81442) |
| LME Zinc Contracts (United Kingdom) | 9 | Jul 2025 | 587655 | (6761) | (6761) |
| LME Zinc Contracts (United Kingdom) | 12 | Aug 2025 | 785802 | 7801 | 7801 |
| NYMEX Gasoline RBOB Contracts (United States) | 2 | Jul 2025 | 166975 | (770) | (770) |
| NYMEX Heating Oil Contracts (United States) | 3 | Jul 2025 | 251635 | 1428 | 1428 |
| NYMEX Natural Gas Contracts (United States) | 52 | Jun 2025 | 1792440 | 208568 | 208568 |
| NYMEX Natural Gas Contracts (United States) | 6 | Sep 2025 | 216480 | 25628 | 25628 |
| NYMEX Natural Gas Contracts (United States) | 9 | Aug 2025 | 315720 | 82262 | 82262 |
| NYMEX Natural Gas Contracts (United States) | 9 | Jul 2025 | 317070 | 72392 | 72392 |
| NYMEX Natural Gas Contracts (United States) | 2 | Oct 2025 | 79620 | 3976 | 3976 |
| NYMEX WTI Crude Contracts (United States) | 12 | Aug 2025 | 708000 | 20929 | 20929 |
| NYMEX WTI Crude Contracts (United States) | 7 | Jul 2025 | 425530 | (14785) | (14785) |
| **TOTAL COMMODITY CONTRACTS** |  |  |  |  | 2941534 |
| Equity Contracts |  |  |  |  |  |
| ASX 24 S&P/ASX 200 Index Contracts (Australia) | 4 | Jun 2025 | 545138 | (28554) | (28554) |
| BIST 30 Index Contracts (Turkey) | 328 | Jun 2025 | 853332 | 50185 | 50185 |
| CME E-Mini Russell 2000 Index Contracts (United States) | 71 | Jun 2025 | 7342465 | 33783 | 33783 |
| CME S&P 400 Midcap Index Contracts (United States) | 7 | Jun 2025 | 2102870 | (53862) | (53862) |
| Eurex Deutschland EURO STOXX 50 Contracts (Germany) | 79 | Jun 2025 | 4815126 | 28608 | 28608 |
| Euronext CAC 40 Index Contracts (France) | 33 | Jun 2025 | 2902415 | 13994 | 13994 |
| FTSE/JSE Top 40 Index Contracts (South Africa) | 53 | Jun 2025 | 2557381 | (116621) | (116621) |
| HKFE HSI Contracts (Hong Kong) | 18 | Jun 2025 | 962314 | 2572 | 2572 |
| ICE Financial Times 100 Contracts (United Kingdom) | 21 | Jun 2025 | 2484668 | (30410) | (30410) |
| MEFF IBEX 35 Index Contracts (Spain) | 57 | Jun 2025 | 9159137 | (213300) | (213300) |
| OSE Nikkei 225 Index Contracts (Japan) | 20 | Jun 2025 | 5276069 | (189036) | (189036) |
| OSE Nikkei 225 Index Contracts (Japan) | 193 | Jun 2025 | 5091407 | (177255) | (177255) |
| SGX-DC FTSE Taiwan RIC Capped Price Return TWD Index Contracts (Singapore) | 7 | Jun 2025 | 490560 | 6368 | 6368 |
| SGX-DC Nikkei 225 Index Contracts (Singapore) | 11 | Jun 2025 | 1450728 | (49571) | (49571) |
| **TOTAL EQUITY CONTRACTS** |  |  |  |  | (723099) |
| Foreign Exchange Contracts |  |  |  |  |  |
| CME Canadian Dollar Contracts (United States) | 987 | Jun 2025 | 72006585 | (2952364) | (2952364) |
| CME Israel Sheckel Contracts (United States) | 19 | Jun 2025 | 5406640 | (160174) | (160174) |
| CME Swiss Franc Contracts (United States) | 330 | Jun 2025 | 50254875 | (2593977) | (2593977) |
| CME Euro/Swedish Krona Cross Contracts (United States) | 3 | Jun 2025 | 425774 | 2473 | 2473 |
| **TOTAL FOREIGN EXCHANGE CONTRACTS** |  |  |  |  | (5704042) |
| Interest Rate Contracts |  |  |  |  |  |
| ASX 10 Year Treasury Bond Contracts (Australia) | 154 | Jun 2025 | 11330138 | (197652) | (197652) |
| CBOT 10 Year US Treasury Bond Contracts (United States) | 87 | Sep 2025 | 9648844 | (65114) | (65114) |
| CBOT 10 Year Ultra US Treasury Bond Contracts (United States) | 26 | Sep 2025 | 2933125 | (19053) | (19053) |
| CBOT 5 Year US Treasury Note Contracts (United States) | 31 | Sep 2025 | 3357445 | (15540) | (15540) |
| CBOT US Treasury Long Bond Contracts (United States) | 156 | Sep 2025 | 17647500 | (238804) | (238804) |
| CBOT US Treasury Ultra Bond Contracts (United States) | 51 | Sep 2025 | 5930344 | (96534) | (96534) |
| CME Three-Month SOFR Index Contracts (United States) | 289 | Dec 2025 | 69302200 | 187625 | 187625 |
| CME Three-Month SOFR Index Contracts (United States) | 239 | Sep 2026 | 57718500 | (107760) | (107760) |
| CME Three-Month SOFR Index Contracts (United States) | 244 | Jun 2026 | 58819250 | (44589) | (44589) |
| CME Three-Month SOFR Index Contracts (United States) | 323 | Mar 2026 | 77677463 | 63155 | 63155 |
| CME Three-Month SOFR Index Contracts (United States) | 120 | Jun 2027 | 29026500 | (89129) | (89129) |
| CME Three-Month SOFR Index Contracts (United States) | 183 | Dec 2026 | 44244825 | (115600) | (115600) |
| CME Three-Month SOFR Index Contracts (United States) | 166 | Mar 2027 | 40155400 | (118223) | (118223) |
| CME United States SOFR Index Contracts (United States) | 84 | Sep 2027 | 20309100 | (48332) | (48332) |
| Eurex Deutschland Contracts (Germany) | 110 | Sep 2025 | 13416080 | (3710) | (3710) |
| Eurex Euro-Buxl 30 Year Bond Contracts (Germany) | 48 | Jun 2025 | 6626305 | 314803 | 314803 |
| Eurex Euro-Schatz Contracts (Germany) | 110 | Jun 2025 | 13407337 | (31468) | (31468) |
| ICE Euro Interbank Offered Rate Contracts (United Kingdom) | 19 | Jun 2027 | 5285250 | (23647) | (23647) |
| ICE Sonia O/N Deposit Rates Swap Contracts (United Kingdom) | 10 | Sep 2026 | 3244587 | (1979) | (1979) |
| ICE Three Month EURIBOR Index Contracts (United States) | 100 | Sep 2025 | 27865362 | (54202) | (54202) |
| ICE Three Month EURIBOR Index Contracts (United States) | 59 | Sep 2026 | 16449775 | (70751) | (70751) |
| ICE Three Month EURIBOR Index Contracts (United States) | 85 | Jun 2026 | 23710893 | (100236) | (100236) |
| ICE Three Month EURIBOR Index Contracts (United States) | 80 | Mar 2026 | 22319541 | (86855) | (86855) |
| ICE Three Month SONIA Index Contracts (United States) | 10 | Dec 2025 | 3233135 | 25285 | 25285 |
| ICE Three Month SONIA Index Contracts (United States) | 10 | Jun 2026 | 3242903 | (2119) | (2119) |
| ICE Three-Month EURIBOR Index Contracts (United States) | 64 | Dec 2026 | 17831107 | (78066) | (78066) |
| ICE Three-Month EURIBOR Index Contracts (United States) | 38 | Mar 2027 | 10579130 | (46686) | (46686) |
| ICE Three Month EURIBOR Index Contracts (United States) | 104 | Dec 2025 | 29006546 | (91457) | (91457) |
| ICE Three Month SONIA Index Contracts (United States) | 12 | Mar 2026 | 3887644 | 22439 | 22439 |
| **TOTAL INTEREST RATE CONTRACTS** |  |  |  |  | (1134199) |
| TOTAL SOLD |  |  |  |  | (4619806) |
| **TOTAL FUTURES CONTRACTS** |  |  |  |  | **5073974** |
| The notional amount of futures purchased as a percentage of Net Assets is 26.8% | The notional amount of futures purchased as a percentage of Net Assets is 26.8% | The notional amount of futures purchased as a percentage of Net Assets is 26.8% | The notional amount of futures purchased as a percentage of Net Assets is 26.8% | The notional amount of futures purchased as a percentage of Net Assets is 26.8% | The notional amount of futures purchased as a percentage of Net Assets is 26.8% |
| The notional amount of futures sold as a percentage of Net Assets is 32.9% | The notional amount of futures sold as a percentage of Net Assets is 32.9% | The notional amount of futures sold as a percentage of Net Assets is 32.9% | The notional amount of futures sold as a percentage of Net Assets is 32.9% | The notional amount of futures sold as a percentage of Net Assets is 32.9% | The notional amount of futures sold as a percentage of Net Assets is 32.9% |

---

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **Forward Foreign Currency Contracts** | **Forward Foreign Currency Contracts** | **Forward Foreign Currency Contracts** | **Forward Foreign Currency Contracts** | **Forward Foreign Currency Contracts** | **Forward Foreign Currency Contracts** | **Forward Foreign Currency Contracts** |
| Currency<br> Purchased | Currency<br> Purchased | Currency<br> Sold | Currency<br> Sold | Counterparty | Settlement<br> Date | Unrealized <br> Appreciation/<br> (Depreciation) ($)  |
| AUD | 6576000 | USD | 4236259 | Barclays Bank PLC | 6/03/25 | 2630 |
| AUD | 1100000 | USD | 702221 | BNP Paribas SA | 6/18/25 | 6991 |
| AUD | 1000000 | USD | 605824 | BNP Paribas SA | 6/18/25 | 38915 |
| AUD | 1300000 | USD | 829830 | BNP Paribas SA | 6/18/25 | 8330 |
| BRL | 4739475 | USD | 827278 | Bank of America NA | 6/03/25 | 1374 |
| BRL | 58093 | USD | 10251 | Citibank NA | 6/03/25 | (94) |
| BRL | 22341320 | USD | 3913556 | Citibank NA | 6/03/25 | (7390) |
| BRL | 17601988 | USD | 2981316 | JPMorgan Chase Bank NA | 6/03/25 | 96224 |
| BRL | 14799743 | USD | 2600000 | BNP Paribas SA | 6/18/25 | (21414) |
| BRL | 6262750 | USD | 1100000 | BNP Paribas SA | 6/18/25 | (8830) |
| BRL | 22548624 | USD | 3942171 | Citibank NA | 7/02/25 | (26292) |
| CAD | 55689 | USD | 40000 | Citibank NA | 6/03/25 | 580 |
| CAD | 7603503 | USD | 5492273 | Citibank NA | 6/03/25 | 48225 |
| CAD | 3449200 | USD | 2500000 | BNP Paribas SA | 6/18/25 | 15246 |
| CAD | 4259334 | USD | 3000000 | BNP Paribas SA | 6/18/25 | 106017 |
| CAD | 1106213 | USD | 800000 | BNP Paribas SA | 6/18/25 | 6679 |
| CAD | 1650056 | USD | 1200000 | BNP Paribas SA | 6/18/25 | 3264 |
| CAD | 2350789 | USD | 1700000 | BNP Paribas SA | 6/18/25 | 14256 |
| CAD | 13143 | USD | 9541 | Bank of America NA | 7/02/25 | 51 |
| CHF | 419544 | USD | 509737 | Royal Bank of Canada | 6/03/25 | 37 |
| CHF | 957961 | USD | 1100000 | BNP Paribas SA | 6/18/25 | 66148 |
| CHF | 1447128 | USD | 1700000 | BNP Paribas SA | 6/18/25 | 61623 |
| CHF | 750217 | USD | 900000 | BNP Paribas SA | 6/18/25 | 13256 |
| CLP | 5280658680 | USD | 5629340 | Citibank NA | 6/09/25 | (48180) |
| CLP | 1911532405 | USD | 2038000 | BNP Paribas SA | 6/18/25 | (17682) |
| CLP | 367380000 | USD | 400000 | Barclays Bank PLC | 6/18/25 | (11712) |
| CLP | 636642347 | USD | 678955 | Deutsche Bank AG | 6/18/25 | (6081) |
| CLP | 1127926437 | USD | 1226887 | JPMorgan Chase Bank NA | 6/18/25 | (34770) |
| CLP | 151615800 | USD | 162000 | State Street Bank & Trust Co | 6/18/25 | (1756) |
| CLP | 5279364068 | USD | 5628920 | Citibank NA | 6/30/25 | (49086) |
| CNY | 29480738 | USD | 4100000 | BNP Paribas SA | 6/18/25 | (265) |
| CNY | 28156000 | USD | 3927613 | BNP Paribas SA | 8/20/25 | 6619 |
| COP | 3843947250 | USD | 919000 | Barclays Bank PLC | 6/18/25 | 4535 |
| COP | 5743878000 | USD | 1372000 | Citibank NA | 6/18/25 | 8007 |
| COP | 21149853340 | USD | 5077996 | Citibank NA | 6/18/25 | 3404 |
| COP | 2230002000 | USD | 541000 | Citibank NA | 6/18/25 | (5226) |
| COP | 655239000 | USD | 159000 | Citibank NA | 6/18/25 | (1574) |
| COP | 37625310 | USD | 9000 | JPMorgan Chase Bank NA | 6/18/25 | 40 |
| CZK | 8791793 | USD | 400000 | BNP Paribas SA | 6/18/25 | 756 |
| CZK | 8400201 | USD | 367000 | Bank of America NA | 6/18/25 | 15906 |
| CZK | 6573053 | USD | 300000 | Canadian Imperial Bank of Commerce | 6/18/25 | (380) |
| CZK | 12208422 | USD | 533000 | JPMorgan Chase Bank NA | 6/18/25 | 23497 |
| EUR | 16000 | USD | 18215 | BNP Paribas SA | 6/03/25 | (48) |
| EUR | 4000 | USD | 4538 | BNP Paribas SA | 6/03/25 | 4 |
| EUR | 27000 | USD | 30620 | BNP Paribas SA | 6/03/25 | 37 |
| EUR | 1457579 | USD | 1654207 | Bank of America NA | 6/03/25 | 802 |
| EUR | 15000 | USD | 16870 | Bank of America NA | 6/03/25 | 162 |
| EUR | 925367 | USD | 1051208 | Bank of America NA | 6/03/25 | (500) |
| EUR | 59000 | USD | 66911 | Bank of America NA | 6/03/25 | 81 |
| EUR | 7000 | USD | 7880 | Barclays Bank PLC | 6/03/25 | 68 |
| EUR | 57281 | USD | 65000 | Barclays Bank PLC | 6/03/25 | 39 |
| EUR | 37000 | USD | 41975 | Barclays Bank PLC | 6/03/25 | 37 |
| EUR | 3000 | USD | 3344 | Barclays Bank PLC | 6/03/25 | 62 |
| EUR | 68054 | USD | 77139 | Barclays Bank PLC | 6/03/25 | 133 |
| EUR | 87000 | USD | 98682 | Citibank NA | 6/03/25 | 102 |
| EUR | 74000 | USD | 84353 | Citibank NA | 6/03/25 | (330) |
| EUR | 10000 | USD | 11352 | JPMorgan Chase Bank NA | 6/03/25 | 3 |
| EUR | 15000 | USD | 16825 | NatWest Markets PLC | 6/03/25 | 207 |
| EUR | 44504 | USD | 50000 | UBS AG | 6/03/25 | 532 |
| EUR | 1000000 | USD | 1093667 | BNP Paribas SA | 6/18/25 | 42879 |
| EUR | 750000 | USD | 852064 | Barclays Bank PLC | 6/18/25 | 346 |
| EUR | 33000 | USD | 37447 | BNP Paribas SA | 7/02/25 | 92 |
| EUR | 1086151 | USD | 1235007 | Bank of America NA | 7/02/25 | 565 |
| EUR | 7000 | USD | 7912 | Barclays Bank PLC | 7/02/25 | 51 |
| EUR | 27000 | USD | 30685 | JPMorgan Chase Bank NA | 7/02/25 | 29 |
| EUR | 6000 | USD | 6809 | JPMorgan Chase Bank NA | 7/02/25 | 17 |
| GBP | 4000 | USD | 5346 | BNP Paribas SA | 6/03/25 | 44 |
| GBP | 9000 | USD | 11984 | BNP Paribas SA | 6/03/25 | 143 |
| GBP | 8000 | USD | 10611 | Barclays Bank PLC | 6/03/25 | 168 |
| GBP | 4000 | USD | 5363 | Barclays Bank PLC | 6/03/25 | 26 |
| GBP | 3338925 | USD | 4444857 | Citibank NA | 6/03/25 | 53843 |
| GBP | 10000 | USD | 13386 | Citibank NA | 6/03/25 | 88 |
| GBP | 4000 | USD | 5395 | JPMorgan Chase Bank NA | 6/03/25 | (6) |
| GBP | 1316000 | USD | 1756510 | State Street Bank & Trust Co | 6/03/25 | 16603 |
| GBP | 37510 | USD | 50000 | UBS AG | 6/03/25 | 539 |
| GBP | 312500 | USD | 416753 | BNP Paribas SA | 6/18/25 | 4324 |
| GBP | 437500 | USD | 586536 | Barclays Bank PLC | 6/18/25 | 2971 |
| GBP | 1937500 | USD | 2505380 | JPMorgan Chase Bank NA | 6/18/25 | 105295 |
| GBP | 63660 | USD | 85762 | JPMorgan Chase Bank NA | 7/02/25 | 23 |
| GBP | 9000 | USD | 12122 | NatWest Markets PLC | 7/02/25 | 6 |
| GBP | 1215340 | USD | 1645592 | State Street Bank & Trust Co | 7/02/25 | (7881) |
| GBP | 3252435 | USD | 4403856 | State Street Bank & Trust Co | 7/02/25 | (21090) |
| HUF | 142674478 | USD | 400000 | BNP Paribas SA | 6/18/25 | 758 |
| HUF | 30283692 | USD | 80972 | BNP Paribas SA | 6/18/25 | 4092 |
| HUF | 134885359 | USD | 371889 | BNP Paribas SA | 6/18/25 | 6990 |
| HUF | 119249170 | USD | 319028 | BNP Paribas SA | 6/18/25 | 15930 |
| HUF | 31888246 | USD | 88800 | BNP Paribas SA | 6/18/25 | 771 |
| HUF | 255773695 | USD | 711200 | BNP Paribas SA | 6/18/25 | 7241 |
| HUF | 10202471 | USD | 28111 | Bank of America NA | 6/18/25 | 547 |
| HUF | 82351127 | USD | 226087 | Bank of America NA | 6/18/25 | 5229 |
| HUF | 73143420 | USD | 200000 | Barclays Bank PLC | 6/18/25 | 5452 |
| HUF | 63328367 | USD | 173913 | Barclays Bank PLC | 6/18/25 | 3970 |
| HUF | 178550000 | USD | 500000 | Goldman Sachs Bank USA | 6/18/25 | 1528 |
| HUF | 146366296 | USD | 400000 | JPMorgan Chase Bank NA | 6/18/25 | 11128 |
| HUF | 149772176 | USD | 400000 | State Street Bank & Trust Co | 6/18/25 | 20694 |
| HUF | 3789000 | USD | 10598 | Bank of America NA | 8/22/25 | 11 |
| HUF | 76880956 | USD | 212966 | Bank of America NA | 8/22/25 | 2285 |
| HUF | 5301000 | USD | 14872 | Goldman Sachs Bank USA | 8/22/25 | (31) |
| HUF | 1640855487 | USD | 4529553 | Goldman Sachs Bank USA | 8/22/25 | 64513 |
| IDR | 21362172780 | USD | 1300000 | BNP Paribas SA | 6/18/25 | 10505 |
| IDR | 8899220167 | USD | 542000 | BNP Paribas SA | 6/18/25 | 3940 |
| IDR | 19016748259 | USD | 1158000 | BNP Paribas SA | 6/18/25 | 8620 |
| IDR | 8203549950 | USD | 500000 | BNP Paribas SA | 6/18/25 | 3263 |
| IDR | 8134750000 | USD | 500000 | Deutsche Bank AG | 6/18/25 | (957) |
| ILS | 108000 | USD | 30725 | BNP Paribas SA | 6/04/25 | 14 |
| ILS | 19000 | USD | 5373 | Citibank NA | 6/04/25 | 35 |
| ILS | 9934374 | USD | 2780160 | JPMorgan Chase Bank NA | 6/04/25 | 47352 |
| ILS | 5881000 | USD | 1660868 | JPMorgan Chase Bank NA | 6/04/25 | 12976 |
| ILS | 5603320 | USD | 1594339 | Barclays Bank PLC | 6/11/25 | 573 |
| ILS | 5405298 | USD | 1538218 | JPMorgan Chase Bank NA | 6/11/25 | 330 |
| ILS | 9338892 | USD | 2585000 | BNP Paribas SA | 6/18/25 | 73362 |
| ILS | 2340924 | USD | 647000 | BNP Paribas SA | 6/18/25 | 19356 |
| ILS | 8852230 | USD | 2500000 | BNP Paribas SA | 6/18/25 | 19831 |
| ILS | 3554490 | USD | 1000000 | BNP Paribas SA | 6/18/25 | 11803 |
| ILS | 7827035 | USD | 2168000 | Bank of America NA | 6/18/25 | 60004 |
| INR | 138216170 | USD | 1617000 | BNP Paribas SA | 6/18/25 | (2197) |
| INR | 51541766 | USD | 609000 | BNP Paribas SA | 6/18/25 | (6829) |
| INR | 24600751 | USD | 291000 | BNP Paribas SA | 6/18/25 | (3585) |
| INR | 95634448 | USD | 1100000 | BNP Paribas SA | 6/18/25 | 17314 |
| INR | 178034010 | USD | 2083000 | Bank of America NA | 6/18/25 | (2998) |
| INR | 94568980 | USD | 1100000 | Canadian Imperial Bank of Commerce | 6/18/25 | 4866 |
| JPY | 234643706 | USD | 1642134 | BNP Paribas SA | 6/03/25 | (11475) |
| JPY | 229949542 | USD | 1605507 | BNP Paribas SA | 6/03/25 | (7470) |
| JPY | 38952778 | USD | 274071 | Barclays Bank PLC | 6/03/25 | (3368) |
| JPY | 56429277 | USD | 398041 | UBS AG | 6/03/25 | (5885) |
| JPY | 56398548 | USD | 400000 | Morgan Stanley | 6/18/25 | (7391) |
| JPY | 140530428 | USD | 977117 | Barclays Bank PLC | 7/02/25 | 2711 |
| JPY | 243705133 | USD | 1686961 | Morgan Stanley | 7/02/25 | 12238 |
| JPY | 152987416 | USD | 1056959 | UBS AG | 7/02/25 | 9724 |
| KRW | 867952669 | USD | 628428 | Citibank NA | 6/12/25 | 139 |
| KRW | 872196186 | USD | 632622 | JPMorgan Chase Bank NA | 6/13/25 | (935) |
| KRW | 2252856227 | USD | 1633000 | BNP Paribas SA | 6/18/25 | (770) |
| KRW | 2298937537 | USD | 1667000 | BNP Paribas SA | 6/18/25 | (1383) |
| KRW | 1844197215 | USD | 1300000 | BNP Paribas SA | 6/18/25 | 36150 |
| KRW | 846320365 | USD | 600000 | BNP Paribas SA | 6/18/25 | 13173 |
| KRW | 821534358 | USD | 600000 | BNP Paribas SA | 6/18/25 | (4785) |
| KRW | 816833846 | USD | 593112 | Citibank NA | 6/18/25 | (1303) |
| MXN | 27360378 | USD | 1400000 | BNP Paribas SA | 6/18/25 | 7932 |
| MXN | 29566476 | USD | 1500000 | BNP Paribas SA | 6/18/25 | 21455 |
| MXN | 32350117 | USD | 1607000 | BNP Paribas SA | 6/18/25 | 57698 |
| MXN | 30813662 | USD | 1600000 | BNP Paribas SA | 6/18/25 | (14366) |
| MXN | 49450908 | USD | 2500000 | BNP Paribas SA | 6/18/25 | 44683 |
| MXN | 40198 | USD | 2000 | Bank of America NA | 6/18/25 | 69 |
| MXN | 2880000 | USD | 142008 | Barclays Bank PLC | 6/18/25 | 6193 |
| MXN | 13886221 | USD | 691000 | Barclays Bank PLC | 6/18/25 | 23568 |
| MXN | 24291582 | USD | 1200000 | Citibank NA | 6/18/25 | 50015 |
| MYR | 1984475 | USD | 469587 | Barclays Bank PLC | 6/18/25 | (3080) |
| MYR | 6476085 | USD | 1485000 | Barclays Bank PLC | 6/18/25 | 37388 |
| MYR | 5023200 | USD | 1200000 | Goldman Sachs Bank USA | 6/18/25 | (19154) |
| MYR | 2680785 | USD | 615000 | Morgan Stanley | 6/18/25 | 15195 |
| NOK | 1686937 | USD | 162674 | Barclays Bank PLC | 6/03/25 | 2592 |
| NOK | 29505517 | USD | 2831282 | UBS AG | 6/03/25 | 59319 |
| NOK | 8532046 | USD | 800000 | BNP Paribas SA | 6/18/25 | 35855 |
| NOK | 6270946 | USD | 600000 | BNP Paribas SA | 6/18/25 | 14343 |
| NOK | 4372480 | USD | 400000 | Bank of America NA | 6/18/25 | 28357 |
| NOK | 2985701 | USD | 293117 | Barclays Bank PLC | 7/02/25 | (622) |
| NOK | 28208860 | USD | 2777799 | UBS AG | 7/02/25 | (14314) |
| NZD | 2602350 | USD | 1550480 | JPMorgan Chase Bank NA | 6/03/25 | 4554 |
| NZD | 3300000 | USD | 1981066 | BNP Paribas SA | 6/18/25 | (8059) |
| NZD | 1700000 | USD | 1005397 | BNP Paribas SA | 6/18/25 | 11001 |
| NZD | 2200000 | USD | 1290810 | BNP Paribas SA | 6/18/25 | 24528 |
| NZD | 2900000 | USD | 1681116 | Barclays Bank PLC | 6/18/25 | 52739 |
| PEN | 3761792 | USD | 1031193 | Citibank NA | 6/16/25 | 8029 |
| PEN | 8620936 | USD | 2361124 | Citibank NA | 6/18/25 | 20383 |
| PEN | 1235064 | USD | 335880 | Citibank NA | 6/18/25 | 5303 |
| PEN | 9891200 | USD | 2707692 | Barclays Bank PLC | 9/17/25 | 18889 |
| PEN | 1797596 | USD | 485640 | Citibank NA | 12/05/25 | 9095 |
| PEN | 899041 | USD | 242820 | Citibank NA | 12/05/25 | 4615 |
| PHP | 139757444 | USD | 2502909 | Citibank NA | 6/17/25 | 88 |
| PHP | 45356594 | USD | 800000 | BNP Paribas SA | 6/18/25 | 12300 |
| PLN | 66000 | USD | 17082 | BNP Paribas SA | 6/06/25 | 549 |
| PLN | 70000 | USD | 18558 | BNP Paribas SA | 6/06/25 | 142 |
| PLN | 46000 | USD | 12268 | Bank of America NA | 6/06/25 | 21 |
| PLN | 46000 | USD | 12131 | Bank of America NA | 6/06/25 | 157 |
| PLN | 32000 | USD | 8483 | Barclays Bank PLC | 6/06/25 | 66 |
| PLN | 37000 | USD | 9879 | Barclays Bank PLC | 6/06/25 | 5 |
| PLN | 138000 | USD | 35637 | Goldman Sachs Bank USA | 6/06/25 | 1229 |
| PLN | 177082 | USD | 46986 | Goldman Sachs Bank USA | 6/06/25 | 320 |
| PLN | 139000 | USD | 36059 | JPMorgan Chase Bank NA | 6/06/25 | 1073 |
| PLN | 54000 | USD | 14388 | JPMorgan Chase Bank NA | 6/06/25 | 38 |
| PLN | 54000 | USD | 13890 | Morgan Stanley | 6/06/25 | 536 |
| PLN | 18000 | USD | 4808 | Morgan Stanley | 6/06/25 | 1 |
| PLN | 67000 | USD | 17851 | UBS AG | 6/06/25 | 47 |
| PLN | 1511629 | USD | 400000 | BNP Paribas SA | 6/18/25 | 3704 |
| PLN | 1892161 | USD | 500000 | BNP Paribas SA | 6/18/25 | 5331 |
| PLN | 563704 | USD | 146912 | BNP Paribas SA | 6/20/25 | 3627 |
| PLN | 466075 | USD | 120852 | BNP Paribas SA | 6/20/25 | 3615 |
| PLN | 550891 | USD | 143082 | JPMorgan Chase Bank NA | 6/20/25 | 4035 |
| PLN | 28841454 | USD | 7472218 | Morgan Stanley | 6/20/25 | 229970 |
| SEK | 21722242 | USD | 2249473 | BNP Paribas SA | 6/03/25 | 16341 |
| SEK | 4031317 | USD | 400000 | Barclays Bank PLC | 6/18/25 | 20879 |
| SEK | 3993870 | USD | 400000 | Morgan Stanley | 6/18/25 | 16970 |
| SEK | 20945627 | USD | 2179840 | UBS AG | 7/02/25 | 8771 |
| SGD | 106000 | USD | 81838 | Bank of America NA | 6/03/25 | 348 |
| SGD | 117000 | USD | 90938 | Barclays Bank PLC | 6/03/25 | (223) |
| SGD | 665459 | USD | 517102 | JPMorgan Chase Bank NA | 6/03/25 | (1143) |
| SGD | 1541734 | USD | 1200000 | BNP Paribas SA | 6/18/25 | (3499) |
| SGD | 1969995 | USD | 1500000 | BNP Paribas SA | 6/18/25 | 28864 |
| SGD | 1575698 | USD | 1200000 | Bank of America NA | 6/18/25 | 22861 |
| SGD | 41564 | USD | 32246 | Bank of America NA | 7/02/25 | 39 |
| SGD | 40291 | USD | 31276 | Deutsche Bank AG | 7/02/25 | 20 |
| THB | 59208970 | USD | 1800000 | BNP Paribas SA | 6/18/25 | 4920 |
| THB | 46050364 | USD | 1400000 | BNP Paribas SA | 6/18/25 | 3795 |
| THB | 22838060 | USD | 700000 | Barclays Bank PLC | 6/18/25 | (3807) |
| THB | 3635658 | USD | 110000 | BNP Paribas SA | 7/16/25 | 1076 |
| THB | 45286808 | USD | 1356197 | Citibank NA | 7/16/25 | 27402 |
| THB | 81789083 | USD | 2469850 | Citibank NA | 7/16/25 | 28963 |
| THB | 13143704 | USD | 395573 | UBS AG | 7/16/25 | 5992 |
| TRY | 3592258 | USD | 88816 | BNP Paribas SA | 6/10/25 | 2113 |
| TRY | 2027271 | USD | 50116 | BNP Paribas SA | 6/12/25 | 1091 |
| TRY | 709351 | USD | 17609 | BNP Paribas SA | 6/12/25 | 308 |
| TRY | 409230 | USD | 10129 | Bank of America NA | 6/12/25 | 208 |
| TRY | 768216 | USD | 18759 | JPMorgan Chase Bank NA | 6/12/25 | 646 |
| TRY | 670648 | USD | 16356 | BNP Paribas SA | 6/16/25 | 511 |
| TRY | 429359 | USD | 10287 | Deutsche Bank AG | 6/16/25 | 512 |
| TRY | 698178 | USD | 16713 | BNP Paribas SA | 6/17/25 | 828 |
| TRY | 1196530 | USD | 29826 | Barclays Bank PLC | 6/20/25 | 139 |
| TRY | 1515590 | USD | 38314 | Barclays Bank PLC | 6/20/25 | (359) |
| TRY | 675381 | USD | 16666 | Barclays Bank PLC | 6/24/25 | 175 |
| TRY | 381875 | USD | 9371 | Barclays Bank PLC | 7/10/25 | (15) |
| TRY | 381079 | USD | 9342 | Barclays Bank PLC | 7/11/25 | (16) |
| TRY | 240780 | USD | 5881 | Barclays Bank PLC | 7/14/25 | (8) |
| TRY | 385133 | USD | 9342 | Barclays Bank PLC | 7/21/25 | (22) |
| TRY | 357010 | USD | 8642 | Barclays Bank PLC | 7/23/25 | (22) |
| TWD | 7855718 | USD | 279000 | BNP Paribas SA | 6/18/25 | (16033) |
| TWD | 99047107 | USD | 3521000 | BNP Paribas SA | 6/18/25 | (205444) |
| TWD | 54376154 | USD | 1700000 | BNP Paribas SA | 6/18/25 | 120217 |
| TWD | 47123216 | USD | 1600000 | BNP Paribas SA | 6/18/25 | (22572) |
| USD | 72212 | AUD | 112000 | Bank of America NA | 6/03/25 | 16 |
| USD | 97124 | AUD | 150000 | Bank of America NA | 6/03/25 | 434 |
| USD | 4049219 | AUD | 6314000 | JPMorgan Chase Bank NA | 6/03/25 | (20786) |
| USD | 720866 | AUD | 1200000 | BNP Paribas SA | 6/18/25 | (52820) |
| USD | 4237936 | AUD | 6576000 | Barclays Bank PLC | 7/02/25 | (2718) |
| USD | 830220 | BRL | 4739475 | Bank of America NA | 6/03/25 | 1568 |
| USD | 3942171 | BRL | 22399413 | Citibank NA | 6/03/25 | 25847 |
| USD | 3083362 | BRL | 17601988 | JPMorgan Chase Bank NA | 6/03/25 | 5822 |
| USD | 3917923 | BRL | 23629601 | BNP Paribas SA | 6/18/25 | (199105) |
| USD | 400000 | BRL | 2308145 | BNP Paribas SA | 6/18/25 | (2152) |
| USD | 300000 | BRL | 1746800 | Bank of America NA | 6/18/25 | (4348) |
| USD | 300000 | BRL | 1738036 | Bank of America NA | 6/18/25 | (2821) |
| USD | 182077 | BRL | 1102864 | Bank of America NA | 6/18/25 | (10077) |
| USD | 500000 | BRL | 2973259 | Bank of America NA | 6/18/25 | (18036) |
| USD | 300000 | BRL | 1695240 | Canadian Imperial Bank of Commerce | 6/18/25 | 4635 |
| USD | 300000 | BRL | 1708791 | JPMorgan Chase Bank NA | 6/18/25 | 2274 |
| USD | 10251 | BRL | 59392 | Citibank NA | 9/03/25 | 99 |
| USD | 31121 | BRL | 200000 | Goldman Sachs Bank USA | 10/02/25 | (2821) |
| USD | 5438859 | CAD | 7528011 | BNP Paribas SA | 6/03/25 | (46631) |
| USD | 9541 | CAD | 13163 | Bank of America NA | 6/03/25 | (51) |
| USD | 84887 | CAD | 118000 | State Street Bank & Trust Co | 6/03/25 | (1097) |
| USD | 700000 | CAD | 966145 | Morgan Stanley | 6/18/25 | (4538) |
| USD | 5492273 | CAD | 7592272 | Citibank NA | 7/02/25 | (48098) |
| USD | 138426 | CAD | 191000 | Citibank NA | 7/02/25 | (954) |
| USD | 512064 | CHF | 419921 | BNP Paribas SA | 6/03/25 | 1832 |
| USD | 900000 | CHF | 725769 | BNP Paribas SA | 6/18/25 | 16505 |
| USD | 500000 | CHF | 411331 | Morgan Stanley | 6/18/25 | (722) |
| USD | 509737 | CHF | 418049 | Royal Bank of Canada | 7/02/25 | (45) |
| USD | 5628920 | CLP | 5279364068 | Citibank NA | 6/09/25 | 49128 |
| USD | 717400 | CLP | 703912880 | Barclays Bank PLC | 6/18/25 | (26573) |
| USD | 2093000 | CLP | 1983640750 | Barclays Bank PLC | 6/18/25 | (3530) |
| USD | 4109678 | CLP | 3898029574 | Citibank NA | 6/18/25 | (10188) |
| USD | 989600 | CLP | 967828800 | JPMorgan Chase Bank NA | 6/18/25 | (33308) |
| USD | 600000 | CLP | 595800000 | JPMorgan Chase Bank NA | 6/18/25 | (29707) |
| USD | 920000 | CLP | 921104000 | State Street Bank & Trust Co | 6/18/25 | (53524) |
| USD | 580000 | CLP | 574200000 | State Street Bank & Trust Co | 6/18/25 | (26878) |
| USD | 3200000 | CNY | 23251578 | BNP Paribas SA | 6/18/25 | (33477) |
| USD | 1200000 | CNY | 8729100 | BNP Paribas SA | 6/18/25 | (13911) |
| USD | 579108 | CNY | 4211777 | BNP Paribas SA | 6/18/25 | (6602) |
| USD | 299574 | CNY | 2165908 | BNP Paribas SA | 6/18/25 | (1627) |
| USD | 243843 | CNY | 1783395 | BNP Paribas SA | 6/18/25 | (4165) |
| USD | 289294 | CNY | 2110646 | BNP Paribas SA | 6/18/25 | (4223) |
| USD | 632123 | CNY | 4619134 | Bank of America NA | 6/18/25 | (10236) |
| USD | 473440 | CNY | 3455497 | JPMorgan Chase Bank NA | 6/18/25 | (7098) |
| USD | 243461 | CNY | 1759907 | JPMorgan Chase Bank NA | 7/16/25 | (1804) |
| USD | 246425 | CNY | 1775689 | JPMorgan Chase Bank NA | 7/16/25 | (1040) |
| USD | 648969 | CNY | 4665000 | Citibank NA | 8/20/25 | (2870) |
| USD | 574802 | CNY | 4157629 | JPMorgan Chase Bank NA | 8/20/25 | (6143) |
| USD | 896893 | CNY | 6451889 | JPMorgan Chase Bank NA | 8/20/25 | (4628) |
| USD | 556000 | COP | 2357996000 | BNP Paribas SA | 6/18/25 | (10525) |
| USD | 1388000 | COP | 6126632000 | BNP Paribas SA | 6/18/25 | (83966) |
| USD | 380000 | COP | 1701640000 | Citibank NA | 6/18/25 | (28831) |
| USD | 1732000 | COP | 7764556000 | Citibank NA | 6/18/25 | (133489) |
| USD | 544000 | COP | 2304928000 | Citibank NA | 6/18/25 | (9775) |
| USD | 500000 | CZK | 10980086 | BNP Paribas SA | 6/18/25 | (505) |
| USD | 500000 | CZK | 11087381 | Goldman Sachs Bank USA | 6/18/25 | (5396) |
| USD | 47055 | CZK | 1043786 | BNP Paribas SA | 8/22/25 | (620) |
| USD | 468109 | CZK | 10410501 | Barclays Bank PLC | 8/22/25 | (7393) |
| USD | 37375 | EUR | 33000 | BNP Paribas SA | 6/02/25 | (95) |
| USD | 6795 | EUR | 6000 | JPMorgan Chase Bank NA | 6/02/25 | (17) |
| USD | 150165 | EUR | 132000 | Bank of America NA | 6/03/25 | 286 |
| USD | 1232673 | EUR | 1086151 | Bank of America NA | 6/03/25 | (597) |
| USD | 1509314 | EUR | 1328633 | Bank of America NA | 6/03/25 | 717 |
| USD | 58972 | EUR | 52000 | Bank of America NA | 6/03/25 | (71) |
| USD | 91213 | EUR | 82000 | Bank of America NA | 6/03/25 | (1894) |
| USD | 225819 | EUR | 199000 | Barclays Bank PLC | 6/03/25 | (135) |
| USD | 30628 | EUR | 27000 | JPMorgan Chase Bank NA | 6/03/25 | (29) |
| USD | 1657339 | EUR | 1457579 | Bank of America NA | 7/02/25 | (759) |
| USD | 77284 | EUR | 68054 | Barclays Bank PLC | 7/02/25 | (131) |
| USD | 12120 | GBP | 9000 | NatWest Markets PLC | 6/02/25 | (6) |
| USD | 29441 | GBP | 22000 | BNP Paribas SA | 6/03/25 | (200) |
| USD | 83264 | GBP | 63000 | BNP Paribas SA | 6/03/25 | (1619) |
| USD | 24184 | GBP | 18000 | BNP Paribas SA | 6/03/25 | (69) |
| USD | 81633 | GBP | 61000 | BNP Paribas SA | 6/03/25 | (555) |
| USD | 21457 | GBP | 16000 | Barclays Bank PLC | 6/03/25 | (101) |
| USD | 14589 | GBP | 11000 | Citibank NA | 6/03/25 | (232) |
| USD | 11999 | GBP | 9000 | Citibank NA | 6/03/25 | (128) |
| USD | 85750 | GBP | 63660 | JPMorgan Chase Bank NA | 6/03/25 | (22) |
| USD | 4403222 | GBP | 3252435 | State Street Bank & Trust Co | 6/03/25 | 21053 |
| USD | 1645355 | GBP | 1215340 | State Street Bank & Trust Co | 6/03/25 | 7867 |
| USD | 1433674 | GBP | 1062500 | Canadian Imperial Bank of Commerce | 6/18/25 | 2014 |
| USD | 1263718 | HKD | 9841330 | Morgan Stanley | 6/18/25 | 6753 |
| USD | 10639 | HUF | 3789000 | Bank of America NA | 6/02/25 | (12) |
| USD | 400000 | HUF | 147751352 | BNP Paribas SA | 6/18/25 | (15018) |
| USD | 1100000 | HUF | 392281208 | BNP Paribas SA | 6/18/25 | (1877) |
| USD | 500000 | HUF | 179529544 | BNP Paribas SA | 6/18/25 | (4280) |
| USD | 400000 | HUF | 147381040 | BNP Paribas SA | 6/18/25 | (13978) |
| USD | 400000 | HUF | 143998858 | BNP Paribas SA | 6/18/25 | (4478) |
| USD | 300000 | HUF | 111274677 | BNP Paribas SA | 6/18/25 | (12559) |
| USD | 141654 | HUF | 50240813 | BNP Paribas SA | 6/18/25 | 533 |
| USD | 300000 | HUF | 106644886 | BNP Paribas SA | 6/18/25 | 446 |
| USD | 500000 | HUF | 185513575 | BNP Paribas SA | 6/18/25 | (21088) |
| USD | 25937 | HUF | 9240204 | Bank of America NA | 6/18/25 | (18) |
| USD | 119448 | HUF | 42397650 | Bank of America NA | 6/18/25 | 357 |
| USD | 119448 | HUF | 42389455 | Barclays Bank PLC | 6/18/25 | 380 |
| USD | 119450 | HUF | 42398527 | Barclays Bank PLC | 6/18/25 | 357 |
| USD | 774063 | HUF | 275941849 | Citibank NA | 6/18/25 | (1029) |
| USD | 400000 | HUF | 144321548 | Citibank NA | 6/18/25 | (5384) |
| USD | 400000 | HUF | 149437492 | State Street Bank & Trust Co | 6/18/25 | (19754) |
| USD | 400000 | IDR | 6751949760 | BNP Paribas SA | 6/18/25 | (14212) |
| USD | 600000 | IDR | 10232874000 | BNP Paribas SA | 6/18/25 | (27756) |
| USD | 1870230 | IDR | 30732348911 | BNP Paribas SA | 6/18/25 | (15107) |
| USD | 3006610 | IDR | 49963844980 | Citibank NA | 6/18/25 | (58522) |
| USD | 1594339 | ILS | 5603480 | Barclays Bank PLC | 6/04/25 | (518) |
| USD | 1538218 | ILS | 5405298 | JPMorgan Chase Bank NA | 6/04/25 | (233) |
| USD | 600000 | ILS | 2209042 | BNP Paribas SA | 6/18/25 | (28815) |
| USD | 850000 | ILS | 3203653 | BNP Paribas SA | 6/18/25 | (61936) |
| USD | 4000000 | ILS | 14674272 | BNP Paribas SA | 6/18/25 | (177104) |
| USD | 350000 | ILS | 1314725 | Bank of America NA | 6/18/25 | (24243) |
| USD | 800000 | ILS | 2808013 | Goldman Sachs Bank USA | 6/18/25 | 685 |
| USD | 1400000 | ILS | 5113834 | JPMorgan Chase Bank NA | 6/18/25 | (55678) |
| USD | 2500000 | ILS | 9236250 | JPMorgan Chase Bank NA | 6/18/25 | (129144) |
| USD | 650000 | INR | 55513127 | BNP Paribas SA | 6/18/25 | 1431 |
| USD | 450000 | INR | 38421870 | BNP Paribas SA | 6/18/25 | 1111 |
| USD | 900000 | INR | 77153130 | JPMorgan Chase Bank NA | 6/18/25 | (1393) |
| USD | 1100000 | INR | 94069118 | State Street Bank & Trust Co | 6/18/25 | 974 |
| USD | 28164 | INR | 2422888 | Bank of America NA | 6/30/25 | (125) |
| USD | 60436 | INR | 5242007 | Citibank NA | 6/30/25 | (768) |
| USD | 115775 | INR | 10005854 | Deutsche Bank AG | 6/30/25 | (1050) |
| USD | 67390 | JPY | 9700000 | Bank of America NA | 6/03/25 | (20) |
| USD | 80524 | JPY | 11600000 | Bank of America NA | 6/03/25 | (90) |
| USD | 977117 | JPY | 140993097 | Barclays Bank PLC | 6/03/25 | (2716) |
| USD | 1686961 | JPY | 244508127 | Morgan Stanley | 6/03/25 | (12251) |
| USD | 1056959 | JPY | 153491585 | UBS AG | 6/03/25 | (9733) |
| USD | 3680000 | JPY | 542540258 | BNP Paribas SA | 6/18/25 | (96801) |
| USD | 620000 | JPY | 91418750 | BNP Paribas SA | 6/18/25 | (16396) |
| USD | 358609 | KRW | 512567016 | Citibank NA | 6/12/25 | (12589) |
| USD | 249858 | KRW | 357397308 | Deutsche Bank AG | 6/12/25 | (8967) |
| USD | 628428 | KRW | 867894350 | Citibank NA | 6/13/25 | (144) |
| USD | 800000 | KRW | 1175000000 | Bank of America NA | 6/18/25 | (51306) |
| USD | 502257 | KRW | 720417351 | Citibank NA | 6/18/25 | (19697) |
| USD | 628737 | KRW | 908776460 | Citibank NA | 6/18/25 | (29686) |
| USD | 1300000 | KRW | 1897005500 | Citibank NA | 6/18/25 | (74411) |
| USD | 310807 | KRW | 447008844 | Citibank NA | 6/18/25 | (13058) |
| USD | 196311 | KRW | 279452635 | Deutsche Bank AG | 6/18/25 | (6157) |
| USD | 564066 | KRW | 817867250 | Deutsche Bank AG | 6/18/25 | (28492) |
| USD | 632622 | KRW | 871898853 | JPMorgan Chase Bank NA | 6/18/25 | 918 |
| USD | 593112 | KRW | 815179064 | Citibank NA | 7/16/25 | 1338 |
| USD | 500000 | MXN | 10250522 | BNP Paribas SA | 6/18/25 | (27479) |
| USD | 3000000 | MXN | 62376138 | BNP Paribas SA | 6/18/25 | (209800) |
| USD | 500000 | MXN | 9724007 | BNP Paribas SA | 6/18/25 | (386) |
| USD | 600000 | MXN | 11648231 | Canadian Imperial Bank of Commerce | 6/18/25 | 596 |
| USD | 1100000 | MXN | 21319328 | Goldman Sachs Bank USA | 6/18/25 | 2933 |
| USD | 1708205 | MXN | 35253000 | JPMorgan Chase Bank NA | 6/18/25 | (105871) |
| USD | 900000 | MYR | 3804660 | Barclays Bank PLC | 6/18/25 | 5606 |
| USD | 900000 | MYR | 4028850 | Morgan Stanley | 6/18/25 | (47096) |
| USD | 293117 | NOK | 2985642 | Barclays Bank PLC | 6/03/25 | 619 |
| USD | 2777799 | NOK | 28208027 | UBS AG | 6/03/25 | 14311 |
| USD | 1200000 | NOK | 12254872 | BNP Paribas SA | 6/18/25 | (568) |
| USD | 600000 | NOK | 6085308 | Citibank NA | 6/18/25 | 3843 |
| USD | 400000 | NOK | 4119986 | Goldman Sachs Bank USA | 6/18/25 | (3621) |
| USD | 1549665 | NZD | 2600000 | Barclays Bank PLC | 6/03/25 | (3965) |
| USD | 1167930 | NZD | 2100000 | BNP Paribas SA | 6/18/25 | (87620) |
| USD | 1666581 | NZD | 2900000 | BNP Paribas SA | 6/18/25 | (67274) |
| USD | 1550480 | NZD | 2599775 | JPMorgan Chase Bank NA | 7/02/25 | (4679) |
| USD | 1006163 | PEN | 3763855 | Citibank NA | 6/16/25 | (33629) |
| USD | 2707692 | PEN | 9869539 | Barclays Bank PLC | 6/18/25 | (18737) |
| USD | 1031193 | PEN | 3773341 | Citibank NA | 11/17/25 | (7598) |
| USD | 900000 | PHP | 50095180 | BNP Paribas SA | 6/18/25 | 2836 |
| USD | 17853 | PLN | 67000 | UBS AG | 6/02/25 | (47) |
| USD | 1474924 | PLN | 5706186 | BNP Paribas SA | 6/06/25 | (49441) |
| USD | 61897 | PLN | 243000 | Barclays Bank PLC | 6/06/25 | (3018) |
| USD | 180238 | PLN | 698326 | Barclays Bank PLC | 6/06/25 | (6315) |
| USD | 79195 | PLN | 299000 | JPMorgan Chase Bank NA | 6/06/25 | (680) |
| USD | 1586668 | PLN | 6126950 | Goldman Sachs Bank USA | 6/13/25 | (49826) |
| USD | 919015 | PLN | 3561863 | JPMorgan Chase Bank NA | 6/13/25 | (32350) |
| USD | 500000 | PLN | 1882943 | BNP Paribas SA | 6/18/25 | (2869) |
| USD | 400000 | PLN | 1510674 | BNP Paribas SA | 6/18/25 | (3449) |
| USD | 600000 | PLN | 2243972 | BNP Paribas SA | 6/18/25 | 713 |
| USD | 500000 | PLN | 1926130 | BNP Paribas SA | 6/18/25 | (14403) |
| USD | 400000 | PLN | 1555884 | State Street Bank & Trust Co | 6/18/25 | (15523) |
| USD | 46608 | SEK | 450000 | BNP Paribas SA | 6/03/25 | (331) |
| USD | 30774 | SEK | 300000 | Bank of America NA | 6/03/25 | (519) |
| USD | 2179840 | SEK | 20982342 | UBS AG | 6/03/25 | (8796) |
| USD | 200000 | SEK | 1896944 | BNP Paribas SA | 6/18/25 | 1954 |
| USD | 600000 | SEK | 5741918 | Bank of America NA | 6/18/25 | 530 |
| USD | 200000 | SEK | 1897989 | Citibank NA | 6/18/25 | 1845 |
| USD | 200000 | SEK | 1898511 | Morgan Stanley | 6/18/25 | 1791 |
| USD | 175629 | SGD | 229828 | Bank of America NA | 6/03/25 | (2567) |
| USD | 11373 | SGD | 14861 | Bank of America NA | 6/03/25 | (149) |
| USD | 32246 | SGD | 41640 | Bank of America NA | 6/03/25 | (39) |
| USD | 151184 | SGD | 196000 | Barclays Bank PLC | 6/03/25 | (784) |
| USD | 11962 | SGD | 15681 | Deutsche Bank AG | 6/03/25 | (196) |
| USD | 31276 | SGD | 40365 | Deutsche Bank AG | 6/03/25 | (21) |
| USD | 149820 | SGD | 196489 | JPMorgan Chase Bank NA | 6/03/25 | (2527) |
| USD | 117440 | SGD | 153650 | JPMorgan Chase Bank NA | 6/03/25 | (1691) |
| USD | 1100000 | SGD | 1471776 | BNP Paribas SA | 6/18/25 | (42209) |
| USD | 1300000 | SGD | 1745273 | BNP Paribas SA | 6/18/25 | (54463) |
| USD | 517102 | SGD | 664225 | JPMorgan Chase Bank NA | 7/02/25 | 1160 |
| USD | 2423000 | THB | 83151620 | BNP Paribas SA | 6/18/25 | (111786) |
| USD | 1400000 | THB | 47665944 | BNP Paribas SA | 6/18/25 | (53044) |
| USD | 1377000 | THB | 47203560 | Citibank NA | 6/18/25 | (61949) |
| USD | 1352 | TRY | 54189 | Barclays Bank PLC | 6/10/25 | (20) |
| USD | 83540 | TRY | 3333394 | Barclays Bank PLC | 6/10/25 | (837) |
| USD | 105275 | TRY | 4151526 | Barclays Bank PLC | 6/12/25 | 413 |
| USD | 61504 | TRY | 2472599 | Barclays Bank PLC | 6/16/25 | (684) |
| USD | 26572 | TRY | 1050887 | Barclays Bank PLC | 6/16/25 | 141 |
| USD | 19811 | TRY | 783435 | Barclays Bank PLC | 6/17/25 | 128 |
| USD | 22157 | TRY | 897488 | Barclays Bank PLC | 6/20/25 | (320) |
| USD | 2354 | TRY | 94843 | Barclays Bank PLC | 6/26/25 | (6) |
| USD | 4871 | TRY | 196500 | Barclays Bank PLC | 6/27/25 | (13) |
| USD | 5026 | TRY | 203628 | Barclays Bank PLC | 7/01/25 | (13) |
| USD | 243424 | TWD | 7921747 | BNP Paribas SA | 7/16/25 | (22412) |
| USD | 219016 | TWD | 7107507 | BNP Paribas SA | 7/16/25 | (19496) |
| USD | 223345 | TWD | 7267870 | Citibank NA | 7/16/25 | (20548) |
| USD | 248894 | TWD | 8097020 | Citibank NA | 7/16/25 | (22823) |
| USD | 223315 | TWD | 7259301 | Citibank NA | 7/16/25 | (20291) |
| USD | 222483 | TWD | 7226915 | JPMorgan Chase Bank NA | 7/16/25 | (20036) |
| USD | 245016 | TWD | 7977721 | JPMorgan Chase Bank NA | 7/16/25 | (22698) |
| USD | 991209 | TWD | 32421455 | BNP Paribas SA | 8/20/25 | (100130) |
| USD | 270637 | TWD | 8796514 | BNP Paribas SA | 8/20/25 | (25463) |
| USD | 724824 | TWD | 23658255 | Citibank NA | 8/20/25 | (71537) |
| USD | 278490 | TWD | 9085458 | Citibank NA | 8/20/25 | (27336) |
| USD | 835151 | TWD | 27315284 | Citibank NA | 8/20/25 | (84309) |
| USD | 425976 | TWD | 13968593 | JPMorgan Chase Bank NA | 8/20/25 | (44221) |
| USD | 1119063 | TWD | 36605670 | JPMorgan Chase Bank NA | 8/20/25 | (113121) |
| USD | 500000 | ZAR | 9462884 | BNP Paribas SA | 6/18/25 | (25646) |
| USD | 303000 | ZAR | 5729467 | BNP Paribas SA | 6/18/25 | (15261) |
| USD | 1160000 | ZAR | 22745924 | BNP Paribas SA | 6/18/25 | (103494) |
| USD | 240000 | ZAR | 4691082 | BNP Paribas SA | 6/18/25 | (20581) |
| USD | 1797000 | ZAR | 34071616 | Bank of America NA | 6/18/25 | (95615) |
| USD | 700000 | ZAR | 13751482 | Bank of America NA | 6/18/25 | (63869) |
| USD | 400000 | ZAR | 7295912 | Morgan Stanley | 6/18/25 | (5274) |
| USD | 400000 | ZAR | 7120578 | State Street Bank & Trust Co | 6/18/25 | 4465 |
| USD | 400000 | ZAR | 7273880 | State Street Bank & Trust Co | 6/18/25 | (4051) |
| ZAR | 41075148 | USD | 2200000 | BNP Paribas SA | 6/18/25 | 81648 |
| ZAR | 27435840 | USD | 1500000 | BNP Paribas SA | 6/18/25 | 24010 |
| ZAR | 16157741 | USD | 900000 | BNP Paribas SA | 6/18/25 | (2468) |
| ZAR | 10993027 | USD | 600000 | Goldman Sachs Bank USA | 6/18/25 | 10642 |
| ZAR | 1081000 | USD | 57667 | Bank of America NA | 6/23/25 | 2358 |
| ZAR | 100113 | USD | 5263 | Deutsche Bank AG | 6/23/25 | 296 |
| ZAR | 216533 | USD | 11383 | Deutsche Bank AG | 6/23/25 | 641 |
| ZAR | 45662705 | USD | 2367747 | JPMorgan Chase Bank NA | 6/23/25 | 167796 |
| **TOTAL FORWARD FOREIGN CURRENCY CONTRACTS** | **TOTAL FORWARD FOREIGN CURRENCY CONTRACTS** | **TOTAL FORWARD FOREIGN CURRENCY CONTRACTS** | **TOTAL FORWARD FOREIGN CURRENCY CONTRACTS** | **TOTAL FORWARD FOREIGN CURRENCY CONTRACTS** |  | **(1866055)** |
| Unrealized Appreciation | Unrealized Appreciation | Unrealized Appreciation |  |  |  | 2933645 |
| Unrealized Depreciation | Unrealized Depreciation | Unrealized Depreciation |  |  |  | (4799700) |

---

---

| | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Credit Default Swaps** | **Credit Default Swaps** | **Credit Default Swaps** | **Credit Default Swaps** | **Credit Default Swaps** | **Credit Default Swaps** | **Credit Default Swaps** | **Credit Default Swaps** | **Credit Default Swaps** | **Credit Default Swaps** | **Credit Default Swaps** |
| Underlying Reference | Rating(2) | Maturity <br> Date | Clearinghouse / <br> Counterparty(4) | Fixed<br> Payment<br> Received/<br> (Paid) | Payment<br> Frequency | Notional<br> Amount(3)(1) | Notional<br> Amount(3)(1) | Value ($)(2) | Upfront<br> Premium<br> Received/<br> (Paid) ($)(5) | Unrealized <br> Appreciation/<br> (Depreciation) ($) |
| Buy Protection |  |  |  |  |  |  |  |  |  |  |
| 5Y CDX EM Series 42 Index |  | Dec 2029 | ICE | (1%) | Quarterly |  | 5500000 | (21394) | 0 | (21394) |
| 5Y CDX NA IG Series 43 Index |  | Dec 2029 | ICE | (1%) | Quarterly |  | 9900000 | (8028) | 0 | (8028) |
| 5Y CDX NA HY Series 43 Index |  | Dec 2029 | ICE | (5%) | Quarterly |  | 3400000 | 16600 | 0 | 16600 |
| **TOTAL BUY PROTECTION** |  |  |  |  |  |  |  | (12822) | 0 | (12822) |
| Sell Protection |  |  |  |  |  |  |  |  |  |  |
| 5Y CDX NA IG Series 44 Index | NR | Jun 2030 | ICE | 1% | Quarterly |  | 85000000 | 341602 | 0 | 341602 |
| iTraxx Europe Series 43 Index | NR | Jun 2030 | ICE | 1% | Quarterly | EUR | 81000000 | 347715 | 0 | 347715 |
| iTraxx Crossover Series 43 Index | NR | Jun 2030 | ICE | 1% | Quarterly | EUR | 28000000 | 623198 | 0 | 623198 |
| 5Y CDX EM CDSI Series 43 Index | NR | Jun 2030 | ICE | 1% | Quarterly |  | 3000000 | 20849 | 0 | 20849 |
| 5Y CDX NA HY Series 44 Index | NR | Jun 2030 | ICE | 5% | Quarterly |  | 14000000 | 229573 | 0 | 229573 |
| 5Y CDX EM CDSI Series 40 Index | NR | Dec 2028 | ICE | 1% | Quarterly |  | 3200000 | 122453 | 0 | 122453 |
| 5Y CDX EM CDSI Series 41 Index | NR | Jun 2029 | ICE | 1% | Quarterly |  | 700000 | 6997 | 0 | 6997 |
| iTraxx Crossover Series 43 Index | NR | Jun 2030 | ICE | 5% | Quarterly | EUR | 500000 | 558 | 0 | 558 |
| 5Y CDX EM CDSI Series 43 Index | NR | Jun 2030 | ICE | 1% | Quarterly |  | 4800000 | 12355 | 0 | 12355 |
| 5Y CDX NA IG Series 44 Index | NR | Jun 2030 | ICE | 1% | Quarterly |  | 13900000 | 40290 | 0 | 40290 |
| iTraxx Europe Series 43 Index | NR | Jun 2030 | ICE | 1% | Quarterly | EUR | 5500000 | (2562) | 0 | (2562) |
| 5Y CDX NA HY Series 44 Index | NR | Jun 2030 | ICE | 5% | Quarterly |  | 3900000 | 96183 | 0 | 96183 |
| **TOTAL SELL PROTECTION** |  |  |  |  |  |  |  | 1839211 | 0 | 1839211 |
| **TOTAL CREDIT DEFAULT SWAPS** |  |  |  |  |  |  |  | **1826389** | **0** | **1826389** |

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(1)Notional amount is stated in U.S. Dollars unless otherwise noted.

(2)Ratings are presented for credit default swaps in which the Fund has sold protection on the underlying referenced debt. Ratings for an underlying index represent a weighted average of the ratings of all securities included in the index. The credit rating or value can be measures of the current payment/performance risk. Ratings are from Moody's Investors Service, Inc. Where Moody's® ratings are not available, S&P® ratings are disclosed and are indicated as such. All ratings are as of the report date and do not reflect subsequent changes.

(3)The notional amount of each credit default swap where the Fund has sold protection approximates the maximum potential amount of future payments that the Fund could be required to make if a credit event were to occur.

(4)Swaps with Intercontinental Exchange (ICE) are centrally cleared swaps.

(5)Any premiums for centrally cleared swaps are recorded periodically throughout the term of the swap to variation margin and included in unrealized appreciation (depreciation).

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| | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Interest Rate Swaps** | **Interest Rate Swaps** | **Interest Rate Swaps** | **Interest Rate Swaps** | **Interest Rate Swaps** | **Interest Rate Swaps** | **Interest Rate Swaps** | **Interest Rate Swaps** | **Interest Rate Swaps** | **Interest Rate Swaps** | **Interest Rate Swaps** |
| Payment Received | Payment<br> Frequency | Payment Paid | Payment<br> Frequency | Clearinghouse /<br> Counterparty(2) | Maturity<br> Date | Notional<br> Amount(4) | Notional<br> Amount(4) | Value ($)<br>| Upfront<br> Premium<br> Received/<br> (Paid) ($)(3) | Unrealized <br> Appreciation/<br> (Depreciation) ($)<br>|
| Brazil CETIP Interbank Deposit Overnight Rate(1) | At Maturity | 13.19% | At Maturity | CME | Jan 2027 | BRL | 18500000 | (52556) | 0 | (52556) |
| Brazil CETIP Interbank Deposit Overnight Rate(1) | At Maturity | 13.08% | At Maturity | CME | Jan 2027 | BRL | 4700000 | 1545 | 0 | 1545 |
| Brazil CETIP Interbank Deposit Rate(1) | At Maturity | 13.72% | At Maturity | CME | Jan 2027 | BRL | 20200000 | (24787) | 0 | (24787) |
| 12.26% | At Maturity | Brazil CETIP Interbank Deposit Rate(1) | At Maturity | CME | Jan 2027 | BRL | 13600000 | (32757) | 0 | (32757) |
| 12.16% | At Maturity | Brazil CETIP Interbank Deposit Rate(1) | At Maturity | CME | Jan 2027 | BRL | 6500000 | (19117) | 0 | (19117) |
| Brazil CETIP Interbank Deposit Rate(1) | At Maturity | 12.71% | At Maturity | CME | Jan 2027 | BRL | 6800000 | (3299) | 0 | (3299) |
| Brazil CETIP Interbank Deposit Rate(1) | At Maturity | 13.165% | At Maturity | CME | Jan 2027 | BRL | 7000000 | (9618) | 0 | (9618) |
| Colombia Overnight Interbank Rate(1) | Quarterly | 10.24% | Quarterly | CME | Feb 2028 | COP | 12000000000 | (128691) | 0 | (128691) |
| Chile Interbank Rate(1) | Semi-Annual | 6.38% | Semi-Annual | CME | Mar 2028 | CLP | 992300000 | (67153) | 0 | (67153) |
| 6M PRIBOR(1) | Semi-Annual | 3.34% | Annual | CME | Jan 2032 | CZK | 35700000 | (192426) | 0 | (192426) |
| Chile Interbank Rate(1) | Semi-Annual | 6.49% | Semi-Annual | CME | Mar 2028 | CLP | 2011100000 | (143843) | 0 | (143843) |
| Chile Interbank Rate(1) | Semi-Annual | 6.385% | Semi-Annual | CME | Mar 2028 | CLP | 1683100000 | (99567) | 0 | (99567) |
| Colombia Overnight Interbank Rate(1) | Quarterly | 9.83% | Quarterly | CME | Mar 2028 | COP | 6277100000 | (58897) | 0 | (58897) |
| 12.7464% | At Maturity | Brazil CETIP Interbank Deposit Rate(1) | At Maturity | CME | Jan 2029 | BRL | 7700000 | 8409 | 0 | 8409 |
| 5.3% | Semi-Annual | Chile Interbank Rate(1) | Semi-Annual | CME | Mar 2028 | CLP | 2179800000 | 58374 | 0 | 58374 |
| 4.22% | Annual | 6M PRIBOR(1) | Semi-Annual | CME | Mar 2033 | CZK | 49700000 | 136276 | 0 | 136276 |
| 9.05% | Quarterly | Colombia Overnight Interbank Rate(1) | Quarterly | CME | Mar 2028 | COP | 10329000000 | 55338 | 0 | 55338 |
| 5.38% | Semi-Annual | Chile Interbank Rate(1) | Semi-Annual | CME | Mar 2028 | CLP | 5416600000 | 159490 | 0 | 159490 |
| 12.56% | At Maturity | Brazil CETIP Interbank Deposit Rate(1) | At Maturity | CME | Jan 2029 | BRL | 7700000 | (3209) | 0 | (3209) |
| 8.75% | Quarterly | Colombia Overnight Interbank Rate(1) | Quarterly | CME | Mar 2028 | COP | 6718000000 | 25561 | 0 | 25561 |
| 8.7% | Quarterly | Colombia Overnight Interbank Rate(1) | Quarterly | CME | Apr 2028 | COP | 8197300000 | 28409 | 0 | 28409 |
| 12.058% | At Maturity | Brazil CETIP Interbank Deposit Rate(1) | At Maturity | CME | Jan 2029 | BRL | 28700000 | (108133) | 0 | (108133) |
| 11.94% | At Maturity | Brazil CETIP Interbank Deposit Rate(1) | At Maturity | CME | Jan 2029 | BRL | 5300000 | (24219) | 0 | (24219) |
| 11.8374% | At Maturity | Brazil CETIP Interbank Deposit Rate(1) | At Maturity | CME | Jan 2029 | BRL | 18600000 | (98362) | 0 | (98362) |
| 6M PRIBOR(1) | Semi-Annual | 5.09% | Semi-Annual | CME | Apr 2028 | CZK | 50200000 | (112873) | 0 | (112873) |
| 4.695% | Annual | 6M PRIBOR(1) | Semi-Annual | CME | May 2028 | CZK | 50000000 | 104041 | 0 | 104041 |
| 11.66% | At Maturity | Brazil CETIP Interbank Deposit Rate(1) | At Maturity | CME | Jan 2029 | BRL | 12100000 | (73421) | 0 | (73421) |
| 11.31% | At Maturity | Brazil CETIP Interbank Deposit Rate(1) | At Maturity | CME | Jan 2029 | BRL | 16300000 | (144291) | 0 | (144291) |
| 3M JIBAR(1) | Quarterly | 9.35% | Quarterly | CME | May 2028 | ZAR | 129700000 | (436329) | 0 | (436329) |
| 11.1064% | At Maturity | Brazil CETIP Interbank Deposit Rate(1) | At Maturity | CME | Jan 2029 | BRL | 11800000 | (120575) | 0 | (120575) |
| 3M Chile Interbank Offer Rate(1) | Semi-Annual | 5.7975% | Semi-Annual | CME | May 2028 | CLP | 2024600000 | (100925) | 0 | (100925) |
| 3M Chile Interbank Offer Rate(1) | Semi-Annual | 5.65% | Semi-Annual | CME | Jun 2028 | CLP | 1071300000 | (47372) | 0 | (47372) |
| 3M Chile Interbank Offer Rate(1) | Semi-Annual | 5.6985% | Semi-Annual | CME | Jun 2028 | CLP | 1688700000 | (77739) | 0 | (77739) |
| 11.08% | At Maturity | Brazil CETIP Interbank Deposit Rate(1) | At Maturity | CME | Jan 2029 | BRL | 50700000 | (541060) | 0 | (541060) |
| 6M PRIBOR(1) | Semi-Annual | 4.42% | Annual | CME | Jun 2033 | CZK | 83500000 | (238007) | 0 | (238007) |
| 3M Chile Interbank Offer Rate(1) | Semi-Annual | 5.62% | Semi-Annual | CME | Jun 2028 | CLP | 2772000000 | (120805) | 0 | (120805) |
| US CPI Urban Consumer NSA Index(1) | At Maturity | 2.525% | At Maturity | LCH | Jun 2033 |  | 900000 | (254) | 0 | (254) |
| 5.29% | Semi-Annual | 3M Chile Interbank Offer Rate(1) | Semi-Annual | CME | Jun 2028 | CLP | 953800000 | 30427 | 0 | 30427 |
| 5.2367% | Semi-Annual | 3M Chile Interbank Offer Rate(1) | Semi-Annual | CME | Jun 2028 | CLP | 1316000000 | 39169 | 0 | 39169 |
| 5.23% | Semi-Annual | 3M Chile Interbank Offer Rate(1) | Semi-Annual | CME | Jun 2028 | CLP | 967400000 | 28513 | 0 | 28513 |
| 5.15778% | Semi-Annual | 3M Chile Interbank Offer Rate(1) | Semi-Annual | CME | Jun 2028 | CLP | 3756000000 | 105372 | 0 | 105372 |
| 8.106% | Quarterly | Colombia Overnight Interbank Rate(1) | Quarterly | CME | Jun 2028 | COP | 14886400000 | (12922) | 0 | (12922) |
| Brazil CETIP Interbank Deposit Rate(1) | At Maturity | 10.48% | At Maturity | CME | Jan 2029 | BRL | 17400000 | 252934 | 0 | 252934 |
| 4.611% | Annual | 6M PRIBOR(1) | Semi-Annual | CME | Jun 2028 | CZK | 69200000 | 177664 | 0 | 177664 |
| US CPI Urban Consumer NSA Index(1) | At Maturity | 2.595% | At Maturity | LCH | Jul 2033 |  | 2900000 | (6043) | 0 | (6043) |
| 4.455% | Annual | 6M PRIBOR(1) | Annual | CME | Jun 2033 | CZK | 34700000 | 44463 | 0 | 44463 |
| 5.278% | Semi-Annual | 3M Chile Interbank Offer Rate(1) | Semi-Annual | CME | Jul 2028 | CLP | 1843000000 | 41070 | 0 | 41070 |
| 8.37% | Quarterly | 3M JIBAR(1) | Quarterly | CME | Jul 2028 | ZAR | 104100000 | 221887 | 0 | 221887 |
| 8.291% | Quarterly | 3M JIBAR(1) | Quarterly | CME | Jul 2028 | ZAR | 26300000 | 51711 | 0 | 51711 |
| 8.305% | Quarterly | 3M JIBAR(1) | Quarterly | CME | Jul 2028 | ZAR | 46400000 | 92445 | 0 | 92445 |
| 8.31% | Quarterly | 3M JIBAR(1) | Quarterly | CME | Jul 2028 | ZAR | 26300000 | 52553 | 0 | 52553 |
| 8.33% | Quarterly | 3M JIBAR(1) | Quarterly | CME | Jul 2028 | ZAR | 29700000 | 60398 | 0 | 60398 |
| Brazil CETIP Interbank Deposit Rate(1) | At Maturity | 10.245% | At Maturity | CME | Jan 2029 | BRL | 7900000 | 123159 | 0 | 123159 |
| 3M Chile Interbank Offer Rate(1) | Semi-Annual | 5.455% | Semi-Annual | CME | Aug 2028 | CLP | 3347300000 | (125453) | 0 | (125453) |
| 3M Chile Interbank Offer Rate(1) | Semi-Annual | 5.54% | Semi-Annual | CME | Aug 2028 | CLP | 2555300000 | (105221) | 0 | (105221) |
| 3M Chile Interbank Offer Rate(1) | Semi-Annual | 5.55% | Semi-Annual | CME | Aug 2028 | CLP | 2555300000 | (106231) | 0 | (106231) |
| 3M Chile Interbank Offer Rate(1) | Semi-Annual | 5.49% | Semi-Annual | CME | Aug 2028 | CLP | 1468400000 | (57608) | 0 | (57608) |
| Brazil CETIP Interbank Deposit Rate(1) | At Maturity | 10.285% | At Maturity | CME | Jan 2029 | BRL | 7800000 | 107658 | 0 | 107658 |
| Brazil CETIP Interbank Deposit Rate(1) | At Maturity | 10.55% | At Maturity | CME | Jan 2029 | BRL | 13300000 | 179512 | 0 | 179512 |
| 3M Chile Interbank Offer Rate(1) | Semi-Annual | 5.59% | Semi-Annual | CME | Aug 2028 | CLP | 2929500000 | (126815) | 0 | (126815) |
| 3M Chile Interbank Offer Rate(1) | Semi-Annual | 5.53% | Semi-Annual | CME | Aug 2028 | CLP | 1578900000 | (64493) | 0 | (64493) |
| Brazil CETIP Interbank Deposit Rate(1) | At Maturity | 10.77% | At Maturity | CME | Jan 2029 | BRL | 16700000 | 198926 | 0 | 198926 |
| 3M Chile Interbank Offer Rate(1) | Semi-Annual | 5.6314% | Semi-Annual | CME | Aug 2028 | CLP | 3778500000 | (168578) | 0 | (168578) |
| 6M PRIBOR(1) | Semi-Annual | 4.615% | Semi-Annual | CME | Jul 2028 | CZK | 113100000 | (345022) | 0 | (345022) |
| 3M JIBAR(1) | Quarterly | 8.7% | Quarterly | CME | Aug 2028 | ZAR | 10600000 | (27454) | 0 | (27454) |
| 3M JIBAR(1) | Quarterly | 8.625% | Quarterly | CME | Aug 2028 | ZAR | 63100000 | (155838) | 0 | (155838) |
| 3M JIBAR(1) | Quarterly | 8.55% | Quarterly | CME | Aug 2028 | ZAR | 75100000 | (176948) | 0 | (176948) |
| Colombia Overnight Interbank Rate(1) | Quarterly | 8.13% | Quarterly | CME | Aug 2028 | COP | 7433900000 | (6079) | 0 | (6079) |
| 8.22% | Quarterly | 3M JIBAR(1) | Quarterly | CME | Aug 2028 | ZAR | 60200000 | 112372 | 0 | 112372 |
| 3M JIBAR(1) | Quarterly | 8.22% | Quarterly | CME | Aug 2028 | ZAR | 66200000 | (208444) | 0 | (208444) |
| Colombia Overnight Interbank Rate(1) | Quarterly | 7.96% | Quarterly | CME | Sep 2028 | COP | 8428900000 | (30059) | 0 | (30059) |
| Brazil CETIP Interbank Deposit Rate(1) | At Maturity | 11.025% | At Maturity | CME | Jan 2029 | BRL | 15600000 | 158025 | 0 | 158025 |
| 3M JIBAR(1) | Quarterly | 9.09% | Quarterly | CME | Sep 2028 | ZAR | 83300000 | (229428) | 0 | (229428) |
| Colombia Overnight Interbank Rate(1) | Quarterly | 9.37% | Quarterly | CME | Oct 2028 | COP | 27630000000 | (236769) | 0 | (236769) |
| 6M PRIBOR(1) | Semi-Annual | 4.3525% | Annual | CME | Aug 2028 | CZK | 113200000 | (363037) | 0 | (363037) |
| 6M PRIBOR(1) | Semi-Annual | 4.6375% | Semi-Annual | CME | Oct 2033 | CZK | 53600000 | (209493) | 0 | (209493) |
| Colombia Overnight Interbank Rate(1) | Quarterly | 9.26% | Quarterly | CME | Oct 2028 | COP | 2980000000 | (23079) | 0 | (23079) |
| Colombia Overnight Interbank Rate(1) | Quarterly | 9.65% | Quarterly | CME | Oct 2028 | COP | 12050000000 | (126220) | 0 | (126220) |
| Colombia Overnight Interbank Rate(1) | Quarterly | 9.19% | Quarterly | CME | Oct 2028 | COP | 8320000000 | (59880) | 0 | (59880) |
| 2.5% | At Maturity | US CPI Urban Consumer NSA Index(1) | At Maturity | LCH | Mar 2033 |  | 3800000 | (20416) | 0 | (20416) |
| 4.73% | Annual | 6M PRIBOR(1) | Semi-Annual | CME | Oct 2028 | CZK | 220700000 | 493316 | 0 | 493316 |
| 5.75% | Semi-Annual | 3M Chile Interbank Offer Rate(1) | Semi-Annual | CME | Sep 2028 | CLP | 4763400000 | 151355 | 0 | 151355 |
| 9.22% | Quarterly | Colombia Overnight Interbank Rate(1) | Quarterly | CME | Oct 2028 | COP | 15865400000 | 45476 | 0 | 45476 |
| 7.77% | Annual | 6M BUBOR(1) | Semi-Annual | CME | Oct 2028 | HUF | 1190500000 | 168706 | 0 | 168706 |
| 8.355% | Quarterly | 3M JIBAR(1) | Quarterly | CME | Nov 2028 | ZAR | 72400000 | 154179 | 0 | 154179 |
| 8.36% | Quarterly | 3M JIBAR(1) | Quarterly | CME | Nov 2028 | ZAR | 73600000 | 157465 | 0 | 157465 |
| 4.28% | Annual | 6M PRIBOR(1) | Semi-Annual | CME | Nov 2033 | CZK | 78000000 | 243783 | 0 | 243783 |
| 8.3383% | Quarterly | Colombia Overnight Interbank Rate(1) | Quarterly | CME | Nov 2028 | COP | 7604900000 | 5147 | 0 | 5147 |
| 8.1275% | Quarterly | Colombia Overnight Interbank Rate(1) | Quarterly | CME | Nov 2028 | COP | 5156900000 | (4395) | 0 | (4395) |
| 8.352% | Quarterly | 3M JIBAR(1) | Quarterly | CME | Nov 2028 | ZAR | 133700000 | 248265 | 0 | 248265 |
| 10.89762% | At Maturity | Brazil CETIP Interbank Deposit Rate(1) | At Maturity | CME | Jan 2029 | BRL | 29200000 | (309329) | 0 | (309329) |
| 8.07% | Quarterly | Colombia Overnight Interbank Rate(1) | Quarterly | CME | Nov 2028 | COP | 13692000000 | (17946) | 0 | (17946) |
| 5.475% | Semi-Annual | 3M Chile Interbank Offer Rate(1) | Semi-Annual | CME | Nov 2028 | CLP | 2748000000 | 107355 | 0 | 107355 |
| 5.54% | Semi-Annual | 3M Chile Interbank Offer Rate(1) | Semi-Annual | CME | Nov 2028 | CLP | 1049000000 | 43424 | 0 | 43424 |
| 8.1875% | Quarterly | Colombia Overnight Interbank Rate(1) | Quarterly | CME | Nov 2028 | COP | 6317200000 | (2331) | 0 | (2331) |
| 6M PRIBOR(1) | Semi-Annual | 4.02% | Annual | CME | Nov 2033 | CZK | 4200000 | (13506) | 0 | (13506) |
| 3M JIBAR(1) | Quarterly | 8.25% | Quarterly | CME | Nov 2028 | ZAR | 110200000 | (309783) | 0 | (309783) |
| 10.5325% | At Maturity | Brazil CETIP Interbank Deposit Rate(1) | At Maturity | CME | Jan 2029 | BRL | 13600000 | (182831) | 0 | (182831) |
| 4.899% | Semi-Annual | 3M Chile Interbank Offer Rate(1) | Semi-Annual | CME | Dec 2028 | CLP | 4651400000 | 76302 | 0 | 76302 |
| 5.009% | Semi-Annual | 3M Chile Interbank Offer Rate(1) | Semi-Annual | CME | Dec 2028 | CLP | 4796800000 | 101774 | 0 | 101774 |
| 7.9% | Quarterly | Colombia Overnight Interbank Rate(1) | Quarterly | CME | Dec 2028 | COP | 9132300000 | (30148) | 0 | (30148) |
| Brazil CETIP Interbank Deposit Rate(1) | At Maturity | 10.0375% | At Maturity | CME | Jan 2029 | BRL | 6600000 | 108070 | 0 | 108070 |
| 10.21% | At Maturity | Brazil CETIP Interbank Deposit Rate(1) | At Maturity | CME | Jan 2029 | BRL | 8502000 | (128748) | 0 | (128748) |
| Brazil CETIP Interbank Deposit Rate(1) | At Maturity | 10.2344% | At Maturity | CME | Jan 2029 | BRL | 17100000 | 255862 | 0 | 255862 |
| 8.13% | Quarterly | 3M JIBAR(1) | Quarterly | CME | Jan 2029 | ZAR | 15300000 | 31603 | 0 | 31603 |
| 4.5167% | Semi-Annual | 3M Chile Interbank Offer Rate(1) | Semi-Annual | CME | Feb 2029 | CLP | 1798000000 | 803 | 0 | 803 |
| Colombia Overnight Interbank Rate(1) | Quarterly | 7.53% | Quarterly | CME | Jan 2029 | COP | 833600000 | (9497) | 0 | (9497) |
| 4.439% | Semi-Annual | 3M Chile Interbank Offer Rate(1) | Semi-Annual | CME | Feb 2029 | CLP | 3071000000 | (8730) | 0 | (8730) |
| Brazil CETIP Interbank Deposit Rate(1) | At Maturity | 10.095% | At Maturity | CME | Jan 2029 | BRL | 20300000 | 321019 | 0 | 321019 |
| 4.6494% | Semi-Annual | 3M Chile Interbank Offer Rate(1) | Semi-Annual | CME | Dec 2028 | CLP | 2802900000 | 7068 | 0 | 7068 |
| 6M WIBOR(1) | Semi-Annual | 4.89% | Annual | CME | Feb 2029 | PLN | 10400000 | (70489) | 0 | (70489) |
| 3M Chile Interbank Offer Rate(1) | Semi-Annual | 4.81% | Semi-Annual | CME | Feb 2029 | CLP | 5190500000 | (61102) | 0 | (61102) |
| 6M PRIBOR(1) | Semi-Annual | 4.19% | Annual | CME | Nov 2028 | CZK | 168600000 | (451064) | 0 | (451064) |
| 6M BUBOR(1) | Semi-Annual | 6.065% | Annual | CME | Dec 2028 | HUF | 1037500000 | 4051 | 0 | 4051 |
| Brazil CETIP Interbank Deposit Rate(1) | At Maturity | 9.87% | At Maturity | CME | Jan 2029 | BRL | 25900000 | 341677 | 0 | 341677 |
| Colombia Overnight Interbank Rate(1) | Quarterly | 7.52% | Quarterly | CME | Mar 2029 | COP | 10983300000 | 77154 | 0 | 77154 |
| 3M Chile Interbank Offer Rate(1) | Semi-Annual | 4.965% | Semi-Annual | CME | Mar 2029 | CLP | 8817300000 | (154445) | 0 | (154445) |
| 3M Chile Interbank Offer Rate(1) | Semi-Annual | 5% | Semi-Annual | CME | Mar 2029 | CLP | 1709200000 | (32395) | 0 | (32395) |
| 3.75% | Annual | SONIA(1) | Annual | LCH | Sep 2054 | GBP | 600000 | (121172) | 0 | (121172) |
| SONIA(1) | Annual | 3.75% | Annual | LCH | Sep 2034 | GBP | 900000 | 63892 | 0 | 63892 |
| 6M WIBOR(1) | Semi-Annual | 4.825% | Annual | CME | Mar 2029 | PLN | 22400000 | (139938) | 0 | (139938) |
| 4.25% | Annual | SONIA(1) | Annual | LCH | Sep 2026 | GBP | 4000000 | (34807) | 0 | (34807) |
| 3M Chile Interbank Offer Rate(1) | Semi-Annual | 4.97% | Semi-Annual | CME | Mar 2029 | CLP | 5345000000 | (98068) | 0 | (98068) |
| 6M WIBOR(1) | Semi-Annual | 4.975% | Annual | CME | Mar 2029 | PLN | 13000000 | (103467) | 0 | (103467) |
| 3M JIBAR(1) | Quarterly | 8.65% | Quarterly | CME | Apr 2029 | ZAR | 26200000 | (72962) | 0 | (72962) |
| 3M JIBAR(1) | Quarterly | 8.645% | Quarterly | CME | Apr 2029 | ZAR | 52000000 | (144327) | 0 | (144327) |
| 3M JIBAR(1) | Quarterly | 8.67% | Quarterly | CME | Apr 2029 | ZAR | 52300000 | (147582) | 0 | (147582) |
| 6M BUBOR(1) | Semi-Annual | 6.53% | Annual | CME | Apr 2029 | HUF | 416800000 | (22293) | 0 | (22293) |
| Chile Interbank Rate(1) | Semi-Annual | 5.16% | Semi-Annual | CME | Apr 2029 | CLP | 3518200000 | (89208) | 0 | (89208) |
| 6M BUBOR(1) | Semi-Annual | 6.5871% | Annual | CME | Apr 2029 | HUF | 876700000 | (51732) | 0 | (51732) |
| 3M JIBAR(1) | Quarterly | 8.649% | Quarterly | CME | Apr 2029 | ZAR | 37500000 | (104359) | 0 | (104359) |
| Colombia Overnight Interbank Rate(1) | Quarterly | 7.95% | Quarterly | CME | Apr 2029 | COP | 4464700000 | 13509 | 0 | 13509 |
| Brazil CETIP Interbank Deposit Rate(1) | At Maturity | 10.68925% | At Maturity | CME | Jan 2029 | BRL | 55000000 | 656237 | 0 | 656237 |
| Colombia Overnight Interbank Rate(1) | Quarterly | 7.885% | Quarterly | CME | Apr 2029 | COP | 6562100000 | 24031 | 0 | 24031 |
| 6M BUBOR(1) | Semi-Annual | 6.56% | Annual | CME | Apr 2029 | HUF | 851500000 | (48852) | 0 | (48852) |
| Colombia Overnight Interbank Rate(1) | Quarterly | 7.927% | Quarterly | CME | Apr 2029 | COP | 3348500000 | 10889 | 0 | 10889 |
| Colombia Overnight Interbank Rate(1) | Quarterly | 8.12% | Quarterly | CME | Apr 2029 | COP | 2604400000 | 3729 | 0 | 3729 |
| Colombia Overnight Interbank Rate(1) | Quarterly | 8.15% | Quarterly | CME | Apr 2029 | COP | 4394900000 | 4930 | 0 | 4930 |
| Colombia Overnight Interbank Rate(1) | Quarterly | 8.08% | Quarterly | CME | Apr 2029 | COP | 5480900000 | 9654 | 0 | 9654 |
| Colombia Overnight Interbank Rate(1) | Quarterly | 8.435% | Quarterly | CME | Apr 2029 | COP | 9530800000 | (14257) | 0 | (14257) |
| Colombia Overnight Interbank Rate(1) | Quarterly | 8.56667% | Quarterly | CME | Apr 2029 | COP | 6493300000 | (17649) | 0 | (17649) |
| 3M JIBAR(1) | Quarterly | 8.88% | Quarterly | CME | Apr 2029 | ZAR | 46600000 | (149701) | 0 | (149701) |
| Brazil CETIP Interbank Deposit Rate(1) | At Maturity | 10.9629% | At Maturity | CME | Jan 2029 | BRL | 26100000 | 268843 | 0 | 268843 |
| Colombia Overnight Interbank Rate(1) | Quarterly | 8.4486% | Quarterly | CME | Apr 2029 | COP | 7334200000 | (11997) | 0 | (11997) |
| 6M BUBOR(1) | Semi-Annual | 6.8% | Semi-Annual | CME | Apr 2029 | HUF | 527500000 | (40694) | 0 | (40694) |
| 8.82% | Quarterly | 3M JIBAR(1) | Quarterly | CME | Apr 2029 | ZAR | 30500000 | 13238 | 0 | 13238 |
| 6M PRIBOR(1) | Semi-Annual | 4.06% | Annual | CME | Apr 2034 | CZK | 48100000 | (80119) | 0 | (80119) |
| 6M BUBOR(1) | Semi-Annual | 6.83% | Annual | CME | Apr 2029 | HUF | 520600000 | (41681) | 0 | (41681) |
| 6M PRIBOR(1) | Semi-Annual | 4.29% | Annual | CME | Apr 2034 | CZK | 35800000 | 1734 | 0 | 1734 |
| 6M BUBOR(1) | Semi-Annual | 7.1% | Annual | CME | Apr 2029 | HUF | 475200000 | (49115) | 0 | (49115) |
| 5.36% | Annual | 6M WIBOR(1) | Semi-Annual | CME | Apr 2029 | PLN | 5700000 | 66928 | 0 | 66928 |
| 6M BUBOR(1) | Semi-Annual | 7% | Annual | CME | Apr 2029 | HUF | 1393300000 | 66657 | 0 | 66657 |
| 4.96% | Semi-Annual | Chile Interbank Rate(1) | Semi-Annual | CME | May 2029 | CLP | 3595600000 | 61222 | 0 | 61222 |
| 8.53% | Quarterly | 3M JIBAR(1) | Quarterly | CME | May 2029 | ZAR | 60600000 | 151594 | 0 | 151594 |
| 6.25% | Annual | 6M BUBOR(1) | Semi-Annual | CME | May 2029 | HUF | 512800000 | 9617 | 0 | 9617 |
| 6.27% | Annual | 6M BUBOR(1) | Semi-Annual | CME | May 2029 | HUF | 894500000 | 17850 | 0 | 17850 |
| 8.51% | Quarterly | 3M JIBAR(1) | Quarterly | CME | May 2029 | ZAR | 91200000 | 224053 | 0 | 224053 |
| 7.91375% | Quarterly | Colombia Overnight Interbank Rate(1) | Quarterly | CME | May 2029 | COP | 9013400000 | (27347) | 0 | (27347) |
| 8.459% | Quarterly | 3M JIBAR(1) | Quarterly | CME | May 2029 | ZAR | 120900000 | 284737 | 0 | 284737 |
| 8.035% | Quarterly | Colombia Overnight Interbank Rate(1) | Quarterly | CME | May 2029 | COP | 4574000000 | (9116) | 0 | (9116) |
| 4.87% | Semi-Annual | Chile Interbank Rate(1) | Semi-Annual | CME | Jun 2029 | CLP | 1249600000 | 15398 | 0 | 15398 |
| 12.025% | At Maturity | Brazil CETIP Interbank Deposit Rate(1) | At Maturity | CME | Jan 2029 | BRL | 10400000 | (48617) | 0 | (48617) |
| 8.276% | Quarterly | 3M JIBAR(1) | Quarterly | CME | Jun 2029 | ZAR | 62000000 | 130878 | 0 | 130878 |
| Chile Interbank Rate(1) | Semi-Annual | 5.28% | Semi-Annual | CME | Jul 2029 | CLP | 3663800000 | (113019) | 0 | (113019) |
| 4.25% | Annual | 6M PRIBOR(1) | Semi-Annual | CME | Apr 2029 | CZK | 14400000 | (11022) | 0 | (11022) |
| 11.55% | At Maturity | Brazil CETIP Interbank Deposit Rate(1) | At Maturity | CME | Jan 2029 | BRL | 14100000 | (102985) | 0 | (102985) |
| 3.48% | Annual | 6M PRIBOR(1) | Semi-Annual | CME | Jul 2029 | CZK | 109000000 | 97001 | 0 | 97001 |
| 5.825% | Annual | 6M BUBOR(1) | Semi-Annual | CME | Jul 2029 | HUF | 605500000 | 29494 | 0 | 29494 |
| 5.79% | Annual | 6M BUBOR(1) | Semi-Annual | CME | Jul 2029 | HUF | 605500000 | 26886 | 0 | 26886 |
| 3.545% | Annual | 6M PRIBOR(1) | Semi-Annual | CME | Jul 2034 | CZK | 76500000 | 42702 | 0 | 42702 |
| 5.722% | Annual | 6M BUBOR(1) | Semi-Annual | CME | Jul 2029 | HUF | 408700000 | 14995 | 0 | 14995 |
| 5.7% | Annual | 6M BUBOR(1) | Semi-Annual | CME | Jul 2029 | HUF | 606100000 | 20587 | 0 | 20587 |
| 5.82% | Annual | 6M BUBOR(1) | Semi-Annual | CME | Jul 2029 | HUF | 803900000 | 40348 | 0 | 40348 |
| 5.85% | Semi-Annual | 6M BUBOR(1) | Semi-Annual | CME | Jul 2029 | HUF | 537300000 | 28420 | 0 | 28420 |
| 5.84163% | Annual | 6M BUBOR(1) | Semi-Annual | CME | Jul 2029 | HUF | 1145100000 | 59387 | 0 | 59387 |
| 5.054% | Annual | 6M WIBOR(1) | Semi-Annual | CME | May 2029 | PLN | 6100000 | 44820 | 0 | 44820 |
| 5.545% | Annual | 6M BUBOR(1) | Semi-Annual | CME | Aug 2029 | HUF | 1008500000 | 17854 | 0 | 17854 |
| 4.305% | Semi-Annual | 6M WIBOR(1) | Semi-Annual | CME | Aug 2029 | PLN | 3300000 | 23334 | 0 | 23334 |
| 7.37% | Quarterly | Colombia Overnight Interbank Rate(1) | Quarterly | CME | Aug 2029 | COP | 7116300000 | (59063) | 0 | (59063) |
| 4.74% | Semi-Annual | 3M Chile Interbank Offer Rate(1) | Semi-Annual | CME | Aug 2029 | CLP | 986400000 | 6723 | 0 | 6723 |
| 4.8% | Semi-Annual | Chile Interbank Rate(1) | Semi-Annual | CME | Aug 2029 | CLP | 1630800000 | 15467 | 0 | 15467 |
| 4.27% | Annual | 6M WIBOR(1) | Semi-Annual | CME | Aug 2029 | PLN | 10400000 | 66656 | 0 | 66656 |
| 4.2825% | Annual | 6M WIBOR(1) | Semi-Annual | CME | Aug 2029 | PLN | 10400000 | 68162 | 0 | 68162 |
| 7.36% | Quarterly | Colombia Overnight Interbank Rate(1) | Quarterly | CME | Aug 2029 | COP | 7046500000 | (59184) | 0 | (59184) |
| 4.76% | Semi-Annual | 3M Chile Interbank Offer Rate(1) | Semi-Annual | CME | Aug 2029 | CLP | 2436300000 | 18808 | 0 | 18808 |
| 7.34% | Quarterly | Colombia Overnight Interbank Rate(1) | Quarterly | CME | Aug 2029 | COP | 2325600000 | (19935) | 0 | (19935) |
| 7.4% | Quarterly | Colombia Overnight Interbank Rate(1) | Quarterly | CME | Aug 2029 | COP | 4681400000 | (37700) | 0 | (37700) |
| 7.335% | Quarterly | Colombia Overnight Interbank Rate(1) | Quarterly | CME | Aug 2029 | COP | 4651200000 | (40071) | 0 | (40071) |
| 7.43625% | Quarterly | Colombia Overnight Interbank Rate(1) | Quarterly | CME | Aug 2029 | COP | 4283900000 | (33172) | 0 | (33172) |
| 4.84% | Semi-Annual | Chile Interbank Rate(1) | Semi-Annual | CME | Aug 2029 | CLP | 4693700000 | 52245 | 0 | 52245 |
| 4.92% | Semi-Annual | 3M Chile Interbank Offer Rate(1) | Semi-Annual | CME | Aug 2029 | CLP | 938800000 | 13805 | 0 | 13805 |
| 4.7975% | Semi-Annual | 3M Chile Interbank Offer Rate(1) | Semi-Annual | CME | Aug 2029 | CLP | 2797700000 | 25946 | 0 | 25946 |
| 7.275% | Quarterly | Colombia Overnight Interbank Rate(1) | Quarterly | CME | Aug 2029 | COP | 3212800000 | (29557) | 0 | (29557) |
| 7.06% | Quarterly | Colombia Overnight Interbank Rate(1) | Quarterly | CME | Aug 2029 | COP | 12497100000 | (138350) | 0 | (138350) |
| 5.27% | Semi-Annual | 3M Chile Interbank Offer Rate(1) | Semi-Annual | CME | Jun 2029 | CLP | 959500000 | 20208 | 0 | 20208 |
| 11.71625% | At Maturity | Brazil CETIP Interbank Deposit Rate(1) | At Maturity | CME | Jan 2029 | BRL | 4300000 | (31307) | 0 | (31307) |
| 11.8425% | At Maturity | Brazil CETIP Interbank Deposit Rate(1) | At Maturity | CME | Jan 2029 | BRL | 15700000 | 79158 | 0 | 79158 |
| 4.43% | Semi-Annual | 3M Chile Interbank Offer Rate(1) | Semi-Annual | CME | Sep 2029 | CLP | 3785000000 | (25615) | 0 | (25615) |
| 6.99% | Quarterly | Colombia Overnight Interbank Rate(1) | Quarterly | CME | Sep 2029 | COP | 5143800000 | (64875) | 0 | (64875) |
| Brazil CETIP Interbank Deposit Rate(1) | At Maturity | 12.235% | At Maturity | CME | Jan 2029 | BRL | 6900000 | 30028 | 0 | 30028 |
| 6M WIBOR(1) | Semi-Annual | 4.715% | Annual | CME | Oct 2029 | PLN | 8300000 | (104662) | 0 | (104662) |
| 6M WIBOR(1) | Semi-Annual | 4.709% | Annual | CME | Oct 2029 | PLN | 12700000 | (161666) | 0 | (161666) |
| 6M WIBOR(1) | Semi-Annual | 4.77% | Annual | CME | Oct 2029 | PLN | 11700000 | (159053) | 0 | (159053) |
| Colombia Overnight Interbank Rate(1) | Quarterly | 7.5455% | Quarterly | CME | Oct 2029 | COP | 5415500000 | 40398 | 0 | 40398 |
| Colombia Overnight Interbank Rate(1) | Quarterly | 7.65% | Quarterly | CME | Oct 2029 | COP | 2740400000 | 17911 | 0 | 17911 |
| 4.66% | Semi-Annual | 3M Chile Interbank Offer Rate(1) | Semi-Annual | CME | Oct 2029 | CLP | 1753700000 | 6590 | 0 | 6590 |
| Colombia Overnight Interbank Rate(1) | Quarterly | 7.595% | Quarterly | CME | Oct 2029 | COP | 2714300000 | 19058 | 0 | 19058 |
| 6M BUBOR(1) | Semi-Annual | 6.09% | Annual | CME | Oct 2029 | HUF | 645500000 | (58079) | 0 | (58079) |
| Colombia Overnight Interbank Rate(1) | Quarterly | 7.74625% | Quarterly | CME | Oct 2029 | COP | 4888700000 | 27918 | 0 | 27918 |
| 6M BUBOR(1) | Semi-Annual | 6.1175% | Annual | CME | Oct 2029 | HUF | 860700000 | (79825) | 0 | (79825) |
| 6M BUBOR(1) | Semi-Annual | 6.079% | Annual | CME | Oct 2029 | HUF | 2009900000 | (251982) | 0 | (251982) |
| Colombia Overnight Interbank Rate(1) | Quarterly | 7.805% | Quarterly | CME | Oct 2029 | COP | 3666600000 | 19021 | 0 | 19021 |
| Colombia Overnight Interbank Rate(1) | Quarterly | 7.93% | Quarterly | CME | Oct 2029 | COP | 5014000000 | 20456 | 0 | 20456 |
| 6M BUBOR(1) | Semi-Annual | 6.31% | Annual | CME | Oct 2029 | HUF | 500000000 | (57787) | 0 | (57787) |
| 6M BUBOR(1) | Semi-Annual | 6.55% | Annual | CME | Oct 2029 | HUF | 542400000 | (77435) | 0 | (77435) |
| Colombia Overnight Interbank Rate(1) | Quarterly | 8.105% | Quarterly | CME | Oct 2029 | COP | 9875700000 | 25003 | 0 | 25003 |
| 6M PRIBOR(1) | Semi-Annual | 3.524% | Annual | CME | Oct 2029 | CZK | 66500000 | (83064) | 0 | (83064) |
| Colombia Overnight Interbank Rate(1) | Quarterly | 8.105% | Quarterly | CME | Oct 2029 | COP | 8369000000 | 21207 | 0 | 21207 |
| 3M Chile Interbank Offer Rate(1) | Semi-Annual | 4.86% | Semi-Annual | CME | Oct 2029 | CLP | 2638400000 | (32948) | 0 | (32948) |
| 6M PRIBOR(1) | Semi-Annual | 3.489% | Annual | CME | Oct 2029 | CZK | 71000000 | (84000) | 0 | (84000) |
| Chile Interbank Rate(1) | Semi-Annual | 4.87% | Semi-Annual | CME | Oct 2029 | CLP | 1306800000 | (16878) | 0 | (16878) |
| Colombia Overnight Interbank Rate(1) | Quarterly | 8.25% | Quarterly | CME | Oct 2029 | COP | 3268800000 | 4155 | 0 | 4155 |
| 3M Chile Interbank Offer Rate(1) | Semi-Annual | 4.94% | Semi-Annual | CME | Oct 2029 | CLP | 1824600000 | (29866) | 0 | (29866) |
| 3M Chile Interbank Offer Rate(1) | Semi-Annual | 5% | Semi-Annual | CME | Nov 2029 | CLP | 1015700000 | (18845) | 0 | (18845) |
| 3M Chile Interbank Offer Rate(1) | Semi-Annual | 5.0125% | Semi-Annual | CME | Nov 2029 | CLP | 2583400000 | (49314) | 0 | (49314) |
| Colombia Overnight Interbank Rate(1) | Quarterly | 8.18% | Quarterly | CME | Nov 2029 | COP | 9538200000 | 17882 | 0 | 17882 |
| 3M Chile Interbank Offer Rate(1) | Semi-Annual | 5.01% | Semi-Annual | CME | Nov 2029 | CLP | 3399800000 | (64536) | 0 | (64536) |
| 3M Chile Interbank Offer Rate(1) | Semi-Annual | 4.975% | Semi-Annual | CME | Nov 2029 | CLP | 1147400000 | (20061) | 0 | (20061) |
| Colombia Overnight Interbank Rate(1) | Quarterly | 8.24% | Quarterly | CME | Nov 2029 | COP | 9494400000 | 13070 | 0 | 13070 |
| 8.23% | Quarterly | Colombia Overnight Interbank Rate(1) | Quarterly | CME | Nov 2029 | COP | 11545500000 | 7038 | 0 | 7038 |
| 12.49% | At Maturity | Brazil CETIP Interbank Deposit Rate(1) | At Maturity | CME | Jan 2029 | BRL | 12100000 | (19964) | 0 | (19964) |
| 3M JIBAR(1) | Quarterly | 7.56% | Quarterly | CME | Aug 2029 | ZAR | 31200000 | (44591) | 0 | (44591) |
| 4.495% | Annual | 6M WIBOR(1) | Semi-Annual | CME | Nov 2029 | PLN | 15800000 | 174213 | 0 | 174213 |
| 4.513% | Annual | 6M WIBOR(1) | Semi-Annual | CME | Nov 2029 | PLN | 8000000 | 89416 | 0 | 89416 |
| 1D TIIE(1) | Monthly | 9.385% | Monthly | CME | Dec 2025 | MXN | 36200000 | (10409) | 0 | (10409) |
| 9.415% | Monthly | 1D TIIE(1) | Monthly | CME | Dec 2025 | MXN | 24600000 | 7247 | 0 | 7247 |
| 1D TIIE(1) | Monthly | 9.43% | Monthly | CME | Dec 2025 | MXN | 25000000 | (8006) | 0 | (8006) |
| 9.415% | Monthly | 28D TIIE(1) | Monthly | CME | Oct 2029 | MXN | 24600000 | 44579 | 0 | 44579 |
| 28D TIIE(1) | Monthly | 9.48% | Monthly | CME | Oct 2034 | MXN | 25100000 | (63428) | 0 | (63428) |
| 28D TIIE(1) | Monthly | 9.385% | Monthly | CME | Jul 2029 | MXN | 36200000 | (59736) | 0 | (59736) |
| 28D TIIE(1) | Monthly | 9.43% | Monthly | CME | Oct 2029 | MXN | 25000000 | (69810) | 0 | (69810) |
| 1D TIIE(1) | Monthly | 9.48% | Monthly | CME | Dec 2025 | MXN | 25100000 | (8421) | 0 | (8421) |
| 3.365% | Annual | 6M PRIBOR(1) | Semi-Annual | CME | Nov 2029 | CZK | 41300000 | 44374 | 0 | 44374 |
| 9.05% | Monthly | 28D TIIE(1) | Monthly | CME | Dec 2029 | MXN | 111200000 | 164623 | 0 | 164623 |
| 6M WIBOR(1) | Semi-Annual | 4.904% | Annual | CME | Dec 2029 | PLN | 12800000 | (109534) | 0 | (109534) |
| 3M Chile Interbank Offer Rate(1) | Semi-Annual | 5.285% | Semi-Annual | CME | Dec 2029 | CLP | 756300000 | (23614) | 0 | (23614) |
| 8.31% | Quarterly | Colombia Overnight Interbank Rate(1) | Quarterly | CME | Mar 2030 | COP | 6764300000 | 3808 | 0 | 3808 |
| 3M Chile Interbank Offer Rate(1) | Semi-Annual | 5.5% | Semi-Annual | CME | Mar 2030 | CLP | 3214300000 | (130019) | 0 | (130019) |
| 9.1% | Monthly | 28D TIIE(1) | Monthly | CME | Dec 2034 | MXN | 68500000 | 139848 | 0 | 139848 |
| 3.55% | Annual | 6M PRIBOR(1) | Semi-Annual | CME | Mar 2030 | CZK | 98900000 | 15791 | 0 | 15791 |
| 6M EURIBOR(1) | Semi-Annual | 2.25% | Annual | LCH | Sep 2055 | EUR | 3600000 | (25987) | 0 | (25987) |
| 2.25% | Annual | 6M EURIBOR(1) | Semi-Annual | LCH | Sep 2035 | EUR | 5000000 | 51995 | 0 | 51995 |
| SONIA(1) | Annual | 4.25% | Annual | LCH | Sep 2055 | GBP | 4800000 | 141225 | 0 | 141225 |
| 3.5% | Quarterly | KLIBOR(1) | Quarterly | BNP Paribas SA | Sep 2030 | MYR | 34300000 | 108163 | (7349) | 100814 |
| 2% | Quarterly | U.S. SOFR Index(1) | Quarterly | LCH | Sep 2030 | THB | 291000000 | 142462 | 0 | 142462 |
| 1.75% | Quarterly | 3M TAIBOR(1) | Quarterly | LCH | Sep 2030 | TWD | 13200000 | (2326) | 0 | (2326) |
| 2.5% | Semi-Annual | SORA(1) | Semi-Annual | LCH | Sep 2030 | SGD | 16100000 | 216577 | 0 | 216577 |
| 2.5% | Quarterly | 3M KORIBOR(1) | Quarterly | LCH | Sep 2030 | KRW | 12073456000 | 33685 | 0 | 33685 |
| 1.5% | Quarterly | China Fixing Repo 7D Rate(1) | Quarterly | LCH | Sep 2030 | CNY | 46000000 | (7732) | 0 | (7732) |
| 3.5% | Quarterly | 3M HIBOR(1) | Quarterly | LCH | Sep 2030 | HKD | 23600000 | 31227 | 0 | 31227 |
| 6% | Semi-Annual | FBIL MIFOR(1) | Semi-Annual | LCH | Sep 2030 | INR | 702349000 | 106531 | 0 | 106531 |
| KLIBOR(1) | Quarterly | 3.5% | Quarterly | Goldman Sachs International | Sep 2030 | MYR | 7710000 | (24313) | 530 | (23783) |
| 4% | Annual | SONIA(1) | Annual | LCH | Sep 2035 | GBP | 4100000 | (3458) | 0 | (3458) |
| U.S. SOFR Index(1) | Annual | 3.5% | Annual | LCH | Sep 2055 |  | 4200000 | 133537 | 0 | 133537 |
| 3.5% | Quarterly | 3M Australia Bank Bill Swap Rate(1) | Quarterly | LCH | Sep 2027 | AUD | 11000000 | 48427 | 0 | 48427 |
| TONAR(1) | Annual | 1% | Annual | LCH | Sep 2035 | JPY | 296000000 | (1424) | 0 | (1424) |
| 2% | Annual | 6M EURIBOR(1) | Semi-Annual | LCH | Sep 2027 | EUR | 8100000 | 63973 | 0 | 63973 |
| Canadian Overnight Repo Rate(1) | Semi-Annual | 3% | Semi-Annual | LCH | Sep 2055 | CAD | 7500000 | 179790 | 0 | 179790 |
| 2.75% | Semi-Annual | Canadian Overnight Repo Rate(1) | Semi-Annual | LCH | Sep 2027 | CAD | 12500000 | (8588) | 0 | (8588) |
| 1M AFMA(1) | Semi-Annual | 4.5% | Semi-Annual | LCH | Sep 2035 | AUD | 3300000 | (34284) | 0 | (34284) |
| 3.75% | Annual | U.S. SOFR Index(1) | Annual | LCH | Sep 2035 |  | 6900000 | 9386 | 0 | 9386 |
| Canadian Overnight Repo Rate(1) | Semi-Annual | 2.75% | Semi-Annual | LCH | Sep 2030 | CAD | 300000 | (1646) | 0 | (1646) |
| 3.75% | Annual | U.S. SOFR Index(1) | Annual | LCH | Sep 2027 |  | 1400000 | 4990 | 0 | 4990 |
| TONAR(1) | Annual | 2% | Annual | LCH | Sep 2055 | JPY | 154500000 | (9519) | 0 | (9519) |
| 4% | Annual | SONIA(1) | Annual | LCH | Sep 2027 | GBP | 200000 | 659 | 0 | 659 |
| 8.09% | Monthly | 28D TIIE(1) | Monthly | CME | Jun 2030 | MXN | 9500000 | 7029 | 0 | 7029 |
| 3% | Semi-Annual | Canadian Overnight Repo Rate(1) | Semi-Annual | LCH | Sep 2035 | CAD | 7400000 | (83137) | 0 | (83137) |
| 4.695% | Semi-Annual | 6M WIBOR(1) | Semi-Annual | CME | Mar 2030 | PLN | 16700000 | 102925 | 0 | 102925 |
| 4.67% | Annual | 6M WIBOR(1) | Semi-Annual | CME | Mar 2030 | PLN | 9100000 | 53624 | 0 | 53624 |
| 4.692% | Annual | 6M WIBOR(1) | Semi-Annual | CME | Mar 2030 | PLN | 1800000 | 11065 | 0 | 11065 |
| Brazil CETIP Interbank Deposit Overnight Rate(1) | At Maturity | 14.45% | At Maturity | CME | Jan 2031 | BRL | 100000 | (488) | 0 | (488) |
| 4.95% | Semi-Annual | 3M Chile Interbank Offer Rate(1) | Semi-Annual | CME | Jun 2030 | CLP | 1820500000 | 26455 | 0 | 26455 |
| 1.215% | Annual | 6M WIBOR(1) | Semi-Annual | CME | Jul 2030 | PLN | 14455000 | 43701 | 0 | 43701 |
| 4.8% | Semi-Annual | 3M Chile Interbank Offer Rate(1) | Semi-Annual | CME | Jun 2030 | CLP | 2368600000 | 13263 | 0 | 13263 |
| 4.65% | Semi-Annual | 3M Chile Interbank Offer Rate(1) | Semi-Annual | CME | Jun 2030 | CLP | 10603100000 | 4067 | 0 | 4067 |
| 3.952% | Annual | 6M WIBOR(1) | Semi-Annual | CME | Jul 2030 | PLN | 7045000 | 4628 | 0 | 4628 |
| 6.0625% | Annual | 6M BUBOR(1) | Semi-Annual | CME | Apr 2030 | HUF | 289200000 | (1248) | 0 | (1248) |
| 6.08% | Annual | 6M BUBOR(1) | Semi-Annual | CME | Apr 2030 | HUF | 1149100000 | (5124) | 0 | (5124) |
| 5.975% | Annual | 6M BUBOR(1) | Semi-Annual | CME | Apr 2030 | HUF | 1152300000 | (17066) | 0 | (17066) |
| 5.97% | Annual | 6M BUBOR(1) | Semi-Annual | CME | Apr 2030 | HUF | 72300000 | (1114) | 0 | (1114) |
| 14.055% | At Maturity | Brazil CETIP Interbank Deposit Overnight Rate(1) | At Maturity | CME | Jan 2031 | BRL | 4300000 | 9271 | 0 | 9271 |
| 5.85% | Annual | 6M BUBOR(1) | Semi-Annual | CME | May 2030 | HUF | 1518600000 | (45045) | 0 | (45045) |
| US CPI Urban Consumer NSA Index(1) | At Maturity | 2.5975% | At Maturity | LCH | Apr 2034 |  | 1000000 | (1427) | 0 | (1427) |
| 0% | At Maturity | 3M TELBOR(1) | At Maturity | LCH | Jul 2025 | ILS | 9000000 | (15879) | 0 | (15879) |
| 3.92% | Annual | SHIR(1) | Quarterly | LCH | Apr 2030 | ILS | 9000000 | (21166) | 0 | (21166) |
| SHIR(1) | At Maturity | 0% | At Maturity | LCH | Jul 2025 | ILS | 9000000 | 15945 | 0 | 15945 |
| SHIR(1) | Annual | 4.17% | Annual | LCH | May 2030 | ILS | 9600000 | (1816) | 0 | (1816) |
| 8.225% | Quarterly | Colombia Overnight Interbank Rate(1) | Quarterly | CME | Jun 2030 | COP | 4188000000 | 3010 | 0 | 3010 |
| **TOTAL INTEREST RATE SWAPS** |  |  |  |  |  |  |  | **(1270364)** | **(6819)** | **(1277183)** |

---

(1)Represents floating rate.

(2)Swaps with CME Group (CME) and LCH Clearnet Group (LCH) are centrally cleared swaps.

(3)Any premiums for centrally cleared swaps are recorded periodically throughout the term of the swap to variation margin and included in unrealized appreciation (depreciation).

(4)Notional amount is stated in U.S. Dollars unless otherwise noted.

---

| | | | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Total Return Swaps** | **Total Return Swaps** | **Total Return Swaps** | **Total Return Swaps** | **Total Return Swaps** | **Total Return Swaps** | **Total Return Swaps** | **Total Return Swaps** | **Total Return Swaps** | **Total Return Swaps** | **Total Return Swaps** | **Total Return Swaps** | **Total Return Swaps** |
| Underlying Reference | Pay/<br> Receive<br> Reference | Reference<br> Payment<br> Frequency | Financing<br> Rate | Financing<br> Frequency | Counterparty | Maturity<br> Date | Units | Notional<br> Amount | Notional<br> Amount | Value ($)<br>| Upfront<br> Premium<br> Received/<br> (Paid) ($)<br>| Unrealized <br> Appreciation/<br> (Depreciation) ($)<br>|
| SET 50 Index | Receives | At Maturity |  | At Maturity | Morgan Stanley Capital Services | Jun 2025 | 29000 | THB | 21622467 | 5211 | 0 | 5211 |
| Bovespa Index | Receives | At Maturity |  | At Maturity | Goldman Sachs International | Jun 2025 | 8 | BRL | 1091372 | 2341 | 0 | 2341 |
| Bovespa Index | Receives | At Maturity |  | At Maturity | Goldman Sachs International | Jun 2025 | 24 | BRL | 3374497 | (10528) | 0 | (10528) |
| KOSPI 200 Index | Receives | At Maturity |  | At Maturity | Morgan Stanley & Co International PLC | Jun 2025 | 500000 | KRW | 173750005 | 4559 | 0 | 4559 |
| KOSPI 200 Index | Receives | At Maturity |  | At Maturity | Morgan Stanley Capital Services | Jun 2025 | 1250000 | KRW | 450000004 | 90 | 0 | 90 |
| **TOTAL RETURN SWAPS** |  |  |  |  |  |  |  |  |  | **1673** | **0** | **1673** |

---

**Currency Abbreviations**

---

| | | |
|:---|:---|:---|
| AUD | - | Australian Dollar |
| BRL | - | Brazilian Real |
| CAD | - | Canadian Dollar |
| CHF | - | Swiss Franc |
| CLP | - | Chilean Peso |
| CNY | - | Chinese (Peoples Rep) Yuan |
| COP | - | Colombian Peso |
| CZK | - | Czech Koruna |
| EUR | - | European Monetary Unit (Euro) |
| GBP | - | United Kingdom Pound |
| HKD | - | Hong Kong Dollar |
| HUF | - | Hungarian Forint |
| IDR | - | Indonesia Rupiatt |
| ILS | - | Israel Sheckel |
| INR | - | Indian Rupee |
| JPY | - | Japanese Yen |
| KRW | - | Korean Won |
| MXN | - | Mexican Peso |
| MYR | - | Malaysian Ringgit |
| NOK | - | Norwegian Krone |
| NZD | - | New Zealand Dollar |
| PEN | - | Peruvian New Sol |
| PHP | - | Philippines |
| PLN | - | Polish Zloty |
| SEK | - | Swedish Krona |
| SGD | - | Singapore Dollar |
| THB | - | Thailand Baht |
| TRY | - | New Turkish Lira |
| TWD | - | Taiwan Dollar |
| USD | - | United States Dollar |
| ZAR | - | South African Rand |

---

**Legend**

(a) Amount is stated in United States dollars unless otherwise noted.

(b) Affiliated Fund

(c) Coupon is indexed to a floating interest rate which may be multiplied by a specified factor and/or subject to caps or floors.

(d) Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end.

(e) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $16,641,304 or 0.6% of net assets.

(f) Security initially issued in zero coupon form which converts to coupon form at a specified rate and date. The rate shown is the rate at period end.

(g) Security exempt from registration under Regulation S of the Securities Act of 1933 and may be resold to qualified foreign investors outside of the United States. At the end of the period, the value of securities amounted to $4,537,558 or 0.2% of net assets.

(h) Represents a forward settling transaction and therefore no collateral securities had been allocated as of period end. The agreement contemplated the delivery of U.S. Treasury Obligations as collateral on settlement date.

(i) A portion of the security sold on a delayed delivery basis.

(j) Security or a portion of the security purchased on a delayed delivery or when-issued basis.

(k) Yield represents either the annualized yield at the date of purchase, or the stated coupon rate, or, for floating and adjustable rate securities, the rate at period end.

(l) Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC's website or upon request.

(m) The rate quoted is the annualized seven-day yield of the fund at period end.

(n) Security or a portion of the security has been segregated as collateral for over the counter (OTC) derivatives. At period end, the value of securities pledged amounts to $2,119,008.

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **\* Repurchase Agreements** | **\* Repurchase Agreements** | **\* Repurchase Agreements** | **\* Repurchase Agreements** | **\* Repurchase Agreements** | **\* Repurchase Agreements** | **\* Repurchase Agreements** | **\* Repurchase Agreements** | **\* Repurchase Agreements** | **\* Repurchase Agreements** |
| **Counterparty** | **Lending Rate (%)** | **Settlement Date** | **Maturity Date** | **Repurchase Agreement**<br> **Value ($)** | **Repurchase Agreement Proceeds ($)** | **Collateralized By** | **Collateral Coupon (%)** | **Collateral Maturity Date** | **Collateral Value Received ($)** |
| BNP Paribas, SA | 4.43 | 5/30/2025 | 6/2/2025 | 9800000 | 9803618 | U.S. Treasuries (including strips) | 0.5 | 8/31/2027 | 10016282 |
| **Total Repurchase Agreements** |  |  |  | 9800000 | 9803618 |  |  |  | 10016282 |

---

**Affiliated Central Funds**

Fiscal year to date information regarding the Fund's investments in Fidelity Central Funds, including the ownership percentage, is presented below.

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| Affiliate  | Value,<br> beginning<br> of period ($) | Purchases ($) | Sales<br> Proceeds ($) | Dividend<br> Income ($) | Realized<br> Gain (loss) ($) | Change in<br> Unrealized<br> appreciation<br> (depreciation) ($) | Value,<br> end<br> of period ($) | <br>Shares,<br> end<br> of period  | % ownership,<br> end<br> of period |
| Fidelity Cash Central Fund | 4764215 | 8547392 | 7784612 | 153574 | - | - | 5526995 | 5525890 | 0.0% |
| Total | 4764215 | 8547392 | 7784612 | 153574 | - | - | 5526995 |  |  |

---

Amounts in the dividend income column in the above table include any capital gain distributions from underlying funds, which are presented in the corresponding line item in the Consolidated Statement of Operations, if applicable.

Amounts included in the purchases and sales proceeds columns may include in-kind transactions, if applicable.

**Affiliated Underlying Funds**

Fiscal year to date information regarding the Fund's investments in affiliated underlying funds is presented below. Exchanges between classes of the same affiliated underlying funds may occur. If an underlying fund changes its name, the name presented below is the name in effect at period end.

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| Affiliate  | Value,<br> beginning<br> of period ($) | Purchases ($) | Sales<br> Proceeds ($) | Dividend<br> Income ($) | Realized<br> Gain (loss) ($) | Change in<br> Unrealized<br> appreciation<br> (depreciation) ($) | Value,<br> end<br> of period ($) | <br>Shares,<br> end<br> of period |
| Fidelity Investments Money Market Government Portfolio - Institutional Class | 112099976 | 1238090339 | 1104361968 | 6197641 | - | - | 245828347 | 245828346 |
| Fidelity SAI Alternative Risk Premia Commodity Strategy Fund | 122133571 | 3170068 | 65000000 | 3170068 | (2936342) | 3320563 | 60687860 | 6044608 |
| Fidelity SAI Alternative Risk Premia Strategy Fund | 39495555 | 20000000 | 30000000 | - | (1805541) | (740227) | 26949787 | 2813130 |
| Fidelity SAI Convertible Arbitrage Fund | 232097672 | 200226836 | - | 25226836 | - | 15866891 | 448191399 | 41005617 |
|  | 505826774 | 1461487243 | 1199361968 | 34594545 | (4741883) | 18447227 | 781657393 |  |

---

Amounts in the dividend income column in the above table include any capital gain distributions from underlying funds, which are presented in the corresponding line item in the Consolidated Statement of Operations, if applicable.

Amounts included in the purchases and sales proceeds columns may include in-kind transactions, if applicable.

**Investment Valuation**

The following is a summary of the inputs used, as of May 31, 2025, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used below, please refer to the Investment Valuation section in the accompanying Notes to Consolidated Financial Statements.

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Valuation Inputs at Reporting Date:** | **Valuation Inputs at Reporting Date:** | **Valuation Inputs at Reporting Date:** | **Valuation Inputs at Reporting Date:** | **Valuation Inputs at Reporting Date:** |
| **Description** | **Total ($)** | **Level 1 ($)** | **Level 2 ($)** | **Level 3 ($)** |
|  **<u>Investments in Securities:</u>** |  |  |  |  |
|  **Alternative Funds** | 2007949602 | 2007949602 | - | - |
|  **Asset-Backed Securities** | 12040892 | - | 12040892 | - |
|  **Collateralized Mortgage Obligations** | 3305938 | - | 3305938 | - |
|  **Fixed-Income Funds** | 267163619 | 267163619 | - | - |
|  **Foreign Government and Government Agency Obligations** | 33383 | - | 33383 | - |
|  **Non-Convertible Corporate Bonds** |  |  |  |  |
| Communication Services | 981166 | - | 981166 | - |
| Consumer Discretionary | 1788768 | - | 1788768 | - |
| Consumer Staples | 882716 | - | 882716 | - |
| Energy | 501384 | - | 501384 | - |
| Financials | 15048778 | - | 15048778 | - |
| Health Care | 1622989 | - | 1622989 | - |
| Industrials | 799081 | - | 799081 | - |
| Materials | 1100373 | - | 1100373 | - |
| Utilities | 989066 | - | 989066 | - |
|  **Repurchase Agreements** | 21100000 | - | 21100000 | - |
|  **U.S. Government Agency - Mortgage Securities** | 15128143 | - | 15128143 | - |
|  **Certificates of Deposit** | 582051 | - | 582051 | - |
|  **U.S. Treasury Obligations** | 4399387 | - | 4399387 | - |
|  **Money Market Funds** | 422155863 | 422155863 | - | - |
|  **Purchased Options** | 1245950 | 1245950 | - | - |
| **Total Investments in Securities:** | 2778819149 | 2698515034 | 80304115 | - |
|  **<u>Derivative Instruments:</u>** |  |  |  |  |
|  **Assets** |  |  |  |  |
| Futures Contracts | 15974461 | 15974461 | - | - |
| Forward Foreign Currency Contracts | 2933645 | - | 2933645 | - |
| Swaps | 13103999 | - | 13103999 | - |
| Total Assets | 32012105 | 15974261 | 16037644 | - |
|  **Liabilities** |  |  |  |  |
| Futures Contracts | (10900487) | (10900487) | - | - |
| Forward Foreign Currency Contracts | (4799700) | - | (4799700) | - |
| Swaps | (12546301) | - | (12546301) | - |
| Total Liabilities | (28246488) | (10900487) | (17346001) | - |
| **Total Derivative Instruments:** | 3765617 | 5073974 | (1308357) | - |
|  **<u>Other Financial Instruments:</u>** |  |  |  |  |
|  **TBA Sale Commitments** | (15201496) | - | (15201496) | - |
| **Total Other Financial Instruments:** | (15201496) | - | (15201496) | - |

---

**Value of Derivative Instruments**

The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of May 31, 2025. For additional information on derivative instruments, please refer to the Derivative Instruments section in the accompanying Notes to Consolidated Financial Statements.

---

| | | |
|:---|:---|:---|
| **Primary Risk Exposure / Derivative Type** <br>| **Value** | **Value** |
|  | **Asset ($)** | **Liability ($)** |
| **Commodity Risk** |  |  |
| Futures Contracts (a)  | 4156676 | (1809872) |
| **Total Commodity Risk**  | 4156676 | (1809872) |
| **Credit Risk** |  |  |
| Swaps (b)  | 1858373 | (31984) |
| **Total Credit Risk**  | 1858373 | (31984) |
| **Equity Risk** |  |  |
| Futures Contracts (a)  | 3226609 | (1514688) |
| Purchased Options (e)  | 1245950 | 0 |
| Swaps (c)  | 12201 | (10528) |
| **Total Equity Risk**  | 4484760 | (1525216) |
| **Foreign Exchange Risk** |  |  |
| Forward Foreign Currency Contracts (d)  | 2933645 | (4799700) |
| Futures Contracts (a)  | 5918603 | (5817764) |
| **Total Foreign Exchange Risk**  | 8852248 | (10617464) |
| **Interest Rate Risk** |  |  |
| Futures Contracts (a)  | 2672573 | (1758163) |
| Swaps (b)(c)  | 11233425 | (12503789) |
| **Total Interest Rate Risk**  | 13905988 | (14261952) |
| **Total Value of Derivatives** | 33258055 | (28246488) |

---

(a)Reflects gross cumulative appreciation (depreciation) on futures contracts as presented in the Consolidated Schedule of Investments. In the Consolidated Statement of Assets and Liabilities, the period end daily variation margin is included in receivable or payable for daily variation margin on futures contracts, and the net cumulative appreciation (depreciation) is included in Total accumulated earnings (loss).

(b)For centrally cleared swaps, reflects gross cumulative appreciation (depreciation) as presented in the Consolidated Schedule of Investments. In the Consolidated Statement of Assets and Liabilities, the period end daily variation margin for centrally cleared swaps is included in receivable or payable for daily variation margin on centrally cleared swaps, and the net cumulative appreciation (depreciation) for centrally cleared swaps is included in Total accumulated earnings (loss).

(c)For bi-lateral over-the-counter (OTC) swaps, reflects gross value which is presented in the Consolidated Statement of Assets and Liabilities in the bi-lateral OTC swaps, at value line-item(s).

(d)Gross value is presented in the Consolidated Statement of Assets and Liabilities in the unrealized appreciation/depreciation on forward foreign currency contracts line-item(s).

(e)Gross value is presented in the Consolidated Statement of Assets and Liabilities in the Investments in Securities at value line-item.

**Consolidated Financial Statements**

---

| | | |
|:---|:---|:---|
| **Consolidated Statement of Assets and Liabilities** | **Consolidated Statement of Assets and Liabilities** | **Consolidated Statement of Assets and Liabilities** |
| **As of May 31, 2025** | **As of May 31, 2025** | **As of May 31, 2025** |
| **Assets**  |  |  |
| Investment in securities, at value (including repurchase agreements of $21,100,000) - See accompanying schedule: |  |  |
| Unaffiliated issuers (cost $1,925,017,949) | $1991634761 |  |
| Fidelity Central Funds (cost $5,526,995) | 5526995 |  |
| Other affiliated issuers (cost $761,948,794) | 781657393 |  |
| Total Investment in Securities (cost $2,692,493,738) |  | $2778819149 |
| Segregated cash with brokers for derivative instruments |  | 75638420 |
| Foreign currency held at value (cost $1,300,779) |  | 1302047 |
| Receivable for investments sold |  | 22532750 |
| Receivable for TBA sale commitments |  | 15156789 |
| Unrealized appreciation on forward foreign currency contracts |  | 2933645 |
| Receivable for fund shares sold |  | 1126025 |
| Interest receivable |  | 902026 |
| Distributions receivable from Fidelity Central Funds |  | 19454 |
| Receivable for daily variation margin on centrally cleared swaps |  | 1847279 |
| Bi-lateral OTC swaps, at value |  | 120364 |
| Prepaid expenses |  | 6185 |
| Other receivables |  | 3080 |
| **Total assets** |  | 2900407213 |
| **Liabilities** |  |  |
| Segregated cash from brokers for derivative instruments | $290000 |  |
| Payable for investments purchased |  |  |
| Regular delivery | 11629926 |  |
| Delayed delivery | 15099383 |  |
| TBA sale commitments, at value | 15201496 |  |
| Unrealized depreciation on forward foreign currency contracts | 4799700 |  |
| Payable for fund shares redeemed | 23582497 |  |
| Bi-lateral OTC swaps, at value | 34841 |  |
| Accrued management fee | 336377 |  |
| Payable for daily variation margin on futures contracts | 887266 |  |
| Other payables and accrued expenses | 253536 |  |
| **Total liabilities** |  | 72115022 |
| **Net Assets**  |  | $2828292191 |
| Net Assets consist of: |  |  |
| Paid in capital |  | $2820723421 |
| Total accumulated earnings (loss) |  | 7568770 |
| **Net Assets** |  | $2828292191 |
| **Net Asset Value**, offering price and redemption price per share ($2,828,292,191 ÷ 284,018,607 shares) |  | $9.96 |

---

---

| | | |
|:---|:---|:---|
| **Consolidated Statement of Operations** | **Consolidated Statement of Operations** | **Consolidated Statement of Operations** |
| <br> **Year ended May 31, 2025** | <br> **Year ended May 31, 2025** | <br> **Year ended May 31, 2025** |
| **Investment Income** |  |  |
| Dividends: |  |  |
| Unaffiliated issuers |  | $73383048 |
| Affiliated issuers |  | 34594545 |
| Interest  |  | 10919519 |
| Income from Fidelity Central Funds  |  | 153574 |
| **Total income** |  | 119050686 |
| **Expenses** |  |  |
| Management fee | $9802380 |  |
| Custodian fees and expenses | 34107 |  |
| Independent trustees' fees and expenses | 13312 |  |
| Registration fees | 210393 |  |
| Audit fees | 129889 |  |
| Subsidiary directors' fees | 34240 |  |
| Legal | 44296 |  |
| Interest | 153 |  |
| Miscellaneous | 9138 |  |
| Total expenses before reductions | 10277908 |  |
| Expense reductions | (6532548) |  |
| Total expenses after reductions |  | 3745360 |
| **Net Investment income (loss)** |  | 115305326 |
| **Realized and Unrealized Gain (Loss)** |  |  |
| Net realized gain (loss) on: |  |  |
| Investment Securities: |  |  |
| Unaffiliated issuers  | (16693293) |  |
| Affiliated issuers | (4741883) |  |
| Forward foreign currency contracts | (1751296) |  |
| Foreign currency transactions | (229923) |  |
| Futures contracts | 2666547 |  |
| Swaps | (1694646) |  |
| Capital gain distributions from underlying funds: |  |  |
| Unaffiliated issuers | 9748741 |  |
| Total net realized gain (loss) |  | (12695753) |
| Change in net unrealized appreciation (depreciation) on: |  |  |
| Investment Securities: |  |  |
| Unaffiliated issuers (net of increase in deferred foreign taxes of $10,372) | 37067748 |  |
| Affiliated issuers  | 18447227 |  |
| Forward foreign currency contracts | (1353060) |  |
| Assets and liabilities in foreign currencies | 326479 |  |
| Futures contracts | 3760338 |  |
| Swaps | 1079610 |  |
| TBA sale commitments | (10723) |  |
| Total change in net unrealized appreciation (depreciation) |  | 59317619 |
| **Net gain (loss)** |  | 46621866 |
| **Net increase (decrease) in net assets resulting from operations** |  | $161927192 |

---

---

| | | |
|:---|:---|:---|
| **Consolidated Statement of Changes in Net Assets** | **Consolidated Statement of Changes in Net Assets** | **Consolidated Statement of Changes in Net Assets** |
|  | **Year ended**<br> **May 31, 2025** | **Year ended**<br> **May 31, 2024** |
| **Increase (Decrease) in Net Assets** |  |  |
| Operations |  |  |
| &nbsp;&nbsp;Net investment income (loss) | $115305326 | $70005324 |
| &nbsp;&nbsp;Net realized gain (loss) | (12695753)<br>| (64534726)<br>|
| &nbsp;&nbsp;Change in net unrealized appreciation (depreciation) | 59317619 | 109701718<br>|
| &nbsp;&nbsp;**Net increase (decrease) in net assets resulting from operations** | 161927192<br>| 115172316<br>|
| Distributions to shareholders | (101736688)<br>| (81454739)<br>|
| Share transactions |  |  |
| &nbsp;&nbsp;Proceeds from sales of shares | 1407311694 | 1130961331 |
| Reinvestment of distributions | 99442789<br>| 80897291<br>|
| &nbsp;&nbsp;Cost of shares redeemed | (1159333269) | (1203347842) |
| **Net increase (decrease) in net assets resulting from share transactions** | 347421214<br>| 8510780<br>|
| &nbsp;&nbsp;**Total increase (decrease) in net assets** | 407611718<br>| 42228357<br>|
| **Net Assets** |  |  |
| &nbsp;&nbsp;Beginning of period | 2420680473 | 2378452116<br>|
| &nbsp;&nbsp;End of period | $2828292191 | $2420680473 |
| **Other Information** |  |  |
| Shares |  |  |
| &nbsp;&nbsp;Sold | 142620726 | 116686401 |
| Issued in reinvestment of distributions | 10304952<br>| 8549062<br>|
| &nbsp;&nbsp;Redeemed | (118044627) | (124570257) |
| &nbsp;&nbsp;Net increase (decrease) | 34881051 | 665206 |

---

**Consolidated Financial Highlights** 

**Strategic Advisers® Alternatives Fund** <br>

---

| | | | |
|:---|:---|:---|:---|
| **Years ended May 31,** | **2025**  | **2024**  | **2023** A  |
| **Selected Per-Share Data**  |  |  |  |
| Net asset value, beginning of period  | $9.72 | $9.57 | $10.00 |
| Income from Investment Operations  |  |  |  |
| Net investment income (loss) B,C | .43  | .30  | .40  |
| Net realized and unrealized gain (loss)  | .17  | .22  | (.41)  |
| Total from investment operations  | .60  | .52  | (.01)  |
| Distributions from net investment income  | (.33)  | (.34)  | (.29)  |
| Distributions from net realized gain  | (.03)  | (.03)  | (.14)  |
| Total distributions  | (.36)  | (.37)  | (.42) D |
| Net asset value, end of period  | $9.96 | $9.72 | $9.57 |
| **Total Return** E,F | 6.32% <br>| 5.58%  | (.11)%  |
| **Ratios to Average Net Assets** C,G,H |  |  |  |
| Expenses before reductions  | .39%  | .36%  | .33% I,J |
| Expenses net of fee waivers, if any  | .14% <br>| .11%  | .08% I,J |
| Expenses net of all reductions, if any  | .14%  | .11%  | .08% I,J |
| Net investment income (loss)  | 4.42%  | 3.12%  | 4.62% J |
| **Supplemental Data** |  |  |  |
| Net assets, end of period (000 omitted) | $2828292 | $2420680 | $2378452 |
| Portfolio turnover rate K | 109% <br>| 106%  | 64% J |

---

A*For the period July 12, 2022 (commencement of operations) through May 31, 2023.*

B*Calculated based on average shares outstanding during the period.*

C*Net investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any mutual funds or ETFs is not included in the Fund's net investment income (loss) ratio.*

D*Total distributions per share do not sum due to rounding.*

E*Total returns for periods of less than one year are not annualized.*

F*Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.*

G*Fees and expenses of any underlying mutual funds or exchange-traded funds (ETFs) are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of these expenses. For additional expense information related to investments in Fidelity Central Funds, please refer to the "Investments in Fidelity Central Funds" note found in the Notes to Consolidated Financial Statements section of the most recent Annual or Semi-Annual report.*

H*Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment adviser, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur.*

I*Audit fees are not annualized.*

J*Annualized.*

K*Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs), derivatives or securities that mature within one year from acquisition.* 

**Notes to Consolidated Financial Statements**

For the period ended May 31, 2025

**1. Organization.**

Strategic Advisers Alternatives Fund (the Fund) is a non-diversified fund of Fidelity Rutland Square Trust II (the Trust), and is authorized to issue an unlimited number of shares. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Delaware statutory trust. The Fund is offered exclusively to certain managed account clients of Strategic Advisers LLC (Strategic Advisers), an affiliate of Fidelity Management & Research Company LLC (FMR).

**2. Consolidated Subsidiary.**

The Funds included in the table below hold certain commodity-related investments through a wholly owned subsidiary (the "Subsidiary"). As of period end, the investments in the Subsidiaries, were as follows:

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| | | | |
|:---|:---|:---|:---|
|  | **Subsidiary Name** | **Net Assets of Subsidiary** | **% of Fund's Total Assets** |
| **Strategic Advisers Alternatives Fund** | Strategic Advisers Alternatives Fund Cayman Ltd. | 5021216 | .17 |
| **Strategic Advisers Alternatives Fund** | Strategic Advisers Alternatives Fund Cayman Ltd. 2 | 22435315 | .77 |

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The financial statements have been consolidated to include the Subsidiary accounts where applicable. Accordingly, all inter-company transactions and balances have been eliminated.

**3. Significant Accounting Policies.**

The Fund is an investment company and applies the accounting and reporting guidance of the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946 *Financial Services - Investment Companies*. The consolidated financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America (GAAP), which require management to make certain estimates and assumptions at the date of the consolidated financial statements. Actual results could differ from those estimates. The Fund operates as a single operating segment. The Fund's income, expenses, assets, and performance are regularly monitored and assessed as a whole by the investment adviser and other individuals responsible for oversight functions of the Trust, using the information presented in the consolidated financial statements and consolidated financial highlights. Subsequent events, if any, through the date that the consolidated financial statements were issued have been evaluated in the preparation of the consolidated financial statements. The Fund's Consolidated Schedule of Investments lists any underlying mutual funds or exchange-traded funds but does not include the underlying holdings of these funds. The following summarizes the significant accounting policies of the Fund:

**Investment Valuation.** Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. The Board of Trustees (the Board) has designated the Fund's investment adviser as the valuation designee responsible for the fair valuation function and performing fair value determinations as needed. The investment adviser has established a Fair Value Committee (the Committee) to carry out the day-to-day fair valuation responsibilities and has adopted policies and procedures to govern the fair valuation process and the activities of the Committee. In accordance with these fair valuation policies and procedures, which have been approved by the Board, the Fund attempts to obtain prices from one or more third party pricing services or brokers to value its investments. When current market prices, quotations or currency exchange rates are not readily available or reliable, investments will be fair valued in good faith by the Committee, in accordance with the policies and procedures. Factors used in determining fair value vary by investment type and may include market or investment specific events, transaction data, estimated cash flows, and market observations of comparable investments. The frequency that the fair valuation procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee manages the Fund's fair valuation practices and maintains the fair valuation policies and procedures. The Fund's investment adviser reports to the Board information regarding the fair valuation process and related material matters.

The Fund categorizes the inputs to valuation techniques used to value its investments into a disclosure hierarchy consisting of three levels as shown below:

Level 1 - unadjusted quoted prices in active markets for identical investments

Level 2 - other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, etc.)

Level 3 - unobservable inputs (including the Fund's own assumptions based on the best information available)

Valuation techniques used to value the Fund's investments by major category are as follows:

Equity securities, including restricted securities, for which market quotations are readily available, are valued at the last reported sale price or official closing price as reported by a third party pricing service on the primary market or exchange on which they are traded and are categorized as Level 1 in the hierarchy. In the event there were no sales during the day or closing prices are not available, securities are valued at the last quoted bid price or may be valued using the last available price and are generally categorized as Level 2 in the hierarchy. For foreign equity securities, when market or security specific events arise, comparisons to the valuation of American Depositary Receipts (ADRs), futures contracts, Exchange-Traded Funds (ETFs) and certain indexes as well as quoted prices for similar securities may be used and would be categorized as Level 2 in the hierarchy. For equity securities, including restricted securities, where observable inputs are limited, assumptions about market activity and risk are used and these securities may be categorized as Level 3 in the hierarchy.

Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing services or from brokers who make markets in such securities. Corporate bonds, foreign government and government agency obligations and U.S. government and government agency obligations are valued by pricing services who utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. Asset backed securities, collateralized mortgage obligations, U.S. government agency mortgage securities and certificates of deposit are valued by pricing services who utilize matrix pricing which considers prepayment speed assumptions, attributes of the collateral, yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. Swaps are marked-to-market daily based on valuations from third party pricing services, registered derivatives clearing organizations (clearinghouses) or broker-supplied valuations. These pricing sources may utilize inputs such as interest rate curves, credit spread curves, default possibilities and recovery rates. When independent prices are unavailable or unreliable, debt securities and swaps may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing services. Debt securities and swaps are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.

The U.S. dollar value of forward foreign currency contracts is determined using currency exchange rates supplied by a pricing service and are categorized as Level 2 in the hierarchy. Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded and are categorized as Level 1 in the hierarchy. Exchange-traded options are valued using the last sale price or, in the absence of a sale, the last offering price and are categorized as Level 1 in the hierarchy. Investments in commodities are valued at their last traded price at 4:00 p.m. Eastern time each business day and are categorized as Level 1 in the hierarchy. Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value (NAV) each business day and are categorized as Level 1 in the hierarchy. If an unaffiliated open-end mutual fund's NAV is unavailable, shares of that fund may be valued by another method that the Board believes reflects fair value in accordance with the Board's fair value pricing policies and is categorized as Level 2 in the hierarchy. Short-term securities with remaining maturities of sixty days or less may be valued at amortized cost, which approximates fair value, and are categorized as Level 2 in the hierarchy.

Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The aggregate value of investments by input level as of May 31, 2025 is included at the end of the Fund's Consolidated Schedule of Investments.

**Foreign Currency.** Certain Funds may use foreign currency contracts to facilitate transactions in foreign-denominated securities. Gains and losses from these transactions may arise from changes in the value of the foreign currency or if the counterparties do not perform under the contracts' terms.

Foreign-denominated assets, including investment securities, and liabilities are translated into U.S. dollars at the exchange rates at period end. Purchases and sales of investment securities, income and dividends received, and expenses denominated in foreign currencies are translated into U.S. dollars at the exchange rate in effect on the transaction date.

The effects of exchange rate fluctuations on investments are included with the net realized and unrealized gain (loss) on investment securities. Other foreign currency transactions resulting in realized and unrealized gain (loss) are disclosed separately.

**Investment Transactions and Income.** For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV per share for processing shareholder transactions is calculated as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 p.m. Eastern time and includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost. Commissions paid to certain brokers with whom the investment adviser, or its affiliates, places trades on behalf of a fund include an amount in addition to trade execution, which may be rebated back to a fund. Any such rebates are included in net realized gain (loss) on investments in the Consolidated Statement of Operations. Dividend income is recorded on the ex-dividend date, except for certain dividends from foreign securities where the ex-dividend date may have passed, which are recorded as soon as the Fund is informed of the ex-dividend date. Non-cash dividends included in dividend income, if any, are recorded at the fair market value of the securities received. Income and capital gain distributions from Fidelity Central Funds, if any, are recorded on the ex-dividend date. Certain distributions received by the Fund represent a return of capital or capital gain. The Fund determines the components of these distributions subsequent to the ex-dividend date, based upon receipt of tax filings or other correspondence relating to the underlying investment. These distributions are recorded as a reduction of cost of investments and/or as a realized gain. Interest income is accrued as earned and includes coupon interest and amortization of premium and accretion of discount on debt securities as applicable. Investment income is recorded net of foreign taxes withheld where recovery of such taxes is uncertain.

**Expenses.** Expenses directly attributable to a fund are charged to that fund. Expenses attributable to more than one fund are allocated among the respective funds on the basis of relative net assets or other appropriate methods. Expenses included in the accompanying consolidated financial statements reflect the expenses of that fund and do not include any expenses associated with any underlying mutual funds or exchange-traded funds. Although not included in a fund's expenses, a fund indirectly bears its proportionate share of these expenses through the net asset value of each underlying mutual fund or exchange-traded fund. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.

**Deferred Trustee Compensation.** Under a Deferred Compensation Plan (the Plan) for certain Funds, certain independent Trustees have elected to defer receipt of a portion of their annual compensation. Deferred amounts are invested in affiliated mutual funds, are marked-to-market and remain in a fund until distributed in accordance with the Plan. The investment of deferred amounts and the offsetting payable to the Trustees presented below are included in the accompanying Consolidated Statement of Assets and Liabilities in other receivables and other payables and accrued expenses, as applicable.

---

| | |
|:---|:---|
| **Strategic Advisers Alternatives Fund** | $2180 |

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**Income Tax Information and Distributions to Shareholders.** Each year, the Fund intends to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code, including distributing substantially all of its taxable income and realized gains. As a result, no provision for U.S. Federal income taxes is required. As of May 31, 2025, the Fund did not have any unrecognized tax benefits in the consolidated financial statements; nor is the Fund aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months. The Fund files a U.S. federal tax return, in addition to state and local tax returns as required. The Fund's federal income tax returns are subject to examination by the Internal Revenue Service (IRS) for a period of three fiscal years after they are filed. State and local tax returns may be subject to examination for an additional fiscal year depending on the jurisdiction. Foreign taxes are provided for based on the Fund's understanding of the tax rules and rates that exist in the foreign markets in which it invests. The Fund is subject to a tax imposed on capital gains by certain countries in which it invests. An estimated deferred tax liability for net unrealized appreciation on the applicable securities is included in Other payables and accrued expenses on the Consolidated Statement of Assets and Liabilities.

The Subsidiary is classified as a controlled foreign corporation under Subchapter N of the Internal Revenue Code. Therefore, the Fund is required to increase its taxable income by its share of the Subsidiary's income. Net investment losses of the Subsidiary cannot be deducted by the Fund in the current period nor carried forward to offset taxable income in future periods.

Distributions are declared and recorded on the ex-dividend date. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP. In addition, the Fund claimed a portion of the payment made to redeeming shareholders as a distribution for income tax purposes.

Capital accounts within the consolidated financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Capital accounts are not adjusted for temporary book-tax differences which will reverse in a subsequent period.

Book-tax differences are primarily due to the short-term gain distributions from the underlying mutual funds or exchange-traded funds (ETFs), swaps, futures and options transactions, market discount, foreign currency transactions, controlled foreign corporations, capital loss carryforwards and losses deferred due to wash sales, futures transactions and excise tax regulations.

As of period end, the cost and unrealized appreciation (depreciation) in securities, and derivatives if applicable, for federal income tax purposes were as follows:

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| | |
|:---|:---|
| **Gross unrealized appreciation**  | $132504024 |
| **Gross unrealized depreciation**  | <u>(47849271)</u> |
| **Net unrealized appreciation (depreciation)**  | <u>$84654753</u> |
| **Tax Cost**  | <u>$2693235812</u> |

---

The tax-based components of distributable earnings as of period end were as follows:

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| | |
|:---|:---|
| **Undistributed ordinary income**  | <u>$19906567</u> |
| **Capital loss carryforward**  | <u>$(97031653)</u> |
| **Net unrealized appreciation (depreciation) on securities and other investments**  | <u>$84693856</u> |

---

Capital loss carryforwards are only available to offset future capital gains of the Fund to the extent provided by regulations and may be limited. The capital loss carryforward information presented below, including any applicable limitation, is estimated as of fiscal period end and is subject to adjustment.

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| | |
|:---|:---|
| Short-term | $(55062337) |
| Long-term | <u>(41969316)</u> |
| **Total capital loss carryforward** | <u>$(97031653)</u> |

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The tax character of distributions paid was as follows:

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| | | |
|:---|:---|:---|
|  | **May 31, 2025** | **May 31, 2024** |
| **Ordinary Income**  | $101736688 | $81454739 |

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**Repurchase Agreements.** Pursuant to an Exemptive Order issued by the Securities and Exchange Commission, funds and other registered investment companies having management contracts with Fidelity Management and Research Company LLC, or its affiliates are permitted to transfer uninvested cash balances into joint trading accounts which are then invested in repurchase agreements. Funds may also invest directly with institutions in repurchase agreements. Repurchase agreements may be collateralized by government or non-government securities. Upon settlement date, collateral is held in segregated accounts with custodian banks and may be obtained in the event of a default of the counterparty. The collateral balance is monitored on a daily basis to ensure it is at least equal to the principal amount of the repurchase agreement (including accrued interest). In the event of a default by the counterparty, realization of the collateral proceeds could be delayed, during which time the value of the collateral may decline.

**Reverse Repurchase Agreements.** To enhance their yield, funds may enter into reverse repurchase transactions under master repurchase agreements whereby a fund delivers securities to a counterparty in return for cash and agrees to repurchase those securities at a future date and agreed upon price. During the period that reverse repurchase transactions are outstanding, a fund identifies the securities as pledged in its records with an initial value at least equal to its principal obligation under the agreement. The cash proceeds received by a fund may be invested in other securities. To the extent cash proceeds received from the counterparty exceed the value of the securities delivered, the counterparty may request additional collateral from a fund. If the counterparty defaults on its obligation, because of insolvency or other reasons, a fund could experience delays and costs in recovering the securities delivered. If a fund has any open reverse repurchase agreements at period end, information regarding securities delivered under a reverse repurchase agreement is included at the end of the Consolidated Schedule of Investments, and the cash proceeds are recorded as a liability in the Consolidated Statement of Assets and Liabilities. A fund continues to receive interest and dividend payments on the securities delivered during the term of the reverse repurchase agreement. During the period, the average principal balance of reverse repurchase transactions and the weighted average interest rate with payments included in the Consolidated Statement of Operations as a component of interest expense is as follows:

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| | | |
|:---|:---|:---|
|  | **Average Loan Balance ($)** | **Weighted Average Interest Rate** |
| **Strategic Advisers Alternatives Fund** | 1007500 | 5.45 |

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**Delayed Delivery Transactions and When-Issued Securities.** During the period, certain Funds transacted in securities on a delayed delivery or when-issued basis. Payment and delivery may take place after the customary settlement period for that security. The price of the underlying securities and the date when the securities will be delivered and paid for are fixed at the time the transaction is negotiated. Securities purchased on a delayed delivery or when-issued basis are identified as such in the Consolidated Schedule of Investments. Compensation for interest forgone in the purchase of a delayed delivery or when-issued debt security may be received. With respect to purchase commitments, each applicable Fund identifies securities as segregated in its records with a value at least equal to the amount of the commitment. Payables and receivables associated with the purchases and sales of delayed delivery securities having the same coupon, settlement date and broker are offset. Delayed delivery or when-issued securities that have been purchased from and sold to different brokers are reflected as both payables and receivables in the Consolidated Statement of Assets and Liabilities under the caption "Delayed delivery", as applicable. Losses may arise due to changes in the value of the underlying securities or if the counterparty does not perform under the contract's terms, or if the issuer does not issue the securities due to political, economic, or other factors.

**To-Be-Announced (TBA) Securities and Mortgage Dollar Rolls.** TBA securities involve buying or selling mortgage-backed securities (MBS) on a forward commitment basis. A TBA transaction typically does not designate the actual security to be delivered and only includes an approximate principal amount; however delivered securities must meet specified terms defined by industry guidelines, including issuer, rate and current principal amount outstanding on underlying mortgage pools. Funds may enter into a TBA transaction with the intent to take possession of or deliver the underlying MBS, or a fund may elect to extend the settlement by entering into either a mortgage or reverse mortgage dollar roll. Mortgage dollar rolls are transactions where a fund sells TBA securities and simultaneously agrees to repurchase MBS on a later date at a lower price and with the same counterparty. Reverse mortgage dollar rolls involve the purchase and simultaneous agreement to sell TBA securities on a later date at a lower price. Transactions in mortgage dollar rolls and reverse mortgage dollar rolls are accounted for as purchases and sales and may result in an increase to a fund's portfolio turnover rate.

Purchases and sales of TBA securities involve risks similar to those discussed above for delayed delivery and when-issued securities. Also, if the counterparty in a mortgage dollar roll or a reverse mortgage dollar roll transaction files for bankruptcy or becomes insolvent, a fund's right to repurchase or sell securities may be limited. Additionally, when a fund sells TBA securities without already owning or having the right to obtain the deliverable securities (an uncovered forward commitment to sell), it incurs a risk of loss because it could have to purchase the securities at a price that is higher than the price at which it sold them. A fund may be unable to purchase the deliverable securities if the corresponding market is illiquid.

TBA securities subject to a forward commitment to sell at period end are included at the end of the Consolidated Schedule of Investments under the caption "TBA Sale Commitments." The value of these commitments and proceeds to be received at contractual settlement date are reflected in the Consolidated Statement of Assets and Liabilities as "TBA sale commitments, at value" and "Receivable for TBA sale commitments," respectively. If the TBA sale commitment is closed through the acquisition of an offsetting TBA purchase commitment, a fund realizes a gain or loss. If a fund delivers securities under the commitment, a fund realizes a gain or loss from the sale of the securities based upon the price established at the date the commitment was entered into.

**Restricted Securities (including Private Placements).** Funds may invest in securities that are subject to legal or contractual restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are registered. Disposal of these securities may involve time-consuming negotiations and expense, and prompt sale at an acceptable price may be difficult. Information regarding restricted securities held at period end is included at the end of the Consolidated Schedule of Investments, if applicable.

**New Accounting Pronouncements.** FASB Accounting Standards Update (ASU) 2023-07 Segment Reporting (Topic 280): Improvements to Reportable Segment Disclosures became effective in this reporting period. ASU 2023-07 enhances segment information disclosure in the notes to consolidated financial statements.

In December 2023, the FASB issued ASU 2023-09 Income Taxes (Topic 740): Improvements to Income Tax Disclosures. Effective for annual periods beginning after December 15, 2024, the amendments require greater disaggregation of disclosures related to income taxes paid. The ASU allows for early adoption and amendments should be applied on a prospective basis. Management is currently evaluating the impact of the ASU but does not expect this guidance to materially impact the consolidated financial statements.

**4. Derivative Instruments.**

**Risk Exposures and the Use of Derivative Instruments.** The Fund's investment objectives allow for various types of derivative instruments, including futures contracts, forward foreign currency contracts, options and swaps. Derivatives are investments whose value is primarily derived from underlying assets, indices or reference rates and may be transacted on an exchange or over-the-counter (OTC). Derivatives may involve a future commitment to buy or sell a specified asset based on specified terms, to exchange future cash flows at periodic intervals based on a notional principal amount, or for one party to make one or more payments upon the occurrence of specified events in exchange for periodic payments from the other party.

Derivatives were used to increase returns, to gain exposure to certain types of assets, to facilitate transactions in foreign-denominated securities and to manage exposure to certain risks as defined below. The success of any strategy involving derivatives depends on analysis of numerous economic factors, and if the strategies for investment do not work as intended, the objectives may not be achieved.

Derivatives were used to increase or decrease exposure to the following risk(s):

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| | |
|:---|:---|
| Commodity Risk | Commodity risk is the risk that the value of a commodity will fluctuate as a result of changes in market prices.<br>|
| Credit Risk | Credit risk relates to the ability of the issuer of a financial instrument to make further principal or interest payments on an obligation or commitment that it has to a fund.<br>|
| Equity Risk  | Equity risk relates to the fluctuations in the value of financial instruments as a result of changes in market prices (other than those arising from interest rate risk or foreign exchange risk), whether caused by factors specific to an individual investment, its issuer, or all factors affecting all instruments traded in a market or market segment.<br>|
| Foreign Exchange Risk  | Foreign exchange rate risk relates to fluctuations in the value of an asset or liability due to changes in currency exchange rates.<br>|
| Interest Rate Risk  | Interest rate risk relates to the fluctuations in the value of interest-bearing securities due to changes in the prevailing levels of market interest rates. |

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Funds are also exposed to additional risks from investing in derivatives, such as liquidity risk and counterparty credit risk. Liquidity risk is the risk that a fund will be unable to close out the derivative in the open market in a timely manner. Counterparty credit risk is the risk that the counterparty will not be able to fulfill its obligation to a fund. Derivative counterparty credit risk is managed through formal evaluation of the creditworthiness of all potential counterparties. On certain OTC derivatives such as forward foreign currency contracts and bi-lateral swaps, a fund attempts to reduce its exposure to counterparty credit risk by entering into an International Swaps and Derivatives Association, Inc. (ISDA) Master Agreement with each of its counterparties. The ISDA Master Agreement gives a fund the right to terminate all transactions traded under such agreement upon the deterioration in the credit quality of the counterparty beyond specified levels. The ISDA Master Agreement gives each party the right, upon an event of default by the other party or a termination of the agreement, to close out all transactions traded under such agreement and to net amounts owed under each transaction to one net payable by one party to the other. To mitigate counterparty credit risk on bi-lateral OTC derivatives, a fund receives collateral in the form of cash or securities once net unrealized appreciation on outstanding derivative contracts under an ISDA Master Agreement exceeds certain applicable thresholds, subject to certain minimum transfer provisions. The collateral received is held in segregated accounts with the custodian bank in accordance with the collateral agreements entered into between a fund, the counterparty and the custodian bank. A fund could experience delays and costs in gaining access to the collateral even though it is held by the custodian bank. The maximum risk of loss to a fund from counterparty credit risk related to bi-lateral OTC derivatives is generally the aggregate unrealized appreciation and unpaid counterparty payments in excess of any collateral pledged by the counterparty to a fund. A fund may be required to pledge collateral for the benefit of the counterparties on bi-lateral OTC derivatives in an amount not less than each counterparty's unrealized appreciation on outstanding derivative contracts, subject to certain minimum transfer provisions, and any such pledged collateral is identified in the Consolidated Schedule of Investments. Exchange-traded contracts are not covered by the ISDA Master Agreement; however counterparty credit risk related to these contracts may be mitigated by the protection provided by the exchange on which they trade. Counterparty credit risk related to centrally cleared swaps may be mitigated by the protection provided by the clearinghouse.

Investing in derivatives may involve greater risks than investing in the underlying assets directly and, to varying degrees, may involve risk of loss in excess of any initial investment and collateral received and amounts recognized in the Consolidated Statement of Assets and Liabilities. In addition, there may be the risk that the change in value of the derivative contract does not correspond to the change in value of the underlying instrument.

**Net Realized Gain (Loss) and Change in Net Unrealized Appreciation (Depreciation) on Derivatives.** The table below, which reflects the impacts of derivatives on the financial performance, summarizes the net realized gain (loss) and change in net unrealized appreciation (depreciation) for derivatives during the period as presented in the Consolidated Statement of Operations.

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| | | |
|:---|:---|:---|
| **Primary Risk Exposure / Derivative Type** | **Net Realized Gain (Loss)($)** | **Change in Net Unrealized Appreciation (Depreciation)($)** |
| **Strategic Advisers Alternatives Fund** |  |  |
| **Commodity Risk** |  |  |
| Futures Contracts | &nbsp;&nbsp;&nbsp;&nbsp; <u>(6187911)</u> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <u>1394562</u> |
| **Total Commodity Risk** | &nbsp;&nbsp;&nbsp;&nbsp; <u>(6187911)</u> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <u>1394562</u> |
| **Credit Risk** |  |  |
| Swaps | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <u>154356</u> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <u>1406176</u> |
| **Total Credit Risk** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <u>154356</u> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <u>1406176</u> |
| **Equity Risk** |  |  |
| Futures Contracts | 6043375 | 1737804 |
| Purchased Options | (1481015) | 346567 |
| Swaps | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <u>(197045)</u> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <u>(19473)</u> |
| **Total Equity Risk** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <u>4365315</u> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <u>2064898</u> |
| **Foreign Exchange Risk** |  |  |
| Futures Contracts | 4550095 | 100839 |
| Forward Foreign Currency Contracts | &nbsp;&nbsp;&nbsp;&nbsp; <u>(1751296)</u> | &nbsp;&nbsp;&nbsp;&nbsp; <u>(1353060)</u> |
| **Total Foreign Exchange Risk** | <u>2798799</u> | &nbsp;&nbsp;&nbsp;&nbsp; <u>(1252221)</u> |
| **Interest Rate Risk** |  |  |
| Futures Contracts | (1739012) | 527133 |
| Swaps | &nbsp;&nbsp;&nbsp;&nbsp; <u>(1651957)</u> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <u>(307093)</u> |
| **Total Interest Rate Risk** | &nbsp;&nbsp;&nbsp;&nbsp; <u>(3390969)</u> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <u>220040</u> |
| **Totals** | &nbsp;&nbsp;&nbsp;&nbsp; <u>(2260410)</u> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <u>3833455</u> |

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If there are any open positions at period end, a summary of the value of derivatives by primary risk exposure is included at the end of the Consolidated Schedule of Investments.

**Forward Foreign Currency Contracts.** Forward foreign currency contracts represent obligations to purchase or sell foreign currency on a specified future date at a price fixed at the time the contracts are entered into. Forward foreign currency contracts were used to facilitate transactions in foreign-denominated securities and to manage exposure to certain foreign currencies.

Forward foreign currency contracts are valued daily and fluctuations in exchange rates on open contracts are recorded as unrealized appreciation or (depreciation) and reflected in total accumulated earnings (loss) in the Consolidated Statement of Assets and Liabilities. When the contract is closed, a gain or loss is realized equal to the difference between the closing value and the value at the time it was opened. Non-deliverable forward foreign currency exchange contracts are settled with the counterparty in cash without the delivery of foreign currency. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on forward foreign currency contracts during the period is presented in the Consolidated Statement of Operations.

Any open forward foreign currency contracts at period end are presented in the Consolidated Schedule of Investments under the caption "Forward Foreign Currency Contracts." The contract amount and unrealized appreciation (depreciation) reflects each contract's exposure to the underlying currency at period end, and is representative of volume of activity during the period, unless an average contract value is presented in the table below.

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| | |
|:---|:---|
|  | **Average Contracts Amount ($)** |
| **Strategic Advisers Alternatives Fund** | 473060383 |

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**Futures Contracts.** A futures contract is an agreement between two parties to buy or sell a specified underlying instrument for a fixed price at a specified future date. Futures contracts were used to manage exposure to certain foreign currencies, the stock market, commodities market, bond market and fluctuations in interest rates.

Upon entering into a futures contract, a fund is required to deposit either cash or securities (initial margin) with a clearing broker in an amount equal to a certain percentage of the face value of the contract. Futures contracts are marked-to-market daily and subsequent daily payments are made or received by a fund depending on the daily fluctuations in the value of the futures contracts and are recorded as unrealized appreciation or (depreciation). This receivable and/or payable, if any, is included in daily variation margin on futures contracts in the Consolidated Statement of Assets and Liabilities. Realized gain or (loss) is recorded upon the expiration or closing of a futures contract. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on futures contracts during the period is presented in the Consolidated Statement of Operations.

Any open futures contracts at period end are presented in the Consolidated Schedule of Investments under the caption "Futures Contracts". The notional amount at value reflects each contract's exposure to the underlying instrument or index at period end, and is representative of volume of activity during the period, unless an average notional amount is presented in the table below.

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| | |
|:---|:---|
|  | **Average Notional Amount ($)** |
| **Strategic Advisers Alternatives Fund** | 1485007220 |

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Any securities deposited to meet initial margin requirements are identified in the Consolidated Schedule of Investments. Any cash deposited to meet initial margin requirements is presented as segregated cash with brokers for derivative instruments in the Consolidated Statement of Assets and Liabilities.

**Options.** Options give the purchaser the right, but not the obligation, to buy (call) or sell (put) an underlying security or financial instrument at an agreed exercise or strike price between or on certain dates. Options obligate the seller (writer) to buy (put) or sell (call) an underlying instrument at the exercise or strike price or cash settle an underlying derivative instrument if the holder exercises the option on or before the expiration date. Exchange-traded options were used to manage exposure to the market.

Upon entering into an options contract, a fund will pay or receive a premium. Premiums paid on purchased options are reflected as cost of investments and premiums received on written options are reflected as a liability on the Consolidated Statement of Assets and Liabilities. Certain options may be purchased or written with premiums to be paid or received on a future date. Options are valued daily and any unrealized appreciation (depreciation) is reflected in total accumulated earnings (loss) in the Consolidated Statement of Assets and Liabilities. When an option is exercised, the cost or proceeds of the underlying instrument purchased or sold is adjusted by the amount of the premium. When an option is closed, a gain or loss is realized depending on whether the proceeds or amount paid for the closing sale transaction is greater or less than the premium received or paid. When an option expires, gains and losses are realized to the extent of premiums received and paid, respectively. The net realized and unrealized gains (losses) on purchased options are included in the Consolidated Statement of Operations in net realized gain (loss) and change in net unrealized appreciation (depreciation) on investment securities. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on written options are presented in the Consolidated Statement of Operations.

Any open options at period end are presented in the Consolidated Schedule of Investments under the captions "Purchased Options," "Purchased Swaptions," "Written Options" and "Written Swaptions," as applicable, and are representative of volume of activity during the period.

Writing puts and buying calls tend to increase exposure to the underlying instrument while buying puts and writing calls tend to decrease exposure to the underlying instrument. For purchased options, risk of loss is limited to the premium paid, and for written options, risk of loss is the change in value in excess of the premium received.

**Swaps.** A swap is a contract between two parties to exchange future cash flows at periodic intervals based on a notional principal amount. A bi-lateral OTC swap is a transaction between a fund and a dealer counterparty where cash flows are exchanged between the two parties for the life of the swap. A centrally cleared swap is a transaction executed between a fund and a dealer counterparty, then cleared by a futures commission merchant (FCM) through a clearinghouse. Once cleared, the clearinghouse serves as a central counterparty, with whom a fund exchanges cash flows for the life of the transaction, similar to transactions in futures contracts.

Bi-lateral OTC swaps are marked-to-market daily and changes in value are reflected in the Consolidated Statement of Assets and Liabilities in the bi-lateral OTC swaps at value line items. Any upfront premiums paid or received upon entering a bi-lateral OTC swap to compensate for differences between stated terms of the swap and prevailing market conditions (e.g. credit spreads, interest rates or other factors) are recorded in total accumulated earnings (loss) in the Consolidated Statement of Assets and Liabilities and amortized to realized gain or (loss) ratably over the term of the swap. Any unamortized upfront premiums are presented in the Consolidated Schedule of Investments.

Centrally cleared swaps require a fund to deposit either cash or securities (initial margin) with the FCM, at the instruction of and for the benefit of the clearinghouse. Any securities deposited to meet initial margin requirements are identified in the Consolidated Schedule of Investments. Any cash deposited to meet initial margin requirements is presented in segregated cash with brokers for derivative instruments in the Consolidated Statement of Assets and Liabilities. Centrally cleared swaps are marked-to-market daily and subsequent payments (variation margin) are made or received depending on the daily fluctuations in the value of the swaps and are recorded as unrealized appreciation or (depreciation). These daily payments, if any, are included in receivable or payable for daily variation margin on centrally cleared swaps in the Consolidated Statement of Assets and Liabilities. Any premiums for centrally cleared swaps are recorded periodically throughout the term of the swap to variation margin and included in total accumulated earnings (loss) in the Consolidated Statement of Assets and Liabilities. Any premiums are recognized as realized gain (loss) upon termination or maturity of the swap.

For both bi-lateral and centrally cleared swaps, payments are exchanged at specified intervals, accrued daily commencing with the effective date of the contract and recorded as realized gain or (loss). Some swaps may be terminated prior to the effective date and realize a gain or loss upon termination. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on swaps during the period is presented in the Consolidated Statement of Operations.

Any open swaps at period end are included in the Consolidated Schedule of Investments under the caption "Swaps", and are representative of volume of activity during the period, unless an average notional amount is presented in the table below.

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| | |
|:---|:---|
|  | **Average Notional Amount ($)** |
| **Strategic Advisers Alternatives Fund** | 1300434271 |

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**Credit Default Swaps.** Credit default swaps enable a fund to buy or sell protection against specified credit events on a single-name issuer or a traded credit index. Under the terms of a credit default swap the buyer of protection (buyer) receives credit protection in exchange for making periodic payments to the seller of protection (seller) based on a fixed percentage applied to a notional principal amount. In return for these payments, the seller will be required to make a payment upon the occurrence of one or more specified credit events. A fund enters into credit default swaps as a seller to gain credit exposure to an issuer and/or as a buyer to obtain a measure of protection against defaults of an issuer. Periodic payments are made over the life of the contract by the buyer provided that no credit event occurs.

For credit default swaps on most corporate and sovereign issuers, credit events include bankruptcy, failure to pay or repudiation/moratorium. For credit default swaps on corporate or sovereign issuers, the obligation that may be put to the seller is not limited to the specific reference obligation described in the Consolidated Schedule of Investments. For credit default swaps on asset-backed securities, a credit event may be triggered by events such as failure to pay principal, maturity extension, rating downgrade or write-down. For credit default swaps on asset-backed securities, the reference obligation described represents the security that may be put to the seller. For credit default swaps on a traded credit index, a specified credit event may affect all or individual underlying securities included in the index.

As a seller, if an underlying credit event occurs, a fund will pay a net settlement amount of cash equal to the notional amount of the swap less the recovery value of the reference obligation or underlying securities comprising an index. Only in the event of the industry's inability to value the underlying asset will a fund be required to take delivery of the reference obligation or underlying securities comprising an index and pay an amount equal to the notional amount of the swap.

As a buyer, if an underlying credit event occurs, a fund will receive a net settlement amount of cash equal to the notional amount of the swap less the recovery value of the reference obligation or underlying securities comprising an index. Only in the event of the industry's inability to value the underlying asset will a fund be required to deliver the reference obligation or underlying securities comprising an index in exchange for payment of an amount equal to the notional amount of the swap.

Typically, the value of each credit default swap and credit rating disclosed for each reference obligation in the Consolidated Schedule of Investments, where a fund is the seller, can be used as measures of the current payment/performance risk of the swap. As the value of the swap changes as a positive or negative percentage of the total notional amount, the payment/performance risk may decrease or increase, respectively. In addition to these measures, the investment adviser monitors a variety of factors including cash flow assumptions, market activity and market sentiment as part of its ongoing process of assessing payment/performance risk.

**Interest Rate Swaps.** Interest rate swaps are agreements between counterparties to exchange cash flows, one based on a fixed rate, and the other on a floating rate. A fund enters into interest rate swaps to manage its exposure to interest rate changes. Changes in interest rates can have an effect on both the value of bond holdings as well as the amount of interest income earned. In general, the value of bonds can fall when interest rates rise and can rise when interest rates fall.

**Total Return Swaps.** Total return swaps are agreements between counterparties to exchange cash flows, one based on a market-linked return of an individual asset or a basket of assets (i.e., an index), and the other on a fixed or floating rate. To the extent the total return of the instrument or index underlying the transaction exceeds or falls short of the offsetting payment obligation, a fund will receive a payment from or make a payment to the counterparty. A fund enters into total return swaps to manage its market exposure.

**5. Purchases and Sales of Investments.**

Purchases and sales of securities, other than short-term securities, U.S. government securities and in-kind transactions, as applicable, are noted in the table below.

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| | | |
|:---|:---|:---|
|  | **Purchases ($)** | **Sales ($)** |
| **Strategic Advisers Alternatives Fund** | 2625684311 | 2420478834 |

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**6. Fees and Other Transactions with Affiliates.**

**Management Fee**. Strategic Advisers (the investment adviser) provides the Fund with investment management related services. For these services, the Fund pays a monthly management fee to the investment adviser. The management fee is calculated by adding the annual management fee rate of .25% of the Fund's average net assets throughout the month to the aggregate of the fee rates, payable monthly by the investment adviser, to the Fund's sub-advisers. The Fund's maximum aggregate management fee will not exceed 2.00% of the Fund's average net assets. For the reporting period, the total annual management fee rate was .38% of the Fund's average net assets.

During the period, the investment adviser waived a portion of its management fee as described in the Expense Reductions note.

**Sub-Advisers.** Capital Fund Management S.A., Fidelity Diversifying Solutions LLC (an affiliate of the investment adviser) and Pacific Investment Management Company LLC each served as a sub-adviser for the Fund during the period. Sub-advisers provide discretionary investment advisory services for their allocated portion of the Fund's assets and are paid as described in the Management Fee note.

FIL Investment Advisers (FIL) has been retained to serve as a sub-adviser for the Fund. As of the date of this report, however, FIL has not been allocated any portion of the Fund's assets. FIL in the future may provide discretionary investment advisory services for an allocated portion of the Fund's assets and will be paid by the investment adviser for providing these services.

Effective January 1, 2025, the sub-subadvisory agreements between Fidelity Diversifying Solutions LLC (FDS) and each of FMR Investment Management (UK) Limited, Fidelity Management & Research (Hong Kong) Limited, and Fidelity Management & Research (Japan) Limited (collectively, the Sub-Subadvisers) were amended. FDS or an affiliate, and not the fund, pays the Sub-Subadvisers. Under the terms of the sub-subadvisory agreements, FDS or an affiliate pays each Sub-Subadviser monthly fees equal to 110% of the Sub-Subadviser's costs for providing sub-subadvisory services.

**Interfund Trades.** Funds may purchase from or sell securities to other Fidelity Funds under procedures adopted by the Board of Trustees. The procedures have been designed to ensure these interfund trades are executed in accordance with Rule 17a-7 of the 1940 Act. Any interfund trades are included within the respective purchases and sales amounts shown in the Purchases and Sales of Investments note. During the period, there were no interfund trades.

**7. Investments in Fidelity Central Funds.**

Funds may invest in Fidelity Central Funds, which are open-end investment companies generally available only to other investment companies and accounts managed by the investment adviser and its affiliates. The Consolidated Schedule of Investments lists any Fidelity Central Funds held as an investment as of period end, but does not include the underlying holdings of each Fidelity Central Fund. An investing fund indirectly bears its proportionate share of the expenses of the underlying Fidelity Central Funds.

Based on its investment objective, each Fidelity Central Fund may invest or participate in various investment vehicles or strategies that are similar to those of the investing fund. These strategies are consistent with the investment objectives of the investing fund and may involve certain economic risks which may cause a decline in value of each of the Fidelity Central Funds and thus a decline in the value of the investing fund.

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| | | | | |
|:---|:---|:---|:---|:---|
| **Fidelity Central Fund** | **Investment Manager** | **Investment Objective** | **Investment Practices** | **Expense RatioA** |
| Fidelity Money Market Central Funds | Fidelity Management & Research Company LLC (FMR) | Each fund seeks to obtain a high level of current income consistent with the preservation of capital and liquidity. | Short-term Investments | Less than .005% |

---

*A Expenses expressed as a percentage of average net assets and are as of each underlying Central Fund's most recent annual or semi-annual shareholder report.* 

A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the Securities and Exchange Commission website at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds, which are not covered by the Report of Independent Registered Public Accounting Firm, are available on the Securities and Exchange Commission website or upon request.

**8. Committed Line of Credit.**

Certain Funds participate with other funds managed by the investment adviser or an affiliate in a $4.25 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes.

Commitment fees are charged based on the unused amount of the line of credit at an annual rate of .10%, and then allocated to each participating fund based on its pro-rata portion of the line of credit. The commitment fees are reflected in Miscellaneous expenses on the Consolidated Statement of Operations, and are listed below.

Interest is charged to a participating fund based on its borrowings at an annual rate of .75% plus the highest of (i) daily SOFR plus a .10% spread adjustment, (ii) Federal Funds Effective Rate, or (iii) Overnight Bank Funding Rate. During the period, there were no borrowings on this line of credit.

The line of credit agreement will expire in March 2026 unless extended or renewed.

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| | |
|:---|:---|
|  | **Amount ($)** |
| **Strategic Advisers Alternatives Fund** | 2255 |

---

**9. Expense Reductions.** 

The investment adviser has contractually agreed to waive the Fund's management fee in an amount equal to .25% of the Fund's average net assets until September 30, 2027. During the period, this waiver reduced the Fund's management fee by $6,532,548.

**10. Other.**

A fund's organizational documents provide former and current trustees and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the fund. In the normal course of business, a fund may also enter into contracts that provide general indemnifications. A fund's maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against a fund. The risk of material loss from such claims is considered remote.

Funds do not invest in underlying mutual funds for the purpose of exercising management or control; however, investments by funds within their principal investment strategies may represent a significant portion of the underlying mutual fund's net assets. At the end of the period, certain Funds were the owners of record of 10% or more of the total outstanding shares of the following underlying mutual funds as shown below.

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| | |
|:---|:---|
| **Fund**  | **Strategic Advisers Alternatives Fund** |
| **Fidelity SAI Alternative Risk Premia Commodity Strategy Fund** | 97% |
| **Fidelity SAI Alternative Risk Premia Strategy Fund** | 93% |
| **Fidelity SAI Convertible Arbitrage Fund** | 100% |

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**11. Risk and Uncertainties.**

Many factors affect a fund's performance. Developments that disrupt global economies and financial markets, such as pandemics, epidemics, outbreaks of infectious diseases, war, terrorism, and environmental disasters, may significantly affect a fund's investment performance. The effects of these developments to a fund will be impacted by the types of securities in which a fund invests, the financial condition, industry, economic sector, and geographic location of an issuer, and a fund's level of investment in the securities of that issuer. Significant concentrations in security types, issuers, industries, sectors, and geographic locations may magnify the factors that affect a fund's performance.

**Report of Independent Registered Public Accounting Firm**

To the Board of Trustees of Fidelity Rutland Square Trust II and Shareholders of Strategic Advisers Alternatives Fund

***Opinion on the Financial Statements***

We have audited the accompanying consolidated statement of assets and liabilities, including the consolidated schedule of investments, of Strategic Advisers Alternatives Fund and its subsidiaries (one of the funds constituting Fidelity Rutland Square Trust II, referred to hereafter as the "Fund") as of May 31, 2025, the related consolidated statement of operations for the year ended May 31, 2025, the consolidated statement of changes in net assets for each of the two years in the period ended May 31, 2025, including the related notes, and the financial highlights for each of the two years in the period ended May 31, 2025 and for the period July 12, 2022 (commencement of operations) through May 31, 2023 (collectively referred to as the "consolidated financial statements"). In our opinion, the consolidated financial statements present fairly, in all material respects, the financial position of the Fund as of May 31, 2025, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period ended May 31, 2025 and the financial highlights for each of the two years in the period ended May 31, 2025 and for the period July 12, 2022 (commencement of operations) through May 31, 2023 in conformity with accounting principles generally accepted in the United States of America.

***Basis for Opinion***

These consolidated financial statements are the responsibility of the Fund's management. Our responsibility is to express an opinion on the Fund's consolidated financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audits of these consolidated financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the consolidated financial statements are free of material misstatement, whether due to error or fraud.

Our audits included performing procedures to assess the risks of material misstatement of the consolidated financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the consolidated financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the consolidated financial statements. Our procedures included confirmation of securities owned as of May 31, 2025 by correspondence with the custodian and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.

/s/ PricewaterhouseCoopers LLP

Boston, Massachusetts

July 24, 2025

We have served as the auditor of one or more investment companies in the Fidelity group of funds since 1932.

**Distributions** **(Unaudited)**

The dividend and capital gains distributions for the fund(s) are available on *Fidelity.com* or *Institutional.Fidelity.com*.

A total of 16.43% of the dividends distributed during the fiscal year was derived from interest on U.S. Government securities which is generally exempt from state income tax.

The fund designates 3% of the dividend distributed during the fiscal year as qualifying for the dividends-received deduction for corporate shareholders.

The fund designates 3.95% of the dividend distributed during the fiscal year as amounts which may be taken into account as a dividend for the purposes of the maximum rate under section 1(h)(11) of the Internal Revenue Code.

The fund will notify shareholders in January 2026 of amounts for use in preparing 2025 income tax returns.

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

**(Unaudited)**

Note: This is not applicable for any fund included in this document.

**Item 9: Proxy Disclosures for Open-End Management Investment Companies**

**(Unaudited)**

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| | | |
|:---|:---|:---|
| A special meeting of shareholders was held on July 9, 2024. The results of votes taken among shareholders on the proposal before them are reported below. Each vote reported represents one dollar of net asset value held on the record date for the meeting. | A special meeting of shareholders was held on July 9, 2024. The results of votes taken among shareholders on the proposal before them are reported below. Each vote reported represents one dollar of net asset value held on the record date for the meeting. | A special meeting of shareholders was held on July 9, 2024. The results of votes taken among shareholders on the proposal before them are reported below. Each vote reported represents one dollar of net asset value held on the record date for the meeting. |
| **Proposal 1** | **Proposal 1** | **Proposal 1** |
| To elect a Board of Trustees. | To elect a Board of Trustees. | To elect a Board of Trustees. |
|  | **# of**<br> **Votes** | **% of**<br> **Votes** |
| Charles S. Morrison | Charles S. Morrison | Charles S. Morrison |
| Affirmative | 381775585183.64 | 95.17 |
| Withheld  | 19363639577.49 | 4.83 |
| TOTAL  | 401139224761.13 | 100.00 |
| Nancy D. Prior | Nancy D. Prior | Nancy D. Prior |
| Affirmative | 381252305731.53 | 95.04 |
| Withheld  | 19886919029.60 | 4.96 |
| TOTAL  | 401139224761.13 | 100.00 |
| Mary C. Farrell | Mary C. Farrell | Mary C. Farrell |
| Affirmative | 381226030239.11 | 95.04 |
| Withheld  | 19913194522.02 | 4.96 |
| TOTAL  | 401139224761.13 | 100.00 |
| Karen Kaplan | Karen Kaplan | Karen Kaplan |
| Affirmative | 381519946847.38 | 95.11 |
| Withheld  | 19619277913.75 | 4.89 |
| TOTAL  | 401139224761.13 | 100.00 |
| Christine Marcks | Christine Marcks | Christine Marcks |
| Affirmative | 380186327029.51 | 94.78 |
| Withheld  | 20952897731.62 | 5.22 |
| TOTAL  | 401139224761.13 | 100.00 |
| Harold Singleton III | Harold Singleton III | Harold Singleton III |
| Affirmative | 382499458473.65 | 95.35 |
| Withheld  | 18639766287.48 | 4.65 |
| TOTAL  | 401139224761.13 | 100.00 |
| Heidi L. Steiger | Heidi L. Steiger | Heidi L. Steiger |
| Affirmative | 380661676515.00 | 94.90 |
| Withheld  | 20477548246.13 | 5.10 |
| TOTAL  | 401139224761.13 | 100.00 |
| **Proposal 2** | **Proposal 2** | **Proposal 2** |
| To approve a sub-advisory agreement among Strategic Advisers, FIL Investment Advisors (FIA), and the trust and a sub-subadvisory agreement between FIA and FIL Investment Advisors (UK) Limited (FIA (UK)). | To approve a sub-advisory agreement among Strategic Advisers, FIL Investment Advisors (FIA), and the trust and a sub-subadvisory agreement between FIA and FIL Investment Advisors (UK) Limited (FIA (UK)). | To approve a sub-advisory agreement among Strategic Advisers, FIL Investment Advisors (FIA), and the trust and a sub-subadvisory agreement between FIA and FIL Investment Advisors (UK) Limited (FIA (UK)). |
|  | **# of**<br> **Votes** | **% of**<br> **Votes** |
| Affirmative | 2290814974.83 | 93.39 |
| Against | 70839534.12 | 2.89 |
| Abstain | 91384593.69 | 3.73 |
| TOTAL | 2453039102.64 | 100.00 |
| Proposal 1 reflects trust-wide proposal and voting results. | Proposal 1 reflects trust-wide proposal and voting results. | Proposal 1 reflects trust-wide proposal and voting results. |

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**Item 10: Remuneration Paid to Directors, Officers, and others of Open-End Management Investment Companies**

**(Unaudited)**

Note: This information is disclosed as part of the consolidated financial statements for each Fund as part of Item 7: Consolidated Financial Statements and Consolidated Financial Highlights for Open-End Management Investment Companies.

**Item 11: Statement Regarding Basis for Approval of Investment Advisory Contract**

**(Unaudited)**

**Board Approval of Amended Sub-Subadvisory Agreements**

**Strategic Advisers Alternatives Fund**

In December 2024, the Board of Trustees, including the Independent Trustees (together, the Board) voted to approve amendments to the existing sub-subadvisory agreements between Fidelity Diversifying Solutions LLC (FDS) and each of FMR Investment Management (UK) Limited (FMR UK), Fidelity Management & Research (Japan) Limited (FMR Japan), and Fidelity Management & Research (Hong Kong) Limited (FMR H.K., and together with FMR UK and FMR Japan, the Sub-Subadvisers) (the Amended Agreements). The Amended Agreements will be effective January 1, 2025.

The Board considered the Amended Agreements, which simplified the calculation of the fees paid to the Sub-Subadvisers under the agreements. The Board noted that the agreements with the Sub-Subadvisers were amended to provide that FDS or an affiliate will compensate each Sub-Subadviser at a fee rate equal to 110% of the Sub-Subadviser's costs incurred in providing services under the agreement. The Board considered that under the Amended Agreements, FDS or an affiliate will compensate each Sub-Subadviser, and that the fund and Strategic Advisers are not responsible for any such fees. The Board also considered that the changes will not impact the sub-advisory fees paid under the existing sub-advisory agreements with FDS. The Board noted that no other material contract terms are impacted by the Amended Agreements.

The Board considered that the approval of the Amended Agreements will not result in any changes in the investment process or strategies employed by FDS in the management of the fund's assets or their day-to-day management of the fund or the persons primarily responsible for such management. Further, the Board considered that the Amended Agreements would not change the obligations and services of FDS and its affiliates on behalf of the fund, and, in particular, there would be no change in the nature and level of services provided to the fund by FDS and its affiliates.

The Board considered that the existing sub-advisory and sub-subadvisory agreements for the fund were recently renewed by the Board in September 2024 and that the Board will consider their renewal again in September 2025. In connection with its consideration of future renewals, the Board will consider: (i) the nature, extent and quality of services provided to the fund, including shareholder and administrative services and investment performance; (ii) the competitiveness of the management fee and total expenses for the fund; (iii) the costs of the services and profitability, including the revenues earned and the expenses incurred in conducting the business of developing, marketing, distributing, managing, administering, and servicing the fund and its shareholders, to the extent applicable; and (iv) whether there have been economies of scale in respect of the Strategic Advisers funds, whether the Strategic Advisers funds (including the fund) have appropriately benefited from any such economies of scale, and whether there is the potential for realization of any further economies.

Based on its evaluation of all of the conclusions noted above, and after considering all factors it believed relevant, the Board concluded that each Amended Agreement's fee structure bears a reasonable relationship to the services to be rendered and each Amended Agreements is in the best interests of the fund and its shareholders and should be approved. In addition, the Board concluded that the approval of each Amended Agreement does not involve a conflict of interest from which Strategic Advisers or its affiliates derive an inappropriate advantage.

**Board Approval of Amended Sub-Advisory Agreements** 

**Strategic Advisers Alternatives Fund**

In March 2025, the Board of Trustees, including the Independent Trustees (together, the Board) voted to approve (i) an amendment to the existing sub-advisory agreement among Strategic Advisers LLC (Strategic Advisers), Capital Fund Management S.A. (CFM), and Fidelity Rutland Square Trust II (Trust) on behalf of the fund to add a new investment mandate and update the address for notice of Strategic Advisers (Amended CFM Agreement), and (ii) an amendment to the fee schedule in the existing sub-advisory agreement among Strategic Advisers, FIL Investment Advisors (FIL and together with CFM, the Sub-Advisers), and the Trust on behalf of the fund (Amended FIL Agreement and together with the Amended CFM Agreement, the Amended Agreements). The Board noted that the updated fee schedule in the Amended FIL Agreement will result in the same or lower fees at all asset levels. The Board also noted that no other material contract terms are impacted by the Amended Agreements. The Board, assisted by the advice of fund counsel and Independent Trustees' counsel, considered a broad range of information.

In considering whether to approve each Amended Agreement, the Board reached a determination, with the assistance of fund counsel and Independent Trustees' counsel and through the exercise of its business judgment, that the approval of each Amended Agreement is in the best interests of the fund and its shareholders and does not involve a conflict of interest from which Strategic Advisers or its affiliates derive an inappropriate advantage. The Board's decision to approve each Amended Agreement was not based on any single factor, but rather was based on a comprehensive consideration of all the information provided to the Board. In addition, individual Trustees did not necessarily attribute the same weight or importance to each factor.

**Nature, Extent, and Quality of Services Provided.** With respect to the new CFM mandate, the Board considered the backgrounds of the investment personnel that will provide services to the fund, the fund's investment objective, strategies and related investment philosophy, the current sub-adviser line-up, and the structure of the investment personnel compensation programs and whether such structure provides appropriate incentives to act in the best interests of the fund.

With respect to the Amended FIL Agreement, the Board also considered that it reviewed this information regarding FIL in connection with the Board's initial approval of the sub-advisory contract at its March 2024 meeting.

With respect to the new CFM mandate, the Board noted its familiarity with the nature, extent and quality of services provided by CFM to the fund with a different investment mandate, and that many of the same support staff, including compliance personnel, that currently provide services to the fund will also provide services to the fund for the new CFM mandate. The Board also took into consideration additional information regarding the investment mandate provided by Strategic Advisers and CFM.

<u>Resources Dedicated to Investment Management and Support Services.</u> With respect to the new CFM mandate, the Board reviewed the general qualifications and capabilities of CFM's investment staff, use of technology, and approach to managing and compensating investment personnel. The Board noted that CFM's analysts have extensive resources, tools and capabilities which allow them to conduct sophisticated fundamental and/or quantitative analysis. Additionally, in its deliberations, the Board considered CFM's trading capabilities and resources and compliance infrastructure, which are integral parts of the investment management process, and its investment in business continuity planning.

With respect to the updated FIL fee schedule, the Board noted that it had approved the existing sub-advisory agreement with FIL at its March 2024 meeting and that the Amended FIL Agreement will not result in any changes to: (i) the nature, extent and quality of the services provided; (ii) the fund's investment processes or strategies; or (iii) the persons primarily responsible for the day-to-day management of the fund.

<u>Shareholder and Administrative Services.</u> With respect to the new CFM mandate, the Board considered (i) the nature, extent, quality, and cost of advisory services to be performed by CFM under the Amended CFM Agreement; and (ii) the resources to be devoted to the fund's compliance policies and procedures.

<u>Investment Performance.</u> With respect to the new CFM mandate, the Board considered the historical investment performance of CFM and its portfolio managers in managing accounts under a similar investment mandate. With respect to the updated FIL fee schedule, the Board did not consider performance to be a material factor in its decision to approve the Amended FIL because the approval of the Amended Agreement will not result in any changes to: (i) the fund's investment processes or strategies; or (ii) the persons primarily responsible for the day-to-day management of the fund.

Based on its review, the Board concluded that the nature, extent, and quality of services that will be provided to the fund under each Amended Agreement should benefit or continue to benefit the fund's shareholders.

**Competitiveness of Management Fee and Total Fund Expenses.** With respect to the new CFM mandate, the Board considered the amount and nature of the fees to be paid by the fund to Strategic Advisers and by Strategic Advisers to CFM, as well as the projected change in the fund's management fee and total operating expenses, if any, as a result of hiring CFM for the new mandate.

The Board noted that each Amended Agreement will not result in changes to the maximum aggregate annual management fee payable by the fund or Strategic Advisers' portion of the management fee. The Board considered Strategic Advisers' contractual agreement to waive its portion of the fund's management fee.

With respect to the new CFM mandate and the updated FIL fee schedule, the Board considered that the approval of each Amended Agreement will not initially result in any changes to the fund's management fee or total net expenses because Strategic Advisers does not expect to allocate assets to the new mandate, and has not currently allocated assets to the FIL mandate, at this time.

Based on its review, the Board concluded that the fund's management fee structure and any changes to projected total expenses bear a reasonable relationship to the services that the fund and its shareholders will receive and the other factors considered.

**Costs of the Services and Profitability.** Because each Amended Agreement was negotiated at arm's length and will have no impact on the maximum management fees payable by the fund or Strategic Advisers' portion of the management fee, the Board did not consider the costs of services and profitability to be significant factors in its decision to approve each Amended Agreement.

**Potential Fall-Out Benefits.** The Board considered that it reviews information regarding the potential of direct and indirect benefits to Strategic Advisers and its affiliates from their relationships with the fund, including non-advisory fee compensation paid to affiliates of Strategic Advisers, if any, as well as information regarding potential fall-out benefits accruing to each sub-adviser, if any, as a result of its relationship with the fund, during its annual renewal of the fund's management contract, sub-advisory agreements, and sub-subadvisory agreements. The Board considered Strategic Advisers' representation that it does not anticipate that the approval of each Amended Agreement will have a significant impact on the profitability of, or potential fall-out benefits to, Strategic Advisers or its affiliates.

**Possible Economies of Scale.** The Board considered that it reviews whether there have been economies of scale in connection with the management of the fund during its annual renewal of the fund's management contract, sub-advisory agreements, and sub-subadvisory agreements. The Board noted that the Amended CFM Agreement (with respect to the new mandate) will provide and the Amended FIL Agreement will continue to provide for breakpoints that have the potential to reduce sub-advisory fees paid to the Sub-Adviser as assets allocated to the Sub-Adviser grow. The Board also noted that it did not consider the possible realization of economies of scale to be a significant factor in its decision to approve the Amended FIL Agreement because the fund will not bear any additional expenses under the Amended FIL Agreement.

**Conclusion.** Based on its evaluation of all of the conclusions noted above, and after considering all factors it believed relevant, the Board concluded that each Amended Agreement's fee structure bears a reasonable relationship to the services to be rendered and that each Amended Agreement is in the best interests of the fund and its shareholders and should be approved. In addition, the Board concluded that the approval of each Amended Agreement does not involve a conflict of interest from which Strategic Advisers or its affiliates derive an inappropriate advantage.

![](img109675_4.jpg)<br>

1.9905800.102 SAA-ANN-0725

Item 8.

<u>Changes in and Disagreements with Accountants for Open-End Management Investment Companies</u>

See Item 7.

Item 9.

<u>Proxy Disclosures for Open-End Management Investment Companies</u>

See Item 7.

Item 10.

<u>Remuneration Paid to Directors, Officers, and Others of Open-End Management Investment Companies</u>

See Item 7.

Item 11.

<u>Statement Regarding Basis for Approval of Investment Advisory Contract</u>

See Item 7.

Item 12.

<u>Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies</u>

Not applicable.

Item 13.

<u>Portfolio Managers of Closed-End Management Investment Companies</u>

Not applicable.

Item 14.

<u>Purchase of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers</u>

Not applicable.

Item 15.

<u>Submission of Matters to a Vote of Security Holders</u>

There were no material changes to the procedures by which shareholders may recommend nominees to the trust's Board of Trustees.

Item 16.

<u>Controls and Procedures</u>

(a)(i) The President and Treasurer and the Chief Financial Officer have concluded that the trust's disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act) provide reasonable assurances that material information relating to the trust is made known to them by the appropriate persons, based on their evaluation of these controls and procedures as of a date within 90 days of the filing date of this report.

(a)(ii) There was no change in the trust's internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act) that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the trust's internal control over financial reporting.

Item 17.

<u>Disclosure of Securities Lending Activities for Closed-End Management Investment Companies</u>

Not applicable.

Item 18.

<u>Recovery of Erroneously Awarded Compensation</u>

(a) Not applicable.

(b) Not applicable.

Item 19.

<u>Exhibits</u>

(a) (1) [Code of Ethics pursuant to Item 2 of Form N-CSR is filed and attached hereto as EX-99.CODE ETH](code.htm) .

(a) (2) [Certification pursuant to Rule 30a-2(a) under the Investment Company Act of 1940 (17 CFR 270.30a-2(a)) is filed and attached hereto as Exhibit 99.CERT](ex99cert.htm) .

(a) (3) Not applicable.

(b) [Certification pursuant to Rule 30a-2(b) under the Investment Company Act of 1940 (17 CFR 270.30a-2(b)) is furnished and attached hereto as Exhibit 99.906CERT](ex99906cert.htm) .

SIGNATURES

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.

Fidelity Rutland Square Trust II

---

| | |
|:---|:---|
| By: | <u>/s/Heather Bonner</u> |
|  | Heather Bonner |
|  | President and Treasurer (Principal Executive Officer) |
| Date: | July 24, 2025 |

---

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.

---

| | |
|:---|:---|
| By: | <u>/s/Heather Bonner</u> |
|  | Heather Bonner |
|  | President and Treasurer (Principal Executive Officer) |
| Date: | July 24, 2025 |

---

---

| | |
|:---|:---|
| By: | <u>/s/Stephanie Caron</u> |
|  | Stephanie Caron |
|  | Chief Financial Officer (Principal Financial Officer) |
| Date: | July 24, 2025 |

---

## Ex-99.Code

**Fidelity Investments**

**FIDELITY FUNDS'**

**CODE OF ETHICS**

**FOR PRESIDENT, TREASURER**

**AND PRINCIPAL ACCOUNTING OFFICER**

2023

**FIDELITY FUNDS' CODE OF ETHICS FOR**

**PRESIDENT, TREASURER AND PRINCIPAL ACCOUNTING OFFICER**

**I. Purposes of the Code/Covered Officers**

This document constitutes the Code of Ethics (Code) adopted by the Fidelity Funds (Funds) pursuant to Section 406 of the Sarbanes-Oxley Act of 2002. The Code applies to the Fidelity Funds' President and Treasurer, and Chief Financial Officer (Covered Officers). Fidelity's Ethics Office, within Enterprise Compliance, administers the Code.

The purposes of the Code are to deter wrongdoing and to promote, on the part of the Covered Officers:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· honest and ethical conduct, including the ethical handling of actual or apparent conflicts of interest between personal and professional relationships;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· full, fair, accurate, timely and understandable disclosure in reports and documents that the Fidelity Funds submit to the Securities and Exchange Commission (SEC), and in other public communications by a Fidelity Fund;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· compliance with applicable laws and governmental rules and regulations;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· the prompt internal reporting to an appropriate person or persons identified in the Code of violations of the Code; and

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· accountability for adherence to the Code.

Each Covered Officer should adhere to a high standard of business ethics and should be sensitive to situations that may give rise to actual as well as apparent conflicts of interest.

**II.** **Covered Officers Should Handle Ethically** 

**Actual and Apparent Conflicts of Interest**

**Overview.** A "conflict of interest" occurs when a Covered Officer's private interest interferes with the interests of, or their service to, the Fidelity Funds. For example, a conflict of interest would arise if a Covered Officer, or a member of their family, receives improper personal benefits as a result of their position with the Fidelity Funds.

Certain conflicts of interest arise out of the relationships between Covered Officers and the Fidelity Funds and already are subject to conflict of interest provisions in the Investment Company Act of 1940 (Investment Company Act) and the Investment Advisers Act of 1940 (Investment Advisers Act). For example, Covered Officers may not individually engage in certain transactions (such as the purchase or sale of securities or other property) with a Fidelity Fund because of their status as "affiliated persons" of the Fund. Separate compliance programs and procedures of the Fidelity Funds, Fidelity Management & Research Company (FMR) and the other Fidelity companies are designed to prevent, or identify and correct, violations of these provisions. This Code does not, and is not intended to, repeat or replace these programs and procedures, and such conflicts fall outside of the parameters of this Code.

Although typically not presenting an opportunity for improper personal benefit, conflicts arise from, or as a result of, the contractual relationship between the Fidelity Funds and FMR (or another Fidelity company) of which the Covered Officers are also officers or employees. As a result, this Code recognizes that the Covered Officers will, in the normal course of their duties (whether formally for the Fidelity Funds, FMR or another Fidelity company), be involved in establishing policies and implementing decisions that have different effects on the Fidelity Funds, FMR and other Fidelity companies. The participation of the Covered Officers in such activities is inherent in the contractual relationship between the Fidelity Funds and FMR (or another Fidelity company) and is consistent with the performance by the Covered Officers of their duties as officers of the Fidelity Funds. Thus, if performed in conformity with the provisions of the Investment Company Act and the Investment Advisers Act, such activities will be deemed to have been handled ethically. In addition, it is recognized by the Funds' Board of Trustees (Board) that the Covered Officers also may be officers or employees of one or more other Fidelity Funds covered by this Code.

Other conflicts of interest are covered by the Code, even if such conflicts of interest are not subject to provisions in the Investment Company Act and the Investment Advisers Act. The following list provides examples of conflicts of interest under the Code, but Covered Officers should keep in mind that these examples are not exhaustive. The overarching principle is that the personal interest of a Covered Officer should not be placed improperly before the interest of a Fidelity Fund.

\* \* \*

Each Covered Officer must:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· not use their personal influence or personal relationships improperly to influence investment decisions or financial reporting by any Fidelity Fund whereby the Covered Officer would benefit personally to the detriment of any Fidelity Fund;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· not cause a Fidelity Fund to take action, or fail to take action, for the individual personal benefit of the Covered Officer rather than the benefit of the Fidelity Fund;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· not engage in any outside business activity, including serving as a director or trustee, that prevents the Covered Officer from devoting appropriate time and attention to the Covered Officer's responsibilities with the Fidelity Funds;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· not have a consulting or employment relationship with any of the Fidelity Funds' service providers that are not affiliated with Fidelity; and

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· not retaliate against any employee or Covered Officer for reports of actual or potential misconduct, which are made in good faith.

With respect to other fact patterns, if a Covered Officer is in doubt, other potential conflict of interest situations should be described immediately to the Fidelity Ethics Office for resolution. Similarly, any questions a Covered Officer has generally regarding the application or interpretation of the Code should be directed to the Fidelity Ethics Office immediately.

**III. Disclosure and Compliance**

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· Each Covered Officer should familiarize themself with the disclosure requirements generally applicable to the Fidelity Funds.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· Each Covered Officer should not knowingly misrepresent, or cause others to misrepresent, facts about any Fidelity Fund to others, whether within or outside Fidelity, including to the Board and auditors, and to governmental regulators and self-regulatory organizations;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· Each Covered Officer should, to the extent appropriate within their area of responsibility, consult with other officers and employees of the Fidelity Funds, FMR and the Fidelity service providers, and with the Board's Compliance Committee, with the goal of promoting full, fair, accurate, timely and understandable disclosure in the reports and documents the Fidelity Funds file with, or submit to, the SEC and in other public communications made by the Fidelity Funds; and

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· It is the responsibility of each Covered Officer to promote compliance with the standards and restrictions imposed by applicable laws, rules and regulations.

**IV. Reporting and Accountability**

Each Covered Officer must:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· upon receipt of the Code, and annually thereafter, submit to the Fidelity Ethics Office an acknowledgement stating that they have received, read, and understand the Code; and

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· notify the Fidelity Ethics Office promptly if they know of any violation of the Code. <u>Failure to do so is itself a violation of this Code</u>.

The Fidelity Ethics Office shall take all action it considers appropriate to investigate any actual or potential violations reported to it. Upon completion of the investigation, if necessary, the matter will be reviewed with senior management or other appropriate parties, and a determination will be made as to whether any action should be taken as detailed below. The Covered Officer will be informed of any action determined to be appropriate. The Fidelity Ethics Office will inform the Personal Trading Committee of all Code violations and actions taken in response. Without implied limitation, appropriate remedial, disciplinary or preventive action may include a written warning, a letter of censure, suspension, dismissal or, in the event of criminal or other serious violations of law, notification of the SEC or other appropriate law enforcement authorities. Additionally, other legal remedies may be pursued.

The policies and procedures described in the Code do not create any obligations to any person or entity other than the Fidelity Funds. The Code is intended solely for the internal use by the Fidelity Funds and does not constitute a promise, contract or an admission by or on behalf of any Fidelity Fund as to any fact, circumstance, or legal conclusion. The Fidelity Funds, the Fidelity companies and the Fidelity Head of Ethics retain the discretion to decide whether the Code applies to a specific situation, and how it should be interpreted.

**V. Oversight**

Material violations of this Code will be reported promptly by FMR (or another Fidelity company) to the Board's Compliance Committee. In addition, at least once each year, FMR (or another Fidelity company) will provide a written report to the Board, which describes any issues arising under the Code since the last report to the Board, including, but not limited to, information about material violations of the Code and action taken in response to the material violations.

**VI. Other Policies and Procedures** 

This Code shall be the sole code of ethics adopted by the Fidelity Funds for purposes of Section 406 of the Sarbanes-Oxley Act. Other Fidelity policies or procedures that cover the behavior or activities of Covered Officers are separate requirements applying to the Covered Officers (and others) and are not part of this Code.

**VII. Amendments**

Any material amendments or changes to this Code must be approved or ratified by a majority vote of the Board, including a majority of the Trustees who are not interested persons of the Fidelity Funds.

**VIII. Records and Confidentiality**

Records of any violation of the Code and of the actions taken as a result of such violations will be kept by the Fidelity Ethics Office. All reports and records prepared or maintained pursuant to this Code will be considered confidential and shall be maintained and protected accordingly. Except as otherwise required by law or this Code, such matters shall not be disclosed to anyone other than the Fidelity Ethics Office, the Personal Trading Committee, the Board, appropriate personnel at the relevant Fidelity company or companies and the legal counsel of any or all of the foregoing.

2023

## Ex-99.Cert

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<u>Exhibit EX-99.CERT</u>

I, Heather Bonner, certify that:

1. I have reviewed this report on Form N-CSR of Fidelity Rutland Square Trust II;

2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report;

4. The registrant's other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;a. Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;b. Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;c. Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based upon such evaluation; and

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;d. Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and

5. The registrant's other certifying officer(s) and I have disclosed to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions):

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;a. All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;b. Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting.

Date:

July 24, 2025

<u>/s/Heather Bonner</u>

Heather Bonner

President and Treasurer (Principal Executive Officer)

I, Stephanie Caron, certify that:

1. I have reviewed this report on Form N-CSR of Fidelity Rutland Square Trust II;

2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report;

4. The registrant's other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;a. Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; b.

Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;c. Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based upon such evaluation; and

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;d. Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and

5. The registrant's other certifying officer(s) and I have disclosed to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions):

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;a. All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;b. Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting.

Date:

July 24, 2025

<u>/s/Stephanie Caron</u>

Stephanie Caron

Chief Financial Officer (Principal Financial Officer)

## Exhibit 99.906

Exhibit EX-99.906CERT

**Certification Pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 (subsections (a) and (b) of section 1350, chapter 63 of title 18, United States Code)**

In connection with the attached Report of Fidelity Rutland Square Trust II (the "Trust") on Form N-CSR to be filed with the Securities and Exchange Commission (the "Report"), each of the undersigned officers of the Trust does hereby certify that, to the best of such officer's knowledge:

&nbsp;&nbsp;&nbsp;&nbsp;1. The Report fully complies with the requirements of 13(a) or 15(d) of the Securities Exchange Act of 1934; and

&nbsp;&nbsp;&nbsp;&nbsp;2. The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Trust as of, and for, the periods presented in the Report.

Dated: July 24, 2025

<u>/s/Heather Bonner</u>

Heather Bonner

President and Treasurer (Principal Executive Officer)

Dated: July 24, 2025

<u>/s/Stephanie Caron</u>

Stephanie Caron

Chief Financial Officer (Principal Financial Officer)

A signed original of this written statement required by Section 906, or other document authenticating, acknowledging, or otherwise adopting the signature that appears in typed form within the electronic version of this written statement required by Section 906, has been provided to the Trust and will be retained by the Trust and furnished to the Securities and Exchange Commission or its staff upon request.

<br>