Investment Managers Series Trust II (TSLW) NPORT-P The Ambassador Fund (Jul 2024 report)

The Ambassador Fund

SCHEDULE OF INVESTMENTS

As of July 31, 2024 (Unaudited)

Principal Amount1			Value
		EVENT LINKED BONDS — 88.3%
		EUROPE — 5.7%
		EARTHQUAKE — 0.9%
		Azzurro Re II DAC
	2,250,000	3-Month Euribor + 650.00 basis points, 4/20/20282,3	$	2,436,283
		MULTI-PERIL — 1.0%
		King Max Re DAC
	1,000,000	1/6/2027		1,078,355
		Orange Capital Re DAC
	1,400,000	3-Month Euribor + 332.00 basis points, 1/17/20252,3		1,502,424
				2,580,779
		WINDSTORM — 3.8%
		Blue Sky Re DAC
	2,750,000	3-Month Euribor + 575.00 basis points, 1/26/20272,3,4		3,053,572
		Eiffel Re Ltd.
	1,500,000	3-Month Euribor + 332.50 basis points, 1/19/20272,3		1,625,000
		Hexagon IV Re Ltd.
	1,000,000	3-Month Euribor + 1,650.00 basis points, 1/21/20262,3,4		1,099,675
		Quercus Re DAC
	2,000,000	3-Month Euribor + 800.00 basis points, 7/8/20272,3		2,163,420
		Taranis Reinsurance DAC
	1,300,000	3-Month Euribor + 600.00 basis points, 1/21/20282,3,4		1,398,766
		Windmill III Re DAC
	1,000,000	3-Month Euribor + 525.00 basis points, 7/5/20282,3		1,078,355
				10,418,788
		TOTAL EUROPE
		(Cost $15,396,301)		15,435,850
		GLOBAL — 25.9%
		MULTI-PERIL — 25.9%
		Aragonite Re Ltd.
	750,000	3-Month U.S. Treasury Bill + 525.00 basis points, 4/7/20272,3,4		760,575
		Atlas Capital DAC
	3,000,000	SOFR Rate + 1,250.00 basis points, 6/8/20272,3		3,180,000
		Bowline Re Ltd. Series 2022-1
	1,500,000	3-Month U.S. Treasury Bill + 635.00 basis points, 5/23/20252,3,4,5		1,482,300
		Fuchsia 2023-1 London Bridge 2 PCC Ltd.
	1,000,000	3-Month U.S. Treasury Bill + 1,000.00 basis points, 4/6/20272,3,4		1,017,200
		Kendall Re Ltd.
	7,000,000	3-Month U.S. Treasury Bill + 625.00 basis points, 4/30/20272,3		7,140,000
		Kilimanjaro II Re Ltd.
	1,500,000	3-Month U.S. Treasury Bill + 625.00 basis points, 6/30/20282,3,4		1,512,300
	1,000,000	3-Month U.S. Treasury Bill + 725.00 basis points, 6/30/20282,3,4		1,009,600
		Kilimanjaro III Re Ltd.
	175,000	3-Month U.S. Treasury Bill + 991.00 basis points, 12/19/20242,3,4		166,093

The Ambassador Fund

SCHEDULE OF INVESTMENTS - Continued

As of July 31, 2024 (Unaudited)

Principal Amount1			Value
		MULTI-PERIL (Continued)
	4,250,000	3-Month U.S. Treasury Bill + 456.00 basis points, 4/21/20252,3,4	$	4,174,350
	2,000,000	3-Month U.S. Treasury Bill + 1,236.00 basis points, 4/21/20252,3,4		1,889,200
	7,250,000	3-Month U.S. Treasury Bill + 585.00 basis points, 6/25/20252,3		7,292,050
	3,250,000	3-Month U.S. Treasury Bill + 456.00 basis points, 4/20/20262,3,4,5		3,155,425
	8,250,000	3-Month U.S. Treasury Bill + 1,236.00 basis points, 4/20/20262,3,4		7,591,980
		Matterhorn Re Ltd.
	2,500,000	SOFR Rate + 525.00 basis points, 3/24/20252,3		2,426,750
	2,250,000	SOFR Rate + 575.00 basis points, 12/8/20252,3		1,966,500
		Mona Lisa Re Ltd.
	250,000	3-Month U.S. Treasury Bill + 1,225.00 basis points, 1/8/20262,3,4		257,800
	1,250,000	3-Month U.S. Treasury Bill + 975.00 basis points, 6/25/20272,3,4		1,310,250
		Montoya Re Ltd.
	4,000,000	1-Month U.S. Treasury Bill + 710.00 basis points, 4/7/20252,3,4		3,973,600
		Mystic Re IV Ltd.
	6,080,000	3-Month U.S. Treasury Bill + 917.00 basis points, 1/8/20262,3,4		6,219,840
		Northshore Re II Ltd.
	1,000,000	3-Month U.S. Treasury Bill + 800.00 basis points, 7/8/20252,3		1,015,000
		Ocelot Re Ltd.
	500,000	3-Month U.S. Treasury Bill + 775.00 basis points, 1/7/20272,3,4		490,350
		Ramble Re Ltd.
	3,000,000	3-Month U.S. Treasury Bill + 625.00 basis points, 3/5/20272,3,4		2,855,700
		Sakura Re Ltd.
	4,500,000	3-Month U.S. Treasury Bill + 241.00 basis points, 4/7/20252,3		4,478,400
	1,875,000	3-Month U.S. Treasury Bill + 364.00 basis points, 4/7/20252,3		1,866,937
		Titania Re Ltd.
	2,000,000	1-Month U.S. Treasury Bill + 1,253.00 basis points, 2/27/20262,3,4		2,055,600
		Wrigley Re Ltd.
	1,000,000	3-Month U.S. Treasury Bill + 650.00 basis points, 8/7/20262,3,4		1,010,100
		TOTAL GLOBAL
		(Cost $70,666,261)		70,297,900
		JAPAN — 5.8%
		EARTHQUAKE — 1.7%
		Nakama Re Ltd.
	4,250,000	3-Month U.S. Treasury Bill + 220.00 basis points, 1/14/20252,3		4,254,250
		Nakama Re Pte Ltd.
	250,000	3-Month U.S. Treasury Bill + 205.00 basis points, 10/13/20262,3		250,375
				4,504,625
		MULTI-PERIL — 4.1%
		Tomoni Re Pte Ltd.
	6,900,000	3-Month U.S. Treasury Bill + 209.00 basis points, 4/7/20262,3		6,900,000
	3,000,000	3-Month U.S. Treasury Bill + 400.00 basis points, 4/5/20282,3		3,027,900
		Umigame Re Pte Ltd.
	250,000	3-Month U.S. Treasury Bill + 225.00 basis points, 4/7/20252,3		248,175

The Ambassador Fund

SCHEDULE OF INVESTMENTS - Continued 

As of July 31, 2024 (Unaudited)

Principal Amount1			Value
		MULTI-PERIL (Continued)
	1,000,000	3-Month U.S. Treasury Bill + 250.00 basis points, 4/7/20252,3	$	994,400
				11,170,475
		TOTAL JAPAN
		(Cost $15,548,221)		15,675,100
		UNITED STATES — 50.9%
		EARTHQUAKE — 6.5%
		Logistics Re Ltd.
	750,000	3-Month U.S. Treasury Bill + 387.50 basis points, 12/20/20242,3		747,150
		Merna Reinsurance II Ltd.
	2,000,000	3-Month U.S. Treasury Bill + 385.00 basis points, 4/7/20253,6		2,020,000
		Phoenician Re Ltd.
	2,075,000	3-Month U.S. Treasury Bill + 289.80 basis points, 12/14/20242,3		2,077,075
		Torrey Pines Re Ltd.
	5,475,000	3-Month U.S. Treasury Bill + 521.60 basis points, 6/5/20262,3,4		5,543,985
		Ursa Re Ltd.
	3,000,000	3-Month U.S. Treasury Bill + 550.00 basis points, 12/6/20252,3,4		3,039,000
		Veraison Re Ltd.
	3,750,000	1-Month U.S. Treasury Bill + 691.40 basis points, 3/9/20263,6		3,902,625
		Wrigley Re Ltd.
	250,000	3-Month U.S. Treasury Bill + 700.00 basis points, 8/7/20262,3,4		259,450
				17,589,285
		MULTI-PERIL — 18.7%
		Aquila Re I Ltd. Series 2023-1
	250,000	3-Month U.S. Treasury Bill + 565.00 basis points, 6/8/20262,3,4		250,850
		Aquila Re I Ltd. Series 2024-1
	500,000	3-Month U.S. Treasury Bill + 550.00 basis points, 6/7/20272,3,4		494,200
		Finca Re Ltd.
	3,000,000	3-Month U.S. Treasury Bill + 826.00 basis points, 6/6/20252,3,4		3,028,500
		Foundation Re IV Ltd.
	5,500,000	3-Month U.S. Treasury Bill + 625.00 basis points, 1/8/20272,3,4		5,569,850
		Four Lakes Re Ltd.
	2,260,000	3-Month U.S. Treasury Bill + 646.00 basis points, 1/7/20262,3,4		2,300,454
		Herbie Re Ltd.
	2,750,000	3-Month U.S. Treasury Bill + 673.00 basis points, 1/8/20252,3,4		2,703,250
		High Point Re Ltd.
	750,000	3-Month U.S. Treasury Bill + 575.00 basis points, 1/6/20272,3,4		751,650
		Locke Tavern Re Ltd.
	1,425,000	3-Month U.S. Treasury Bill + 478.20 basis points, 4/9/20262,3		1,416,735
		Long Point Re IV Ltd.
	2,500,000	3-Month U.S. Treasury Bill + 425.00 basis points, 6/1/20262,3,4		2,518,750
		Mayflower Re Ltd.
	1,000,000	1-Month U.S. Treasury Bill + 450.00 basis points, 7/8/20272,3,4		1,000,400
		Merna Reinsurance II Ltd.

The Ambassador Fund

SCHEDULE OF INVESTMENTS - Continued 

As of July 31, 2024 (Unaudited)

Principal Amount1			Value
		MULTI-PERIL (Continued)
	4,500,000	3-Month U.S. Treasury Bill + 775.00 basis points, 7/7/20262,3,5	$	4,578,750
	5,000,000	3-Month U.S. Treasury Bill + 850.00 basis points, 7/7/20272,3,4		4,962,500
		Residential Reinsurance 2020 Ltd.
	250,000	3-Month U.S. Treasury Bill + 629.00 basis points, 12/6/20242,3		240,650
		Residential Reinsurance 2022 Ltd.
	2,000,000	3-Month U.S. Treasury Bill + 421.00 basis points, 6/6/20262,3		1,893,800
		Residential Reinsurance 2023 Ltd.
	2,750,000	3-Month U.S. Treasury Bill + 653.00 basis points, 6/6/20272,3		2,679,875
	1,500,000	3-Month U.S. Treasury Bill + 592.00 basis points, 12/6/20272,3		1,503,450
		Sanders Re II Ltd.
	3,500,000	3-Month U.S. Treasury Bill + 300.00 basis points, 4/7/20252,3		3,435,600
	1,000,000	3-Month U.S. Treasury Bill + 325.00 basis points, 4/7/20252,3		980,900
		Sanders Re III Ltd.
	2,500,000	3-Month U.S. Treasury Bill + 645.00 basis points, 6/7/20252,3		2,538,750
	3,125,000	3-Month U.S. Treasury Bill + 627.00 basis points, 4/7/20272,3		3,183,750
		Sussex Capital UK PCC Ltd.
	2,000,000	3-Month U.S. Treasury Bill + 836.00 basis points, 1/8/20252,3		1,944,000
		Yosemite Re Ltd.
	3,000,000	3-Month U.S. Treasury Bill + 1,059.50 basis points, 6/6/20252,3		3,033,300
				51,009,964
		WINDSTORM — 25.7%
		3264 Re Ltd.
	1,500,000	3-Month U.S. Treasury Bill + 700.00 basis points, 7/8/20272,3,4		1,517,100
		Alamo Re Ltd.
	10,250,000	1-Month U.S. Treasury Bill + 600.00 basis points, 6/7/20272,3		10,373,102
		Bayou Re Ltd.
	4,500,000	1-Month U.S. Treasury Bill + 850.00 basis points, 4/30/20272,3,4		4,484,070
		Blue Ridge Re Ltd.
	4,750,000	3-Month U.S. Treasury Bill + 525.00 basis points, 1/8/20272,3,4		4,702,500
		Bonanza Re Ltd.
	1,500,000	3-Month U.S. Treasury Bill + 845.00 basis points, 1/8/20262,3		1,512,000
		Cape Lookout Re Ltd.
	8,650,000	1-Month U.S. Treasury Bill + 842.00 basis points, 4/28/20262,3		8,736,500
		Charles River Re Ltd.
	1,750,000	1-Month U.S. Treasury Bill + 675.00 basis points, 5/10/20272,3		1,749,790
		Citrus Re Ltd.
	3,000,000	3-Month U.S. Treasury Bill + 877.00 basis points, 6/7/20262,3,4		3,007,020
		Commonwealth Re Ltd.
	1,500,000	3-Month U.S. Treasury Bill + 427.00 basis points, 7/8/20262,3,4		1,509,000
		Everglades Re II Ltd.
	1,000,000	1-Month U.S. Treasury Bill + 1,050.00 basis points, 5/13/20272,3,4		1,000,600
		Fish Pond Re Ltd.
	4,250,000	1-Month U.S. Treasury Bill + 400.00 basis points, 1/8/20272,3,4		4,255,950
		Gateway Re Ltd.

The Ambassador Fund

SCHEDULE OF INVESTMENTS - Continued 

As of July 31, 2024 (Unaudited)

Principal Amount1			Value
		WINDSTORM (Continued)
	250,000	1-Month U.S. Treasury Bill + 928.00 basis points, 5/12/20252,3,4	$	252,500
	1,000,000	1-Month U.S. Treasury Bill + 1,396.00 basis points, 2/24/20262,3,4		1,029,660
	3,500,000	1-Month U.S. Treasury Bill + 550.00 basis points, 7/8/20272,3,4		3,496,850
		Integrity Re Ltd.
	1,000,000	1-Month U.S. Treasury Bill + 2,300.00 basis points, 6/6/20262,3		980,460
		Lightning Re Series 2023-1
	12,500,000	3-Month U.S. Treasury Bill + 1,100.00 basis points, 3/31/20262,3,4		12,631,250
		Lower Ferry Re Ltd.
	250,000	1-Month U.S. Treasury Bill + 443.00 basis points, 7/8/20262,3,4		250,200
		Marlon Ltd.
	1,000,000	3-Month U.S. Treasury Bill + 700.00 basis points, 6/7/20272,3,4		999,000
		Merna Reinsurance II Ltd.
	250,000	3-Month U.S. Treasury Bill + 753.00 basis points, 7/7/20252,3		246,125
		Nature Coast Re Ltd.
	2,900,000	3-Month U.S. Treasury Bill + 1,000.00 basis points, 12/7/20262,3,4		2,845,480
	750,000	3-Month U.S. Treasury Bill + 1,350.00 basis points, 12/7/20262,3,4		735,900
		Palm Re Ltd.
	1,600,000	1-Month U.S. Treasury Bill + 950.00 basis points, 6/7/20272,3,4		1,589,760
		Sabine Re Ltd.
	2,000,000	1-Month U.S. Treasury Bill + 825.00 basis points, 4/7/20272,3,4		2,002,800
				69,907,617
		TOTAL UNITED STATES
		(Cost $138,662,210)		138,506,866
		TOTAL EVENT LINKED BONDS
		(Cost $240,272,993)		239,915,716
		PREFERRED NOTES — 14.2%
		GLOBAL — 4.9%
		MULTI-PERIL — 4.9%
		Consulate Re 2024-2A
	5,000,000	4.550%, 1/7/20257,8		4,568,000
		Consulate Re 2024-3A
	5,000,000	4.550%, 1/7/20257,8		4,365,500
		Consulate Re 2024-8A
	5,000,000	4.550%, 7/14/20257,8		4,488,000
		TOTAL GLOBAL
		(Cost $13,421,309)		13,421,500
		UNITED STATES — 9.3%
		MULTI-PERIL — 3.4%
		Consulate Re 2024-1A
	5,000,000	4.550%, 1/7/20257,8		4,627,500
		Consulate Re 2024-5A
	5,000,000	4.550%, 4/21/20257,8		4,668,500
				9,296,000

The Ambassador Fund

SCHEDULE OF INVESTMENTS - Continued 

As of July 31, 2024 (Unaudited)

Principal Amount1			Value
		WINDSTORM — 5.9%
		Consulate Re 2024-4A
	7,500,000	4.550%, 12/31/20247,8	$	6,822,750
		Consulate Re 2024-6A
	5,000,000	4.550%, 12/31/20247,8		4,601,500
		Consulate Re 2024-7A
	5,000,000	4.550%, 12/15/20247,8		4,607,000
				16,031,250
		TOTAL UNITED STATES
		(Cost $25,327,414)		25,327,250
		TOTAL PREFERRED NOTES
		(Cost $38,748,723)		38,748,750

Number of Shares
		SHORT-TERM INVESTMENTS — 1.0%
	2,636,341	Fidelity Investments Money Market Government Portfolio - Class I 5.14%9		2,636,341
		TOTAL SHORT-TERM INVESTMENTS
		(Cost $2,636,341)		2,636,341
		TOTAL INVESTMENTS — 103.5%
		(Cost $281,658,057)		281,300,807
		Liabilities in Excess of Other Assets — 3.5%		(9,499,350	)
		TOTAL NET ASSETS — 100.0%	$	271,801,457

Principal Amount
			SECURITIES SOLD SHORT — (3.7)%
			REPURCHASE AGREEMENTS — (3.7)%
$	(10,000,000	)	Agreement with UMB Bank, N.A., dated 3/21/2022, Federal Funds Range - Upper Limit (FFTRU) plus 50 basis points paid monthly, collateralized by various securities with a market value of $20,276,000		(10,000,000	)
			TOTAL REPURCHASE AGREEMENTS
			(Proceeds $10,000,000)		(10,000,000	)
			TOTAL SECURITIES SOLD SHORT
			(Proceeds $10,000,000)	$	(10,000,000	)

¹ Local currency.

² Floating rate security. Floating rate security. Reference rates as of July 31, 2024 are as follows: 1-Month U.S. Treasury Bill 5.49%, 3-Month U.S. Treasury Bill 5.41%, Secured Overnight Financing Rate (SOFR) 5.38%, and 3-Month Term SOFR 5.36%. Actual reference rates may vary based on the reset date of the security.

³ Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities are restricted and may be resold in transactions exempt from registration normally to qualified institutional buyers. The total value of these securities is $238,837,361, which represents 87.9% of total net assets of the Fund.

⁴ Callable.

⁵ All or a portion of this security is segregated as collateral for forward contracts. The market value of the securities pledged as collateral was $7,209,180, which represents 2.7% of total net assets of the Fund.

⁶ Variable rate security. Rate shown is the rate in effect as of July 31, 2024.

⁷ The value of these securities was determined using significant unobservable inputs. These are reported as Level 3 securities in the Fair Value Hierarchy.

The Ambassador Fund

SCHEDULE OF INVESTMENTS - Continued 

As of July 31, 2024 (Unaudited)

⁸ Restricted security, represents 14.3% of Total Net Assets. The total value of this security is $38,748,750.

⁹ The rate is the annualized seven-day yield at period end.

The Ambassador Fund

SCHEDULE OF INVESTMENTS - Continued

As of July 31, 2024 (Unaudited)

FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS 

Purchase Contracts	Counterparty	Currency Exchange	Settlement Date	Currency Amount Purchased		Value At Settlement Date		Value At July 31, 2024		Unrealized Appreciation (Depreciation)
Euro	UMB Bank NA	EUR per USD	12/12/2024		1,750,000		1,904,175		1,906,241	$	2,066
							1,904,175		1,906,241		2,066

Sale Contracts	Counterparty	Currency Exchange	Settlement Date	Currency Amount Sold			Value At Settlement Date			Value At July 31, 2024			Unrealized Appreciation (Depreciation)
Euro	UMB Bank NA	EUR per USD	11/12/2024		(500,000	)		(540,550	)		(543,850	)		(3,300	)
Euro	UMB Bank NA	EUR per USD	12/5/2024		(1,000,000	)		(1,095,280	)		(1,088,911	)		6,369
Euro	UMB Bank NA	EUR per USD	12/12/2024		(2,750,000	)		(3,054,700	)		(2,995,522	)		59,178
Euro	UMB Bank NA	EUR per USD	3/20/2025		(2,250,000	)		(2,459,025	)		(2,460,778	)		(1,753	)
Euro	UMB Bank NA	EUR per USD	4/23/2025		(900,000	)		(974,592	)		(985,837	)		(11,245	)
Euro	UMB Bank NA	EUR per USD	4/23/2025		(1,550,000	)		(1,681,440	)		(1,697,830	)		(16,390	)
Euro	UMB Bank NA	EUR per USD	6/10/2025		(1,000,000	)		(1,084,280	)		(1,097,776	)		(13,496	)
Euro	UMB Bank NA	EUR per USD	6/10/2025		(1,500,000	)		(1,641,600	)		(1,646,664	)		(5,064	)
Euro	UMB Bank NA	EUR per USD	6/10/2025		(1,848,000	)		(2,004,027	)		(2,028,691	)		(24,664	)
Euro	UMB Bank NA	EUR per USD	7/15/2025		(2,000,000	)		(2,199,400	)		(2,199,069	)		331
								(16,734,894	)		(16,744,928	)		(10,034	)
TOTAL FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS							$	(14,830,719	)	$	(14,838,687	)	$	(7,968	)

EUR – Euro