# EDGAR Filing Document

**Accession Number:** 0001779306
**File Stem:** 0001410368-26-040978
**Filing Date:** 2026-4
**Character Count:** 95151
**Document Hash:** 6fa262f9870ca2ac9df58f8aa2bd0061
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001410368-26-040978.hdr.sgml**: 20260428

**ACCESSION NUMBER**: 0001410368-26-040978

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 2

**CONFORMED PERIOD OF REPORT**: 20260228

**FILED AS OF DATE**: 20260428

**DATE AS OF CHANGE**: 20260428

**PERIOD START**: 20260531

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** ALTSHARES TRUST
- **CENTRAL INDEX KEY:** 0001779306

**ORGANIZATION NAME:**
- **EIN:** 000000000
- **STATE OF INCORPORATION:** DE
- **FISCAL YEAR END:** 0531

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-23475
- **FILM NUMBER:** 26903809

**BUSINESS ADDRESS:**
- **STREET 1:** C/O WATER ISLAND CAPITAL, LLC
- **STREET 2:** 104 FIFTH AVENUE, 9TH FLOOR
- **CITY:** NEW YORK
- **STATE:** NY
- **ZIP:** 10011
- **BUSINESS PHONE:** 800-560-8210

**MAIL ADDRESS:**
- **STREET 1:** C/O WATER ISLAND CAPITAL, LLC
- **STREET 2:** 104 FIFTH AVENUE, 9TH FLOOR
- **CITY:** NEW YORK
- **STATE:** NY
- **ZIP:** 10011

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** AltShares Trust
- **DATE OF NAME CHANGE:** 20191002

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** wicShares Trust
- **DATE OF NAME CHANGE:** 20190930

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** AltShares Trust
- **DATE OF NAME CHANGE:** 20190926

## Series and Classes Contracts Data

### AltShares Merger Arbitrage ETF (Series ID: S000067196)

| Class ID   | Class Name                     | Ticker Symbol   |
|:---|:---|:---|
| C000216184 | AltShares Merger Arbitrage ETF | ARB             |

## Nport-Ex

<u>AltShares Merger Arbitrage ETF</u> <u>Portfolio of Investments</u> <br> *February 28, 2026 (unaudited)*

---

| | | |
|:---|:---|:---|
|  | **Shares** | **Value** |
| **COMMON STOCKS - 98.07%** |  |  |
| &nbsp;&nbsp;&nbsp;**Advertising - 1.01%** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Clear Channel Outdoor Holdings, Inc.<sup>(a)</sup> | 434198 | $1042075 |
| &nbsp;&nbsp;&nbsp;**Airlines - 1.45%** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Sun Country Airlines Holdings, Inc.<sup>(a)(b)</sup> | 76255 | 1500698 |
| &nbsp;&nbsp;&nbsp;**Banks - 7.83%** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Banca Popolare di Sondrio SpA | 65897 | 1339259 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Blue Foundry Bancorp<sup>(a)(b)</sup> | 35262 | 464753 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;First Foundation, Inc.<sup>(a)(b)</sup> | 66817 | 392216 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Heritage Commerce Corp.<sup>(b)</sup> | 78277 | 972983 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Laurentian Bank of Canada | 35513 | 1046345 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Nicolet Bankshares, Inc. | 1 | 169 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Stellar Bancorp, Inc. | 26889 | 1012640 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Webster Financial Corp.<sup>(b)</sup> | 39751 | 2867240 |
|  |  | 8095605 |
| &nbsp;&nbsp;&nbsp;**Beverages - 2.91%** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;JDE Peet's NV | 80326 | 3008749 |
| &nbsp;&nbsp;&nbsp;**Biotechnology - 5.70%** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Amicus Therapeutics, Inc.<sup>(a)</sup> | 102906 | 1478759 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;RAPT Therapeutics, Inc.<sup>(a)</sup> | 39720 | 2302966 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ventyx Biosciences, Inc.<sup>(a)</sup> | 151233 | 2112725 |
|  |  | 5894450 |
| &nbsp;&nbsp;&nbsp;**Chemicals - 0.38%** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Axalta Coating Systems Ltd.<sup>(a)(b)</sup> | 11902 | 397646 |
| &nbsp;&nbsp;&nbsp;**Commercial Services - 1.22%** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;GDI Integrated Facility Services, Inc.<sup>(a)</sup> | 21068 | 564522 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Udemy, Inc.<sup>(a)(b)</sup> | 137779 | 693028 |
|  |  | 1257550 |
| &nbsp;&nbsp;&nbsp;**Computers & Computer Services - 1.03%** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Cantaloupe, Inc.<sup>(a)(b)</sup> | 101635 | 1061069 |
| &nbsp;&nbsp;&nbsp;**Diversified Financial Services - 12.09%** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Air Lease Corp.<sup>(b)</sup> | 40043 | 2596388 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Allfunds Group PLC | 162615 | 1618829 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Diamond Hill Investment Group, Inc. | 2852 | 490173 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;DigitalBridge Group, Inc. | 137596 | 2125858 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Forge Global Holdings, Inc.<sup>(a)</sup> | 34966 | 1573470 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Guardian Capital Group Ltd., Class A | 9706 | 480871 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;International Money Express, Inc.<sup>(a)(b)</sup> | 30467 | 480769 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;JTC PLC<sup>(c)</sup> | 89229 | 1568054 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Schroders PLC | 198158 | 1564900 |
|  |  | 12499312 |
| &nbsp;&nbsp;&nbsp;**Electric - 2.99%** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Northwestern Energy Group, Inc.<sup>(b)</sup> | 13912 | 973284 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;TXNM Energy, Inc.<sup>(b)</sup> | 35900 | 2118818 |
|  |  | 3092102 |

---

<u>AltShares Merger Arbitrage ETF</u> <u>Portfolio of Investments</u> <br> *February 28, 2026 (unaudited)*

---

| | | |
|:---|:---|:---|
|  | **Shares** | **Value** |
| **COMMON STOCKS - 98.07% (Continued)** |  |  |
| &nbsp;&nbsp;&nbsp;**Engineering & Construction - 2.02%** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Great Lakes Dredge & Dock Corp.<sup>(a)</sup> | 61799 | $1047493 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;IHS Holding Ltd.<sup>(a)</sup> | 129773 | 1038184 |
|  |  | 2085677 |
| &nbsp;&nbsp;&nbsp;**Food - 2.89%** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Calavo Growers, Inc.<sup>(b)</sup> | 39378 | 1056906 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Kitwave Group PLC | 102666 | 406772 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Nathan's Famous, Inc. | 4723 | 475039 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;SunOpta, Inc.<sup>(a)</sup> | 162253 | 1051400 |
|  |  | 2990117 |
| &nbsp;&nbsp;&nbsp;**Healthcare - Products - 11.30%** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Exact Sciences Corp.<sup>(a)</sup> | 30060 | 3107603 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Hologic, Inc.<sup>(a)</sup> | 38727 | 2918467 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Masimo Corp.<sup>(a)</sup> | 16593 | 2909582 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Penumbra, Inc.<sup>(a)</sup> | 7995 | 2753398 |
|  |  | 11689050 |
| &nbsp;&nbsp;&nbsp;**Home Builders - 2.05%** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Tri Pointe Homes, Inc.<sup>(a)</sup> | 45739 | 2117716 |
| &nbsp;&nbsp;&nbsp;**Home Furnishings - 0.52%** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Nilfisk Holding AS<sup>(a)</sup> | 24580 | 541074 |
| &nbsp;&nbsp;&nbsp;**Insurance - 3.94%** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Brighthouse Financial, Inc.<sup>(a)</sup> | 33118 | 1986418 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Just Group PLC | 356225 | 1039345 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;ProAssurance Corp.<sup>(a)</sup> | 42568 | 1045044 |
|  |  | 4070807 |
| &nbsp;&nbsp;&nbsp;**Internet - 0.54%** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Eventbrite, Inc., Class A<sup>(a)</sup> | 125886 | 556416 |
| &nbsp;&nbsp;&nbsp;**Machinery - Diversified - 2.81%** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Chart Industries, Inc.<sup>(a)(b)</sup> | 14014 | 2905102 |
| &nbsp;&nbsp;&nbsp;**Media - 5.31%** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Warner Bros Discovery, Inc.<sup>(a)</sup> | 138979 | 3915038 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;TEGNA, Inc.<sup>(b)</sup> | 75360 | 1578792 |
|  |  | 5493830 |
| &nbsp;&nbsp;&nbsp;**Mining - 4.74%** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Allied Gold Corp.<sup>(a)</sup> | 67493 | 2136540 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;New Gold, Inc.<sup>(a)</sup> | 205741 | 2761044 |
|  |  | 4897584 |
| &nbsp;&nbsp;&nbsp;**Packaging & Containers - 2.24%** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Sealed Air Corp. | 55245 | 2313661 |
| &nbsp;&nbsp;&nbsp;**Real Estate Investment Trusts - 1.98%** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Alexander & Baldwin, Inc. | 75170 | 1562784 |

---

<u>AltShares Merger Arbitrage ETF</u> <u>Portfolio of Investments</u> <br> *February 28, 2026 (unaudited)*

---

| | | |
|:---|:---|:---|
|  | **Shares** | **Value** |
| **COMMON STOCKS - 98.07% (Continued)** |  |  |
| &nbsp;&nbsp;&nbsp;**Real Estate Investment Trusts - 1.98% (Continued)** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Peakstone Realty Trust | 23023 | $480260 |
|  |  | 2043044 |
| &nbsp;&nbsp;&nbsp;**Retail - 0.71%** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Fnac Darty SA | 17486 | 731416 |
| &nbsp;&nbsp;&nbsp;**Savings & Loans - 0.44%** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Flushing Financial Corp.<sup>(b)</sup> | 29825 | 460200 |
| &nbsp;&nbsp;&nbsp;**Semiconductors - 3.01%** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Silicon Laboratories, Inc.<sup>(a)(b)</sup> | 10324 | 2111568 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;SkyWater Technology, Inc.<sup>(a)(b)</sup> | 34152 | 1006118 |
|  |  | 3117686 |
| &nbsp;&nbsp;&nbsp;**Software - 14.17%** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Clearwater Analytics Holdings, Inc., Class A<sup>(a)</sup> | 124638 | 2915283 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Confluent, Inc., Class A<sup>(a)</sup> | 94420 | 2895861 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;CSG Systems International, Inc. | 19584 | 1564762 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Electronic Arts, Inc.<sup>(b)</sup> | 14498 | 2907864 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;ON24, Inc.<sup>(a)(b)</sup> | 69383 | 555758 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Onestream, Inc.<sup>(a)</sup> | 90104 | 2125553 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;SEMrush Holdings, Inc., Class A<sup>(a)</sup> | 142258 | 1681489 |
|  |  | 14646570 |
| &nbsp;&nbsp;&nbsp;**Transportation - 2.79%** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Norfolk Southern Corp.<sup>(b)</sup> | 9160 | 2883018 |
| **TOTAL COMMON STOCKS**<br> (Cost $100,208,908) |  | 101392224 |

---

---

| | | | |
|:---|:---|:---|:---|
|  | **Yield** | **Shares** | **Value** |
| **SHORT-TERM INVESTMENTS - 1.71%** |  |  |  |
| **Money Market Funds** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Morgan Stanley Institutional Liquidity Fund - Government Portfolio, Institutional Class | 3.595 %<sup>(d)</sup> | 886309 | $886309 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;State Street Institutional U.S. Government Money Market Fund, Premier Class | 3.737 %<sup>(d)</sup> | 886309 | 886309 |
|  |  |  | 1772618 |
| **TOTAL SHORT-TERM INVESTMENTS**<br> (Cost $1,772,618)** |  |  | 1772618 |
| **Total Investments - 99.78%<br> (Cost $101,981,526)** |  |  | 103164842 |
| **Other Assets in Excess of Liabilities - 0.22%**<sup>(e)</sup>** |  |  | 224654 |
| **NET ASSETS - 100.00%** |  |  | $103389496 |

---

<u>AltShares Merger Arbitrage ETF</u> <u>Portfolio of Investments</u> <br> *February 28, 2026 (unaudited)*

Portfolio Footnotes

*<sup>(a)</sup>* *Non-income-producing security.*

*<sup>(b)</sup>* *Security, or a portion of security, is being held as collateral for swaps, short sales, written option contracts or forward foreign currency exchange contracts. At February 28, 2026, the aggregate fair market value of those securities was $18,564,300, representing 17.96% of net assets.*

*<sup>(c)</sup>* *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. As of February 28, 2026, these securities had a total value of $1,568,054 or 1.52% of net assets.*

*<sup>(d)</sup>* *Rate shown is the 7-day effective yield as of February 28, 2026.*

*<sup>(e)</sup>* *Includes cash held as collateral for short sales.*

---

| | | |
|:---|:---|:---|
| **SCHEDULE OF SECURITIES SOLD SHORT** | **Shares** | **Value** |
| **SECURITIES SOLD SHORT - (14.30%)** |  |  |
| **COMMON STOCKS SOLD SHORT - (14.30%)** |  |  |
| &nbsp;&nbsp;&nbsp;**Airlines - (1.17%)** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Allegiant Travel Co. | (11873) | $(1212827) |
| &nbsp;&nbsp;&nbsp;**Banks - (4.76%)** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Banco Santander SA, ADR | (81220) | (1003879) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;BPER Banca SpA | (95638) | (1357200) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;CVB Financial Corp. | (50880) | (978422) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Firstsun Capital Bancorp | (10746) | (391907) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Fulton Financial Corp. | (22920) | (468714) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Prosperity Bancshares, Inc. | (10226) | (719604) |
|  |  | (4919726) |
| &nbsp;&nbsp;&nbsp;**Chemicals - (0.53%)** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Akzo Nobel NV | (7782) | (548219) |
| &nbsp;&nbsp;&nbsp;**Commercial Services - (0.68%)** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Coursera, Inc. | (110224) | (706536) |
| &nbsp;&nbsp;&nbsp;**Diversified Financial Services - (0.53%)** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Deutsche Boerse AG | (1984) | (544814) |
| &nbsp;&nbsp;&nbsp;**Food - (0.53%)** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Mission Produce, Inc. | (38551) | (547039) |
| &nbsp;&nbsp;&nbsp;**Healthcare - Products - (2.30%)** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Boston Scientific Corp. | (30957) | (2379045) |
| &nbsp;&nbsp;&nbsp;**Mining - (2.69%)** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Coeur Mining, Inc. | (102189) | (2774431) |
| &nbsp;&nbsp;&nbsp;**Savings & Loans - (0.44%)** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;OceanFirst Financial Corp. | (25351) | (457839) |
| &nbsp;&nbsp;&nbsp;**Software - (0.67%)** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;IonQ, Inc. | (17981) | (689931) |
| **TOTAL SECURITIES SOLD SHORT**<br> (Proceeds $14,062,739) |  | $(14780407) |

---

<u>AltShares Merger Arbitrage ETF</u> <u>Portfolio of Investments</u> <br> *February 28, 2026 (unaudited)*

**EQUITY SWAP CONTRACTS** 

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Swap<br> Counterparty/<br> Payment<br> Frequency** | **Reference<br> Obligation** | **Rate<br> Paid/Received<br> by the Fund** | **Termination<br> Date** | **Upfront Payments Made** | **Upfront Payments Received** | **Market <br> Value** | **Notional<br> Amount** | **Notional<br> Amount** | **Unrealized<br> Depreciation** |
| Morgan Stanley & Co./ Upon Termination | Black Hills Corp. | Received 1 Month-Federal Rate Minus 40bps (3.240%) | 05/06/2026 | $— | $— | $(131162) | USD | 873567 | $(131162) |
| Morgan Stanley & Co./ Upon Termination | Union Pacific Corp. | Received 1 Month-Federal Rate Minus 40bps (3.240%) | 05/06/2026 |  |  | (321690) | USD | 2104846 | (321690) |
|  |  |  |  |  |  | $(452852) |  |  | $(452852) |

---

<u>AltShares Merger Arbitrage ETF</u> <u>Portfolio of Investments</u> <br> *February 28, 2026 (unaudited)*

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **OUTSTANDING FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS** | **OUTSTANDING FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS** | **OUTSTANDING FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS** | **OUTSTANDING FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS** | **OUTSTANDING FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS** | **OUTSTANDING FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS** | **OUTSTANDING FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS** |
| **Currency Purchased** | **Currency Purchased** | **Currency Sold** | **Currency Sold** | **Counterparty** | **Settlement Date** | **Unrealized<br> Appreciation** |
| CAD | 3678860 | USD | 2674891 | Morgan Stanley & Co. | 03/16/2026 | $23716 |
| USD | 3612346 | CAD | 4894950 | Morgan Stanley & Co. | 03/16/2026 | 21684 |
| USD | 89618 | DKK | 558200 | Morgan Stanley & Co. | 03/16/2026 | 1279 |
| EUR | 666580 | USD | 785346 | Morgan Stanley & Co. | 03/16/2026 | 2779 |
| USD | 2052352 | EUR | 1714350 | Morgan Stanley & Co. | 03/16/2026 | 25405 |
| GBP | 1711700 | USD | 2290424 | Morgan Stanley & Co. | 03/16/2026 | 16394 |
| USD | 3254324 | GBP | 2387100 | Morgan Stanley & Co. | 03/16/2026 | 37285 |
|  |  |  |  |  |  | $128542 |

---

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **Currency Purchased** | **Currency Purchased** | **Currency Sold** | **Currency Sold** | **Counterparty** | **Settlement Date** | **Unrealized<br> Depreciation** |
| USD | 3298197 | CAD | 4545060 | Morgan Stanley & Co. | 03/16/2026 | $(35802) |
| USD | 452721 | DKK | 2868300 | Morgan Stanley & Co. | 03/16/2026 | (1205) |
| EUR | 644120 | USD | 769086 | Morgan Stanley & Co. | 03/16/2026 | (7516) |
| USD | 3751595 | EUR | 3204860 | Morgan Stanley & Co. | 03/16/2026 | (37644) |
| GBP | 1144600 | USD | 1555751 | Morgan Stanley & Co. | 03/16/2026 | (13202) |
| USD | 5232989 | GBP | 3928200 | Morgan Stanley & Co. | 03/16/2026 | (60954) |
| USD | 22 | SEK | 210 | Morgan Stanley & Co. | 03/16/2026 | (1) |
|  |  |  |  |  |  | $(156324) |

---

<u>AltShares Merger Arbitrage ETF</u> <u>Portfolio of Investments</u> <br> *February 28, 2026 (unaudited)*

The following is a summary of investments classified by country exposure:

---

| | |
|:---|:---|
| **Country** | **% of Net Assets<sup>(a)</sup>** |
| United States | 79.16% |
| Canada | 7.79% |
| United Kingdom | 4.48% |
| Netherlands | 2.91% |
| Jersey | 1.52% |
| Italy | 1.30% |
| Cayman Islands | 1.01% |
| France | 0.71% |
| Denmark | 0.52% |
| Bermuda | 0.38% |
| Other Assets in Excess of Liabilities | 0.22% |
|  | 100.00% |

---

*<sup>(a)</sup>* *These percentages represent long positions only and are not net of short positions.*

***Abbreviations:***

*ADR - American Depositary Receipt*

*AG - Aktiengesellschaft is a German term that refers to a corporation that is limited by shares, i.e., owned by shareholders.*

*AS - Aktieselskab is a Danish term for a stock-based corporation.*

*bps - Basis Points. 100 Basis Points is equal to 1 percentage point.*

*CAD - Canadian dollar*

*DKK - Danish krone*

*EUR - Euro*

*GBP - British pound*

*Ltd. - Limited*

*NV - Naamloze Vennootschap is the Dutch term for a public limited liability corporation.*

*PLC - Public Limited Company*

*SA - Generally designates corporations in various countries, mostly those employing civil law. This translates literally in all languages mentioned as anonymous company.*

*SEK - Swedish krona*

*SpA - Societa per Azione*

*USD - United States Dollar*

<u>AltShares Event-Driven ETF</u> <u>Portfolio of Investments</u> <br> *February 28, 2026 (unaudited)*

---

| | | |
|:---|:---|:---|
|  | **Shares** | **Value** |
| **COMMON STOCKS - 84.89%** |  |  |
| &nbsp;&nbsp;&nbsp;**Banks - 0.98%** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Webster Financial Corp.<sup>(a)</sup> | 1492 | $107618 |
| &nbsp;&nbsp;&nbsp;**Biotechnology - 8.82%** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Amicus Therapeutics, Inc.<sup>(b)</sup> | 17434 | 250526 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Arcellx, Inc.<sup>(b)</sup> | 1189 | 135296 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;RAPT Therapeutics, Inc.<sup>(b)</sup> | 5168 | 299641 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ventyx Biosciences, Inc.<sup>(b)</sup> | 12414 | 173424 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Viking Therapeutics, Inc.<sup>(a)(b)</sup> | 3099 | 104870 |
|  |  | 963757 |
| &nbsp;&nbsp;&nbsp;**Commercial Services - 0.43%** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;PayPal Holdings, Inc. | 1014 | 46857 |
| &nbsp;&nbsp;&nbsp;**Diversified Financial Services - 12.50%** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Air Lease Corp. | 3322 | 215399 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;DigitalBridge Group, Inc.<sup>(a)</sup> | 20068 | 310051 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Forge Global Holdings, Inc.<sup>(b)</sup> | 2888 | 129960 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Janus Henderson Group PLC<sup>(a)</sup> | 8214 | 427949 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Schroders PLC | 26804 | 211677 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Victory Capital Holdings, Inc., Class A | 1010 | 69872 |
|  |  | 1364908 |
| &nbsp;&nbsp;&nbsp;**Electric - 3.13%** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;TXNM Energy, Inc.<sup>(a)</sup> | 5786 | 341490 |
| &nbsp;&nbsp;&nbsp;**Engineering & Construction - 1.98%** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Great Lakes Dredge & Dock Corp.<sup>(b)</sup> | 12752 | 216146 |
| &nbsp;&nbsp;&nbsp;**Entertainment - 3.31%** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Caesars Entertainment, Inc.<sup>(b)</sup> | 4146 | 103857 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Cineplex, Inc.<sup>(b)</sup> | 17567 | 136899 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Penn Entertainment, Inc.<sup>(a)(b)</sup> | 7690 | 120272 |
|  |  | 361028 |
| &nbsp;&nbsp;&nbsp;**Healthcare - Products - 14.33%** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Exact Sciences Corp.<sup>(a)(b)</sup> | 4444 | 459421 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Hologic, Inc.<sup>(b)(c)</sup> | 6717 | 506193 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Masimo Corp.<sup>(b)</sup> | 1230 | 215681 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Pacific Biosciences of California, Inc.<sup>(b)</sup> | 46500 | 78120 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Penumbra, Inc.<sup>(b)</sup> | 888 | 305818 |
|  |  | 1565233 |
| &nbsp;&nbsp;&nbsp;**Healthcare - Services - 0.99%** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Enhabit, Inc.<sup>(b)</sup> | 7968 | 108444 |
| &nbsp;&nbsp;&nbsp;**Home Builders - 1.97%** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Tri Pointe Homes, Inc.<sup>(b)</sup> | 4648 | 215202 |
| &nbsp;&nbsp;&nbsp;**Insurance - 2.57%** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;ProAssurance Corp.<sup>(a)(b)</sup> | 11420 | 280361 |
| &nbsp;&nbsp;&nbsp;**Internet - 1.41%** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Eventbrite, Inc., Class A<sup>(b)</sup> | 21592 | 95437 |

---

---

| | | |
|:---|:---|:---|
|  | **Shares** | **Value** |
| **COMMON STOCKS - 84.89% (Continued)** |  |  |
| &nbsp;&nbsp;&nbsp;**Internet - 1.41% (Continued)** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Reddit, Inc., Class A<sup>(a)(b)</sup> | 404 | $58907 |
|  |  | 154344 |
| &nbsp;&nbsp;&nbsp;**Lodging - 0.00%<sup>(d)</sup>** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Marcus Corp. | 26 | 438 |
| &nbsp;&nbsp;&nbsp;**Machinery - Diversified - 4.36%** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Chart Industries, Inc.<sup>(b)</sup> | 2296 | 475961 |
| &nbsp;&nbsp;&nbsp;**Media - 4.35%** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;TEGNA, Inc. | 234 | 4902 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Warner Bros Discovery, Inc.<sup>(b)</sup> | 16706 | 470608 |
|  |  | 475510 |
| &nbsp;&nbsp;&nbsp;**Packaging & Containers - 1.85%** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Sealed Air Corp. | 4836 | 202532 |
| &nbsp;&nbsp;&nbsp;**Pharmaceuticals - 0.76%** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Amneal Pharmaceuticals, Inc.<sup>(b)</sup> | 1000 | 13810 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Atrium Therapeutics, Inc.<sup>(b)</sup> | 338 | 4985 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Bayer AG, ADR | 5199 | 63948 |
|  |  | 82743 |
| &nbsp;&nbsp;&nbsp;**Real Estate Investment Trusts - 1.59%** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Alexander & Baldwin, Inc. | 3117 | 64803 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Veris Residential, Inc. | 5752 | 108425 |
|  |  | 173228 |
| &nbsp;&nbsp;&nbsp;**Retail - 2.22%** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Dick's Sporting Goods, Inc. | 1190 | 242320 |
| &nbsp;&nbsp;&nbsp;**Semiconductors - 0.97%** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Silicon Laboratories, Inc.<sup>(b)(c)</sup> | 518 | 105946 |
| &nbsp;&nbsp;&nbsp;**Software - 10.96%** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Clearwater Analytics Holdings, Inc., Class A<sup>(b)(c)</sup> | 2891 | 67620 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Confluent, Inc., Class A<sup>(b)(c)</sup> | 14808 | 454161 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Electronic Arts, Inc.<sup>(a)(c)</sup> | 2590 | 519476 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Figma, Inc., Class A<sup>(b)</sup> | 1522 | 44732 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Oracle Corp.<sup>(a)</sup> | 762 | 110795 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Palo Alto Networks, Inc.<sup>(b)</sup> | 1 | 211 |
|  |  | 1196995 |
| &nbsp;&nbsp;&nbsp;**Telecommunications - 1.08%** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;EchoStar Corp., Class A<sup>(b)(c)</sup> | 1020 | 117841 |
| &nbsp;&nbsp;&nbsp;**Transportation - 4.33%** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Norfolk Southern Corp.<sup>(a)</sup> | 1503 | 473054 |
| **TOTAL COMMON STOCKS**<br> (Cost $9,054,769) |  | 9271956 |

---

<u>AltShares Event-Driven ETF</u> <u>Portfolio of Investments</u> <br> *February 28, 2026 (unaudited)*

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | **Maturity<br> Date** | **Rate** | **Principal <br> Amount** | **Value** |
| **CORPORATE BONDS - 7.97%** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;**Electric - 0.52%** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Calpine LLC<sup>(e)</sup> | 03/15/2028 | 5.125% | $57000 | $56979 |
| &nbsp;&nbsp;&nbsp;**Healthcare - Products - 0.51%** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Bausch & Lomb Corp.<sup>(e)</sup> | 10/01/2028 | 8.375% | 54000 | 55958 |
| &nbsp;&nbsp;&nbsp;**Machinery - Diversified - 0.91%** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Chart Industries, Inc.<sup>(e)</sup> | 01/01/2030 | 7.500% | 95000 | 98687 |
| &nbsp;&nbsp;&nbsp;**Media - 0.81%** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;TEGNA, Inc. | 09/15/2029 | 5.000% | 88000 | 87917 |
| &nbsp;&nbsp;&nbsp;**Real Estate - 1.49%** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Kennedy-Wilson, Inc. | 03/01/2031 | 5.000% | 168000 | 162854 |
| &nbsp;&nbsp;&nbsp;**Telecommunications - 3.73%** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;EchoStar Corp. | 11/30/2030 | 6.750% | 206000 | 208627 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Frontier Communications Holdings LLC<sup>(e)</sup> | 05/15/2030 | 8.750% | 193000 | 198960 |
|  |  |  |  | 407587 |
| **TOTAL CORPORATE BONDS**<br> (Cost $871,407) |  |  |  | 869982 |
| **CONVERTIBLE CORPORATE BONDS - 1.34%** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;**Computers & Computer Services - 0.84%** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Rapid7, Inc. | 03/15/2029 | 1.250% | 108530 | 92386 |
| &nbsp;&nbsp;&nbsp;**Investment Company Security - 0.50%** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Gladstone Capital Corp. | 10/01/2030 | 5.875% | 58000 | 54498 |
| **TOTAL CONVERTIBLE CORPORATE BONDS**<br> (Cost $155,685) |  |  |  | 146884 |

---

---

| | | |
|:---|:---|:---|
|  | **Shares** | **Value** |
| **RIGHTS<sup>(b)</sup> - 0.13%** |  |  |
| Avadel Pharmaceuticals PLC CVR<sup>(f)(g)</sup> | 12022 | $7725 |
| Concert Pharmaceuticals, Inc. CVR, Expires 12/31/2029<sup>(f)(g)</sup> | 2000 | 983 |
| Contra Abiomed, Inc. CVR, Expires 12/31/2030<sup>(f)(g)</sup> | 200 | 320 |
| Contra Albireo Pharma, Inc. CVR, Expires 12/31/2027<sup>(f)(g)</sup> | 415 | 1186 |
| Contra Metsera, Inc. CVR, Expires 12/31/2031<sup>(f)(g)</sup> | 203 | 1022 |
| TreeHouse Foods, Inc. CVR<sup>(f)(g)</sup> | 1486 | 2880 |
| **TOTAL RIGHTS**<br> (Cost $13,393) |  | 14116 |

---

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | **Expiration<br> Date** | **Exercise <br> Price** | **Notional<br> Amount** | **Contracts** | **Value** |
| **PURCHASED OPTIONS<sup>(b)</sup> - 0.12%** |  |  |  |  |  |
| **Put Options Purchased - 0.06%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Clearwater Analytics Holdings, Inc. |  |  |  |  |  |
|  | 06/2026 | $22.50 | $18712 | 8 | $200 |

---

<u>AltShares Event-Driven ETF</u> <u>Portfolio of Investments</u> <br> *February 28, 2026 (unaudited)*

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | **Expiration<br> Date** | **Exercise <br> Price** | **Notional<br> Amount** | **Contracts** | **Value** |
| **PURCHASED OPTIONS<sup>(b)</sup> - 0.12% (Continued)** |  |  |  |  |  |
| **Put Options Purchased - 0.06% (Continued)** |  |  |  |  |  |
|  | 03/2026 | $20.00 | $56136 | 24 | $480 |
| &nbsp;&nbsp;&nbsp;Confluent, Inc. | 03/2026 | 30.00 | 88943 | 29 | 0 |
| &nbsp;&nbsp;&nbsp;Electronic Arts, Inc. |  |  |  |  |  |
|  | 03/2026 | 195.00 | 40114 | 2 | 230 |
|  | 06/2026 | 200.00 | 180513 | 9 | 4410 |
| &nbsp;&nbsp;&nbsp;Hologic, Inc. | 03/2026 | 72.50 | 180864 | 24 | 0 |
| &nbsp;&nbsp;&nbsp;Silicon Laboratories, Inc. | 04/2026 | 200.00 | 102265 | 5 | 950 |
| **TOTAL PUT OPTIONS PURCHASED**<br> (Cost $8,432) |  |  |  |  | 6270 |
| **Call Options Purchased - 0.06%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Banco Santander SA |  |  |  |  |  |
|  | 06/2026 | 13.00 | 17304 | 14 | 994 |
|  | 06/2026 | 14.00 | 17304 | 14 | 630 |
| &nbsp;&nbsp;&nbsp;EchoStar Corp. | 03/2026 | 120.00 | 80871 | 7 | 5040 |
| **TOTAL CALL OPTIONS PURCHASED**<br> (Cost $7,638) |  |  |  |  | 6664 |
| **TOTAL PURCHASED OPTIONS**<br> (Cost $16,070) |  |  |  |  | 12934 |

---

---

| | | | |
|:---|:---|:---|:---|
|  | **Yield** | **Shares** | **Value** |
| **SHORT-TERM INVESTMENTS - 3.53%** |  |  |  |
| **Money Market Funds** |  |  |  |
| &nbsp;&nbsp;&nbsp;Morgan Stanley Institutional Liquidity Fund - Government Portfolio, Institutional Class | 3.595 %<sup>(h)</sup> | 192673 | $192673 |
| &nbsp;&nbsp;&nbsp;State Street Institutional U.S. Government Money Market Fund, Premier Class | 3.737 %<sup>(h)</sup> | 192673 | 192673 |
|  |  |  | 385346 |
| **TOTAL SHORT-TERM INVESTMENTS**<br> (Cost $385,346) |  |  | 385346 |
| **Total Investments - 97.98%**<br> (Cost $10,496,670) |  |  | 10701218 |
| **Other Assets in Excess of Liabilities - 2.02%**<sup>(i)</sup>** |  |  | 221124 |
| **NET ASSETS - 100.00%** |  |  | $10922342 |

---

---

| | |
|:---|:---|
| Portfolio Footnotes | Portfolio Footnotes |
| *<sup>(a)</sup>* | *Security, or a portion of security, is being held as collateral for swaps, short sales, written option contracts or forward foreign currency exchange contracts. At February 28, 2026, the aggregate fair market value of those securities was $2,125,714, representing 19.46% of net assets.* |

---

<u>AltShares Event-Driven ETF</u> <u>Portfolio of Investments</u> <br> *February 28, 2026 (unaudited)*

*<sup>(b)</sup>* *Non-income-producing security.*

*<sup>(c)</sup>* *Underlying security for a written/purchased call/put option.*

*<sup>(d)</sup>* *Less than 0.005% of net assets.*

*<sup>(e)</sup>* *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. As of February 28, 2026, these securities had a total value of $410,584 or 3.76% of net assets.*

*<sup>(f)</sup>* *Security fair valued using significant unobservable inputs and classified as a Level 3 security. As of February 28, 2026, the total fair market value of these securities was $14,116, representing 0.13% of net assets.*

*<sup>(g)</sup>* *Restricted securities (including private placements) - The Fund may own investment securities that have other legal or contractual limitations. At the end of the period, the value of restricted securities (excluding 144A issues) amounted to $14,116 or 0.13% of net assets.*

---

| | | |
|:---|:---|:---|
| **Restricted Security** | **Acquisition Date** | **Acquisition Cost** |
| Avadel Pharmaceuticals PLC CVR | 02/13/2026 | $7694 |
| Concert Pharmaceuticals, Inc. CVR, Expires 12/31/2029 | 03/07/2023 | 740 |
| Contra Abiomed, Inc. CVR, Expires 12/31/2030 | 12/21/2022 | 204 |
| Contra Albireo Pharma, Inc. CVR, Expires 12/31/2027 | 01/09/2023 | 892 |
| Contra Metsera, Inc. CVR, Expires 12/31/2031 | 11/14/2025 | 995 |
| TreeHouse Foods, Inc. CVR | 02/11/2026 | 2868 |
| **Total** |  | $**13393** |

---

*<sup>(h)</sup>* *Rate shown is the 7-day effective yield as of February 28, 2026.* <br> *<sup>(i)</sup>* *Includes cash held as collateral for short sales.*

---

| | | |
|:---|:---|:---|
| **SCHEDULE OF SECURITIES SOLD SHORT** | **Shares** | **Value** |
| **SECURITIES SOLD SHORT - (1.20%)** |  |  |
| **COMMON STOCKS SOLD SHORT - (1.20%)** |  |  |
| &nbsp;&nbsp;&nbsp;**Banks - (0.35%)** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Banco Santander SA, ADR | (3066) | $(37896) |
| &nbsp;&nbsp;&nbsp;**Computers & Computer Services - (0.01%)** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Rapid7, Inc. | (247) | (1536) |
| &nbsp;&nbsp;&nbsp;**Healthcare - Products - (0.64%)** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Boston Scientific Corp. | (917) | (70472) |
| &nbsp;&nbsp;&nbsp;**Investment Company Security - (0.08%)** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Gladstone Capital Corp. | (490) | (8918) |
| &nbsp;&nbsp;&nbsp;**Transportation - (0.12%)** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Union Pacific Corp. | (48) | (12719) |
| **TOTAL SECURITIES SOLD SHORT**<br> (Proceeds $145,860) |  | $(131541) |

---

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **WRITTEN OPTIONS** | **Expiration<br> Date** |  | **Exercise <br> Price** | **Notional<br> Amount** | **Contracts** | **Value** |
| **Written Put Options** |  |  |  |  |  |  |
| EchoStar Corp. | 03 | /2026 | $100.00 | $(80871) | (7) | $(1750) |
| **TOTAL WRITTEN OPTIONS**<br> (Premiums received $2,318) |  |  |  |  |  | $(1750) |

---

<u>AltShares Event-Driven ETF</u> <u>Portfolio of Investments</u> <br> *February 28, 2026 (unaudited)*

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **EQUITY SWAP CONTRACTS** | **EQUITY SWAP CONTRACTS** | **EQUITY SWAP CONTRACTS** | | | | | | | |
| **Swap <br> Counterparty/<br> Payment <br> Frequency** | **Reference<br> Obligation** | **Rate<br> Paid/Received<br> by the Fund** | <br>**Termination<br> Date** |<br>**Upfront<br> Payments<br> Made** |<br>**Upfront<br> Payments<br> Received** |<br>**Market<br> Value** | **Notional<br> Amount** | **Notional<br> Amount** |<br>**Unrealized<br> Appreciation** |
| Morgan Stanley & Co./ Upon Termination | Bayer AG | Paid 1 Month-Federal Rate Plus 50bps (4.140%) | 10/23/2026 | $— | $— | $32612 | USD | 46057 | $32612 |
| Morgan Stanley & Co./ Upon Termination | TEGNA, Inc. | Paid 1 Month-Federal Rate Plus 50bps (4.140%) | 10/23/2026 |  |  | 7462 | USD | 137690 | 7462 |
|  |  |  |  |  |  | $40074 |  |  | $40074 |

---

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Swap<br> Counterparty/<br> Payment<br> Frequency** | **Reference<br> Obligation** | **Rate<br> Paid/Received<br> by the Fund** | **Termination<br> Date** | **Upfront<br> Payments Made** | **Market<br> Value** | **Notional<br> Amount** | **Notional<br> Amount** | **Unrealized<br> Depreciation** |
| Morgan Stanley & Co./ Upon Termination | Union Pacific Corp. | Received 1 Month-Federal Rate Minus 40bps (3.240%) | 10/02/2026 | $– $– $| (49546) | USD | 334506 | $(49546) |

---

<u>AltShares Event-Driven ETF</u> <u>Portfolio of Investments</u> <br> *February 28, 2026 (unaudited)*

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **OUTSTANDING FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS** | **OUTSTANDING FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS** | **OUTSTANDING FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS** | **OUTSTANDING FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS** | **OUTSTANDING FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS** | **OUTSTANDING FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS** | **OUTSTANDING FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS** |
| **Currency Purchased** | **Currency Purchased** | **Currency Sold** | **Currency Sold** | **Counterparty** | **Settlement <br> Date** | **Unrealized<br> Appreciation** |
| CAD | 29860 | USD | 21726 | Morgan Stanley & Co. | 03/16/2026 | $177 |
| USD | 37450 | CAD | 50840 | Morgan Stanley & Co. | 03/16/2026 | 156 |
| USD | 216404 | GBP | 158800 | Morgan Stanley & Co. | 03/16/2026 | 2393 |
|  |  |  |  |  |  | $2726 |

---

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **Currency Purchased** | **Currency Purchased** | **Currency Sold** | **Currency Sold** | **Counterparty** | **Settlement <br> Date** | **Unrealized<br> Depreciation** |
| CAD | 6930 | USD | 5116 | Morgan Stanley & Co. | 03/16/2026 | $(32) |
| USD | 118238 | CAD | 162650 | Morgan Stanley & Co. | 03/16/2026 | (1073) |
| USD | 2289 | GBP | 1700 | Morgan Stanley & Co. | 03/16/2026 | (2) |
|  |  |  |  |  |  | $(1107) |

---

The following is a summary of investments classified by country exposure:

---

| | |
|:---|:---|
| **Country** | **% of Net Assets<sup>(a)</sup>** |
| United States | 89.70% |
| Jersey | 3.92% |
| United Kingdom | 1.94% |
| Canada | 1.77% |
| Germany | 0.58% |
| Ireland | 0.07% |
| Other Assets in Excess of Liabilities | 2.02% |
|  | 100.00% |

---

<sup>(a)</sup> These percentages represent long positions only and are not net of short positions.

<u>AltShares Event-Driven ETF</u> <u>Portfolio of Investments</u> <br> *February 28, 2026 (unaudited)*

***Abbreviations:***

*ADR - American Depositary Receipt*

*AG - Aktiengesellschaft is a German term that refers to a corporation that is limited by shares, i.e., owned by shareholders.*

*AS - Aktieselskab is a Danish term for a stock-based corporation.*

*bps - Basis Points. 100 Basis Points is equal to 1 percentage point.*

*CAD - Canadian dollar*

*CVR - Contingent Value Rights*

*GBP - British pound*

*LLC - Limited Liability Company*

*Ltd. - Limited*

*NV - Naamloze Vennootschap is the Dutch term for a public limited liability corporation.*

*PLC - Public Limited Company*

*SA - Generally designates corporations in various countries, mostly those employing civil law. This translates literally in all languages mentioned as anonymous company.*

*USD - United States Dollar*

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** AltShares Trust

- **b. Investment Company Act file number:** 811-23475

- **c. CIK number of Registrant:** 0001779306

- **d. LEI of Registrant:** 549300MJC5CESCLT8M40

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

  - **Street Address 1:** C/O WATER ISLAND CAPITAL, LLC

  - **City:** New York

  - **State:** NY

  - **Foreign country:** US

  - **Zip / Postal Code:** 10011

  - **Telephone number:** 800-560-8210

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

- **a. Name of Series:** AltShares Merger Arbitrage ETF

- **b. EDGAR series identifier (if any):** S000067196

- **c. LEI of Series:** 549300253RKVXL6EB213

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

- **a. Date of fiscal year-end:** 2026-05-31

- **b. Date as of which information is reported:** 2026-02-28

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $120215634.56

**Total Liabilities:** $16827397.93

**Net Assets:** $103388236.63

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000216184 | 0.16%                | 0.24%                | 0.52%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-575100.47              | $554216.62                                 |
| Month 2  | $1796858.53              | $-1015516.85                               |
| Month 3  | $181865.01               | $546057.02                                 |

**Designated Index Information**

- **Index Name:** Water Island Merger Arbitrage USD Hedged Index

- **Index Identifier:** WIMARBH

### Schedule of Portfolio Investments

| Name                                 | Title                                                                                            | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |   Balance | Units   | Value (USD)   | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| Just Group PLC                       | Just Group PLC                                                                                   | CUSIP: 000000000<br>LEI: 5493006456YEZEELRR90 | Long             | EC               | CORP              | GB        |    356225 | NS      | $1039344.84   | 1.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC             | PURCHASED USD / SOLD CAD                                                                         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |         1 | NC      | $-19215.87    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Onestream Inc                        | Onestream Inc                                                                                    | CUSIP: 68278B107<br>LEI: 254900CRBCHIYDC37W82 | Long             | EC               | CORP              | US        |     90104 | NS      | $2125553.36   | 2.06%             |  |  |  | No            |                  1 | On Loan: No      |
| Clear Channel Outdoor Holdings Inc   | Clear Channel Outdoor Holdings Inc                                                               | CUSIP: 18453H106<br>LEI: 254900XBEE6V1ENYS150 | Long             | EC               | CORP              | US        |    434198 | NS      | $1042075.20   | 1.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Warner Bros Discovery Inc            | Warner Bros Discovery Inc                                                                        | CUSIP: 934423104<br>LEI: 5493006ZCRFWKF6B1K26 | Long             | EC               | CORP              | US        |    138979 | NS      | $3915038.43   | 3.79%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC             | PURCHASED USD / SOLD GBP                                                                         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |         1 | NC      | $9106.71      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| BPER Banca SPA                       | BPER Banca SPA                                                                                   | CUSIP: 000000000<br>LEI: N747OI7JINV7RUUH6190 | Short            | EC               | CORP              | IT        |   -115708 | NS      | $-1642014.25  | -1.59%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC             | Long: UNPMSS    TRS USD R V 00MFEDL FEDL01 -40 BPS / Short: UNPMSS    TRS USD P E UNPMSS TRS P E | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               |  | US        |   2104846 | OU      | $-322371.24   | -0.31%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC             | PURCHASED USD / SOLD CAD                                                                         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |         1 | NC      | $81.68        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Exact Sciences Corp                  | Exact Sciences Corp                                                                              | CUSIP: 30063P105<br>LEI: 549300VM3X1FYD4N9Z14 | Long             | EC               | CORP              | US        |     30060 | NS      | $3107602.80   | 3.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Nicolet Bankshares Inc               | Nicolet Bankshares Inc                                                                           | CUSIP: 65406E102<br>LEI: N/A                  | Long             | EC               | CORP              | US        |         1 | NS      | $152.76       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC             | PURCHASED GBP / SOLD USD                                                                         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | GB        |         1 | NC      | $-1934.94     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SkyWater Technology Inc              | SkyWater Technology Inc                                                                          | CUSIP: 83089J108<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     34152 | NS      | $1006117.92   | 0.97%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC             | PURCHASED EUR / SOLD USD                                                                         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | XX        |         1 | NC      | $-4538.31     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC             | PURCHASED USD / SOLD CAD                                                                         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |         1 | NC      | $-815.35      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Calavo Growers Inc                   | Calavo Growers Inc                                                                               | CUSIP: 128246105<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     39378 | NS      | $1056905.52   | 1.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC             | PURCHASED EUR / SOLD USD                                                                         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | XX        |         1 | NC      | $-2977.91     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC             | PURCHASED USD / SOLD EUR                                                                         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |         1 | NC      | $2594.31      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Banca Popolare di Sondrio SPA        | Banca Popolare di Sondrio SPA                                                                    | CUSIP: 000000000<br>LEI: J48C8PCSJVUBR8KCW529 | Long             | EC               | CORP              | IT        |     79726 | NS      | $1620313.12   | 1.57%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC             | PURCHASED USD / SOLD CAD                                                                         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |         1 | NC      | $-10008.38    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC             | PURCHASED GBP / SOLD USD                                                                         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | GB        |         1 | NC      | $16393.83     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Diamond Hill Investment Group Inc    | Diamond Hill Investment Group Inc                                                                | CUSIP: 25264R207<br>LEI: 549300AQ6779A0B7VZ57 | Long             | EC               | CORP              | US        |      2852 | NS      | $490173.24    | 0.47%             |  |  |  | No            |                  1 | On Loan: No      |
| Cantaloupe Inc                       | Cantaloupe Inc                                                                                   | CUSIP: 138103106<br>LEI: 529900O54DBQQVWO9Q85 | Long             | EC               | CORP              | US        |    101635 | NS      | $1061069.40   | 1.03%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC             | PURCHASED USD / SOLD EUR                                                                         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |         1 | NC      | $-5044.16     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC             | PURCHASED CAD / SOLD USD                                                                         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | CA        |         1 | NC      | $1726.36      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| State Street Global Advisors         | State Street Institutional US Government Money Market Fund                                       | CUSIP: 857492706<br>LEI: 549300BZ5TGIFZUZDZ37 | Long             | STIV             | RF                | US        |    886309 | NS      | $886309.10    | 0.86%             |  |  |  | No            |                  1 | On Loan: No      |
| Boston Scientific Corp               | Boston Scientific Corp                                                                           | CUSIP: 101137107<br>LEI: Y6ZDD9FP4P8JSSJMW954 | Short            | EC               | CORP              | US        |    -30957 | NS      | $-2379045.45  | -2.30%            |  |  |  | No            |                  1 | On Loan: No      |
| Air Lease Corp                       | Air Lease Corp                                                                                   | CUSIP: 00912X302<br>LEI: 5493004NW4M4P8TMMK63 | Long             | EC               | CORP              | US        |     40043 | NS      | $2596388.12   | 2.51%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC             | PURCHASED USD / SOLD DKK                                                                         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |         1 | NC      | $-105.29      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Axalta Coating Systems Ltd           | Axalta Coating Systems Ltd                                                                       | CUSIP: 000000000<br>LEI: 529900AGLPA40GV6H619 | Long             | EC               | CORP              | BM        |     11902 | NS      | $397645.82    | 0.38%             |  |  |  | No            |                  1 | On Loan: No      |
| Brighthouse Financial Inc            | Brighthouse Financial Inc                                                                        | CUSIP: 10922N103<br>LEI: 5493003T8SZSHOGGAW52 | Long             | EC               | CORP              | US        |     33118 | NS      | $1986417.64   | 1.92%             |  |  |  | No            |                  1 | On Loan: No      |
| Tri Pointe Homes Inc                 | Tri Pointe Homes Inc                                                                             | CUSIP: 87265H109<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     45739 | NS      | $2117715.70   | 2.05%             |  |  |  | No            |                  1 | On Loan: No      |
| Udemy Inc                            | Udemy Inc                                                                                        | CUSIP: 902685106<br>LEI: 2549000T304QU9SAM180 | Long             | EC               | CORP              | US        |    137779 | NS      | $693028.37    | 0.67%             |  |  |  | No            |                  1 | On Loan: No      |
| Fnac Darty SA                        | Fnac Darty SA                                                                                    | CUSIP: 000000000<br>LEI: 96950091FL62XSLPHO35 | Long             | EC               | CORP              | FR        |     17486 | NS      | $731415.68    | 0.71%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC             | PURCHASED EUR / SOLD USD                                                                         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | XX        |         1 | NC      | $1195.69      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC             | PURCHASED USD / SOLD GBP                                                                         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |         1 | NC      | $-233.11      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Allegiant Travel Co                  | Allegiant Travel Co                                                                              | CUSIP: 01748X102<br>LEI: 549300JM9OZXOHWL2K18 | Short            | EC               | CORP              | US        |    -11873 | NS      | $-1212826.95  | -1.17%            |  |  |  | No            |                  1 | On Loan: No      |
| Norfolk Southern Corp                | Norfolk Southern Corp                                                                            | CUSIP: 655844108<br>LEI: 54930036C8MWP850MI84 | Long             | EC               | CORP              | US        |      9160 | NS      | $2883018.40   | 2.79%             |  |  |  | No            |                  1 | On Loan: No      |
| IHS Holding Ltd                      | IHS Holding Ltd                                                                                  | CUSIP: 000000000<br>LEI: 213800CLGMKL63VKTD94 | Long             | EC               | CORP              | KY        |    129773 | NS      | $1038184.00   | 1.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Sealed Air Corp                      | Sealed Air Corp                                                                                  | CUSIP: 81211K100<br>LEI: Q0M0CZB4YN6JZ65WXI09 | Long             | EC               | CORP              | US        |     55245 | NS      | $2313660.60   | 2.24%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC             | PURCHASED USD / SOLD EUR                                                                         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |         1 | NC      | $21078.41     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Penumbra Inc                         | Penumbra Inc                                                                                     | CUSIP: 70975L107<br>LEI: 549300RGE06P3ECANU72 | Long             | EC               | CORP              | US        |      7995 | NS      | $2753398.05   | 2.66%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC             | PURCHASED USD / SOLD GBP                                                                         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |         1 | NC      | $11811.95     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| First Foundation Inc                 | First Foundation Inc                                                                             | CUSIP: 32026V104<br>LEI: 254900TQZQ6LBCK77E82 | Long             | EC               | CORP              | US        |     66817 | NS      | $392215.79    | 0.38%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC             | PURCHASED USD / SOLD CAD                                                                         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |         1 | NC      | $995.23       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Northwestern Energy Group Inc        | Northwestern Energy Group Inc                                                                    | CUSIP: 668074305<br>LEI: 254900N1WG46G1VMDM34 | Long             | EC               | CORP              | US        |     13912 | NS      | $973283.52    | 0.94%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC             | PURCHASED USD / SOLD EUR                                                                         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |         1 | NC      | $1668.35      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC             | PURCHASED USD / SOLD GBP                                                                         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |         1 | NC      | $-51.27       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC             | PURCHASED GBP / SOLD USD                                                                         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | GB        |         1 | NC      | $-668.62      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Blue Foundry Bancorp                 | Blue Foundry Bancorp                                                                             | CUSIP: 09549B104<br>LEI: 5493008KPK5NJT0FNK56 | Long             | EC               | CORP              | US        |     35262 | NS      | $464753.16    | 0.45%             |  |  |  | No            |                  1 | On Loan: No      |
| CSG Systems International Inc        | CSG Systems International Inc                                                                    | CUSIP: 126349109<br>LEI: 549300D7FJZUOHHXUA81 | Long             | EC               | CORP              | US        |     19584 | NS      | $1564761.60   | 1.51%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC             | PURCHASED USD / SOLD GBP                                                                         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |         1 | NC      | $11119.65     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC             | PURCHASED USD / SOLD EUR                                                                         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |         1 | NC      | $-1168.90     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC             | PURCHASED GBP / SOLD USD                                                                         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | GB        |         1 | NC      | $-2574.88     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC             | PURCHASED EUR / SOLD USD                                                                         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | XX        |         1 | NC      | $1047.29      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Flushing Financial Corp              | Flushing Financial Corp                                                                          | CUSIP: 343873105<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     29825 | NS      | $460199.75    | 0.45%             |  |  |  | No            |                  1 | On Loan: No      |
| JDE Peet's NV                        | JDE Peet's NV                                                                                    | CUSIP: 000000000<br>LEI: 724500EHG519SE5ZRT89 | Long             | EC               | CORP              | NL        |     80326 | NS      | $3008748.80   | 2.91%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC             | PURCHASED USD / SOLD EUR                                                                         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |         1 | NC      | $-267.31      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Kitwave Group Plc                    | Kitwave Group Plc                                                                                | CUSIP: 000000000<br>LEI: 2138007DLCYPVY95UD40 | Long             | EC               | CORP              | GB        |    102666 | NS      | $406772.27    | 0.39%             |  |  |  | No            |                  1 | On Loan: No      |
| Eventbrite Inc                       | Eventbrite Inc                                                                                   | CUSIP: 29975E109<br>LEI: 549300N6XBV2B1FAUF55 | Long             | EC               | CORP              | US        |    125886 | NS      | $556416.12    | 0.54%             |  |  |  | No            |                  1 | On Loan: No      |
| Peakstone Realty Trust               | Peakstone Realty Trust                                                                           | CUSIP: 39818P799<br>LEI: 549300EZQXWQI2YL1T80 | Long             | EC               |  | US        |     23023 | NS      | $480259.78    | 0.46%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC             | PURCHASED USD / SOLD EUR                                                                         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |         1 | NC      | $64.75        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Sun Country Airlines Holdings Inc    | Sun Country Airlines Holdings Inc                                                                | CUSIP: 866683105<br>LEI: 549300MOHOJN9GH0NJ48 | Long             | EC               | CORP              | US        |     76255 | NS      | $1500698.40   | 1.45%             |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY PRIME BROKER G        | MORGAN STANLEY PRIME BROKER G                                                                    | CUSIP: 927HZF903<br>LEI: N/A                  | Long             | STIV             | CORP              | GB        |         2 | NS      | $2.68         | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC             | PURCHASED USD / SOLD DKK                                                                         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |         1 | NC      | $-201.74      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Boerse AG                   | Deutsche Boerse AG                                                                               | CUSIP: 000000000<br>LEI: 529900G3SW56SHYNPR95 | Short            | EC               | CORP              | DE        |     -1984 | NS      | $-544814.08   | -0.53%            |  |  |  | No            |                  1 | On Loan: No      |
| Nathan's Famous Inc                  | Nathan's Famous Inc                                                                              | CUSIP: 632347100<br>LEI: 54930034SKNSF1JIE673 | Long             | EC               | CORP              | US        |      4723 | NS      | $475039.34    | 0.46%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC             | PURCHASED EUR / SOLD USD                                                                         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | XX        |         1 | NC      | $505.87       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Alexander & Baldwin Inc              | Alexander & Baldwin Inc                                                                          | CUSIP: 014491104<br>LEI: N/A                  | Long             | EC               |  | US        |     75170 | NS      | $1562784.30   | 1.51%             |  |  |  | No            |                  1 | On Loan: No      |
| IonQ Inc                             | IonQ Inc                                                                                         | CUSIP: 46222L108<br>LEI: 529900RB2VEFGLQS7G28 | Short            | EC               | CORP              | US        |    -17981 | NS      | $-689930.97   | -0.67%            |  |  |  | No            |                  1 | On Loan: No      |
| Schroders PLC                        | Schroders PLC                                                                                    | CUSIP: 000000000<br>LEI: 2138001YYBULX5SZ2H24 | Long             | EC               | CORP              | GB        |    198158 | NS      | $1564900.00   | 1.51%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC             | PURCHASED USD / SOLD EUR                                                                         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |         1 | NC      | $-29370.12    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| Guardian Capital Group Ltd           | Guardian Capital Group Ltd                                                                       | CUSIP: 401339304<br>LEI: 549300S01K8Y0KJYB822 | Long             | EC               | CORP              | CA        |      9706 | NS      | $480870.55    | 0.47%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC             | PURCHASED USD / SOLD CAD                                                                         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |         1 | NC      | $-5354.22     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Mission Produce Inc                  | Mission Produce Inc                                                                              | CUSIP: 60510V108<br>LEI: 54930016JOKVFT59L825 | Short            | EC               | CORP              | US        |    -38551 | NS      | $-547038.69   | -0.53%            |  |  |  | No            |                  1 | On Loan: No      |
| SunOpta Inc                          | SunOpta Inc                                                                                      | CUSIP: 8676EP108<br>LEI: 54930010CP0KEPPRPA40 | Long             | EC               | CORP              | CA        |    162253 | NS      | $1051399.44   | 1.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Banco Santander SA                   | Banco Santander SA                                                                               | CUSIP: 05964H105<br>LEI: 5493006QMFDDMYWIAM13 | Short            | EC               | CORP              | ES        |    -81220 | NS      | $-1003879.20  | -0.97%            |  |  |  | No            |                  1 | On Loan: No      |
| TXNM Energy Inc                      | TXNM Energy Inc                                                                                  | CUSIP: 69349H107<br>LEI: 5493003JOBJGLZSDDQ28 | Long             | EC               | CORP              | US        |     35900 | NS      | $2118818.00   | 2.05%             |  |  |  | No            |                  1 | On Loan: No      |
| Heritage Commerce Corp               | Heritage Commerce Corp                                                                           | CUSIP: 426927109<br>LEI: 549300CLIS851ELSR406 | Long             | EC               | CORP              | US        |     78277 | NS      | $972983.11    | 0.94%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC             | PURCHASED USD / SOLD CAD                                                                         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |         1 | NC      | $85.67        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Nilfisk Holding A/S                  | Nilfisk Holding A/S                                                                              | CUSIP: 000000000<br>LEI: 529900FSU45YYVLKB451 | Long             | EC               | CORP              | DK        |     24580 | NS      | $541074.07    | 0.52%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC             | PURCHASED CAD / SOLD USD                                                                         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | CA        |         1 | NC      | $372.54       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Stellar Bancorp Inc                  | Stellar Bancorp Inc                                                                              | CUSIP: 858927106<br>LEI: 54930070P8Z0WHFBB536 | Long             | EC               | CORP              | US        |     26889 | NS      | $1012639.74   | 0.98%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC             | PURCHASED USD / SOLD DKK                                                                         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |         1 | NC      | $-14.36       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GDI Integrated Facility Services Inc | GDI Integrated Facility Services Inc                                                             | CUSIP: 361569205<br>LEI: 549300OQ1BQ4IS3Q8Y59 | Long             | EC               | CORP              | CA        |     21068 | NS      | $564521.39    | 0.55%             |  |  |  | No            |                  1 | On Loan: No      |
| Allfunds Group Plc                   | Allfunds Group Plc                                                                               | CUSIP: 000000000<br>LEI: 9598005U8TZQ8Q64SC71 | Long             | EC               | CORP              | GB        |    162615 | NS      | $1618829.25   | 1.57%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC             | PURCHASED GBP / SOLD USD                                                                         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | GB        |         1 | NC      | $-3372.66     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC             | PURCHASED GBP / SOLD USD                                                                         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | GB        |         1 | NC      | $-2968.47     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC             | PURCHASED CAD / SOLD USD                                                                         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | CA        |         1 | NC      | $20030.56     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| RAPT Therapeutics Inc                | RAPT Therapeutics Inc                                                                            | CUSIP: 75382E208<br>LEI: 549300MB473BIU78ES48 | Long             | EC               | CORP              | US        |     39720 | NS      | $2302965.60   | 2.23%             |  |  |  | No            |                  1 | On Loan: No      |
| SEMrush Holdings Inc                 | SEMrush Holdings Inc                                                                             | CUSIP: 81686C104<br>LEI: 254900WQEX0OLGK16D27 | Long             | EC               | CORP              | US        |    142258 | NS      | $1681489.56   | 1.63%             |  |  |  | No            |                  1 | On Loan: No      |
| Firstsun Capital Bancorp             | Firstsun Capital Bancorp                                                                         | CUSIP: 33767U107<br>LEI: N/A                  | Short            | EC               | CORP              | US        |    -10746 | NS      | $-391906.62   | -0.38%            |  |  |  | No            |                  1 | On Loan: No      |
| Laurentian Bank of Canada            | Laurentian Bank of Canada                                                                        | CUSIP: 51925D106<br>LEI: HO0K6ZULL3QE6S6SFW60 | Long             | EC               | CORP              | CA        |     35513 | NS      | $1046345.42   | 1.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Fulton Financial Corp                | Fulton Financial Corp                                                                            | CUSIP: 360271100<br>LEI: 5493005QLZ6O1BNC0C11 | Short            | EC               | CORP              | US        |    -22920 | NS      | $-468714.00   | -0.45%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC             | PURCHASED USD / SOLD CAD                                                                         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |         1 | NC      | $3005.49      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Ventyx Biosciences Inc               | Ventyx Biosciences Inc                                                                           | CUSIP: 92332V107<br>LEI: N/A                  | Long             | EC               | CORP              | US        |    151233 | NS      | $2112725.01   | 2.04%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC             | PURCHASED USD / SOLD CAD                                                                         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |         1 | NC      | $-375.15      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC             | PURCHASED GBP / SOLD USD                                                                         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | GB        |         1 | NC      | $-1528.85     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| New Gold Inc                         | New Gold Inc                                                                                     | CUSIP: 644535106<br>LEI: 5493005G0GNCHP0H6L96 | Long             | EC               | CORP              | CA        |    205741 | NS      | $2761044.22   | 2.67%             |  |  |  | No            |                  1 | On Loan: No      |
| Clearwater Analytics Holdings Inc    | Clearwater Analytics Holdings Inc                                                                | CUSIP: 185123106<br>LEI: N/A                  | Long             | EC               | CORP              | US        |    124638 | NS      | $2915282.82   | 2.82%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC             | PURCHASED USD / SOLD DKK                                                                         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |         1 | NC      | $-883.49      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC             | PURCHASED USD / SOLD EUR                                                                         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |         1 | NC      | $-47.21       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC             | PURCHASED USD / SOLD SEK                                                                         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |         1 | NC      | $-0.87        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CALLIDITAS THERAPEUTICS AB           | CALLIDITAS THERAPEUTICS AB                                                                       | CUSIP: 000000000<br>LEI: 549300PVPZO8TNT76B58 | Long             | EC               | CORP              | SE        |         1 | NS      | $23.04        | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| Prosperity Bancshares Inc            | Prosperity Bancshares Inc                                                                        | CUSIP: 743606105<br>LEI: N/A                  | Short            | EC               | CORP              | US        |    -10226 | NS      | $-719603.62   | -0.70%            |  |  |  | No            |                  1 | On Loan: No      |
| Allied Gold Corp                     | Allied Gold Corp                                                                                 | CUSIP: 01921D204<br>LEI: 894500S5G4JFSRGK8L37 | Long             | EC               | CORP              | CA        |     67493 | NS      | $2136540.26   | 2.07%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC             | PURCHASED CAD / SOLD USD                                                                         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | CA        |         1 | NC      | $1585.56      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Webster Financial Corp               | Webster Financial Corp                                                                           | CUSIP: 947890109<br>LEI: KMRURHT0VWKYS6Z5KU67 | Long             | EC               | CORP              | US        |     39751 | NS      | $2867239.63   | 2.77%             |  |  |  | No            |                  1 | On Loan: No      |
| ON24 Inc                             | ON24 Inc                                                                                         | CUSIP: 68339B104<br>LEI: 254900S6S9YKYTO9Q964 | Long             | EC               | CORP              | US        |     69383 | NS      | $555757.83    | 0.54%             |  |  |  | No            |                  1 | On Loan: No      |
| Masimo Corp                          | Masimo Corp                                                                                      | CUSIP: 574795100<br>LEI: 549300Q4A8JK0PIYCU29 | Long             | EC               | CORP              | US        |     16593 | NS      | $2909582.55   | 2.81%             |  |  |  | No            |                  1 | On Loan: No      |
| Silicon Laboratories Inc             | Silicon Laboratories Inc                                                                         | CUSIP: 826919102<br>LEI: 4PRDF8Q9TDHRVZKZSZ47 | Long             | EC               | CORP              | US        |     10324 | NS      | $2111567.72   | 2.04%             |  |  |  | No            |                  1 | On Loan: No      |
| Coursera Inc                         | Coursera Inc                                                                                     | CUSIP: 22266M104<br>LEI: 984500573CA1QB7DAC30 | Short            | EC               | CORP              | US        |   -110224 | NS      | $-706535.84   | -0.68%            |  |  |  | No            |                  1 | On Loan: No      |
| Electronic Arts Inc                  | Electronic Arts Inc                                                                              | CUSIP: 285512109<br>LEI: 549300O7A67PUEYKDL45 | Long             | EC               | CORP              | US        |     14498 | NS      | $2907863.86   | 2.81%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC             | PURCHASED GBP / SOLD USD                                                                         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | GB        |         1 | NC      | $-152.73      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| International Money Express Inc      | International Money Express Inc                                                                  | CUSIP: 46005L101<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     30467 | NS      | $480769.26    | 0.47%             |  |  |  | No            |                  1 | On Loan: No      |
| Forge Global Holdings Inc            | Forge Global Holdings Inc                                                                        | CUSIP: 34629L202<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     34966 | NS      | $1573470.00   | 1.52%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC             | PURCHASED USD / SOLD GBP                                                                         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |         1 | NC      | $-44200.82    | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC             | Long: BKHMSS    TRS USD R V 01MFEDL FEDL01-40 BPS / Short: BKHMSS    TRS USD P E BKH US PE       | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               |  | US        |    873567 | OU      | $-130713.51   | -0.13%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC             | Morgan Stanley Institutional Liquidity Funds - Government Portfolio                              | CUSIP: 61747C707<br>LEI: 549300BI6Y5SI6BYPB26 | Long             | STIV             | RF                | US        |    886309 | NS      | $886309.12    | 0.86%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC             | PURCHASED USD / SOLD DKK                                                                         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |         1 | NC      | $6.36         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| TEGNA Inc                            | TEGNA Inc                                                                                        | CUSIP: 87901J105<br>LEI: 549300YC5EDBGX85AO10 | Long             | EC               | CORP              | US        |     75360 | NS      | $1578792.00   | 1.53%             |  |  |  | No            |                  1 | On Loan: No      |
| Great Lakes Dredge & Dock Corp       | Great Lakes Dredge & Dock Corp                                                                   | CUSIP: 390607109<br>LEI: 549300H65E3MZ1CX0P05 | Long             | EC               | CORP              | US        |     61799 | NS      | $1047493.05   | 1.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC             | PURCHASED USD / SOLD CAD                                                                         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |         1 | NC      | $1244.37      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC             | PURCHASED USD / SOLD GBP                                                                         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |         1 | NC      | $-16043.71    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Coeur Mining Inc                     | Coeur Mining Inc                                                                                 | CUSIP: 192108504<br>LEI: 5493003AVK173D48DR70 | Short            | EC               | CORP              | US        |   -102189 | NS      | $-2774431.35  | -2.68%            |  |  |  | No            |                  1 | On Loan: No      |
| CVB Financial Corp                   | CVB Financial Corp                                                                               | CUSIP: 126600105<br>LEI: N/A                  | Short            | EC               | CORP              | US        |    -50880 | NS      | $-978422.40   | -0.95%            |  |  |  | No            |                  1 | On Loan: No      |
| OceanFirst Financial Corp            | OceanFirst Financial Corp                                                                        | CUSIP: 675234108<br>LEI: N/A                  | Short            | EC               | CORP              | US        |    -25351 | NS      | $-457839.06   | -0.44%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC             | PURCHASED EUR / SOLD USD                                                                         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | XX        |         1 | NC      | $14.23        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC             | PURCHASED EUR / SOLD USD                                                                         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | XX        |         1 | NC      | $15.89        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Amicus Therapeutics Inc              | Amicus Therapeutics Inc                                                                          | CUSIP: 03152W109<br>LEI: 549300MRD1SMUTNBPQ53 | Long             | EC               | CORP              | US        |    102906 | NS      | $1478759.22   | 1.43%             |  |  |  | No            |                  1 | On Loan: No      |
| Chart Industries Inc                 | Chart Industries Inc                                                                             | CUSIP: 16115Q308<br>LEI: EM7QGKC1GYOF3LSZSL80 | Long             | EC               | CORP              | US        |     14014 | NS      | $2905102.20   | 2.81%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC             | PURCHASED USD / SOLD EUR                                                                         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |         1 | NC      | $-1668.61     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC             | PURCHASED USD / SOLD EUR                                                                         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |         1 | NC      | $-59.58       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ProAssurance Corp                    | ProAssurance Corp                                                                                | CUSIP: 74267C106<br>LEI: 54930015E5J57R675E89 | Long             | EC               | CORP              | US        |     42568 | NS      | $1045044.40   | 1.01%             |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY PRIME BROKER US       | MORGAN STANLEY PRIME BROKER US                                                                   | CUSIP: 000000000<br>LEI: N/A                  | Long             |  | CORP              | US        |  16553189 | NS      | $16553188.72  | 16.01%            |  |  |  | No            |                  1 | On Loan: No      |
| DigitalBridge Group Inc              | DigitalBridge Group Inc                                                                          | CUSIP: 25401T603<br>LEI: 549300XG87L902AGBO89 | Long             | EC               | CORP              | US        |    137596 | NS      | $2125858.20   | 2.06%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC             | PURCHASED USD / SOLD EUR                                                                         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |         1 | NC      | $-17.71       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Hologic Inc                          | Hologic Inc                                                                                      | CUSIP: 436440101<br>LEI: 549300DYP6F5ZJL0LB74 | Long             | EC               | CORP              | US        |     38727 | NS      | $2918466.72   | 2.82%             |  |  |  | No            |                  1 | On Loan: No      |
| Akzo Nobel NV                        | Akzo Nobel NV                                                                                    | CUSIP: 000000000<br>LEI: 724500XYIJUGXAA5QD70 | Short            | EC               | CORP              | NL        |     -7782 | NS      | $-548218.55   | -0.53%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC             | PURCHASED USD / SOLD DKK                                                                         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |         1 | NC      | $1272.98      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC             | PURCHASED USD / SOLD GBP                                                                         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |         1 | NC      | $5245.96      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC             | PURCHASED USD / SOLD GBP                                                                         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |         1 | NC      | $-424.96      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC             | PURCHASED USD / SOLD CAD                                                                         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |         1 | NC      | $16272.41     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| JTC PLC                              | JTC PLC                                                                                          | CUSIP: 000000000<br>LEI: 213800DVUG4KLF2ASK33 | Long             | EC               | CORP              | JE        |     89229 | NS      | $1568053.88   | 1.52%             |  |  |  | Yes           |                  1 | On Loan: No      |
| Confluent Inc                        | Confluent Inc                                                                                    | CUSIP: 20717M103<br>LEI: 254900MRZ83YWUV7SN74 | Long             | EC               | CORP              | US        |     94420 | NS      | $2895861.40   | 2.80%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC             | PURCHASED USD / SOLD CAD                                                                         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |         1 | NC      | $-34.39       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2026-03-27

**Name of Applicant:** AltShares Trust

**Signature:** Jonathon Hickey

**Name of Signer:** Jonathon Hickey

**Title:** Chief Financial Officer