# EDGAR Filing Document

**Accession Number:** 0001779306
**File Stem:** 0001410368-26-000048
**Filing Date:** 2026-1
**Character Count:** 58425
**Document Hash:** 8e2aa54e3accd9d858bda7edad23e3ee
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001410368-26-000048.hdr.sgml**: 20260105

**ACCESSION NUMBER**: 0001410368-26-000048

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20251130

**FILED AS OF DATE**: 20260105

**DATE AS OF CHANGE**: 20260105

**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:** 26505097

**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             |

## 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:** 2025-11-30

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $115190911.28

**Total Liabilities:** $16942588.31

**Net Assets:** $98248322.97

**Cash Not Reported:** $4168682.55

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000216184 | 0.21%                | 0.07%                | 0.14%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $347993.67               | $147391.73                                 |
| Month 2  | $1128500.92              | $-1778284.90                               |
| Month 3  | $265482.19               | $378436.77                                 |

**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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| Air Lease Corp                         | Air Lease Corp                                                                                    | CUSIP: 00912X302<br>LEI: 5493004NW4M4P8TMMK63 | Long             | EC               | CORP              | US        |     35817 | NS      | $2289780.81   | 2.33%             |  |  |  | No            |                  1 | On Loan: No      |
| Akero Therapeutics Inc                 | Akero Therapeutics Inc                                                                            | CUSIP: 00973Y108<br>LEI: 549300SI3KG74LBE2955 | Long             | EC               | CORP              | US        |     26353 | NS      | $1432549.08   | 1.46%             |  |  |  | No            |                  1 | On Loan: No      |
| American Water Works Co Inc            | American Water Works Co Inc                                                                       | CUSIP: 030420103<br>LEI: 549300DXHIJQMD5WFW18 | Short            | EC               | CORP              | US        |     -4598 | NS      | $-598061.86   | -0.61%            |  |  |  | No            |                  1 | On Loan: No      |
| Spectris PLC                           | Spectris PLC                                                                                      | CUSIP: 000000000<br>LEI: 213800Z4CO2CZO3M3T10 | Long             | EC               | CORP              | GB        |     41497 | NS      | $2272160.84   | 2.31%             |  |  |  | No            |                  1 | On Loan: No      |
| Astria Therapeutics Inc                | Astria Therapeutics Inc                                                                           | CUSIP: 04635X102<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     88638 | NS      | $1121270.70   | 1.14%             |  |  |  | No            |                  1 | On Loan: No      |
| Avidity Biosciences Inc                | Avidity Biosciences Inc                                                                           | CUSIP: 05370A108<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     41571 | NS      | $2980640.70   | 3.03%             |  |  |  | No            |                  1 | On Loan: No      |
| Axcelis Technologies Inc               | Axcelis Technologies Inc                                                                          | CUSIP: 054540208<br>LEI: 529900HF9B6NL1QG9F05 | Short            | EC               | CORP              | US        |    -22417 | NS      | $-1855455.09  | -1.89%            |  |  |  | No            |                  1 | On Loan: No      |
| Berry Corp                             | Berry Corp                                                                                        | CUSIP: 08579X101<br>LEI: N/A                  | Long             | EC               | CORP              | US        |    150106 | NS      | $508859.34    | 0.52%             |  |  |  | No            |                  1 | On Loan: No      |
| BioCryst Pharmaceuticals Inc           | BioCryst Pharmaceuticals Inc                                                                      | CUSIP: 09058V103<br>LEI: 549300Z0INP1Z5NP6J59 | Short            | EC               | CORP              | US        |    -52296 | NS      | $-375485.28   | -0.38%            |  |  |  | No            |                  1 | On Loan: No      |
| BioNTech SE                            | BioNTech SE                                                                                       | CUSIP: 09075V102<br>LEI: 894500UZJ5LG1F8J1U58 | Short            | EC               | CORP              | DE        |     -6158 | NS      | $-635197.70   | -0.65%            |  |  |  | No            |                  1 | On Loan: No      |
| Brighthouse Financial Inc              | Brighthouse Financial Inc                                                                         | CUSIP: 10922N103<br>LEI: 5493003T8SZSHOGGAW52 | Long             | EC               | CORP              | US        |     34757 | NS      | $2278321.35   | 2.32%             |  |  |  | No            |                  1 | On Loan: No      |
| CSG Systems International Inc          | CSG Systems International Inc                                                                     | CUSIP: 126349109<br>LEI: 549300D7FJZUOHHXUA81 | Long             | EC               | CORP              | US        |     21794 | NS      | $1716713.38   | 1.75%             |  |  |  | No            |                  1 | On Loan: No      |
| Cadence Bank                           | Cadence Bank                                                                                      | CUSIP: 12740C103<br>LEI: Q7C315HKI8VX0SSKBS64 | Long             | EC               | CORP              | US        |     59076 | NS      | $2353587.84   | 2.40%             |  |  |  | No            |                  1 | On Loan: No      |
| Cantaloupe Inc                         | Cantaloupe Inc                                                                                    | CUSIP: 138103106<br>LEI: 529900O54DBQQVWO9Q85 | Long             | EC               | CORP              | US        |    108345 | NS      | $1156041.15   | 1.18%             |  |  |  | No            |                  1 | On Loan: No      |
| Dayforce Inc                           | Dayforce Inc                                                                                      | CUSIP: 15677J108<br>LEI: 549300T64GVCHFJ8L449 | Long             | EC               | CORP              | US        |     43199 | NS      | $2985050.90   | 3.04%             |  |  |  | No            |                  1 | On Loan: No      |
| Chart Industries Inc                   | Chart Industries Inc                                                                              | CUSIP: 16115Q308<br>LEI: EM7QGKC1GYOF3LSZSL80 | Long             | EC               | CORP              | US        |     14597 | NS      | $2977058.15   | 3.03%             |  |  |  | No            |                  1 | On Loan: No      |
| Cidara Therapeutics Inc                | Cidara Therapeutics Inc                                                                           | CUSIP: 171757206<br>LEI: 549300IHQ9Z7RI1X2D22 | Long             | EC               | CORP              | US        |     13363 | NS      | $2938256.44   | 2.99%             |  |  |  | No            |                  1 | On Loan: No      |
| City Office REIT Inc                   | City Office REIT Inc                                                                              | CUSIP: 178587101<br>LEI: 5493003J7157VP25NL57 | Long             | EC               |  | US        |     59905 | NS      | $407953.05    | 0.42%             |  |  |  | No            |                  1 | On Loan: No      |
| Coeur Mining Inc                       | Coeur Mining Inc                                                                                  | CUSIP: 192108504<br>LEI: 5493003AVK173D48DR70 | Short            | EC               | CORP              | US        |   -133607 | NS      | $-2307392.89  | -2.35%            |  |  |  | No            |                  1 | On Loan: No      |
| Comerica Inc                           | Comerica Inc                                                                                      | CUSIP: 200340107<br>LEI: I9Q57JVPWHHZ3ZGBW498 | Long             | EC               | CORP              | US        |     38740 | NS      | $3113921.20   | 3.17%             |  |  |  | No            |                  1 | On Loan: No      |
| Compass Inc                            | Compass Inc                                                                                       | CUSIP: 20464U100<br>LEI: 254900DMGQSTC3I2IM78 | Short            | EC               | CORP              | US        |   -193892 | NS      | $-2020354.64  | -2.06%            |  |  |  | No            |                  1 | On Loan: No      |
| Cross Country Healthcare Inc           | Cross Country Healthcare Inc                                                                      | CUSIP: 227483104<br>LEI: 54930037L0NBIPZ5S663 | Long             | EC               | CORP              | US        |     38063 | NS      | $390526.38    | 0.40%             |  |  |  | No            |                  1 | On Loan: No      |
| Denny's Corp                           | Denny's Corp                                                                                      | CUSIP: 24869P104<br>LEI: 54930037V56XOULXM917 | Long             | EC               | CORP              | US        |     91586 | NS      | $565085.62    | 0.58%             |  |  |  | No            |                  1 | On Loan: No      |
| dentalcorp Holdings Ltd                | dentalcorp Holdings Ltd                                                                           | CUSIP: 24874B108<br>LEI: 894500QEMGMRG67KP804 | Long             | EC               | CORP              | CA        |    145837 | NS      | $1140892.82   | 1.16%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC               | PURCHASED USD / SOLD EUR                                                                          | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |         1 | NC      | $82755.59     | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC               | PURCHASED USD / SOLD GBP                                                                          | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |         1 | NC      | $197818.08    | 0.20%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC               | PURCHASED USD / SOLD CAD                                                                          | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |         1 | NC      | $19636.36     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC               | PURCHASED USD / SOLD SEK                                                                          | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |         1 | NC      | $0.37         | 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      | $5522.19      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC               | PURCHASED USD / SOLD CAD                                                                          | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |         1 | NC      | $352.27       | 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      | $2419.16      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC               | PURCHASED USD / SOLD DKK                                                                          | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |         1 | NC      | $27032.59     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC               | PURCHASED GBP / SOLD USD                                                                          | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | GB        |         1 | NC      | $-1632.65     | -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      | $-2292.92     | -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      | $-951.54      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC               | PURCHASED USD / SOLD CHF                                                                          | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |         1 | NC      | $15705.85     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC               | PURCHASED USD / SOLD CHF                                                                          | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |         1 | NC      | $1055.63      | 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      | $92.16        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC               | PURCHASED USD / SOLD CHF                                                                          | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |         1 | NC      | $256.15       | 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      | $-24442.32    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC               | PURCHASED USD / SOLD GBP                                                                          | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |         1 | NC      | $873.33       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC               | PURCHASED DKK / SOLD USD                                                                          | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | DK        |         1 | NC      | $18.51        | 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      | $553.77       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC               | PURCHASED CHF / SOLD USD                                                                          | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | CH        |         1 | NC      | $-58.99       | -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      | $-1465.22     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC               | PURCHASED USD / SOLD DKK                                                                          | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |         1 | NC      | $72.07        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC               | PURCHASED USD / SOLD CHF                                                                          | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |         1 | NC      | $200.10       | 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      | $-2206.30     | -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      | $-65.38       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC               | PURCHASED DKK / SOLD USD                                                                          | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | DK        |         1 | NC      | $-26.59       | -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      | $-58.73       | -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      | $9.54         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC               | PURCHASED USD / SOLD CHF                                                                          | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |         1 | NC      | $285.34       | 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      | $1882.35      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC               | PURCHASED USD / SOLD DKK                                                                          | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |         1 | NC      | $503.21       | 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      | $-14627.19    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC               | PURCHASED USD / SOLD CAD                                                                          | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |         1 | NC      | $-642.37      | -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      | $1894.43      | 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      | $-8712.82     | -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      | $75.66        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC               | PURCHASED USD / SOLD DKK                                                                          | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |         1 | NC      | $598.96       | 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      | $553.60       | 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      | $-47.77       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC               | PURCHASED DKK / SOLD USD                                                                          | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | DK        |         1 | NC      | $79.59        | 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      | $-778.45      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC               | PURCHASED DKK / SOLD USD                                                                          | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | DK        |         1 | NC      | $111.02       | 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      | $-863.64      | -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      | $-1886.59     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC               | PURCHASED DKK / SOLD USD                                                                          | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | DK        |         1 | NC      | $716.99       | 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      | $10001.50     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC               | PURCHASED DKK / SOLD USD                                                                          | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | DK        |         1 | NC      | $23.71        | 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      | $-106.18      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC               | PURCHASED USD / SOLD DKK                                                                          | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |         1 | NC      | $-59.96       | -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      | $-75.48       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC               | PURCHASED DKK / SOLD USD                                                                          | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | DK        |         1 | NC      | $-20.92       | -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      | $-128.23      | -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      | $-1161.33     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC               | PURCHASED DKK / SOLD USD                                                                          | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | DK        |         1 | NC      | $-3109.45     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC               | PURCHASED DKK / SOLD USD                                                                          | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | DK        |         1 | NC      | $-155.81      | -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      | $8739.23      | 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      | $1077.11      | 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      | $2897.16      | 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      | $74.16        | 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      | $2869.46      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Electronic Arts Inc                    | Electronic Arts Inc                                                                               | CUSIP: 285512109<br>LEI: 549300O7A67PUEYKDL45 | Long             | EC               | CORP              | US        |     14793 | NS      | $2988629.79   | 3.04%             |  |  |  | No            |                  1 | On Loan: No      |
| Essential Utilities Inc                | Essential Utilities Inc                                                                           | CUSIP: 29670G102<br>LEI: 549300ILTEOF3E3QY357 | Long             | EC               | CORP              | US        |     15077 | NS      | $596898.43    | 0.61%             |  |  |  | No            |                  1 | On Loan: No      |
| Exact Sciences Corp                    | Exact Sciences Corp                                                                               | CUSIP: 30063P105<br>LEI: 549300VM3X1FYD4N9Z14 | Long             | EC               | CORP              | US        |     29259 | NS      | $2963644.11   | 3.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Fifth Third Bancorp                    | Fifth Third Bancorp                                                                               | CUSIP: 316773100<br>LEI: THRNG6BD57P9QWTQLG42 | Short            | EC               | CORP              | US        |    -72301 | NS      | $-3142201.46  | -3.20%            |  |  |  | No            |                  1 | On Loan: No      |
| First Merchants Corp                   | First Merchants Corp                                                                              | CUSIP: 320817109<br>LEI: TZTBT0OTGQ2FEK6XMX94 | Short            | EC               | CORP              | US        |     -7251 | NS      | $-267126.84   | -0.27%            |  |  |  | No            |                  1 | On Loan: No      |
| First Savings Financial Group Inc      | First Savings Financial Group Inc                                                                 | CUSIP: 33621E109<br>LEI: 549300BD6X6E6468JI14 | Long             | EC               | CORP              | US        |      8563 | NS      | $266823.08    | 0.27%             |  |  |  | No            |                  1 | On Loan: No      |
| Forge Global Holdings Inc              | Forge Global Holdings Inc                                                                         | CUSIP: 34629L202<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     25524 | NS      | $1132244.64   | 1.15%             |  |  |  | No            |                  1 | On Loan: No      |
| ESC GCI LIBERTY INC SR                 | ESC GCI LIBERTY INC SR                                                                            | CUSIP: 361ESC049<br>LEI: 5493003JDENERRDYFN86 | Long             | EC               | CORP              | US        |      2728 | NS      | $0.00         | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| Guardian Capital Group Ltd             | Guardian Capital Group Ltd                                                                        | CUSIP: 401339304<br>LEI: 549300S01K8Y0KJYB822 | Long             | EC               | CORP              | CA        |     11647 | NS      | $560779.94    | 0.57%             |  |  |  | No            |                  1 | On Loan: No      |
| Hanesbrands Inc                        | Hanesbrands Inc                                                                                   | CUSIP: 410345102<br>LEI: GX5LWVWZLL5S4W1L2F20 | Long             | EC               | CORP              | US        |    357284 | NS      | $2311627.48   | 2.35%             |  |  |  | No            |                  1 | On Loan: No      |
| Banca Popolare di Sondrio SPA          | Banca Popolare di Sondrio SPA                                                                     | CUSIP: 000000000<br>LEI: J48C8PCSJVUBR8KCW529 | Long             | EC               | CORP              | IT        |     66087 | NS      | $1140331.15   | 1.16%             |  |  |  | No            |                  1 | On Loan: No      |
| BPER Banca SPA                         | BPER Banca SPA                                                                                    | CUSIP: 000000000<br>LEI: N747OI7JINV7RUUH6190 | Short            | EC               | CORP              | IT        |    -95815 | NS      | $-1153689.21  | -1.17%            |  |  |  | No            |                  1 | On Loan: No      |
| Heidrick & Struggles International Inc | Heidrick & Struggles International Inc                                                            | CUSIP: 422819102<br>LEI: 5493006284N2J367VB57 | Long             | EC               | CORP              | US        |     19218 | NS      | $1131363.66   | 1.15%             |  |  |  | No            |                  1 | On Loan: No      |
| Hillenbrand Inc                        | Hillenbrand Inc                                                                                   | CUSIP: 431571108<br>LEI: U246OE781574J2BUD366 | Long             | EC               | CORP              | US        |     53767 | NS      | $1711941.28   | 1.74%             |  |  |  | No            |                  1 | On Loan: No      |
| Hologic Inc                            | Hologic Inc                                                                                       | CUSIP: 436440101<br>LEI: 549300DYP6F5ZJL0LB74 | Long             | EC               | CORP              | US        |     40139 | NS      | $3009220.83   | 3.06%             |  |  |  | No            |                  1 | On Loan: No      |
| Huntington Bancshares Inc/OH           | Huntington Bancshares Inc/OH                                                                      | CUSIP: 446150104<br>LEI: 549300XTVCVV9I7B5T19 | Short            | EC               | CORP              | US        |   -146213 | NS      | $-2383271.90  | -2.43%            |  |  |  | No            |                  1 | On Loan: No      |
| Integral Ad Science Holding Corp       | Integral Ad Science Holding Corp                                                                  | CUSIP: 45828L108<br>LEI: N/A                  | Long             | EC               | CORP              | US        |    165990 | NS      | $1706377.20   | 1.74%             |  |  |  | No            |                  1 | On Loan: No      |
| International Money Express Inc        | International Money Express Inc                                                                   | CUSIP: 46005L101<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     74021 | NS      | $1128080.04   | 1.15%             |  |  |  | No            |                  1 | On Loan: No      |
| Jamf Holding Corp                      | Jamf Holding Corp                                                                                 | CUSIP: 47074L105<br>LEI: 254900IHLXZU4Z5ANA12 | Long             | EC               | CORP              | US        |    130935 | NS      | $1692989.55   | 1.72%             |  |  |  | No            |                  1 | On Loan: No      |
| Soho House & Co Inc                    | Soho House & Co Inc                                                                               | CUSIP: 586001109<br>LEI: 213800XNSPPBRF2E5A41 | Long             | EC               | CORP              | US        |     63390 | NS      | $561635.40    | 0.57%             |  |  |  | No            |                  1 | On Loan: No      |
| MidWestOne Financial Group Inc         | MidWestOne Financial Group Inc                                                                    | CUSIP: 598511103<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     14876 | NS      | $588643.32    | 0.60%             |  |  |  | No            |                  1 | On Loan: No      |
| New Gold Inc                           | New Gold Inc                                                                                      | CUSIP: 644535106<br>LEI: 5493005G0GNCHP0H6L96 | Long             | EC               | CORP              | CA        |    269624 | NS      | $2251360.40   | 2.29%             |  |  |  | No            |                  1 | On Loan: No      |
| Nicolet Bankshares Inc                 | Nicolet Bankshares Inc                                                                            | CUSIP: 65406E102<br>LEI: N/A                  | Short            | EC               | CORP              | US        |     -4723 | NS      | $-595003.54   | -0.61%            |  |  |  | No            |                  1 | On Loan: No      |
| Norfolk Southern Corp                  | Norfolk Southern Corp                                                                             | CUSIP: 655844108<br>LEI: 54930036C8MWP850MI84 | Long             | EC               | CORP              | US        |     10515 | NS      | $3071326.35   | 3.13%             |  |  |  | No            |                  1 | On Loan: No      |
| Northwestern Energy Group Inc          | Northwestern Energy Group Inc                                                                     | CUSIP: 668074305<br>LEI: 254900N1WG46G1VMDM34 | Long             | EC               | CORP              | US        |     14877 | NS      | $1027851.93   | 1.05%             |  |  |  | No            |                  1 | On Loan: No      |
| Olympic Steel Inc                      | Olympic Steel Inc                                                                                 | CUSIP: 68162K106<br>LEI: 549300GQ061U6N6KWJ49 | Long             | EC               | CORP              | US        |     15870 | NS      | $617184.30    | 0.63%             |  |  |  | No            |                  1 | On Loan: No      |
| Omnicom Group Inc                      | Omnicom Group Inc                                                                                 | CUSIP: 681919106<br>LEI: HKUPACFHSSASQK8HLS17 | Long             | EC               | CORP              | US        |     23398 | NS      | $1675764.76   | 1.71%             |  |  |  | No            |                  1 | On Loan: No      |
| TXNM Energy Inc                        | TXNM Energy Inc                                                                                   | CUSIP: 69349H107<br>LEI: 5493003JOBJGLZSDDQ28 | Long             | EC               | CORP              | US        |     40125 | NS      | $2345306.25   | 2.39%             |  |  |  | No            |                  1 | On Loan: No      |
| Paramount Group Inc                    | Paramount Group Inc                                                                               | CUSIP: 69924R108<br>LEI: 5493006GJU1CFI7Z5J17 | Long             | EC               |  | US        |    259337 | NS      | $1709030.83   | 1.74%             |  |  |  | No            |                  1 | On Loan: No      |
| ProAssurance Corp                      | ProAssurance Corp                                                                                 | CUSIP: 74267C106<br>LEI: 54930015E5J57R675E89 | Long             | EC               | CORP              | US        |     46962 | NS      | $1130844.96   | 1.15%             |  |  |  | No            |                  1 | On Loan: No      |
| PROS Holdings Inc                      | PROS Holdings Inc                                                                                 | CUSIP: 74346Y103<br>LEI: 549300LPE1KNL5RWKQ48 | Long             | EC               | CORP              | US        |     72869 | NS      | $1693475.56   | 1.72%             |  |  |  | No            |                  1 | On Loan: No      |
| Anywhere Real Estate Inc               | Anywhere Real Estate Inc                                                                          | CUSIP: 75605Y106<br>LEI: 5493004HBTOTE9DI9P12 | Long             | EC               | CORP              | US        |    135022 | NS      | $1924063.50   | 1.96%             |  |  |  | No            |                  1 | On Loan: No      |
| Ryerson Holding Corp                   | Ryerson Holding Corp                                                                              | CUSIP: 783754104<br>LEI: 549300JMA41B3ZHOVE45 | Short            | EC               | CORP              | US        |    -27145 | NS      | $-622434.85   | -0.63%            |  |  |  | No            |                  1 | On Loan: No      |
| State Street Global Advisors           | State Street Institutional U.S. Government Money Market Fund                                      | CUSIP: 857492706<br>LEI: 549300BZ5TGIFZUZDZ37 | Long             | STIV             | RF                | US        |     11367 | NS      | $11367.08     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Sealed Air Corp                        | Sealed Air Corp                                                                                   | CUSIP: 81211K100<br>LEI: Q0M0CZB4YN6JZ65WXI09 | Long             | EC               | CORP              | US        |     53779 | NS      | $2309808.05   | 2.35%             |  |  |  | No            |                  1 | On Loan: No      |
| SEMrush Holdings Inc                   | SEMrush Holdings Inc                                                                              | CUSIP: 81686C104<br>LEI: 254900WQEX0OLGK16D27 | Long             | EC               | CORP              | US        |     96961 | NS      | $1147048.63   | 1.17%             |  |  |  | No            |                  1 | On Loan: No      |
| STAAR Surgical Co                      | STAAR Surgical Co                                                                                 | CUSIP: 852312305<br>LEI: 5299006LRHI7OJ8BY308 | Long             | EC               | CORP              | US        |     61715 | NS      | $1637916.10   | 1.67%             |  |  |  | No            |                  1 | On Loan: No      |
| Steelcase Inc                          | Steelcase Inc                                                                                     | CUSIP: 858155203<br>LEI: GIE4CCPBJDI8SMV1OX95 | Long             | EC               | CORP              | US        |    104158 | NS      | $1696733.82   | 1.73%             |  |  |  | No            |                  1 | On Loan: No      |
| TEGNA Inc                              | TEGNA Inc                                                                                         | CUSIP: 87901J105<br>LEI: 549300YC5EDBGX85AO10 | Long             | EC               | CORP              | US        |    114721 | NS      | $2239353.92   | 2.28%             |  |  |  | No            |                  1 | On Loan: No      |
| ODP Corp/The                           | ODP Corp/The                                                                                      | CUSIP: 88337F105<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     41134 | NS      | $1150517.98   | 1.17%             |  |  |  | No            |                  1 | On Loan: No      |
| TrueCar Inc                            | TrueCar Inc                                                                                       | CUSIP: 89785L107<br>LEI: 549300KK16488YXWVE52 | Long             | EC               | CORP              | US        |    151999 | NS      | $323757.87    | 0.33%             |  |  |  | No            |                  1 | On Loan: No      |
| Veeco Instruments Inc                  | Veeco Instruments Inc                                                                             | CUSIP: 922417100<br>LEI: 5493004201F72ADDZW04 | Long             | EC               | CORP              | US        |     62705 | NS      | $1832867.15   | 1.87%             |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY PRIME BROKER US         | MORGAN STANLEY PRIME BROKER US                                                                    | CUSIP: 000000000<br>LEI: N/A                  | Long             |  | CORP              | US        |  14627441 | NS      | $14627441.00  | 14.89%            |  |  |  | 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      | $2.64         | 0.00%             |  |  |  | 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        |     11367 | NS      | $11367.08     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| WideOpenWest Inc                       | WideOpenWest Inc                                                                                  | CUSIP: 96758W101<br>LEI: 549300RM6J2BWWOFU889 | Long             | EC               | CORP              | US        |    108078 | NS      | $559844.04    | 0.57%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC               | Long: HNIMSS    TRS USD R V 01MFEDL FEDL01-40BPS / Short: HNIMSS    TRS USD P E HNI US SWAP       | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               |  | US        |    990608 | OU      | $42664.92     | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC               | Long: OMCMSS    TRS USD R V 00MFEDL FEDL01M-40BPS / Short: OMCMSS    TRS USD P E OMCMSS US TRS RE | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               |  | US        |   1720395 | OU      | $44916.48     | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC               | Long: NBBKMSS   TRS USD R V 00MFEDL FEDL01 -40 BPS / Short: NBBKMSS   TRS USD P E NBBKMSS TRS P E | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               |  | US        |     54050 | OU      | $-6640.32     | -0.01%            |  |  |  | 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        |   2328617 | OU      | $-109075.35   | -0.11%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC               | Long: GILMSS    TRS USD R V 00MFEDL FEDL01 -40 BPS / Short: GILMSS    TRS USD P E GILMSS TRS P E  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               |  | US        |   2068869 | OU      | $34620.85     | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC               | Long: CRCMSS    TRS USD R V 12MFEDL FEDL01-40 BPS / Short: CRCMSS    TRS USD P E CRC US PE        | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               |  | US        |    562331 | OU      | $46594.11     | 0.05%             |  |  |  | No            |                  1 | 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        |    888936 | OU      | $-186626.68   | -0.19%            |  |  |  | No            |                  1 | On Loan: No      |
| JDE Peet's NV                          | JDE Peet's NV                                                                                     | CUSIP: 000000000<br>LEI: 724500EHG519SE5ZRT89 | Long             | EC               | CORP              | NL        |     63544 | NS      | $2330742.99   | 2.37%             |  |  |  | No            |                  1 | On Loan: No      |
| CALLIDITAS THERAPEUTICS AB             | CALLIDITAS THERAPEUTICS AB                                                                        | CUSIP: 000000000<br>LEI: 549300PVPZO8TNT76B58 | Long             | EC               | CORP              | SE        |         1 | NS      | $22.03        | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| Just Group PLC                         | Just Group PLC                                                                                    | CUSIP: 000000000<br>LEI: 5493006456YEZEELRR90 | Long             | EC               | CORP              | GB        |    410556 | NS      | $1166410.98   | 1.19%             |  |  |  | No            |                  1 | On Loan: No      |
| Alphawave IP Group PLC                 | Alphawave IP Group PLC                                                                            | CUSIP: 000000000<br>LEI: 213800ZXTO21EU4VMH37 | Long             | EC               | CORP              | GB        |    467542 | NS      | $1284343.76   | 1.31%             |  |  |  | No            |                  1 | On Loan: No      |
| Cool Co Ltd                            | Cool Co Ltd                                                                                       | CUSIP: 000000000<br>LEI: 549300AQHDVKVCNIU608 | Long             | EC               | CORP              | BM        |     35397 | NS      | $346536.63    | 0.35%             |  |  |  | No            |                  1 | On Loan: No      |
| CureVac NV                             | CureVac NV                                                                                        | CUSIP: 000000000<br>LEI: 724500BUT8GAG9LMYN56 | Long             | EC               | CORP              | NL        |    109288 | NS      | $599991.12    | 0.61%             |  |  |  | No            |                  1 | On Loan: No      |
| Merus NV                               | Merus NV                                                                                          | CUSIP: 000000000<br>LEI: 549300W8GPUWU8QNU293 | Long             | EC               | CORP              | NL        |     30807 | NS      | $2961784.98   | 3.01%             |  |  |  | No            |                  1 | On Loan: No      |

### Signature

**Date Signed:** 2025-12-15

**Name of Applicant:** AltShares Trust

**Signature:** Jonathon Hickey

**Name of Signer:** Jonathon Hickey

**Title:** Chief Financial Officer