# EDGAR Filing Document

**Accession Number:** 0001681717
**File Stem:** 0001104659-26-071940
**Filing Date:** 2026-6
**Character Count:** 363629
**Document Hash:** 6959a2d80630660c7a6e94c381dd42b8
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001104659-26-071940.hdr.sgml**: 20260609

**ACCESSION NUMBER**: 0001104659-26-071940

**CONFORMED SUBMISSION TYPE**: N-CSR

**PUBLIC DOCUMENT COUNT**: 12

**CONFORMED PERIOD OF REPORT**: 20260331

**FILED AS OF DATE**: 20260609

**DATE AS OF CHANGE**: 20260609

**EFFECTIVENESS DATE**: 20260609

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** FIRST TRUST ALTERNATIVE OPPORTUNITIES FUND
- **CENTRAL INDEX KEY:** 0001681717

**ORGANIZATION NAME:**
- **EIN:** 000000000
- **STATE OF INCORPORATION:** DE
- **FISCAL YEAR END:** 0331

**FILING VALUES:**
- **FORM TYPE:** N-CSR
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-23179
- **FILM NUMBER:** 261077242

**BUSINESS ADDRESS:**
- **STREET 1:** C/O UMB FUND SERVICES, INC.
- **STREET 2:** 235 WEST GALENA STREET
- **CITY:** MILWAUKEE
- **STATE:** WI
- **ZIP:** 53201
- **BUSINESS PHONE:** 414-299-2200

**MAIL ADDRESS:**
- **STREET 1:** C/O UMB FUND SERVICES, INC.
- **STREET 2:** 235 WEST GALENA STREET
- **CITY:** MILWAUKEE
- **STATE:** WI
- **ZIP:** 53201

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** Relative Value Fund
- **DATE OF NAME CHANGE:** 20160805

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT

INVESTMENT COMPANIES

Investment Company Act file number 811-23179

First Trust Alternative Opportunities Fund

(Exact name of registrant as specified in charter)

c/o UMB Fund Services, Inc.

235 West Galena Street

Milwaukee, WI 53212

(Address of principal executive offices) (Zip code)

Ann Maurer

235 West Galena Street

Milwaukee, WI 53212

(Name and address of agent for service)

registrant's telephone number, including area code: (414) 299-2270

Date of fiscal year end: March 31

Date of reporting period: March 31, 2026

Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles.

A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget ("OMB") control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 100 F Street, NE, Washington, DC 20549-1090. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.

ITEM 1. REPORTS TO STOCKHOLDERS.

&nbsp;&nbsp;&nbsp;&nbsp;(a) The Report to shareholders is attached herewith.

[**TABLE OF CONTENTS**](#TOC)

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[**TABLE OF CONTENTS**](#TOC)

#### First Trust Alternative Opportunities Fund

#### **Table of Contents**

---

| | |
|:---|:---|
| [Management's Discussion of Fund Performance (Unaudited)](#tMGMT1)  | [1](#tMGMT1) |
| [Fund Performance (Unaudited)](#tFPU)  | [4](#tFPU) |
| [Report of Independent Registered Public Accounting Firm](#fREP)  | [6](#fREP) |
| [Consolidated Schedule of Investments](#tCSOA3)  | [7](#tCSOA3) |
| [Consolidated Portfolio Composition (Unaudited)](#tCPC1)  | [41](#tCPC1) |
| [Consolidated Summary of Investments (Unaudited)](#tCSOI2)  | [42](#tCSOI2) |
| [Consolidated Statement of Assets and Liabilities](#tCSOA)  | [43](#tCSOA) |
| [Consolidated Statement of Operations](#tCSOO2)  | [45](#tCSOO2) |
| [Consolidated Statements of Changes in Net Assets](#tCSOC)  | [46](#tCSOC) |
| [Consolidated Statement of Cash Flows](#tCSOC1)  | [47](#tCSOC1) |
| [Consolidated Financial Highlights](#tCFH)  | [48](#tCFH) |
| [Notes to Consolidated Financial Statements](#tNTCF)  | [52](#tNTCF) |
| [Fund Management (Unaudited)](#tFMU)  | [78](#tFMU) |
| [Fund Information (Unaudited)](#tFINO1)  | [82](#tFINO1) |

---

*This report and the Consolidated Financial Statements contained herein are provided for the general information of the shareholders of the First Trust Alternative Opportunities Fund (the "Fund"). This report is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus.* 

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[**TABLE OF CONTENTS**](#TOC)

![[MISSING IMAGE: lg_firsttrust-4c.jpg]](lg_firsttrust-4c.jpg)

#### FIRST TRUST ALTERNATIVE OPPORTUNITIES FUND <br> MANAGEMENT DISCUSSION OF FUND PERFORMANCE <br> (unaudited)

#### Executive-Level Overview
We begin our Management Discussion of Fund Performance with an Executive-Level Overview to reaffirm our investment philosophy and provide context for how we navigated markets during the fiscal year ended March 31, 2026.

The U.S. economy remained resilient as the past fiscal year presented a constructive, though variable, backdrop for the risk assets we invest in. Economic growth slowed but stayed positive, despite a gradually cooling labor market, supported by steady consumer activity and inflationary pressure that continues to ease with occasional persistence. U.S. market conditions were shaped by the evolving trajectory of monetary policy as the Federal Reserve continued its rate-cutting cycle beyond the initial moves made in late 2024, supporting liquidity amid ongoing policy and macro uncertainty.

U.S. equity market performance broadened over the period, with market leadership extending beyond the largest U.S. technology companies to a wider set of sectors and market capitalizations. Interest rate volatility persisted, as easing at the short end of the yield curve contrasted with periodic upward pressure on longer-term yields driven by evolving growth and inflation expectations. Meanwhile, geopolitical developments and shifting trade dynamics continued to introduce intermittent volatility across markets.

Public equity markets saw intermittent repricing as analysts expectations for earnings growth, valuation multiples and the broader economic trajectory evolved. While these pricing adjustments caused near-term uncertainty, they also contributed to a more favorable environment for deploying capital during the fiscal year. Private markets also reflected these pricing dislocations, with a growing dispersion in asset pricing and more opportunities to be opportunistically selective across managers and strategies.

While we do not seek to predict market direction, we remain focused on navigating an increasingly complex macroeconomic and broader markets environment. Elevated volatility across both public and private markets continues to challenge traditional portfolio construction and reinforces the importance of discipline. Our approach remains centered on seeking to build uncorrelated portfolios that generate positive absolute returns over time across a range of market conditions, which we believe is especially relevant in today's environment.

As is customary in our Management Discussion of Fund Performance, we will review what we believe to be the important drivers of performance and opportunity in the First Trust Alternative Opportunities Fund (the "Fund") for the past fiscal year.

#### First Trust Alternative Opportunities Fund
For the fiscal year ended March 31, 2026, the Fund's Class I Shares produced a net return of +8.10%, outperforming the ICE BofA U.S. 3 Month U.S. Treasury Bill Index's return of +4.03% over the same period. The Fund consistently outperformed its stated benchmark and provided strong diversification relative to major bond indices in absolute and risk adjusted performance. For the same one-year period, the Bloomberg U.S. Aggregate Bond Index gained +4.35%, with above historical average volatility of +4.41%, the Fund's volatility in contrast was +1.82% over the same period.

![[MISSING IMAGE: ft_firstwackerchicago-bw.jpg]](ft_firstwackerchicago-bw.jpg)

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[**TABLE OF CONTENTS**](#TOC)

![[MISSING IMAGE: lg_firsttrust-4c.jpg]](lg_firsttrust-4c.jpg)

The Fund's credit co-investment exposure once again led its sub-strategies. Throughout the past fiscal year, the co-investment portfolio was highly diversified across positions and strategies, including direct lending, asset-based lending, structured credit and synthetic risk transfers ("SRTs") / regulatory capital relief trades. At fiscal year-end, the co-investment portfolio represented 47% of the Fund's net assets, allocated across 129 unique deals with an average position size of approximately 0.36%. The majority of the deals contributed over 5% positively to performance, with only 10 of the deals experiencing mark-to-market pressure (combined less than 0.70%). Private equity was the second largest contributor to the Fund's performance over the year. Private equity performance was driven by more concentrated exposure to a select group of companies demonstrating strong underlying fundamentals. The majority of the late-stage private equity positions in the Fund's portfolio, namely SpaceX, Ramp, and OpenAI, had landmark financings during the fiscal year. All sub-strategies including co-investments, private equity, alternative credit, hedged strategies, and real estate contributed positively to the Fund's overall performance during the past fiscal year. We believed that the environment remained supportive for the Fund's growth-oriented exposures, though we were still more selective in areas where competition had compressed returns, particularly traditional private equity secondaries. The alternative credit sleeve continued to avoid the broadly syndicated loan ("BSL") space, where spread compression had been prevalent. Instead, we focused on private credit opportunities, which we believed offered higher yields and stronger protections.

The Fund increased its overall exposure to co-investments by 8% year-over-year as it remains a key component of the portfolio and continues to represent a high-conviction area for us. We maintained an overweight to co-investments during the year, supported by a robust private credit pipeline and our continued conviction in floating-rate, senior-positioned opportunities where lenders may be able to influence terms and maintain structural protections. In private equity, we continued to see a constructive backdrop for high-quality growth equity, direct secondaries, and select co-investments. Industry conditions improved meaningfully during the year, with private equity exits continuing their recovery into 2026 and the global initial public offering market reopening. The hedged strategies sleeve continued to act as a portfolio stabilizer and performed in line with expectations, helping to dampen volatility during the handful of small equity drawdowns over the past year. Exposure to alternative credit was reduced by approximately 5% year-over-year as the Fund shifted more capital into co-investments rather than alternative credit funds. The Fund continued to avoid the BSL space, where spread compression had been prevalent, instead focusing on opportunities that we consider having stronger lender protections and higher income potential. The Fund's real estate exposure was focused on sectors with favorable secular trends, including specialized industrials, student housing, and data centers. We continue to view select real estate equity strategies as potential diversifiers as rate uncertainty begins to ease and transaction markets gradually recover.

The allocations in the Fund across our sub-strategies as of March 31, 2026, were co-investments at 47%, private equity at 13%, hedged strategies at 16%, alternative credit at 10% and real estate at 14%.

Based on the current and go-forward expected yields of underlying positions within the Fund's portfolio, we remain confident in the Fund's ability to generate net investment income that is sufficient to cover the intended distribution rate of the Fund, as demonstrated during the previous fiscal year.

![[MISSING IMAGE: ft_firstwackerchicago-bw.jpg]](ft_firstwackerchicago-bw.jpg)

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[**TABLE OF CONTENTS**](#TOC)

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As always, we thank you for your continued support and intend to work hard to maintain it. We truly appreciate your trust and confidence in First Trust Capital Management.

Kind Regards,

---

| | |
|:---|:---|
| ![[MISSING IMAGE: sg_michaeldpeck-bw.jpg]](sg_michaeldpeck-bw.jpg)  | ![[MISSING IMAGE: sg_brianrmurphy-bw.jpg]](sg_brianrmurphy-bw.jpg)  |
| **Michael D. Peck, CFA** | **Brian R. Murphy** |
| Chief Executive Officer, Co-Chief Investment <br> Officer Co-Chief Investment Officer | mpeck@firsttrustcapital.com <br> bmurphy@firsttrustcapital.com |

---

![[MISSING IMAGE: ft_firstwackerchicago-bw.jpg]](ft_firstwackerchicago-bw.jpg)

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#### First Trust Alternative Opportunities Fund <br> FUND PERFORMANCE <br> March 31, 2026 (Unaudited)

#### Performance of a $10,000 Investment
![[MISSING IMAGE: lc_performance-4c.jpg]](lc_performance-4c.jpg)

This graph compares a hypothetical $10,000 investment in the Fund's Class A Shares and Class I Shares with a similar investment in the Bloomberg U.S. Aggregate Bond Index and the ICE BofA 3-Month U.S. Treasury Bill Index. Results include the reinvestment of all dividends and capital gains. The indices do not reflect expenses, fees, or sales charges, which would lower performance.

The Bloomberg U.S. Aggregate Bond Index measures the performance of the U.S. investment grade bond market. The index invests in a wide spectrum of public, investment grade, taxable, fixed income securities in the United States — including government, corporate and international dollar denominated bonds as well as mortgage-backed and asset-backed securities, all with maturities of as least one year. The Bloomberg U.S. Aggregate Bond Index is unmanaged and it is not available for investment.

The ICE BofA 3-Month U.S. Treasury Bill Index measures the performance of a single issue of outstanding treasury bill which matures closest to, but not beyond, three months from the rebalancing date. The issue is purchased at the beginning of the month and held for a full month; at the end of the month that issue is sold and rolled into a newly selected issue.

---

| | | |
|:---|:---|:---|
| **Average Annual Total Returns as of March 31, 2026**  | **1 Years**  | **Since Inception**  |
| **Before deducting maximum sales charge** | | |
| Class A Shares (Inception Date 8/2/2021)<sup>1</sup> | 8.15%  | 6.91%  |
| **After deducting maximum sales charge** |  |  |
| Class A Shares (Inception Date 8/2/2021)<sup>1</sup> | 3.28%  | 5.57%  |
| Bloomberg U.S. Aggregate Bond Index | 4.35%  | (0.34)%  |
| ICE BofA 3-Month U.S. Treasury Bill Index | 4.03%  | 3.61%  |

---

<sup>1</sup> Maximum sales charge for Class A Shares is 4.50%.

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#### First Trust Alternative Opportunities Fund <br> FUND PERFORMANCE — Continued <br> March 31, 2026 (Unaudited)

---

| | | | |
|:---|:---|:---|:---|
| **Average Annual Total Returns as of March 31, 2026**  | **1 Year**  | **5 Years**  | **Since Inception**  |
| Class I Shares (Inception Date 6/12/2017)<sup>2</sup> | 8.10%  | 7.99%  | 6.65%  |
| Bloomberg U.S. Aggregate Bond Index | 4.35%  | 0.31%  | 1.71%  |
| ICE BofA 3-Month U.S. Treasury Bill Index | 4.03%  | 3.36%  | 2.52%  |

---

<sup>2</sup> Class I Shares do not have any initial or deferred sales charge.

***The performance data quoted here represents past performance and past performance is not a guarantee of future results. Investment return and principal value will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance information quoted. The most recent quarter end performance may be obtained by calling 1 (877) 779-1999.***

Performance results include the effect of expense reduction arrangements for some or all of the periods shown. If those arrangements had not been in place, the performance results for those periods would have been lower.

For the Fund's current expense ratios, please refer to the Consolidated Financial Highlights section of this report.

Returns reflect the reinvestment of distributions made by the Fund, if any. The graph and the performance table above do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.

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#### Report of Independent Registered Public Accounting Firm
To the Shareholders and the Board of Trustees of First Trust Alternative Opportunities Fund

#### Opinion on the Financial Statements
We have audited the accompanying consolidated statement of assets and liabilities of First Trust Alternative Opportunities Fund (the "Fund"), including the consolidated schedule of investments, as of March 31, 2026, and the related consolidated statements of operations and cash flows for the year then ended, the consolidated statements of changes in net assets and the consolidated financial highlights for each of the two years in the period then ended and the related notes (collectively referred to as the "financial statements"). In our opinion, the financial statements present fairly, in all material respects, the consolidated financial position of the Fund at March 31, 2026, the consolidated results of its operations and its cash flows for the year then ended, the consolidated changes in its net assets and its consolidated financial highlights for each of the two years in the period then ended, in conformity with U.S. generally accepted accounting principles.

The consolidated financial highlights for the years ended March 31, 2024, March 31, 2023 and March 31, 2022 were audited by another independent registered public accounting firm whose report, dated June 5, 2024, expressed an unqualified opinion on those consolidated financial highlights.

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

We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud. The Fund is not required to have, nor were we engaged to perform, an audit of the Fund's internal control over financial reporting. As part of our audits, we are required to obtain an understanding of internal control over financial reporting, but not for the purpose of expressing an opinion on the effectiveness of the Fund's internal control over financial reporting. Accordingly, we express no such opinion.

Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of March 31, 2026, by correspondence with the custodian, agent banks, underlying managers or administrators of the private investment vehicles and brokers; when replies were not received from agent banks, an underlying manager or administrator or brokers, we performed other auditing procedures. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audits provide a reasonable basis for our opinion.

![[MISSING IMAGE: sg_ernstyoungllp-bw.jpg]](sg_ernstyoungllp-bw.jpg)

We have served as the auditor of one or more First Trust Capital Management L.P. investment companies since 2025.

Chicago, Illinois <br> May 30, 2026

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#### First Trust Alternative Opportunities Fund <br> CONSOLIDATED SCHEDULE OF INVESTMENTS <br> As of March 31, 2026

---

| | |
|:---|:---|
| **Principal <br> Amount ($)**  | **Value**  |
| | **ASSET-BACKED SECURITIES – 14.6%** |
| 30000000<sup>1</sup> Arts SPV S.R.L. <br> 10.570% (3-Month Euribor+855 basis points), 11/30/2041<sup>2,3,4</sup>  | $&nbsp;&nbsp;&nbsp;&nbsp;35013038 |
| 8784882<sup>1</sup> Banco Santander, S.A. <br> Series 2024-1 CLN, 11.121% (3-Month Euribor+900 basis points), 6/20/2030<sup>2,3,4</sup>  | 10229747 |
| 4515259<sup>1</sup> &nbsp;&nbsp;&nbsp; Series Syntotta 5, 10.049% (3-Month Euribor+800 basis points), 12/27/2043<sup>2,3,4</sup>  | 5296365 |
| 1846334<sup>1</sup> &nbsp;&nbsp;&nbsp; Series Syntotta 4, 11.046% (3-Month Euribor+900 basis points), 5/2/2045<sup>2,3,4</sup>  | 2157629 |
| 18400000<sup>1</sup> &nbsp;&nbsp;&nbsp; 8.809% (3-Month Euribor+675 basis points), 6/26/2045<sup>2,3,4</sup>  | 21227054 |
| 3613847<sup>1</sup> BNP Paribas <br> Series S1 MEZZ, 11.531% (3-Month Euribor+950 basis points), 10/12/2032<sup>2,3,4</sup>  | 4196861 |
| 2037325 BNP Paribas – Broadway <br> Series 1, Class JNR, 11.670% (1-Month Term SOFR+800 basis points), 4/12/2031<sup>2,3,4,5,6</sup>  | 2032240 |
| 13164922 Craft Ltd. <br> Series 2021-1X, Class CLN, 12.426% (3-Month Term SOFR+876 <br> basis points), 2/21/2029<sup>2,3,4,5,6</sup>  | 15144386 |
| 9405000<sup>1</sup> Deutsche Bank AG <br> Series 2025-1X, Class CLN, 11.530% (3-Month Euribor+950 basis points), 10/25/2035<sup>2,3,4,5</sup>  | 10795890 |
| 28000000 Granville Ltd. <br> Series 25-1X, 10.130% (1-Month Term SOFR+650 basis points), <br> 2/15/2030<sup>2,3,4</sup>  | 27328532 |
| 7500000 &nbsp;&nbsp;&nbsp; Series 2023-1X, Class E2, 13.480% (SOFR+975 basis points), 7/31/2031<sup>2,3,4</sup>  | 7583130 |
| 23968094<sup>1</sup> Gregory SPV S.R.L. <br> Series 32XC, 9.872% (3-Month Euribor+775 basis points), 12/30/2045<sup>2,3,4</sup>  | 27690434 |
| 8997655<sup>1</sup> Landesbank Baden-Wuerttemberg <br> Series LION-5 MEZ, 11.026% (3-Month Euribor+900 basis points), 7/31/2034<sup>2,3,4</sup>  | 10627685 |
| 17362456<sup>1</sup> &nbsp;&nbsp;&nbsp; Series LION-6 SNR, 9.676% (3-Month Euribor+765 basis points), <br> 10/30/2036<sup>2,3,4</sup>  | 20092628 |
| 14400000<sup>1</sup> &nbsp;&nbsp;&nbsp; Series LION 2025-1 MEZ, 9.385% (3-Month Euribor+725 basis points), 10/30/2037<sup>2,3,4</sup>  | 16596682 |
| 5810309<sup>1</sup> Lloyds Bank PLC <br> Series 2023-1 Z, 14.603% (SONIA+1,088 basis points), <br> 11/19/2029<sup>2,3,4</sup>  | 7866297 |
| 4643155<sup>1</sup> &nbsp;&nbsp;&nbsp; 8.229% (SONIA+450 basis points), 12/16/2030<sup>2,3,4</sup>  | 6150758 |
| 17555354<sup>1</sup> &nbsp;&nbsp;&nbsp; 11.080% (SONIA+735 basis points), 12/16/2030<sup>2,3,4</sup>  | 23259834 |

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#### First Trust Alternative Opportunities Fund <br> CONSOLIDATED SCHEDULE OF INVESTMENTS — Continued <br> As of March 31, 2026

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| | | | |
|:---|:---|:---|:---|
| **Principal <br> Amount ($)**  | | **Value**  | **Value**  |
| | **ASSET-BACKED SECURITIES (Continued)** | **ASSET-BACKED SECURITIES (Continued)** | **ASSET-BACKED SECURITIES (Continued)** |
| 9826714 | Manitoulin Ltd. <br> Series 2023-1X, 13.980% (SOFR+1,025 basis points), <br> 11/1/2028<sup>2,3,4</sup>  | $| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;9549885 |
| 17041000<sup>1</sup> | Marcello SPV S.R.L. <br> 9.428% (3-Month Euribor+725 basis points), 5/29/2047<sup>2,3,4</sup>  |  | 19696024 |
| 12745316 | Mespil Securities No.3 Designated Activity Company <br> Series 2024-1, Class B, 13.150% (2-Month Term SOFR+950 basis points), 7/28/2032<sup>2,3,4,6</sup>  |  | 11772747 |
| 3000000<sup>1</sup> | Nightingale Ltd. <br> Series 2021-1 LF, 14.475% (SONIA+1,075 basis points), <br> 4/1/2028<sup>2,3,4</sup>  |  | 4024471 |
| 42500000<sup>1</sup> | PYMES Magdalena <br> Series 12, Class NOTE, 9.029% (3-Month Euribor+700 basis points), 12/31/2039<sup>2,3,4,5</sup>  |  | 49585642 |
| 5540286<sup>1</sup> | &nbsp;&nbsp;&nbsp; Series 7, Class NOTE, 12.108% (3-Month Euribor+1,000 basis points), 12/23/2042<sup>2,3,4,5</sup>  |  | 6633077 |
| 9078646<sup>1</sup> | &nbsp;&nbsp;&nbsp; Series 11, Class NOTE, 8.534% (3-Month Euribor+650 basis points), 7/4/2054<sup>2,3,4,5</sup>  |  | 10540904 |
| 24561968<sup>1</sup> | Santander Consumer Finance, S.A. <br> Series 2023-1, Class B, 10.490% (3-Month CIBOR+850 basis points), 10/31/2033<sup>2,3,4,5</sup>  |  | 3858131 |
| 89044535<sup>1</sup> | &nbsp;&nbsp;&nbsp; Series 2024-1, 8.853% (3-Month STIBOR+665 basis points), 12/25/2034<sup>2,3,4</sup>  |  | 9426199 |
| 263951930<sup>1</sup> | &nbsp;&nbsp;&nbsp; 8.640% (3-Month CIBOR+665 basis points), 6/25/2035<sup>2,3,4</sup>  |  | 40867313 |
| 8500000<sup>1</sup> | Santander UK PLC <br> 11.229% (SONIA+750 basis points), 4/22/2032<sup>2,3,4</sup>  |  | 11245427 |
| 4178383<sup>1</sup> | &nbsp;&nbsp;&nbsp; Series 2023-2 F2, 14.725% (SONIA+1,100 basis points), 4/22/2033<sup>2,3,4</sup>  |  | 5633373 |
| 8973269<sup>1</sup> | &nbsp;&nbsp;&nbsp; Series 2024-2 F, 14.950% (SONIA+0 basis points), 5/22/2034<sup>2,3,4</sup>  |  | 12160912 |
| 19000000 | St. Lawrence Corp. <br> Series 2023-1X, Class MEZZ, 13.480% (1-Month Term SOFR+975 basis points), 5/25/2033<sup>2,3,4,5,6</sup>  |  | 19001653 |
| 4119390<sup>1</sup> | Vale Securities Finance <br> Series 2023-1, Class B, 11.538% (3-Month Euribor+950 basis points), 7/28/2032<sup>2,3,4,5</sup>  |  | 4783796 |
|  | **TOTAL ASSET-BACKED SECURITIES** <br> (Cost $455,542,068)  |  | **472068744** |
|  | **BANK LOANS – 16.0%** | **BANK LOANS – 16.0%** | **BANK LOANS – 16.0%** |
| 2813542 | Accuray, Inc. <br> 1.000%, Delay Draw, 6/5/2030<sup>4,7</sup>  |  | (17432) |
| 19547020 | &nbsp;&nbsp;&nbsp; 8.322% Cash, 6.000% PIK, Term Loan (3-Month Term SOFR+1,050 basis points), 6/5/2030<sup>3,4,8</sup>  |  | 15323013 |

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| | |
|:---|:---|
| **Principal <br> Amount ($)**  | **Value**  |
|  | **BANK LOANS (Continued)** |
| 2844160 Advantage Capital Holdings, LLC <br> 13.000%, Term Loan, 4/14/2027<sup>4</sup>  | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2755423 |
| 1070000 Blue Raven Solutions, LLC <br> 9.673%, Revolver (3-Month Term SOFR+600 basis points), 1/16/2031<sup>3,4,9</sup>  | 321000 |
| 9600000 &nbsp;&nbsp;&nbsp; 9.668%, Term Loan (1-Month Term SOFR+600 basis points), 1/16/2032<sup>3,4</sup>  | 9408000 |
| 16458750 Byoma U.S., Inc. <br> 9.655%, Term Loan (3-Month Term SOFR+600 basis points), 11/17/2027<sup>3,4</sup>  | 16129575 |
| 7218314 C3 Rentals, LLC <br> 11.668%, Term Loan (1-Month Term SOFR+800 basis points), 4/22/2027<sup>3,4</sup>  | 7290498 |
| 43000000 Catalyst Brands, LLC <br> 11.790%, Term Loan (1-Month Term SOFR+813 basis points), 9/17/2030<sup>3,4</sup>  | 43000000 |
| 5473849 CherCo, LLC <br> 0.000%Cash, 12.818% PIK, Term Loan, 9/1/2027<sup>4,8,10</sup>  | 5473849 |
| 1804991 CIRE Alto OpCo, LLC <br> 24.090%, Term Loan, 6/30/2026<sup>4,10</sup>  | 1770516 |
| 17325000 Connect America.com, LLC <br> 9.450%, Term Loan (3-Month Term SOFR+575 basis points), 12/31/2028<sup>3,4</sup>  | 16701300 |
| 15001538 Craftmark Bakery Holdings, LLC <br> 8.914%, Term Loan (3-Month Term SOFR+525 basis points), 5/6/2031<sup>3,4</sup>  | 14881526 |
| 3767024 &nbsp;&nbsp;&nbsp; 8.917%, Delay Draw (3-Month Term SOFR+525 basis points), 5/6/2031<sup>3,4,9</sup>  | 409088 |
| 2153846 &nbsp;&nbsp;&nbsp; 8.917%, Revolver (3-Month Term SOFR+0 basis points), <br> 5/6/2031<sup>3,4,9</sup>  | 1059692 |
| 22995273 Dorel Industries, Inc. <br> 9.410% Cash, 2.500% PIK, Term Loan (3-Month Term SOFR+0 basis points), 9/29/2030<sup>3,4,8</sup>  | 21617419 |
| 33750000 Family Dollar Stores, LLC <br> 10.165%, Term Loan (1-Month Term SOFR+650 basis points), 7/3/2028<sup>3,4</sup>  | 33750000 |
| 593951 Fenix Topco, LLC <br> 10.450%, Delay Draw (3-Month Term SOFR+675 basis points), 4/2/2027<sup>3,4,9</sup>  | 491389 |
| 8582249 &nbsp;&nbsp;&nbsp; 10.450%, Term Loan (3-Month Term SOFR+675 basis points), 3/28/2029<sup>3,4</sup>  | 8264706 |
| 3386835 &nbsp;&nbsp;&nbsp;&nbsp;1.000%, Delay Draw, 3/28/2029<sup>4,7</sup> |  |

---

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[**TABLE OF CONTENTS**](#TOC)

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| | |
|:---|:---|
| **Principal <br> Amount ($)**  | **Value**  |
|  | **BANK LOANS (Continued)** |
| 1421053 GT Independence Services, LLC <br> 0.500%, Revolver, 11/18/2027<sup>4,7</sup>  | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| 12000000 8.700%, Term Loan (3-Month Term SOFR+500 basis points), 11/18/2027<sup>3,4</sup> | 11869880 |
| 1578947 &nbsp;&nbsp;&nbsp;&nbsp;1.000%, Delay Draw, 11/18/2027<sup>4,7</sup> |  |
| 21625296 Ipsen Group Holding GmbH <br> 7.173% Cash, 7.000% PIK, Term Loan (1-Month Term SOFR+1,075 basis points), 7/31/2029<sup>3,4,8</sup>  | 21020120 |
| 20000000 Jonah Energy South Texas, LLC <br> 9.701%, Term Loan (3-Month Term SOFR+600 basis points), 3/30/2030<sup>3,4</sup>  | 19800000 |
| 6035932 Litigation Trust Class A-1 DIP Interest <br> 0.000% Cash, 10.000% PIK, 12/31/2026<sup>4,8,10</sup>  | 6035932 |
| 2818037 Litigation Trust Class A-2 Bridge Interest <br> 0.000% Cash, 10.000% PIK, Bridge, 10/31/2026<sup>4,8,10</sup>  | 2818037 |
| 7329327 Litigation Trust Class A-2 DIP Interest <br> 0.000% Cash, 10.000% PIK, 12/31/2026<sup>4,8,10</sup>  | 7329327 |
| 757554 Litigation Trust Other Claims <br> 0.000%, Bridge, 10/31/2026<sup>4</sup>  | 757554 |
| 6391359 Lucky Bucks Holdings, LLC <br> 12.500%, Term Loan, 5/29/2028<sup>4,11</sup>  | 425000 |
| 6498594 Medical Technology Solutions, LLC <br> 8.926%, Term Loan (1-Month Term SOFR+525 basis points), 6/3/2032<sup>3,4</sup>  | 6417361 |
| 1031250 &nbsp;&nbsp;&nbsp;&nbsp;0.500%, Revolver, 6/3/2032<sup>4,7</sup> |  |
| 3437500 &nbsp;&nbsp;&nbsp;&nbsp;1.000%, Delay Draw, 6/3/2032<sup>4,7</sup> |  |
| 950521 Minds + Assembly, LLC <br> 0.500%, Revolver,<sup>4,7</sup>  |  |
| 17039987 &nbsp;&nbsp;&nbsp; 8.700%, Term Loan (3-Month Term SOFR+500 basis points), 10/28/2026<sup>3,4</sup>  | 16937630 |
| 2478516 &nbsp;&nbsp;&nbsp; 8.950%, Term Loan (3-Month Term SOFR+525 basis points), 3/31/2028<sup>3,4</sup>  | 2463659 |
| 35744470 Nephron Pharmaceuticals Corp. <br> 12.892%, Term Loan (3-Month Term SOFR+920 basis points), 1/31/2028<sup>3,4</sup>  | 35565747 |
| 8364706 NMA Holdings, LLC <br> 8.686%, Term Loan (3-Month Term SOFR+500 basis points), 1/2/2028<sup>3,4</sup>  | 8377253 |
| 1411765 &nbsp;&nbsp;&nbsp;&nbsp;0.500%, Revolver, 1/2/2028<sup>4,7</sup> |  |
| 2113765 &nbsp;&nbsp;&nbsp; 8.686%, Delay Draw (3-Month Term SOFR+500 basis points), 7/7/2028<sup>3,4,9</sup>  | 387524 |

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[**TABLE OF CONTENTS**](#TOC)

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| | |
|:---|:---|
| **Principal <br> Amount ($)**  | **Value**  |
|  | **BANK LOANS (Continued)** |
| 7000000 PayByPhone Technologies, Inc. <br> 0.000%, Term Loan, 3/31/2031<sup>4</sup>  | $6912500 |
| 2153846 &nbsp;&nbsp;&nbsp;&nbsp;0.500%, Delay Draw, 3/31/2031<sup>4,7</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| 1346154 &nbsp;&nbsp;&nbsp;&nbsp;0.500%, Revolver, 3/31/2031<sup>4,7</sup> | (6731) |
| 24351226 Progress Lighting, LLC <br> 14.170%, Term Loan (3-Month Term SOFR+1,050 basis points), 9/18/2029<sup>3,4</sup>  | 23774371 |
| 7187771 Riccobene Associates <br> 8.418%, Term Loan (1-Month Term SOFR+475 basis points), 11/12/2027<sup>3,4</sup>  | 7144644 |
| 744249 &nbsp;&nbsp;&nbsp;&nbsp;0.500%, Revolver, 11/12/2027<sup>4,7</sup> |  |
| 2966204 &nbsp;&nbsp;&nbsp; 8.418%, Delay Draw (1-Month Term SOFR+475 basis points), 1/10/2028<sup>3,4,9</sup>  | 1519449 |
| 49081639 Shryne Group, Inc. <br> 14.887% Cash, 1.000% PIK, Term Loan (1-Month Term SOFR+1,122 basis points), 5/26/2026<sup>3,4</sup>  | 49081639 |
| 477273 Sparta AN Bidco, LLC <br> 0.500%, Delay Draw, 3/13/2031<sup>4,7</sup>  | (4176) |
| 270910 &nbsp;&nbsp;&nbsp;&nbsp;0.500%, Revolver, 3/13/2031<sup>4</sup> | (4733) |
| 47727 &nbsp;&nbsp;&nbsp; 9.168%, Revolver (1-Month Term SOFR+550 basis points), 3/13/2031<sup>3,4,9</sup>  | 46892 |
| 4454545 &nbsp;&nbsp;&nbsp; 9.168%, Term Loan (1-Month Term SOFR+550 basis points), 3/31/2031<sup>3,4</sup>  | 4376591 |
| 3372380 Steward Health Care System, LLC <br> 10.000%, Bridge, 5/28/2026<sup>4,11</sup>  |  |
| 24538892 Sugar Creek Packing Co. <br> 12.426%Cash, 3.000% PIK, Term Loan (1-Month Term SOFR+875 basis points), 1/9/2031<sup>3,4</sup>  | 23520115 |
| 2021144 Summit Spine & Joint Centers <br> 8.418%, Revolver (1-Month Term SOFR+475 basis points), 3/18/2028<sup>3,4,9</sup>  | 108131 |
| 13302201 &nbsp;&nbsp;&nbsp; 8.418%, Term Loan (1-Month Term SOFR+475 basis points), 3/18/2028<sup>3,4</sup>  | 13215737 |
| 4042289 &nbsp;&nbsp;&nbsp;&nbsp;1.000%, Delay Draw, 3/18/2028<sup>4,7</sup> |  |
| 1175672 Super Sod, LLC <br> 0.500%, Revolver, 3/10/2032<sup>4,7</sup>  | (11757) |
| 1469590 &nbsp;&nbsp;&nbsp;&nbsp;1.000%, Delay Draw, 3/10/2032<sup>4,7</sup> | (7348) |
| 7054031 &nbsp;&nbsp;&nbsp; 8.417%, Term Loan (1-Month Term SOFR+475 basis points), 3/10/2032<sup>3,4</sup>  | 6983491 |
| 24843750 The Goodyear Tire and & Rubber Company <br> 9.417%, Term Loan (3-Month Term SOFR+575 basis points), 10/31/2026<sup>3,4</sup>  | 24222656 |

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[**TABLE OF CONTENTS**](#TOC)

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| | | |
|:---|:---|:---|
| **Principal <br> Amount ($)**  | | **Value**  |
|  | **BANK LOANS (Continued)** | **BANK LOANS (Continued)** |
| 1978900 | Vomela Purchaser, LLC <br> 0.500%, Delay Draw, 12/31/2029<sup>4,7</sup>  | $(19789) |
| 14755224 | &nbsp;&nbsp;&nbsp; 8.918%, Term Loan (1-Month Term SOFR+525 basis points), 12/31/2029<sup>3,4</sup>  | &nbsp;&nbsp;&nbsp;&nbsp;14460120 |
| 5489187 | West Side Holdco, LLC <br> 13.000%, Term Loan, 9/3/2027<sup>4,10</sup>  | 5763646 |
|  | **TOTAL BANK LOANS <br> (Cost $524,808,869)**  | **519910034** |

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---

| | | |
|:---|:---|:---|
| **Number <br> of Shares**  | | |
| | **CLOSED-END FUNDS – 2.5%** |  |
| 1293408 | Cliffwater Enhanced Lending Fund – Class I<sup>12</sup> | 14240424 |
| 2339516 | Opportunistic Credit Interval Fund – Class I<sup>12,13</sup> | 26857642 |
| 1092644 | Palmer Square Capital BDC, Inc.<sup>13</sup> | 10675132 |
| 1770039 | Pomona Investment Fund LP<sup>12</sup> | 29409910 |
|  | **TOTAL CLOSED-END FUNDS <br> (Cost $79,825,109)**  | **81183108** |

---

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| | |
|:---|:---|
| **Principal <br> Amount ($)**  | |
| | **COLLATERALIZED LOAN OBLIGATIONS – 16.2%** |
| 500000 720 East CLO Ltd. <br> Series 2023-IA, Class DR, 7.672% (3-Month Term SOFR+400 basis points), 4/15/2038<sup>3,5,6,14</sup>  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;497990 |
| 1250000 &nbsp;&nbsp;&nbsp; Series 2023-2A, Class D1R, 6.422% (3-Month Term SOFR+275 basis points), 10/15/2038<sup>3,5,6,14</sup>  | 1235778 |
| 500000 &nbsp;&nbsp;&nbsp; Series 2023-2A, Class ER, 9.172% (3-Month Term SOFR+550 basis points), 10/15/2038<sup>3,5,6,14</sup>  | 482580 |
| 1500000 ABPCI Direct Lending Fund CLO LP <br> Series 2024-19A, Class E, 11.317% (3-Month Term SOFR+765 basis points), 10/30/2036<sup>3,5,14</sup>  | 1493412 |
| 11100000 ABPCI Highland Park CLO <br>14.260%, 12/23/2030<sup>9</sup> | 11770440 |
| 1500000 Apidos CLO Ltd. <br> Series 2015-23A, Class DRR, 6.272% (3-Month Term SOFR+260 <br> basis points), 4/15/2033<sup>3,5,6,14</sup>  | 1485541 |
| 1000000 &nbsp;&nbsp;&nbsp; Series 2017-28A, Class C1R, 6.518% (3-Month Term SOFR+285 <br> basis points), 10/20/2038<sup>3,5,6,14</sup>  | 995140 |
| 1000000 Ares CLO Ltd. <br> Series 2016-39A, Class DR3, 6.918% (3-Month Term SOFR+325 <br> basis points), 7/18/2037<sup>3,5,6,14</sup>  | 985192 |
| 500000 &nbsp;&nbsp;&nbsp; Series 2022-63A, Class D2R, 8.022% (3-Month Term SOFR+435 <br> basis points), 10/15/2038<sup>3,5,6,14</sup>  | 488166 |

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[**TABLE OF CONTENTS**](#TOC)

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| | | |
|:---|:---|:---|
| **Principal <br> Amount ($)**  | | **Value**  |
|  | **COLLATERALIZED LOAN OBLIGATIONS (Continued)**  | **COLLATERALIZED LOAN OBLIGATIONS (Continued)**  |
| 1000000 | Ares Loan Funding Ltd. <br> Series 2021-ALFA, Class D1R, 6.517% (3-Month Term SOFR+285 basis points), 4/15/2039<sup>3,5,6,14</sup>  | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;994829 |
|  | Arini European CLO |  |
| 4389109<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Series 9A, Class SUB, 14.000%, 04/15/2040<sup>9</sup> | 4318190 |
| 2808976<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Series 10A, Class SUB, 14.000%, 07/15/2040<sup>9</sup> | 2821313 |
| 9000000<sup>1</sup> | &nbsp;&nbsp;&nbsp; Series 7A, Class SUB, 0.000%, 1/15/2039<sup>5,7,10,14</sup>  | 7989067 |
|  | Arini U.S. CLO Ltd. |  |
| 1000000 | &nbsp;&nbsp;&nbsp; Series 5A, Class D, 0.000% (3-Month Term SOFR+295 basis points), 4/15/2039<sup>3,5,6,14</sup>  | 1000000 |
| 1000000 | &nbsp;&nbsp;&nbsp; Series 5A, Class E, 0.000% (3-Month Term SOFR+600 basis points), 4/15/2039<sup>3,5,6,14</sup>  | 1000000 |
|  | Bain Capital Credit CLO Ltd. |  |
| 1000000 | &nbsp;&nbsp;&nbsp; Series 2021-3A, Class D, 7.030% (3-Month Term SOFR+336 basis points), 7/24/2034<sup>3,5,6,14</sup>  | 963375 |
| 1000000 | &nbsp;&nbsp;&nbsp; Series 2023-1A, Class D1R, 6.871% (3-Month Term SOFR+320 basis points), 7/16/2038<sup>3,5,6,14</sup>  | 995537 |
| 1000000 | &nbsp;&nbsp;&nbsp; Series 2023-1A, Class D2R, 7.621% (3-Month Term SOFR+395 basis points), 7/16/2038<sup>3,5,6,14</sup>  | 986242 |
|  | Ballyrock CLO Ltd. |  |
| 1750000 | &nbsp;&nbsp;&nbsp; Series 2021-17A, Class C1R, 6.368% (3-Month Term SOFR+270 <br> basis points), 10/20/2038<sup>3,5,6,14</sup>  | 1724581 |
| 750000 | &nbsp;&nbsp;&nbsp; Series 2021-17A, Class DR, 9.768% (3-Month Term SOFR+610 basis points), 10/20/2038<sup>3,5,6,14</sup>  | 714135 |
| 1500000 | &nbsp;&nbsp;&nbsp; Series 2019-2A, Class C1R3, 6.368% (3-Month Term SOFR+270 <br> basis points), 10/25/2038<sup>3,5,6,14</sup>  | 1478075 |
| 500000 | &nbsp;&nbsp;&nbsp; Series 2019-2A, Class C2R3, 7.618% (3-Month Term SOFR+395 <br> basis points), 10/25/2038<sup>3,5,6,14</sup>  | 490991 |
|  | Barings CLO Ltd. |  |
| 500000 | &nbsp;&nbsp;&nbsp; Series 2025-7A, Class D1, 6.428% (3-Month Term SOFR+270 basis points), 1/15/2038<sup>3,5,6,14</sup>  | 494046 |
| 1000000 | &nbsp;&nbsp;&nbsp; Series 2023-1A, Class D1R, 7.068% (3-Month Term SOFR+340 basis points), 4/20/2038<sup>3,5,6,14</sup>  | 998827 |
| 500000 | &nbsp;&nbsp;&nbsp; Series 2023-1A, Class D2R, 8.668% (3-Month Term SOFR+500 basis points), 4/20/2038<sup>3,5,6,14</sup>  | 495119 |
| 1000000 | Benefit Street Partners CLO Ltd. <br> Series 2019-17A, Class D1R2, 6.822% (3-Month Term SOFR+315 basis points), 10/15/2037<sup>3,5,6,14</sup>  | 996089 |
| 4000000 | BFNS, LLC <br> Series 2022-1A, Class C, 7.000%, 7/10/2035<sup>3,5,6,14</sup>  | 3518157 |
| 1000000 | BlueMountain CLO Ltd. <br> Series 2020-30A, Class DR, 6.972% (3-Month Term SOFR+330 basis points), 4/15/2035<sup>3,5,6,14</sup>  | 990857 |

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[**TABLE OF CONTENTS**](#TOC)

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| | | |
|:---|:---|:---|
| **Principal <br> Amount ($)**  | | **Value**  |
|  | **COLLATERALIZED LOAN OBLIGATIONS (Continued)**  | **COLLATERALIZED LOAN OBLIGATIONS (Continued)**  |
|  | Bryant Park Funding Ltd. |  |
| 750000 | &nbsp;&nbsp;&nbsp; Series 2021-17RA, Class ER, 10.598% (3-Month Term SOFR+693 basis points), 1/20/2038<sup>3,5,6,14</sup>  | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;716536 |
| 875000 | &nbsp;&nbsp;&nbsp; Series 2023-20A, Class DR, 7.072% (3-Month Term SOFR+340 basis points), 4/15/2038<sup>3,5,6,14</sup>  | 862988 |
| 750000 | &nbsp;&nbsp;&nbsp; Series 2023-21A, Class ER, 8.918% (3-Month Term SOFR+525 basis points), 10/18/2038<sup>3,5,6,14</sup>  | 730117 |
| 1000000 | Carlyle Global Market Strategies CLO Ltd. <br> Series 2015-4A, Class CR2, 6.218% (3-Month Term SOFR+255 basis points), 7/20/2032<sup>3,5,6,14</sup>  | 998657 |
| 500000 | Carlyle U.S. CLO Ltd. <br> Series 2026-2A, Class D, 0.000% (3-Month Term SOFR+315 basis points), 4/20/2039<sup>3,5,6,14</sup>  | 500000 |
| 1000000 | &nbsp;&nbsp;&nbsp; Series 2026-2A, Class E, 0.000% (3-Month Term SOFR+604 basis points), 4/20/2039<sup>3,5,6,14</sup>  | 990000 |
| 1000000 | CIFC Funding Ltd. <br> Series 2020-2A, Class ER2, 8.920% (3-Month Term SOFR+525 basis points), 4/16/2039<sup>3,5,6,14</sup>  | 962815 |
|  | Dryden CLO Ltd. |  |
| 750000 | &nbsp;&nbsp;&nbsp; Series 2023-102A, Class D1R, 6.572% (3-Month Term SOFR+290 basis points), 10/15/2038<sup>3,5,6,14</sup>  | 746317 |
| 750000 | &nbsp;&nbsp;&nbsp; Series 2023-102A, Class ER, 9.522% (3-Month Term SOFR+585 <br> basis points), 10/15/2038<sup>3,5,6,14</sup>  | 713270 |
| 1000000 | &nbsp;&nbsp;&nbsp; Series 2025-120A, Class E, 9.146% (3-Month Term SOFR+545 basis points), 1/15/2039<sup>3,5,6,14</sup>  | 978830 |
| 1000000 | &nbsp;&nbsp;&nbsp; Series 2026-114A, Class E, 0.000% (3-Month Term SOFR+650 basis points), 4/20/2039<sup>3,5,6,14</sup>  | 985000 |
| 1000000 | Dryden Senior Loan Fund <br> Series 2013-30A, Class ER, 9.664% (3-Month Term SOFR+601 basis points), 11/15/2028<sup>3,5,6,14</sup>  | 934887 |
| 1258 | Elevation CLO Ltd. <br> Series 2018-10A, Class AR, 4.588% (3-Month Term SOFR+92 basis points), 10/20/2031<sup>3,5,6,14</sup>  | 1258 |
|  | Elmwood CLO Ltd. |  |
| 1250000 | &nbsp;&nbsp;&nbsp; Series 2021-3A, Class DR2, 6.718% (3-Month Term SOFR+305 basis points), 7/20/2038<sup>3,5,6,14</sup>  | 1244265 |
| 1000000 | &nbsp;&nbsp;&nbsp; Series 2021-3A, Class ER2, 9.618% (3-Month Term SOFR+595 basis points), 7/20/2038<sup>3,5,6,14</sup>  | 952860 |
| 1000000 | &nbsp;&nbsp;&nbsp; Series 2022-6A, Class D1R2, 6.368% (3-Month Term SOFR+270 <br> basis points), 10/17/2038<sup>3,5,6,14</sup>  | 985344 |
| 750000 | &nbsp;&nbsp;&nbsp; Series 2022-6A, Class ER2, 8.818% (3-Month Term SOFR+515 basis points), 10/17/2038<sup>3,5,6,14</sup>  | 723414 |

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[**TABLE OF CONTENTS**](#TOC)

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| | | |
|:---|:---|:---|
| **Principal <br> Amount ($)**  | | **Value**  |
|  | **COLLATERALIZED LOAN OBLIGATIONS (Continued)**  | **COLLATERALIZED LOAN OBLIGATIONS (Continued)**  |
| 1000000 | Empower CLO Ltd. <br> Series 2025-1A, Class D2, 8.168% (3-Month Term SOFR+450 basis points), 7/20/2038<sup>3,5,6,14</sup>  | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;989569 |
|  | Flatiron CLO Ltd. |  |
| 500000 | &nbsp;&nbsp;&nbsp; Series 2020-1A, Class D2R2, 7.606% (3-Month Term SOFR+395 <br> basis points), 11/20/2038<sup>3,5,6,14</sup>  | 490922 |
| 750000 | &nbsp;&nbsp;&nbsp; Series 2020-1A, Class ER2, 8.906% (3-Month Term SOFR+525 basis points), 11/20/2038<sup>3,5,6,14</sup>  | 718768 |
|  | Golub Capital CLO Ltd. |  |
| 1000000 | &nbsp;&nbsp;&nbsp; Series 2026-88A, Class D1, 0.000% (3-Month Term SOFR+315 basis points), 4/17/2039<sup>3,5,6,14</sup>  | 1000000 |
| 750000 | &nbsp;&nbsp;&nbsp; Series 2026-88A, Class E, 0.000% (3-Month Term SOFR+603 basis points), 4/17/2039<sup>3,5,6,14</sup>  | 735000 |
|  | Invesco U.S. CLO Ltd. |  |
| 500000 | &nbsp;&nbsp;&nbsp; Series 2025-1A, Class E, 9.672% (3-Month Term SOFR+600 basis points), 7/15/2038<sup>3,5,6,14</sup>  | 497644 |
| 750000 | &nbsp;&nbsp;&nbsp; Series 2026-1A, Class D1A, 0.000% (3-Month Term SOFR+320 basis points), 4/15/2039<sup>3,5,6,14</sup>  | 750000 |
| 1500000 | Jamestown CLO Ltd. <br> Series 2018-11A, Class D, 9.949% (3-Month Term SOFR+628 basis points), 7/14/2031<sup>3,5,6,14</sup>  | 1406942 |
| 1000000 | KKR CLO Ltd. <br> Series 2013-1A, Class D1R3, 7.085% (3-Month Term SOFR+325 <br> basis points), 10/15/2038<sup>3,5,6,14</sup>  | 998480 |
| 1200000 | Madison Park Funding Ltd. <br> Series 2019-34A, Class D1RR, 7.021% (3-Month Term SOFR+335 basis points), 10/16/2037<sup>3,5,6,14</sup>  | 1163830 |
|  | Magnetite CLO Ltd. |  |
| 1000000 | &nbsp;&nbsp;&nbsp; Series 2019-23A, Class AR2, 4.637% (3-Month Term SOFR+99 basis points), 1/25/2035<sup>3,5,6,14</sup>  | 1000297 |
| 1000000 | &nbsp;&nbsp;&nbsp; Series 2019-23A, Class BR2, 4.997% (3-Month Term SOFR+135 <br> basis points), 1/25/2035<sup>3,5,6,14</sup>  | 993583 |
| 2000000 | &nbsp;&nbsp;&nbsp; Series 2020-26A, Class D1R2, 6.168% (3-Month Term SOFR+250 basis points), 1/25/2038<sup>3,5,6,14</sup>  | 1954039 |
| 1000000 | &nbsp;&nbsp;&nbsp; Series 2020-27A, Class D1RR, 6.318% (3-Month Term SOFR+265 basis points), 10/20/2038<sup>3,5,6,14</sup>  | 984536 |
| 7000000 | MCF CLO Ltd. <br> Series 2018-1A, Class SUB, 15.000%, 4/18/2036<sup>5,6,10,14</sup>  | 3431454 |
| 1000000 | Menlo CLO Ltd. <br> Series 2024-1A, Class D1, 6.918% (3-Month Term SOFR+325 basis points), 1/20/2038<sup>3,5,6,14</sup>  | 1001925 |
| 1000000 | &nbsp;&nbsp;&nbsp; Series 2025-2A, Class D1, 6.968% (3-Month Term SOFR+330 basis points), 4/20/2038<sup>3,5,6,14</sup>  | 1005227 |

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[**TABLE OF CONTENTS**](#TOC)

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| | | |
|:---|:---|:---|
| **Principal <br> Amount ($)**  | | **Value**  |
|  | **COLLATERALIZED LOAN OBLIGATIONS (Continued)**  | **COLLATERALIZED LOAN OBLIGATIONS (Continued)**  |
| 750000 | &nbsp;&nbsp;&nbsp; Series 2025-3A, Class D, 6.894% (3-Month Term SOFR+300 basis points), 10/16/2038<sup>3,5,6,14</sup>  | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;751684 |
|  | Morgan Stanley Eaton Vance CLO Ltd. |  |
| 1000000 | &nbsp;&nbsp;&nbsp; Series 2022-17A, Class ER, 9.768% (3-Month Term SOFR+610 basis points), 10/20/2037<sup>3,5,6,14</sup>  | 917827 |
| 1000000 | &nbsp;&nbsp;&nbsp; Series 2022-18A, Class D1R, 6.768% (3-Month Term SOFR+310 <br> basis points), 10/20/2037<sup>3,5,6,14</sup>  | 990169 |
| 750000 | &nbsp;&nbsp;&nbsp; Series 2021-1A, Class ER, 9.731% (3-Month Term SOFR+606 basis points), 10/23/2037<sup>3,5,6,14</sup>  | 713658 |
| 1000000 | &nbsp;&nbsp;&nbsp; Series 2023-19A, Class D2R, 8.172% (3-Month Term SOFR+450 <br> basis points), 7/15/2038<sup>3,5,6,14</sup>  | 977101 |
| 16084782 | Mount Logan Funding LP <br> Series 2018-1A, Class SUBR, 0.000%, 1/22/2033<sup>5,6,10,14</sup>  | 6859206 |
| 1000000 | Mountain View CLO Ltd. <br> Series 2019-2A, Class DR, 8.272% (3-Month Term SOFR+460 basis points), 7/15/2037<sup>3,5,6,14</sup>  | 985586 |
| 1000000 | Neuberger Berman CLO Ltd. <br> Series 2016-22A, Class ER2, 10.498% (3-Month Term SOFR+683 basis points), 4/15/2038<sup>3,5,6,14</sup>  | 1000000 |
|  | Neuberger Berman Loan Advisers CLO Ltd. |  |
| 750000 | &nbsp;&nbsp;&nbsp; Series 2021-41A, Class DR, 6.472% (3-Month Term SOFR+280 basis points), 4/15/2034<sup>3,5,6,14</sup>  | 740324 |
| 1980000 | &nbsp;&nbsp;&nbsp;&nbsp;Series 2026-64A, Class SUB, 27.000%, 07/23/2040<sup>4</sup> | 1980000 |
| 11440000 | &nbsp;&nbsp;&nbsp; Series 2026-63A, Class SUB, 12.000%, 4/16/2039<sup>5,6,9,10,14</sup>  | 11440000 |
| 8000000 | &nbsp;&nbsp;&nbsp; Series 2025-60A, Class SUB, 12.000%, 4/22/2039<sup>5,6,10,14</sup>  | 5829690 |
| 15620000 | &nbsp;&nbsp;&nbsp; Series 2025-61A, Class SUB, 12.000%, 7/17/2039<sup>5,6,10,14</sup>  | 11866386 |
| 15735000 | &nbsp;&nbsp;&nbsp; Series 2025-62A, Class SUB, 12.000%, 10/17/2039<sup>5,6,10,14</sup>  | 12378040 |
|  | New Mountain CLO Ltd. |  |
| 1000000 | &nbsp;&nbsp;&nbsp; Series CLO-1A, Class DRR, 6.522% (3-Month Term SOFR+285 basis points), 1/15/2038<sup>3,5,6,14</sup>  | 995811 |
| 1000000 | &nbsp;&nbsp;&nbsp; Series CLO-9A, Class D1, 6.509% (3-Month Term SOFR+280 basis points), 4/22/2039<sup>3,5,6,14</sup>  | 1000000 |
| 500000 | &nbsp;&nbsp;&nbsp; Series CLO-9A, Class E, 9.009% (3-Month Term SOFR+530 basis points), 4/22/2039<sup>3,5,6,14</sup>  | 500000 |
| 715000 | NYACK Park CLO Ltd. <br> Series 2021-1A, Class D1R, 6.368% (3-Month Term SOFR+270 basis points), 10/20/2038<sup>3,5,6,14</sup>  | 704056 |
| 1000000 | Oaktree CLO Ltd. <br> Series 2022-1A, Class DR, 6.772% (3-Month Term SOFR+310 basis points), 7/15/2038<sup>3,5,6,14</sup>  | 992256 |
| 1000000 | &nbsp;&nbsp;&nbsp; Series 2022-1A, Class ER, 9.672% (3-Month Term SOFR+600 basis points), 7/15/2038<sup>3,5,6,14</sup>  | 952797 |

---

------

[**TABLE OF CONTENTS**](#TOC)

---

| | | |
|:---|:---|:---|
| **Principal <br> Amount ($)**  | | **Value**  |
|  | **COLLATERALIZED LOAN OBLIGATIONS (Continued)**  | **COLLATERALIZED LOAN OBLIGATIONS (Continued)**  |
| 700000 | OCP CLO Ltd. <br> Series 2014-5A, Class DR, 9.630% (3-Month Term SOFR+596 basis points), 4/26/2031<sup>3,5,6,14</sup>  | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;657062 |
| 2000000 | &nbsp;&nbsp;&nbsp; Series 2021-21A, Class AR, 4.848% (3-Month Term SOFR+118 basis points), 1/20/2038<sup>3,5,6,14</sup>  | 1996849 |
|  | Octagon Ltd. |  |
| 1000000 | &nbsp;&nbsp;&nbsp; Series 2022-1A, Class D, 7.353% (3-Month Term SOFR+370 basis points), 5/15/2035<sup>3,5,6,14</sup>  | 968058 |
| 1000000 | &nbsp;&nbsp;&nbsp; Series 2023-1A, Class D1R, 6.418% (3-Month Term SOFR+275 basis points), 10/20/2038<sup>3,5,6,14</sup>  | 988651 |
| 750000 | &nbsp;&nbsp;&nbsp; Series 2023-1A, Class ER, 9.418% (3-Month Term SOFR+575 basis points), 10/20/2038<sup>3,5,6,14</sup>  | 720734 |
| 1250000 | OZLM Ltd. <br> Series 2014-6A, Class DS, 9.979% (3-Month Term SOFR+631 basis points), 4/17/2031<sup>3,5,6,14</sup>  | 1086706 |
|  | Palmer Square European Loan Funding |  |
| 2975000<sup>1</sup> | &nbsp;&nbsp;&nbsp; Series 2022-1X, Class SUB, 0.000%, 10/15/2031<sup>5,10,13</sup>  |  |
| 4000000<sup>1</sup> | &nbsp;&nbsp;&nbsp; Series 2022-2X, Class SUB, 0.000%, 10/15/2031<sup>5,10,13</sup>  |  |
| 4000000<sup>1</sup> | &nbsp;&nbsp;&nbsp; Series 2022-3X, Class SUB, 0.000%, 4/12/2032<sup>4,5,10,13</sup>  |  |
| 7100000<sup>1</sup> | &nbsp;&nbsp;&nbsp; Series 2023-1A, Class SUB, 0.000%, 11/15/2032<sup>5,10,13,14</sup>  |  |
| 8325000<sup>1</sup> | &nbsp;&nbsp;&nbsp; Series 2023-2X, Class SUB, 0.000%, 1/15/2033<sup>5,10,13</sup>  | 1532793 |
| 8200000<sup>1</sup> | &nbsp;&nbsp;&nbsp; Series 2023-3X, Class SUB, 10.133%, 5/15/2033<sup>5,10,13</sup>  | 7031194 |
| 10575000<sup>1</sup> | &nbsp;&nbsp;&nbsp; Series 2024-1X, Class SUB, 11.195%, 8/15/2033<sup>5,10,13</sup>  | 8122902 |
| 14550000<sup>1</sup> | &nbsp;&nbsp;&nbsp; Series 2024-2X, Class SUB, 10.000%, 5/15/2034<sup>5,10,13</sup>  | 11417534 |
| 8150000<sup>1</sup> | &nbsp;&nbsp;&nbsp; Series 2024-3A, Class SUB, 12.095%, 5/15/2034<sup>5,10,13,14</sup>  | 7264028 |
| 6200000<sup>1</sup> | &nbsp;&nbsp;&nbsp; Series 2025-1X, Class SUB, 15.495%, 10/15/2034<sup>5,10,13</sup>  | 5051499 |
| 10260000<sup>1</sup> | &nbsp;&nbsp;&nbsp; Series 2022-1X, Class SUB, 0.000%, 1/21/2035<sup>4,5,10,13</sup>  | 5632802 |
| 8050000<sup>1</sup> | &nbsp;&nbsp;&nbsp; Series 2025-2X, Class SUB, 11.274%, 2/15/2035<sup>5,10,13</sup>  | 7479006 |
| 7250000<sup>1</sup> | &nbsp;&nbsp;&nbsp; Series 2025-3X, Class SUB, 6.348%, 7/15/2035<sup>5,10,13</sup>  | 8398935 |
| 13850000<sup>1</sup> | &nbsp;&nbsp;&nbsp; Series 2026-1X, Class SUB, 0.000%, 10/15/2035<sup>4,5,10,13</sup>  | 16007859 |
| 9425000<sup>1</sup> | &nbsp;&nbsp;&nbsp; Series 2024-2X, Class SUB, 11.500%, 10/15/2037<sup>5,10,13</sup>  | 7385284 |
| 10000000<sup>1</sup> | &nbsp;&nbsp;&nbsp; Series 2023-1X, Class SUB, 10.000%, 1/15/2038<sup>5,10,13</sup>  | 5842305 |
| 1700000<sup>1</sup> | &nbsp;&nbsp;&nbsp; Series 2023-1X, Class FR, 10.286% (3-Month Euribor+827 basis <br> points), 1/15/2038<sup>3,5,13</sup>  | 1957595 |
| 4570000<sup>1</sup> | &nbsp;&nbsp;&nbsp; Series 2021-2X, Class SUB, 0.000%, 3/15/2038<sup>5,10,13</sup>  | 2538215 |
| 4000000<sup>1</sup> | &nbsp;&nbsp;&nbsp; Series 2025-2X, Class F, 10.186% (3-Month Euribor+817 basis points), 7/15/2038<sup>3,5,13</sup>  | 4605822 |
| 10000000<sup>1</sup> | &nbsp;&nbsp;&nbsp; Series 2025-2X, Class SUB, 10.695%, 7/15/2038<sup>5,10,13</sup>  | 9140807 |
| 14495000<sup>1</sup> | &nbsp;&nbsp;&nbsp; Series 2023-2X, Class SUB, 10.000%, 10/15/2038<sup>5,10,13</sup>  | 8942653 |
| 14000000<sup>1</sup> | &nbsp;&nbsp;&nbsp; Series 2024-1X, Class SUB, 15.353%, 1/15/2039<sup>5,10,13</sup>  | 10625862 |
| 11750000<sup>1</sup> | &nbsp;&nbsp;&nbsp; Series 2026-1X, Class SUB, 0.000%, 4/15/2039<sup>5,10,13</sup>  | 13580675 |

---

------

[**TABLE OF CONTENTS**](#TOC)

---

| | | |
|:---|:---|:---|
| **Principal <br> Amount ($)**  | | **Value**  |
|  | **COLLATERALIZED LOAN OBLIGATIONS (Continued)**  | **COLLATERALIZED LOAN OBLIGATIONS (Continued)**  |
| 6500000<sup>1</sup> | &nbsp;&nbsp;&nbsp; Series 2025-1X, Class SUB, 14.131%, 10/15/2039<sup>5,10,13</sup>  | $&nbsp;&nbsp;&nbsp;&nbsp;5768689 |
|  | Palmer Square Loan Funding Ltd. |  |
| 1250000 | &nbsp;&nbsp;&nbsp; Series 2020-1A, Class SUB, 0.000%, 2/20/2028<sup>4,5,6,10,13,14</sup>  |  |
| 2250000 | &nbsp;&nbsp;&nbsp; Series 2020-4A, Class SUB, 0.000%, 11/25/2028<sup>4,5,6,10,13,14</sup>  |  |
| 1250000 | &nbsp;&nbsp;&nbsp; Series 2021-1A, Class SUB, 0.000%, 4/20/2029<sup>5,6,10,13,14</sup>  |  |
| 2150000 | &nbsp;&nbsp;&nbsp; Series 2021-2A, Class SUB, 0.000%, 5/20/2029<sup>5,6,10,13,14</sup>  |  |
| 1500000 | &nbsp;&nbsp;&nbsp; Series 2021-3A, Class SUB, 0.000%, 7/20/2029<sup>5,6,10,13,14</sup>  | 6750 |
| 3100000 | &nbsp;&nbsp;&nbsp; Series 2021-4A, Class SUB, 0.000%, 10/15/2029<sup>5,6,10,13,14</sup>  | 51460 |
| 5235000 | &nbsp;&nbsp;&nbsp; Series 2022-1A, Class SUB, 0.000%, 4/15/2030<sup>5,6,10,13,14</sup>  | 59156 |
| 6000000 | &nbsp;&nbsp;&nbsp; Series 2022-2A, Class SUB, 0.000%, 10/15/2030<sup>5,6,10,13,14</sup>  | 451771 |
| 1250000 | &nbsp;&nbsp;&nbsp; Series 2022-5I, Class SUB, 0.000%, 1/15/2031<sup>4,5,6,10,13</sup>  |  |
| 6250000 | &nbsp;&nbsp;&nbsp; Series 2022-3A, Class SUB, 0.000%, 4/15/2031<sup>5,6,10,13,14</sup>  | 1970492 |
| 4675000 | &nbsp;&nbsp;&nbsp; Series 2023-1A, Class SUB, 11.500%, 7/20/2031<sup>5,6,10,13,14</sup>  |  |
| 8050000 | &nbsp;&nbsp;&nbsp; Series 2022-4A, Class SUB, 0.000%, 7/24/2031<sup>5,6,10,13,14</sup>  | 5019494 |
| 6600000 | &nbsp;&nbsp;&nbsp; Series 2023-2A, Class SUB, 10.000%, 1/25/2032<sup>5,6,10,13,14</sup>  | 4211948 |
| 16250000 | &nbsp;&nbsp;&nbsp; Series 2024-3A, Class SUB, 12.000%, 8/8/2032<sup>5,6,10,13,14</sup>  | 9951536 |
| 8000000 | &nbsp;&nbsp;&nbsp; Series 2024-1A, Class SUB, 10.000%, 10/15/2032<sup>5,6,10,13,14</sup>  | 4501403 |
| 17500000 | &nbsp;&nbsp;&nbsp; Series 2024-2A, Class SUB, 10.000%, 1/15/2033<sup>5,6,10,13,14</sup>  | 10638157 |
| 18800000 | &nbsp;&nbsp;&nbsp; Series 2025-1A, Class SUB, 10.000%, 2/15/2033<sup>5,6,10,13,14</sup>  | 12783325 |
| 17500000 | &nbsp;&nbsp;&nbsp; Series 2025-2A, Class SUB, 10.000%, 7/15/2033<sup>5,6,10,13,14</sup>  | 13601717 |
| 13200000 | &nbsp;&nbsp;&nbsp; Series 2025-3A, Class SUB, 9.569%, 1/15/2034<sup>5,6,10,13,14</sup>  | 13548939 |
| 13760000 | &nbsp;&nbsp;&nbsp; Series 2024-1A, Class SUB, 10.000%, 4/15/2037<sup>5,6,10,13,14</sup>  | 7838661 |
| 11000000 | &nbsp;&nbsp;&nbsp; Series 2024-2A, Class SUB, 10.000%, 7/20/2037<sup>5,6,10,13,14</sup>  | 6590566 |
| 6500000 | &nbsp;&nbsp;&nbsp; Series 2024-3A, Class SUB, 12.000%, 7/20/2037<sup>5,6,10,13,14</sup>  | 4319109 |
| 12750000 | &nbsp;&nbsp;&nbsp; Series 2023-4A, Class SUB, 10.000%, 10/20/2037<sup>5,6,10,13,14</sup>  | 10444879 |
| 14000000 | &nbsp;&nbsp;&nbsp; Series 2024-4A, Class SUB, 10.000%, 1/15/2038<sup>5,6,10,13,14</sup>  | 9940819 |
| 4000000 | &nbsp;&nbsp;&nbsp; Series 2023-1A, Class SUB, 0.000%, 1/20/2038<sup>5,6,10,13,14</sup>  | 3319291 |
| 11500000 | &nbsp;&nbsp;&nbsp; Series 2025-1A, Class SUB, 10.000%, 4/20/2038<sup>5,6,10,13,14</sup>  | 9651483 |
| 9500000 | &nbsp;&nbsp;&nbsp; Series 2023-2A, Class SUB, 10.000%, 7/20/2038<sup>5,6,10,13,14</sup>  | 5619291 |
| 8450000 | &nbsp;&nbsp;&nbsp; Series 2025-2A, Class SUB, 10.000%, 7/20/2038<sup>5,6,10,13,14</sup>  | 6288580 |
| 11800000 | &nbsp;&nbsp;&nbsp; Series 2025-3A, Class SUB, 11.500%, 7/20/2038<sup>5,6,10,13,14</sup>  | 10687301 |
| 10750000 | &nbsp;&nbsp;&nbsp; Series 2025-4A, Class SUB, 12.922%, 10/20/2038<sup>5,6,10,13,14</sup>  | 10416076 |
| 14260000 | &nbsp;&nbsp;&nbsp; Series 2025-5A, Class SUB, 11.262%, 10/20/2038<sup>5,6,10,13,14</sup>  | 13817462 |
| 8000000 | &nbsp;&nbsp;&nbsp; Series 2023-3A, Class SUB, 10.000%, 1/20/2039<sup>5,6,10,13,14</sup>  | 6513112 |
| 12587500 | &nbsp;&nbsp;&nbsp; Series 2026-1A, Class SUB, 10.744%, 4/20/2039<sup>4,5,6,9,10,13,14</sup>  | 12698470 |
|  | Post CLO Ltd. |  |
| 650000 | &nbsp;&nbsp;&nbsp; Series 2021-1A, Class DR, 6.672% (3-Month Term SOFR+300 basis points), 10/15/2034<sup>3,5,6,14</sup>  | 642526 |
| 1000000 | &nbsp;&nbsp;&nbsp; Series 2024-1A, Class E, 10.468% (3-Month Term SOFR+680 basis points), 4/20/2037<sup>3,5,6,14</sup>  | 984082 |

---

------

[**TABLE OF CONTENTS**](#TOC)

---

| | | |
|:---|:---|:---|
| **Principal <br> Amount ($)**  | | **Value**  |
|  | **COLLATERALIZED LOAN OBLIGATIONS (Continued)**  | **COLLATERALIZED LOAN OBLIGATIONS (Continued)**  |
| 750000 | &nbsp;&nbsp;&nbsp; Series 2023-1A, Class BR, 5.368% (3-Month Term SOFR+170 basis points), 10/20/2038<sup>3,5,6,14</sup>  | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;750457 |
| 1000000 | &nbsp;&nbsp;&nbsp; Series 2023-1A, Class D1R, 6.518% (3-Month Term SOFR+285 basis points), 10/20/2038<sup>3,5,6,14</sup>  | 995127 |
| 375000 | &nbsp;&nbsp;&nbsp; Series 2023-1A, Class D2R, 7.618% (3-Month Term SOFR+395 basis points), 10/20/2038<sup>3,5,6,14</sup>  | 370850 |
| 750000 | &nbsp;&nbsp;&nbsp; Series 2025-1A, Class E, 9.110% (3-Month Term SOFR+540 basis points), 1/20/2039<sup>3,5,6,14</sup>  | 740596 |
| 500000 | Rad CLO Ltd. <br> Series 2020-9A, Class ER, 9.422% (3-Month Term SOFR+575 basis points), 1/15/2038<sup>3,5,6,14</sup>  | 463700 |
|  | Regatta Funding Ltd. |  |
| 1000000 | &nbsp;&nbsp;&nbsp; Series 2017-1A, Class D1R, 7.368% (3-Month Term SOFR+370 basis points), 4/17/2037<sup>3,5,6,14</sup>  | 993801 |
| 1000000 | &nbsp;&nbsp;&nbsp; Series 2021-3A, Class D1R, 6.772% (3-Month Term SOFR+310 basis points), 10/15/2037<sup>3,5,6,14</sup>  | 993009 |
| 1000000 | &nbsp;&nbsp;&nbsp; Series 2023-2A, Class D1R, 6.268% (3-Month Term SOFR+260 basis points), 1/25/2039<sup>3,5,6,14</sup>  | 980879 |
| 1000000 | &nbsp;&nbsp;&nbsp; Series 2019-2A, Class D1R2, 6.300% (3-Month Term SOFR+265 <br> basis points), 4/15/2039<sup>3,5,6,14</sup>  | 983515 |
| 1000000 | &nbsp;&nbsp;&nbsp; Series 2019-2A, Class ER2, 9.300% (3-Month Term SOFR+565 basis points), 4/15/2039<sup>3,5,6,14</sup>  | 948773 |
| 1500000 | Riserva CLO Ltd. <br> Series 2016-3A, Class DRR, 7.179% (3-Month Term SOFR+351 <br> basis points), 1/18/2034<sup>3,5,6,14</sup>  | 1442764 |
|  | Sculptor CLO Ltd. |  |
| 500000 | &nbsp;&nbsp;&nbsp; Series 30A, Class ER, 10.488% (3-Month Term SOFR+682 basis <br> points), 7/20/2038<sup>3,5,6,14</sup>  | 477035 |
| 1000000 | &nbsp;&nbsp;&nbsp; Series 29A, Class D1R, 7.069% (3-Month Term SOFR+340 basis <br> points), 7/22/2038<sup>3,5,6,14</sup>  | 991312 |
| 1000000 | &nbsp;&nbsp;&nbsp; Series 29A, Class D2R, 8.019% (3-Month Term SOFR+435 basis <br> points), 7/22/2038<sup>3,5,6,14</sup>  | 976551 |
| 1000000 | Silver Point CLO Ltd. <br> Series 2023-2A, Class D1R, 6.818% (3-Month Term SOFR+315 basis points), 4/20/2038<sup>3,5,6,14</sup>  | 986636 |
| 2325000 | Sixth Street CLO Ltd. <br> Series 2023-22A, Class D1R, 6.320% (3-Month Term SOFR+265 <br> basis points), 4/21/2038<sup>3,5,6,14</sup>  | 2291459 |
|  | Trestles CLO Ltd. |  |
| 1250000 | &nbsp;&nbsp;&nbsp; Series 2025-8A, Class D1, 6.668% (3-Month Term SOFR+300 basis points), 6/11/2035<sup>3,5,6,14</sup>  | 1250052 |
| 1500000 | &nbsp;&nbsp;&nbsp; Series 2023-6A, Class A1R, 4.848% (3-Month Term SOFR+118 basis points), 4/25/2038<sup>3,5,6,14</sup>  | 1497510 |

---

------

[**TABLE OF CONTENTS**](#TOC)

---

| | | | |
|:---|:---|:---|:---|
| **Principal <br> Amount ($)**  | | **Value**  | **Value**  |
|  | **COLLATERALIZED LOAN OBLIGATIONS (Continued)**  | **COLLATERALIZED LOAN OBLIGATIONS (Continued)**  | **COLLATERALIZED LOAN OBLIGATIONS (Continued)**  |
|  | Trinitas CLO Ltd. |  |  |
| 497000 | &nbsp;&nbsp;&nbsp; Series 2021-15A, Class E, 11.381% (3-Month Term SOFR+771 basis points), 4/22/2034<sup>3,5,6,14</sup>  | $| 438603 |
| 1500000 | &nbsp;&nbsp;&nbsp; Series 2025-34A, Class D1, 7.669% (3-Month Term SOFR+400 basis points), 4/22/2038<sup>3,5,6,14</sup>  |  | 1498382 |
| 750000 | &nbsp;&nbsp;&nbsp; Series 2025-34A, Class E, 10.829% (3-Month Term SOFR+716 basis points), 4/22/2038<sup>3,5,6,14</sup>  |  | 722974 |
| 468119 | Venture CLO Ltd. <br> Series 2019-38A, Class ARR, 4.667% (3-Month Term SOFR+100 <br> basis points), 7/30/2032<sup>3,5,6,14</sup>  |  | 468676 |
| 1000000 | Verdelite Static CLO Ltd. <br> Series 2024-1A, Class D, 6.518% (3-Month Term SOFR+285 basis points), 7/20/2032<sup>3,5,6,14</sup>  |  | 1003374 |
| 1250500 | Voya CLO Ltd. <br> Series 2019-2A, Class D, 7.629% (3-Month Term SOFR+396 basis points), 7/20/2032<sup>3,5,6,14</sup>  |  | 1240919 |
| 600000 | Wellington Management CLO Ltd. <br> Series 2023-1A, Class D2R, 7.668% (3-Month Term SOFR+400 basis points), 10/20/2038<sup>3,5,6,14</sup>  |  | 591490 |
| 1000000 | Whitebox CLO Ltd. <br> Series 2023-4A, Class D1R, 7.568% (3-Month Term SOFR+390 basis points), 4/20/2036<sup>3,5,6,14</sup>  |  | 999930 |
|  | **TOTAL COLLATERALIZED LOAN OBLIGATIONS** <br> (Cost $589,973,948)  |  | **524537783** |
|  | **COLLATERALIZED MORTGAGE OBLIGATIONS – 0.0%** |  |  |
| 246470 | CHL Mortgage Pass-Through Trust <br> Series 2004-29, Class 1X, 0.617%, 2/25/2035<sup>5,10,15</sup>  |  | 2 |
|  | **TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS <br> (Cost $0)**  |  | **2** |
| **Number <br> of Shares**  |  |  |  |
|  | **COMMON STOCKS – 2.2%** |  |  |
|  | **CONSUMER STAPLES – 0.1%** |  |  |
| 32455 | CN Healthy Food Tech Group Corp.\* |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;178827 |
| 23798 | Misfits Market, Inc.<sup>4</sup> |  | 736310 |
| 2000000 | Progress Lighting, LLC<sup>4,16</sup> |  | 1233292 |
|  |  |  | **2148429** |
|  | **FINANCIALS – 1.1%** | **FINANCIALS – 1.1%** | **FINANCIALS – 1.1%** |
| 50000 | AA Mission Acquisition Corp. II – Class A\* |  | 501500 |
| 110 | AIP Capital, LLC<sup>4,16</sup> |  | 44982 |
| 188986 | Airwallex ESOP Ltd.<sup>4</sup> |  | 4025402 |
| 62866 | Apex Treasury Corp. – Class A\* |  | 628031 |

---

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[**TABLE OF CONTENTS**](#TOC)

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| | | |
|:---|:---|:---|
| **Number <br> of Shares**  | | **Value**  |
|  | **COMMON STOCKS (Continued)** |  |
|  | **FINANCIALS (Continued)** |  |
| 22500 | Artius II Acquisition, Inc. – Class A\* | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;232425 |
| 50000 | Blue Water Acquisition Corp. – Class A\* | 514500 |
| 50000 | BTC Development Corp. – Class A\* | 499500 |
| 31500 | Cayson Acquisition Corp.\* | 346500 |
| 33486 | Centurion Acquisition Corp. – Class A\* | 360812 |
| 35000 | Charlton Aria Acquisition Corp. – Class A\* | 369950 |
| 100000 | Chenghe Acquisition III Co. – Class A\*<sup>,6</sup> | 1008500 |
| 21424 | CO2 Energy Transition Corp.\* | 222167 |
| 100000 | CSLM Digital Asset Acquisition Corp. III Ltd. – Class A\* | 1004000 |
| 45000 | Fifth Era Acquisition Corp. I – Class A\*<sup>,6</sup> | 463050 |
| 35000 | Future Vision II Acquisition Corp.\*<sup>,6</sup> | 376950 |
| 45000 | Gesher Acquisition Corp. II – Class A\* | 466200 |
| 100000 | GigCapital8 Corp. – Class A\* | 997000 |
| 25000 | Graf Global Corp. – Class A\* | 267750 |
| 99995 | GSR IV Acquisition Corp. – Class A\* | 1002950 |
| 100000 | Hall Chadwick Acquisition Corp.\*<sup>,6</sup> | 993000 |
| 20342 | Haymaker Acquisition Corp. 4 | 233119 |
| 44442 | HCM III Acquisition Corp. – Class A\* | 448864 |
| 18750 | Inflection Point Acquisition Corp. V\* | 195000 |
| 75000 | Invest Green Acquisition Corp. – Class A\* | 745500 |
| 1748 | Kairous Acquisition Corp. Ltd.\*<sup>,6</sup> | 37 |
| 100000 | LaFayette Acquisition Corp.\*<sup>,6</sup> | 996000 |
| 20000 | Launch One Acquisition Corp. – Class A\* | 213600 |
| 100000 | M Evo Global Acquisition Corp. II – Class A\* | 984000 |
| 99999 | M3-Brigade Acquisition VI Corp. – Class A\* | 1004990 |
| 100000 | McKinley Acquisition Corp. – Class A\* | 1006000 |
| 29900 | Melar Acquisition Corp. I – Class A\* | 322621 |
| 40000 | Mountain Lake Acquisition Corp. – Class A\* | 421200 |
| 20000 | Newbury Street II Acquisition Corp. – Class A\* | 210200 |
| 45000 | NewHold Investment Corp. II – Class A\* | 467550 |
| 36000 | Pantages Capital Acquisition Corp.\* | 377280 |
| 5 | Phoenix Aviation Capital, LLC<sup>4,16</sup> | 313278 |
| 32611 | Plum Acquisition Corp. IV – Class A\* | 344372 |
| 100000 | Quantumsphere Acquisition Corp.\* | 1012000 |
| 45000 | Quartzsea Acquisition Corp.\* | 467100 |
| 35536 | Range Capital Acquisition Corp.\* | 373839 |
| 100000 | Range Capital Acquisition Corp. II\* | 1000000 |

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[**TABLE OF CONTENTS**](#TOC)

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| | | |
|:---|:---|:---|
| **Number <br> of Shares**  | | **Value**  |
|  | **COMMON STOCKS (Continued)** |  |
|  | **FINANCIALS (Continued)** |  |
| 35000 | Rising Dragon Acquisition Corp.<sup>6</sup> | $&nbsp;&nbsp;&nbsp;&nbsp;365400 |
| 11144 | Rithm Acquisition Corp. – Class A\* | 115898 |
| 18884 | SC II Acquisition Corp. – Class A\* | 188462 |
| 66666 | Silver Pegasus Acquisition Corp. – Class A\* | 677993 |
| 19998 | Silverbox Corp. IV – Class A\* | 213979 |
| 45000 | Sizzle Acquisition Corp. II\* | 461700 |
| 100000 | Solarius Capital Acquisition Corp. – Class A\* | 1018000 |
| 21404 | Spring Valley Acquisition Corp. III – Class A\* | 217465 |
| 50000 | Starry Sea Acquisition Corp.\* | 507500 |
| 25000 | Stellar V Capital Corp. – Class A\* | 261750 |
| 99000 | StoneBridge Acquisition Corp. – Class A\* | 994950 |
| 26253 | Tavia Acquisition Corp.\*<sup>,6</sup> | 277494 |
| 18000 | Thayer Ventures Acquisition Corp. II\* | 184140 |
| 99999 | Trailblazer Acquisition Corp. – Class A\* | 1004990 |
| 40000 | Translational Development Acquisition Corp. – Class A\* | 422400 |
| 28125 | UY Scuti Acquisition Corp.\* | 293062 |
| 75000 | Viking Acquisition Corp. I – Class A\* | 744750 |
| 35000 | Vine Hill Capital Investment Corp. | 373800 |
| 65000 | Voyager Acquisition Corp. | 696150 |
| 35000 | YHN Acquisition I Ltd.\*<sup>,6</sup> | 375550 |
|  |  | **34857152** |
|  | **HEALTH CARE – 0.0%** |  |
| —<sup>17</sup> | Nephron Pharmaceuticals Corp.\*<sup>,4,16</sup> | **1118539** |
|  | **INDUSTRIALS – 0.0%** |  |
| 18000 | Merlin, Inc.\* | **132300** |
|  | **TECHNOLOGY – 1.0%** |  |
| 31979 | Epic Games, Inc.<sup>4</sup> | 14302608 |
| 303030 | Mercury Technologies, Inc.<sup>4,9</sup> | 3093936 |
| 43669 | Olinda SAS<sup>4</sup> | 6774449 |
| 786 | Raisin SE<sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;6466658 |
| 24155 | Workrise Technologies, Inc.<sup>4</sup> | 2259217 |
| 1479 | Xanadu Quantum Technologies Ltd. – Class B\*<sup>,6</sup> | 11329 |
|  |  | **32908197** |
|  | **TOTAL COMMON STOCKS <br> (Cost $73,890,817)**  | **71164617** |

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[**TABLE OF CONTENTS**](#TOC)

---

| | | |
|:---|:---|:---|
| **Principal <br> Amount ($)**  | | **Value**  |
|  | **CORPORATE BONDS – 0.6%** | **CORPORATE BONDS – 0.6%** |
|  | **FINANCIALS – 0.6%** |  |
| 2500000 | Barings BDC, Inc. <br> 7.000%, 2/15/2029<sup>5</sup>  | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2521490 |
| 2000000 | BlackRock TCP Capital Corp. <br> 6.950%, 5/30/2029<sup>5</sup>  | 1963956 |
| 1000000 | Blue Owl Capital Corp. II <br> 8.450%, 11/15/2026<sup>5</sup>  | 1013102 |
| 2000000 | Blue Owl Technology Finance Corp. <br> 6.100%, 3/15/2028<sup>5</sup>  | 1977472 |
| 2000000 | Franklin BSP Capital Corp. <br> 7.200%, 6/15/2029<sup>5</sup>  | 2012628 |
| 2000000 | Golub Capital Private Credit Fund <br> 5.800%, 9/12/2029<sup>5</sup>  | 1972292 |
| 605000 | MidCap Financial Investment Corp. <br> 4.500%, 7/16/2026<sup>5</sup>  | 599456 |
| 2000000 | New Mountain Finance Corp. <br> 6.875%, 2/1/2029<sup>5</sup>  | 1995156 |
| 4189000 | PennantPark Investment Corp. <br> 4.000%, 11/1/2026<sup>5</sup>  | 4113129 |
| 1000000 | Trinity Capital, Inc. <br> 4.375%, 8/24/2026<sup>5</sup>  | 987314 |
|  |  | **19155995** |
|  | **TOTAL CORPORATE BONDS <br> (Cost $19,206,062)**  | **19155995** |

---

---

| | | |
|:---|:---|:---|
| **Number <br> of Shares**  | | |
|  | **MUTUAL FUNDS – 1.1%** |  |
| 2661585 | Glenmede Secured Options Portfolio – Class Institutional<sup>13</sup> | &nbsp;&nbsp;&nbsp;&nbsp;37262193 |
|  | **TOTAL MUTUAL FUNDS** <br> (Cost $37,496,741)  | **37262193** |
|  | **PREFERRED STOCKS – 2.1%** |  |
|  | **CONSUMER NON-CYCLICAL – 0.3%** |  |
| 186058 | SF Hawkers, LLC <br> 0.000%<sup>4,16,18</sup>  | **8295754** |
|  | **CONSUMER STAPLES – 0.1%** |  |
| 83287 | Misfits Market, Inc. <br> Series A-1, 0.000%<sup>4,18</sup>  | **2636033** |
|  | **FINANCIALS – 1.1%** |  |
|  | Airwallex (Cayman) Limited |  |
| 160000 | &nbsp;&nbsp;&nbsp; Series A, 0.000%<sup>4,18</sup>  | 3408000 |
| 282196 | &nbsp;&nbsp;&nbsp; Series B2, 0.000%<sup>4,18</sup>  | 6010775 |
| 143991 | &nbsp;&nbsp;&nbsp; Series E, 0.000%<sup>4,18</sup>  | 3067008 |
| 100000 | Crescent Capital BDC, Inc. <br> 5.000%, 5/25/2026<sup>5</sup>  | 2492000 |

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[**TABLE OF CONTENTS**](#TOC)

---

| | | |
|:---|:---|:---|
| **Number <br> of Shares**  | | **Value**  |
|  | **PREFERRED STOCKS (Continued)** |  |
|  | **FINANCIALS (Continued)** |  |
| 131854 | MidCap Financial Investment Corp. <br> 8.000%, 12/15/2028<sup>5</sup>  | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3316128 |
| 20000 | New Mountain Finance Corp. <br> 8.250%, 11/15/2028<sup>5</sup>  | 507400 |
| 1575 | Phoenix Aviation Capital, LLC <br> 0.000%<sup>4,16,18</sup>  | 1387977 |
|  | Ramp Business Corp. |  |
| 89839 | &nbsp;&nbsp;&nbsp; Series A-2, 0.000%<sup>4,18</sup>  | 8085510 |
| 59684 | &nbsp;&nbsp;&nbsp; Series C-3, 0.000%<sup>4,18</sup>  | 5371560 |
| 351202 | Tilt Finance, Inc. <br> Series C, 0.000%<sup>4,18</sup>  | 3462852 |
|  |  | **37109210** |
|  | **TECHNOLOGY – 0.6%** |  |
| 699060 | Mercury Technologies, Inc. <br> 0.000%<sup>4,9,18</sup>  | 7142296 |
| 34165 | Olinda SAS <br> Series D, 0.000%<sup>4,18</sup>  | 5405510 |
| 1171875 | Route App, Inc. <br> Series A1, 0.000%<sup>4,18</sup>  | 2707031 |
|  | Workrise Technologies, Inc. |  |
| 4873 | &nbsp;&nbsp;&nbsp; Series A, 0.000%<sup>4,18</sup>  | 465859 |
| 10200 | &nbsp;&nbsp;&nbsp; Series B, 0.000%<sup>4,18</sup>  | 990624 |
| 20468 | &nbsp;&nbsp;&nbsp; Series C, 0.000%<sup>4,18</sup>  | 2293644 |
| 6198 | &nbsp;&nbsp;&nbsp; Series D, 0.000%<sup>4,18</sup>  | 826751 |
|  |  | **19831715** |
|  | **TOTAL PREFERRED STOCKS** <br> (Cost $60,379,922)  | **67872712** |
|  | **PRIVATE INVESTMENT VEHICLES – 38.4%** |  |
|  | **INVESTMENT PARTNERSHIPS – 31.2%** |  |
| N/A<sup>17</sup> | 1250 NW Swigert Way, LLC<sup>16</sup> | 31110945 |
| N/A<sup>17</sup> | 137 Direct Fund LP, LLC<sup>12</sup> | 33567934 |
| N/A<sup>17</sup> | 137 Holdings AP, LLC<sup>12</sup> | 2781243 |
| N/A<sup>17</sup> | 137 Holdings GI, LLC<sup>12</sup> | 9540171 |
| N/A<sup>17</sup> | 137 Holdings MA, LLC<sup>12</sup> | 2770830 |
| N/A<sup>17</sup> | 137 Holdings MS, LLC<sup>12</sup> | 2897109 |
| N/A<sup>17</sup> | 137 Holdings MS, LLC<sup>12</sup> | 20435831 |
| N/A<sup>17</sup> | 137 Holdings RBC II, LLC<sup>12</sup> | 8508974 |
| N/A<sup>17</sup> | 137 Holdings RBC, LLC<sup>12</sup> | 7437643 |

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[**TABLE OF CONTENTS**](#TOC)

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| | | |
|:---|:---|:---|
| **Number <br> of Shares**  | | **Value**  |
|  | **PRIVATE INVESTMENT VEHICLES (Continued)** |  |
|  | **INVESTMENT PARTNERSHIPS (Continued)** |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; N/A<sup>17</sup> | 137 Ventures VI LP<sup>12</sup> | $&nbsp;&nbsp;&nbsp;&nbsp;22566413 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; N/A<sup>17</sup> | 137 Ventures VII LP<sup>12</sup> | 21233178 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; N/A<sup>17</sup> | 225 Broadway RTL LLC<sup>4</sup> | 26097500 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; N/A<sup>17</sup> | Acer Tree Credit Opportunities Partners LP<sup>4</sup> | 24919210 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; N/A<sup>17</sup> | APD BEAC Equity Blocker LP<sup>4</sup> | 30000 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; N/A<sup>17</sup> | APD SSC Equity LP<sup>4</sup> | 581958 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; N/A<sup>17</sup> | Arbour Lane Credit Opportunity Fund IV LP<sup>12</sup> | 17274142 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; N/A<sup>17</sup> | Arlington Capital Partners VI LP<sup>12</sup> | 3116692 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; N/A<sup>17</sup> | Atlas Enhanced Fund LP<sup>4</sup> | 41407443 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; N/A<sup>17</sup> | Blue Owl Real Estate Net Lease Property Fund LP<sup>12</sup> | 92889880 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; N/A<sup>17</sup> | Blue Torch Offshore Credit Opp Fund IV LP<sup>12</sup> | 3750000 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; N/A<sup>17</sup> | Cartenna Partners LP<sup>4</sup> | 11386537 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; N/A<sup>17</sup> | Core Spaces Fund IV LP<sup>12</sup> | 9742232 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; N/A<sup>17</sup> | Dorsal Capital Partners LP<sup>4</sup> | 10946373 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; N/A<sup>17</sup> | DSC Meridian Credit Opportunities Onshore Fund LP<sup>4</sup> | 40145092 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; N/A<sup>17</sup> | FCP Fund VI Avondale Co-Investment LP<sup>12,16</sup> | 19753946 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; N/A<sup>17</sup> | FCP Fund VI DWG Co-Investment LP<sup>12,16</sup> | 24530180 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; N/A<sup>17</sup> | FCP Realty Fund VI-A LP<sup>12</sup> | 8682122 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; N/A<sup>17</sup> | GHO Capital IV LP<sup>12</sup> | 1970859 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; N/A<sup>17</sup> | GPS IV LP<sup>12</sup> | 814293 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; N/A<sup>17</sup> | Hedosophia Investments VI G LP<sup>12</sup> | 3030329 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; N/A<sup>17</sup> | Hedosophia Investments VI H LP<sup>12</sup> | 1262485 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; N/A<sup>17</sup> | Hedosophia Investments VI I LP<sup>12</sup> | 1270271 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; N/A<sup>17</sup> | Hedosophia Investments VI J LP<sup>12</sup> | 1377255 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; N/A<sup>17</sup> | Hedosophia Investments VI K LP<sup>12</sup> | 4016896 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; N/A<sup>17</sup> | Hedosophia Investments VI O LP<sup>12</sup> | 1509577 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; N/A<sup>17</sup> | Hedosophia Investments VI P LP<sup>12</sup> | 3022500 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; N/A<sup>17</sup> | Hedosophia Investments VI N LP<sup>12</sup> | 3523678 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; N/A<sup>17</sup> | Hedosophia Investors VI E LP<sup>12</sup> | 5897308 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; N/A<sup>17</sup> | Hedosophia Partners VI LP<sup>12</sup> | 10644896 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; N/A<sup>17</sup> | Hedosophia SP A LP<sup>12</sup> | 2313314 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; N/A<sup>17</sup> | Hedosophia SP B LP<sup>12</sup> | 5871168 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; N/A<sup>17</sup> | Hillpointe Workforce Housing Partners V LP<sup>12,16</sup> | 26221589 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; N/A<sup>17</sup> | HS Investments NA18 LP<sup>12</sup> | 7143678 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; N/A<sup>17</sup> | HS Investments V F LP<sup>12</sup> | 355032 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; N/A<sup>17</sup> | HS Investments VI A LP<sup>12</sup> | 17794654 |

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[**TABLE OF CONTENTS**](#TOC)

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| | | |
|:---|:---|:---|
| **Number <br> of Shares**  | | **Value**  |
|  | **PRIVATE INVESTMENT VEHICLES (Continued)** |  |
|  | **INVESTMENT PARTNERSHIPS (Continued)** |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; N/A<sup>17</sup> | HS Investments VI B LP<sup>12</sup> | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4034227 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; N/A<sup>17</sup> | Hudson Bay Fund LP<sup>4</sup> | 320536 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; N/A<sup>17</sup> | Kern River Capital, LLC<sup>12</sup> | 865786 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; N/A<sup>17</sup> | KQ Partners Fund LP<sup>12</sup> | 11012694 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; N/A<sup>17</sup> | Linden Investors LP<sup>4</sup> | 35811645 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; N/A<sup>17</sup> | MCTC Investment Hold Delaware, LLC – Class H<sup>12</sup> | 5000000 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; N/A<sup>17</sup> | Nuveen Real Estate U.S. Cities Industrial Fund LP<sup>4</sup> | 6236409 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; N/A<sup>17</sup> | Nuveen Real Estate U.S. Cities Multifamily Fund LP<sup>4</sup> | 4683339 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; N/A<sup>17</sup> | Old Orchard Credit Fund LP<sup>4</sup> | 21365495 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; N/A<sup>17</sup> | Point72 Capital LP<sup>4</sup> | 35996845 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; N/A<sup>17</sup> | Prana Absolute Return Fund LP – Class D<sup>4</sup> | 18614092 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; N/A<sup>17</sup> | Proterra Credit Fund 3 LP<sup>12</sup> | 3188761 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; N/A<sup>17</sup> | Quiet EE LP<sup>12</sup> | 2032500 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; N/A<sup>17</sup> | Quiet OA Access LP<sup>12</sup> | 7259795 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; N/A<sup>17</sup> | Quiet Select Fund – Class B<sup>12</sup> | 2057680 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; N/A<sup>17</sup> | Quiet Select Fund – Class C<sup>12</sup> | 3335245 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; N/A<sup>17</sup> | Quiet Select Fund – Class D<sup>12</sup> | 1500905 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; N/A<sup>17</sup> | Quiet Select Fund – Class E<sup>12</sup> | 2003174 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; N/A<sup>17</sup> | Quiet Select Fund – Class F<sup>12</sup> | 3263678 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; N/A<sup>17</sup> | Quiet Select Fund III – Class I<sup>12</sup> | 1727138 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; N/A<sup>17</sup> | Quiet T1 LP – Class A<sup>12</sup> | 9435835 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; N/A<sup>17</sup> | Quiet T1 LP – Class B<sup>12</sup> | 2125952 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; N/A<sup>17</sup> | Quiet T1 LP – Class C<sup>12</sup> | 1914558 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; N/A<sup>17</sup> | Quiet Venture I LP<sup>12</sup> | 7969003 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; N/A<sup>17</sup> | Quiet Venture III LP<sup>12</sup> | 20041301 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; N/A<sup>17</sup> | RA Capital Healthcare Fund LP<sup>4</sup> | 11785196 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; N/A<sup>17</sup> | RA Capital Nexus Fund IV LP<sup>12</sup> | 1875000 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; N/A<sup>17</sup> | RiverNorth Capital Partners LP<sup>4,13</sup> | 19845355 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; N/A<sup>17</sup> | Sachem Head LP<sup>4</sup> | 10948663 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; N/A<sup>17</sup> | Sapphire Venture VII LP<sup>12</sup> | 4138507 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; N/A<sup>17</sup> | Savory Fund III Blocked LP<sup>12</sup> | 4124272 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; N/A<sup>17</sup> | Schonfeld Strategic Partners Fund, LLC<sup>4</sup> | 41470940 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; N/A<sup>17</sup> | Seer Capital Partners Fund LP<sup>12</sup> | 44816 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; N/A<sup>17</sup> | Seer Capital Regulatory Capital Relief Fund LP<sup>12</sup> | 7271595 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; N/A<sup>17</sup> | Sofinnova Bioequities LP<sup>4</sup> | 11327020 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; N/A<sup>17</sup> | TCW Rescue Financing II LP<sup>12</sup> | 8441111 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; N/A<sup>17</sup> | TPG Tech Adjacencies II Vega LP<sup>12</sup> | 2174729 |

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[**TABLE OF CONTENTS**](#TOC)

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| | | | |
|:---|:---|:---|:---|
| **Number <br> of Shares**  | | **Value**  | **Value**  |
|  | **PRIVATE INVESTMENT VEHICLES (Continued)** |  |  |
|  | **INVESTMENT PARTNERSHIPS (Continued)** |  |  |
| N/A<sup>17</sup> | TPG Tech Adjacencies II Vital CI LP<sup>12</sup> | $| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2660503 |
| N/A<sup>17</sup> | Ufenau VI German Asset Lite, SLP |  | 6816234 |
| N/A<sup>17</sup> | Ufenau VI Overflow, SLP |  | 525533 |
| N/A<sup>17</sup> | US Industrial Club VII, LP<sup>12</sup> |  | 6299135 |
| N/A<sup>17</sup> | Walleye Opportunities Fund LP<sup>4</sup> |  | 55831417 |
| N/A<sup>17</sup> | WH Strategic Opportunities Fund X LP<sup>12</sup> |  | 714000 |
| N/A<sup>17</sup> | Whitehawk IV-Plus Onshore Fund LP<sup>12</sup> |  | 5693766 |
|  |  |  | **1009927745** |
|  | **NON-LISTED BUSINESS DEVELOPMENT COMPANIES – 3.4%** | **NON-LISTED BUSINESS DEVELOPMENT COMPANIES – 3.4%** | **NON-LISTED BUSINESS DEVELOPMENT COMPANIES – 3.4%** |
| 2039414 | Audax Private Credit Fund, LLC<sup>12,13</sup> |  | 50464249 |
| 567120 | BC Partners Lending Corp.<sup>12,13</sup> |  | 10939738 |
| 795000 | TCW Direct Lending VIII, LLC<sup>12,13</sup> |  | 49527422 |
|  |  |  | **110931409** |
| **Principal <br> Amount ($)**  |  |  |  |
|  | **PRIVATE COLLATERALIZED LOAN OBLIGATIONS – 3.8%** | **PRIVATE COLLATERALIZED LOAN OBLIGATIONS – 3.8%** | **PRIVATE COLLATERALIZED LOAN OBLIGATIONS – 3.8%** |
| 7000000 | Antares Loan Funding I Ltd. <br> 2/17/2032<sup>12</sup>  |  | 8048396 |
| 22284058 | Fortress Credit Opportunities CLO, LLC <br> Series XXVII, 1/28/2035<sup>4</sup>  |  | 26335299 |
| 4840200 | GPG Loan Funding, LLC <br> 4/29/2034<sup>4</sup>  |  | 5105723 |
| 13500000 | KCLF Note Issuer I SPV, LLC <br> 12/28/2033<sup>12</sup>  |  | 14003252 |
| 30629469 | MCF CLO 12, LLC <br> 2/24/2028<sup>4</sup>  |  | 35251456 |
| 16207550 | NXT Capital CLO, LLC <br> Series 2026-1, 6/24/2028<sup>4</sup>  |  | 18076281 |
| 7627699 | Private Credit Fund C-1 Holdco, LLC <br> Series 2023-1, 7/11/2033<sup>12</sup>  |  | 7903363 |
| 8665292 | Silver Point Loan Funding, LLC <br> 10/20/2033<sup>12</sup>  |  | 9756302 |
|  |  |  | **124480072** |
|  | **TOTAL PRIVATE INVESTMENT VEHICLES** <br> (Cost $1,085,593,713)  |  | **1245339227** |
| **Number <br> of Shares**  |  |  |  |
|  | **REAL ESTATE INVESTMENT TRUSTS – 7.0%** |  |  |
| 2392449 | Bailard Real Estate Investment Trust, Inc.<sup>12</sup> |  | 74620496 |
| 8959658 | CIRE Real Estate Investment Trust, Inc.<sup>12</sup> |  | 99602387 |

---

------

[**TABLE OF CONTENTS**](#TOC)

---

| | | |
|:---|:---|:---|
| **Number <br> of Shares**  | | **Value**  |
|  | **REAL ESTATE INVESTMENT TRUSTS (Continued)** |  |
| 1992811 | Invesco Real Estate Income Trust, Inc. – Class I<sup>4,13</sup> | $&nbsp;&nbsp;&nbsp;&nbsp;52066974 |
|  | **TOTAL REAL ESTATE INVESTMENT TRUSTS** <br> (Cost $212,920,656)  | **226289857** |
|  | **RIGHTS – 0.0%** |  |
| 50000 | A Paradise Acquisition Corp., Expiration Date: September 10, 2026\*<sup>,6</sup>  | 22590 |
| 481 | Abiomed, Inc., Expiration Date: December 30, 2029\*<sup>,4</sup> | 491 |
| 39796 | Aimei Health Technology Co., Ltd., Expiration Date: September 26, <br> 2026\*  | 12775 |
| 1132 | Alpha Star Acquisition Corp., Expiration Date: August 14, 2026\* | 46 |
| 19429 | Alphatime Acquisition Corp., Expiration Date: April 14, 2026\* | 3692 |
| 19609 | Aquaron Acquisition Corp., Expiration Date: August 14, 2026\* | 3530 |
| 22500 | Artius II Acquisition, Inc., Expiration Date: August 12, 2026\* | 6129 |
| 26811 | Bayview Acquisition Corp.\* | 4496 |
| 25204 | Black Hawk Acquisition Corp., Expiration Date: August 5, 2026\* | 32765 |
| 9200 | Bowen Acquisition Corp., Expiration Date: November 26, 2026\* | 2212 |
| 31500 | Cayson Acquisition Corp.\* | 5141 |
| 35000 | Charlton Aria Acquisition Corp., Expiration Date: May 27, 2026\* | 4903 |
| 21424 | CO2 Energy Transition Corp., Expiration Date: May 12, 2026\* | 3642 |
| 40000 | Columbus Acquisition Corp., Expiration Date: September 18, 2026\*<sup>,6</sup>  | 14400 |
| 100000 | Drugs Made In America Acquisition II Corp., Expiration Date: September 16, 2030\*  | 8000 |
| 160000 | DT Cloud Acquisition Corp., Expiration Date: April 23, 2026\*<sup>,6</sup> | 36800 |
| 35000 | DT Cloud Star Acquisition Corp., Expiration Date: September 13, 2026\*  | 4900 |
| 23028 | ESH Acquisition Corp., Expiration Date: April 1, 2026\* | 2305 |
| 15490 | Eureka Acquisition Corp.\*<sup>,6</sup> | 6506 |
| 45000 | Fifth Era Acquisition Corp. I\*<sup>,6</sup> | 12654 |
| 29513 | Flag Ship Acquisition Corp.\* | 3249 |
| 35000 | Future Vision II Acquisition Corp., Expiration Date: September 12, 2026\*<sup>,6</sup>  | 3972 |
| 100000 | GigCapital8 Corp., Expiration Date: December 30, 2099\* | 25020 |
| 23908 | Goldenstone Acquisition Ltd., Expiration Date: August 12, 2026\* | 2202 |
| 14285 | GSR IV Acquisition Corp., Expiration Date: August 22, 2030\* | 27427 |
| 100000 | Hall Chadwick Acquisition Corp., Expiration Date: November 20, 2030\*<sup>,6</sup>  | 22010 |
| 19947 | Horizon Space Acquisition I Corp., Expiration Date: September 13, <br> 2026\*  | 798 |

---

------

[**TABLE OF CONTENTS**](#TOC)

---

| | | |
|:---|:---|:---|
| **Number <br> of Shares**  | | **Value**  |
|  | **RIGHTS (Continued)** |  |
| 35000 | Horizon Space Acquisition II Corp., Expiration Date: May 4, 2026\* | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7700 |
| 14391 | Hudson Acquisition I Corp., Expiration Date: August 26, 2026\*<sup>,4</sup> | 2303 |
| 47773 | IB Acquisition Corp., Expiration Date: December 29, 2026\* | 4959 |
| 14062 | Inflection Point Acquisition Corp. III\* | 4640 |
| 18750 | Inflection Point Acquisition Corp. V, Expiration Date: August 12, 2026\*  | 11062 |
| 75000 | Invest Green Acquisition Corp., Expiration Date: November 17, 2030\*  | 11257 |
| 40000 | Jackson Acquisition Co. II\* | 4040 |
| 25000 | K&F Growth Acquisition Corp. II, Expiration Date: August 10, 2026\*  | 2603 |
| 100000 | LaFayette Acquisition Corp.\*<sup>,6</sup> | 11210 |
| 100000 | McKinley Acquisition Corp., Expiration Date: December 30, 2099\* | 10010 |
| 20035 | Metal Sky Star Acquisition Corp., Expiration Date: September 29, 2026\*  | 531 |
| 1689 | Mountain Crest Acquisition Corp. V, Expiration Date: March 31, 2026\*  | 169 |
| 40000 | Mountain Lake Acquisition Corp.\* | 10400 |
| 22500 | Oyster Enterprises II Acquisition Corp., Expiration Date: May 15, 2031\*  | 3375 |
| 36000 | Pantages Capital Acquisition Corp., Expiration Date: April 28, 2026\*  | 5764 |
| 100000 | Quantumsphere Acquisition Corp., Expiration Date: December 30, 2099\*  | 16010 |
| 45000 | Quartzsea Acquisition Corp., Expiration Date: September 18, 2026\*  | 4954 |
| 1189 | Quetta Acquisition Corp., Expiration Date: August 15, 2026\* | 1760 |
| 35536 | Range Capital Acquisition Corp., Expiration Date: April 28, 2026\* | 10661 |
| 13377 | RF Acquisition Corp. II, Expiration Date: September 24, 2026\*<sup>,6</sup> | 1605 |
| 35000 | Rising Dragon Acquisition Corp., Expiration Date: May 13, 2026\*<sup>,6</sup> | 5250 |
| 18884 | SC II Acquisition Corp., Expiration Date: November 26, 2030\* | 3854 |
| 45000 | Siddhi Acquisition Corp., Expiration Date: June 3, 2026\* | 6759 |
| 66666 | Silver Pegasus Acquisition Corp., Expiration Date: August 13, 2026\*  | 17333 |
| 45000 | Sizzle Acquisition Corp. II, Expiration Date: May 26, 2035\* | 8910 |
| 40500 | Soulpower Acquisition Corp., Expiration Date: May 26, 2035\* | 7290 |
| 50000 | Starry Sea Acquisition Corp., Expiration Date: December 30, 2099\*  | 9005 |
| 99000 | StoneBridge Acquisition II Corp., Expiration Date: December 30, 2099\*  | 9910 |
| 26253 | Tavia Acquisition Corp., Expiration Date: April 28, 2026\*<sup>,6</sup> | 3413 |
| 18000 | Thayer Ventures Acquisition Corp. II, Expiration Date: August 13, 2026\*  | 2704 |
| 28125 | UY Scuti Acquisition Corp., Expiration Date: September 25, 2026\* | 3094 |

---

------

[**TABLE OF CONTENTS**](#TOC)

---

| | | |
|:---|:---|:---|
| **Number <br> of Shares**  | | **Value**  |
|  | **RIGHTS (Continued)** |  |
| 35000 | YHN Acquisition I Ltd., Expiration Date: September 19, 2026\*<sup>,6</sup> | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3850 |
|  | **TOTAL RIGHTS <br> (Cost $491)**  | **479040** |

---

---

| | | |
|:---|:---|:---|
| **Number <br> of Units**  | | |
|  | **SPECIAL PURPOSE ACQUISITION COMPANIES – 0.4%** |  |
|  | **FINANCIALS – 0.4%** |  |
| 100000 | Archimedes Tech SPAC Partners III Co.\* | 998000 |
| 100000 | BHAV Acquisition Corp.\* | 997000 |
| 100000 | Blue Water Acquisition Corp.\* | 992000 |
| 100000 | Colombier Acquisition Corp. II\* | 1018000 |
| 100000 | GigCapital9 Corp.\* | 1004000 |
| 100000 | Legato Merger Corp. IV\* | 998000 |
| 100000 | Mountain Lake Acquisition Corp. II\* | 993000 |
| 100000 | Muzero Acquisition Corp.\* | 993000 |
| 100000 | Pono Capital Four, Inc.\*<sup>,6</sup> | 997000 |
| 80000 | Space Asset Acquisition Corp.\* | 814000 |
| 100000 | X3 Acquisition Corp. Ltd.\* | 994000 |
| 100000 | Xsolla SPAC 1\* | 990000 |
|  |  | **11788000** |
|  | **TOTAL SPECIAL PURPOSE ACQUISITION COMPANIES <br> (Cost $11,814,479)**  | **11788000** |

---

---

| | | |
|:---|:---|:---|
| **Number <br> of Shares**  | | |
|  | **WARRANTS – 0.1%** |  |
| 25000 | AA Mission Acquisition Corp. II, Expiration Date: September 9, 2031\*<sup>,6</sup>  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4025 |
| 19983 | Able View Global, Inc., Expiration Date: May 15, 2028\*<sup>,6</sup> | 310 |
| 4691100 | Accuray, Inc., Expiration Date: December 31, 2028\*<sup>,4</sup> | 1431462 |
| 287 | Advantage Capital Holdings, LLC, Expiration Date: January 28, 2031\*<sup>,4</sup>  | 371306 |
| 9241 | Alchemy Investments Acquisition Corp. I, Expiration Date: June 26, <br> 2028\*  | 1479 |
| 17500 | Aldel Financial II, Inc., Expiration Date: October 10, 2029\* | 4552 |
| 19429 | Alphatime Acquisition Corp., Expiration Date: January 17, 2028\* | 1362 |
| 17500 | Andretti Acquisition Corp. II, Expiration Date: October 24, 2029\* | 1925 |
| 31433 | Apex Treasury Corp., Expiration Date: November 17, 2030\*<sup>,6</sup> | 6915 |
| 10125 | Archimedes Tech SPAC Partners II Co., Expiration Date: April 2, 2030\*  | 5164 |
| 2223 | Beneficient, Expiration Date: June 7, 2028\* | 28 |

---

------

[**TABLE OF CONTENTS**](#TOC)

---

| | | |
|:---|:---|:---|
| **Number <br> of Shares**  | | **Value**  |
|  | **WARRANTS (Continued)**  | **WARRANTS (Continued)**  |
| 18409 | Big Tree Cloud Holdings Ltd., Expiration Date: May 31, 2029\*<sup>,6</sup> | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;278 |
| 25000 | Blue Water Acquisition Corp., Expiration Date: December 31, 2026\*  | 11250 |
| 12500 | BTC Development Corp., Expiration Date: August 19, 2030\*<sup>,6</sup> | 5625 |
| 1466 | Cactus Acquisition Corp. 1 Ltd., Expiration Date: October 29, 2026\*  | 44 |
| 16743 | Centurion Acquisition Corp., Expiration Date: August 1, 2029\* | 2068 |
| 50000 | Chenghe Acquisition III Co., Expiration Date: August 15, 2031\*<sup>,6</sup> | 7750 |
| 162277 | CN Healthy Food Tech Group Corp., Expiration Date: February 16, 2029\*<sup>,4</sup>  | 14767 |
| 21424 | CO2 Energy Transition Corp., Expiration Date: August 17, 2028\* | 1553 |
| 968 | Comera Life Sciences Holdings, Inc., Expiration Date: May 19, 2027\*<sup>,4</sup>  | —<sup>19</sup> |
| 13333 | Concord Acquisition Corp. II, Expiration Date: December 31, 2028\*  | 427 |
| 117 | Corner Growth Acquisition Corp., Expiration Date: December 31, 2027\*<sup>,4</sup>  | 23 |
| 935 | Corner Growth Acquisition Corp. 2, Expiration Date: June 17, 2026\*<sup>,4</sup>  | 33 |
| 50000 | CSLM Digital Asset Acquisition Corp. III Ltd., Expiration Date: September 19, 2030\*<sup>,6</sup>  | 12000 |
| 25000 | D Boral ARC Acquisition I Corp., Expiration Date: May 6, 2030\* | 14000 |
| 5628 | Digital Asset Acquisition Corp., Expiration Date: March 17, 2030\* | 2116 |
| 319855 | Dorel Industries, Inc. – Class B, Expiration Date: September 30, 2032<sup>4</sup>  | 427669 |
| 12500 | Dynamix Corp., Expiration Date: December 6, 2029\* | 9500 |
| 12500 | Dynamix Corp. III, Expiration Date: November 19, 2030\*<sup>,6</sup> | 3625 |
| 13333 | EQV Ventures Acquisition Corp., Expiration Date: July 1, 2031\*<sup>,6</sup> | 10800 |
| 460 | Everest Consolidator Acquisition Corp., Expiration Date: July 19, 2028\*<sup>,4</sup>  | 5 |
| 20000 | Fact II Acquisition Corp., Expiration Date: December 20, 2029\* | 8000 |
| 33333 | Galata Acquisition Corp. II, Expiration Date: September 18, 2030\*<sup>,6</sup>  | 8007 |
| 19239 | GCL Global Holdings Ltd., Expiration Date: February 13, 2030\* | 435 |
| 1177 | Genesis Growth Tech Acquisition Corp., Expiration Date: May 19, 2028\*<sup>,4</sup>  | —<sup>19</sup> |
| 22500 | Gesher Acquisition Corp. II, Expiration Date: March 12, 2030\* | 4950 |
| 20000 | GigCapital7 Corp. – Class A, Expiration Date: September 11, 2029\*  | 6600 |
| 273563 | Glass House Brands, Inc., Expiration Date: June 29, 2026\*<sup>,6</sup> | 19149 |
| 534 | Global Gas Corp., Expiration Date: October 29, 2027\* | 1 |
| 23908 | Goldenstone Acquisition Ltd., Expiration Date: July 15, 2026\* | 478 |
| 30049 | GP-Act III Acquisition Corp., Expiration Date: December 31, 2027\* | 4213 |
| 12500 | Graf Global Corp., Expiration Date: August 7, 2029\* | 1624 |
| 10171 | Haymaker Acquisition Corp. IV, Expiration Date: September 12, 2028\*  | 30004 |
| 14814 | HCM III Acquisition Corp., Expiration Date: July 31, 2030\*<sup>,6</sup> | 7096 |

---

------

[**TABLE OF CONTENTS**](#TOC)

---

| | | |
|:---|:---|:---|
| **Number <br> of Shares**  | | **Value**  |
|  | **WARRANTS (Continued)**  | **WARRANTS (Continued)**  |
| 1173 | Heramba Electric PLC, Expiration Date: October 10, 2028\*<sup>,6</sup> | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7 |
| 50000 | Highview Merger Corp., Expiration Date: August 12, 2030\*<sup>,6</sup> | 11530 |
| 1382 | Holdco Nuvo Group DG Ltd., Expiration Date: May 1, 2029\*<sup>,4,6</sup> | 1 |
| 9836 | Horizon Quantum Holdings Ltd., Expiration Date: March 20, 2031\*<sup>,6</sup>  | 20164 |
| 19947 | Horizon Space Acquisition I Corp., Expiration Date: January 26, 2028\*  | 399 |
| 14883 | iCoreConnect, Inc., Expiration Date: May 15, 2028\*<sup>,4</sup> | 37 |
| 1235429 | IFit, Inc., Expiration Date: February 24, 3030\*<sup>,4</sup> |  |
| 10018 | Israel Acquisitions Corp., Expiration Date: February 28, 2028\* | 852 |
| 23278 | Jaws Mustang Acquisition Corp., Expiration Date: June 1, 2030\* | 584 |
| 10000 | Launch One Acquisition Corp., Expiration Date: August 29, 2029\* | 1398 |
| 17500 | Launch Two Acquisition Corp., Expiration Date: November 26, 2029\*  | 2732 |
| 58623 | Legato Merger Corp. III, Expiration Date: March 28, 2029\* | 29311 |
| 14172 | Lionheart Holdings, Expiration Date: August 9, 2029\* | 1701 |
| 22500 | Live Oak Acquisition Corp. V, Expiration Date: April 17, 2030\* | 32625 |
| 50000 | M Evo Global Acquisition Corp. II, Expiration Date: February 19, 2031\*<sup>,6</sup>  | 16250 |
| 37500 | M3-Brigade Acquisition V Corp., Expiration Date: September 23, 2030\*  | 11242 |
| 33333 | M3-Brigade Acquisition VI Corp., Expiration Date: August 5, 2030\* | 10003 |
| 14950 | Melar Acquisition Corp. I, Expiration Date: June 1, 2031\* | 1794 |
| 20035 | Metal Sky Star Acquisition Corp., Expiration Date: April 1, 2027\* | 146 |
| 1265 | MultiMetaVerse Holdings Ltd., Expiration Date: March 15, 2027\*<sup>,4</sup> | —<sup>19</sup> |
| 16500 | Namib Minerals, Expiration Date: June 5, 2030\*<sup>,6</sup> | 2228 |
| 27873 | Nature's Miracle Holding, Inc., Expiration Date: March 12, 2029\* | 212 |
| 7500 | New Providence Acquisition Corp. III, Expiration Date: April 24, 2030\*  | 1429 |
| 1335 | Newbury Street Acquisition Corp., Expiration Date: December 31, 2027\*<sup>,4</sup>  | —<sup>19</sup> |
| 10000 | Newbury Street II Acquisition Corp., Expiration Date: December 27, <br> 2029\*  | 1800 |
| 22500 | NewHold Investment Corp. III, Expiration Date: April 17, 2030\* | 10123 |
| 237 | Northern Revival Acquisition Corp., Expiration Date: December 31, <br> 2027\*<sup>,4</sup>  | 5 |
| 16328 | OSR Holdings, Inc., Expiration Date: February 14, 2030\* | 978 |
| 17500 | Plum Acquisition Corp. IV, Expiration Date: January 30, 2030\* | 8566 |
| 13648 | Polibeli Group Ltd., Expiration Date: June 23, 2030\*<sup>,6</sup> | 1273 |
| 1990 | Presto Automation, Inc., Expiration Date: September 21, 2027\*<sup>,4</sup> | 1 |
| 50000 | Range Capital Acquisition Corp. II, Expiration Date: September 16, <br> 2030\*<sup>,6</sup>  | 15000 |
| 11250 | Real Asset Acquisition Corp., Expiration Date: June 2, 2030\* | 14906 |

---

------

[**TABLE OF CONTENTS**](#TOC)

---

| | | |
|:---|:---|:---|
| **Number <br> of Shares**  | | **Value**  |
|  | **WARRANTS (Continued)**  | **WARRANTS (Continued)**  |
| 3750 | Rithm Acquisition Corp., Expiration Date: April 11, 2030\* | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2112 |
| 20000 | Roman DBDR Acquisition Corp. II, Expiration Date: February 3, 2030\*  | 4248 |
| 9833 | Semnur Pharmaceuticals, Inc., Expiration Date: September 22, 2030\*  | 123 |
| 6666 | Silverbox Corp. IV, Expiration Date: September 24, 2029\* | 1467 |
| 10000 | SIM Acquisition Corp. I, Expiration Date: August 28, 2029\* | 2700 |
| 50000 | Solarius Capital Acquisition Corp., Expiration Date: July 16, 2030\*<sup>,6</sup>  | 10530 |
| 2102 | Spree Acquisition Corp. 1 Ltd., Expiration Date: December 22, 2028\*<sup>,4</sup>  | —<sup>19</sup> |
| 33333 | Spring Valley Acquisition Corp. III, Expiration Date: September 30, 2030\*<sup>,6</sup>  | 34666 |
| 12500 | Stellar V Capital Corp., Expiration Date: March 24, 2030\* | 2750 |
| 33333 | Talon Capital Corp., Expiration Date: September 5, 2030\*<sup>,6</sup> | 16666 |
| 11250 | Texas Ventures Acquisition III Corp., Expiration Date: May 15, 2031\*  | 5400 |
| 21250 | Titan Acquisition Corp., Expiration Date: June 2, 2030\* | 5527 |
| 1544 | TNL Mediagene, Expiration Date: June 14, 2028\*<sup>,6</sup> | 10 |
| 33333 | Trailblazer Acquisition Corp., Expiration Date: July 24, 2030\*<sup>,6</sup> | 13213 |
| 20000 | Translational Development Acquisition Corp., Expiration Date: February 13, 2030\*  | 2402 |
| 25000 | United Acquisition Corp. I, Expiration Date: December 19, 2030\*<sup>,6</sup> | 7503 |
| 25000 | Viking Acquisition Corp. I, Expiration Date: November 3, 2030\*<sup>,6</sup> | 5530 |
| 17500 | Vine Hill Capital Investment Corp., Expiration Date: October 25, 2029\*  | 21350 |
| 32500 | Voyager Acquisition Corp., Expiration Date: May 16, 2031\* | 4449 |
| 31924 | Youlife Group, Inc., Expiration Date: July 10, 2030\*<sup>,4,12</sup> | 3544 |
|  | **TOTAL WARRANTS <br> (Cost $4,454,052)**  | **2784105** |

---

---

| | | |
|:---|:---|:---|
| **Principal <br> Amount ($)**  | | |
|  | **SHORT-TERM INVESTMENTS – 4.0%** |  |
| 9060297 | Morgan Stanley Institutional Liquidity Fund – Government Portfolio – Institutional Class, 3.51%<sup>20</sup>  | 9060297 |
| 119916120 | UMB Bank, Money Market Special II Deposit Investment, 3.48%<sup>20</sup> | 119916120 |
|  | **TOTAL SHORT-TERM INVESTMENTS** <br> (Cost $128,976,417)  | **128976417** |
|  | **TOTAL INVESTMENTS – 105.2% <br> (Cost $3,284,883,344)**  | **3408811834** |
|  | Liabilities in Excess of Other Assets – (5.2)% | (169317636) |
|  | **TOTAL NET ASSETS – 100.0%** | $**3239494198** |

---

------

[**TABLE OF CONTENTS**](#TOC)

CIBOR – Copenhagen Interbank Offered Rate

Euribor – Euro Interbank Offered Rate

LLC – Limited Liability Company

LP – Limited Partnership

PLC – Public Limited Company

SOFR – Secured Overnight Financing Rate

SONIA – Sterling Overnight Index Average

STIBOR – Stockholm Interbank Offered Rate

\* Non-income producing security.

<sup>1</sup> Principal amount denoted in local currency.

<sup>2</sup> All or a portion of this investment is a holding of FTAOF Cayman Sub1 Ltd.

<sup>3</sup> Floating rate security, upon which the interest rate adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. Rate shown is the rate in effect as of period end.

<sup>4</sup> The value of these securities was determined using significant unobservable inputs. These are reported as Level 3 securities in the Fair Value Hierarchy.

<sup>5</sup> Callable.

<sup>6</sup> Foreign security denominated in U.S. Dollars.

<sup>7</sup> Represents an unfunded loan commitment. The rate disclosed is equal to the commitment fee. The negative fair value is the result of the capitalized discount on the loan or the unfunded commitment being valued below par.

<sup>8</sup> Payment-in-kind interest is generally paid by issuing additional par of the security rather than paying cash.

<sup>9</sup> A portion of this holding is subject to unfunded loan commitments. The stated interest rate reflects the reference rate and spread for the funded portion.

<sup>10</sup> Variable rate security, upon which the interest rate adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. Rate shown is the rate in effect as of period end.

<sup>11</sup> Issuer filed for bankruptcy and/or is in default.

<sup>12</sup> Investment valued using net asset value per share as practical expedient.

<sup>13</sup> Affiliated company.

<sup>14</sup> Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities are restricted and may be resold in transactions exempt from registration normally to qualified institutional buyers. The total value of these securities is $362,585,409, which represents 11.19% of the total net assets of the Fund.

<sup>15</sup> Interest-only security.

<sup>16</sup> All or a portion of this investment is a holding of FTAOF Sub1 LLC.

<sup>17</sup> Investment does not issue shares.

<sup>18</sup> Perpetual security. Maturity date is not applicable.

<sup>19</sup> Amount represents less than $0.50.

<sup>20</sup> The rate is the annualized seven-day yield at period end.

------

[**TABLE OF CONTENTS**](#TOC)

#### First Trust Alternative Opportunities Fund <br>CONSOLIDATED SCHEDULE OF INVESTMENTS — Continued <br>As of March 31, 2026

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **Securities with Restrictions on Redemptions**  | **Redemptions <br> Permitted**  | **Redemption <br> Notice Period**  | **Cost**  | **Fair Value**  | **Original <br> Acquisition <br> Date**  |
| &nbsp;&nbsp;&nbsp; 137 Direct Fund LP, LLC<sup>1</sup>  | Not Permitted  | N/A  | $27120171 | $33567934 | 4/28/2025  |
| &nbsp;&nbsp;&nbsp; 137 Holdings AP, LLC<sup>1</sup>  | Not Permitted  | N/A  | 2795287 | 2781243 | 8/14/2025  |
| &nbsp;&nbsp;&nbsp; 137 Holdings GI, LLC<sup>1</sup>  | Not Permitted  | N/A  | 7588780 | 9540171 | 12/22/2025  |
| &nbsp;&nbsp;&nbsp; 137 Holdings MA, LLC<sup>1</sup>  | Not Permitted  | N/A  | 1536616 | 2770830 | 10/25/2024  |
| &nbsp;&nbsp;&nbsp; 137 Holdings MS, LLC<sup>1</sup>  | Not Permitted  | N/A  | 673701 | 2897109 | 8/20/2024  |
| &nbsp;&nbsp;&nbsp; 137 Holdings MS, LLC<sup>1</sup>  | Not Permitted  | N/A  | 8891382 | 20435831 | 8/18/2025  |
| &nbsp;&nbsp;&nbsp; 137 Holdings RBC II, LLC<sup>1</sup>  | Not Permitted  | N/A  | 4559924 | 8508974 | 6/10/2025  |
| &nbsp;&nbsp;&nbsp; 137 Holdings RBC, LLC<sup>1</sup>  | Not Permitted  | N/A  | 2514844 | 7437643 | 4/24/2024  |
| &nbsp;&nbsp;&nbsp; 137 Ventures VI LP<sup>1</sup>  | Not Permitted  | N/A  | 12610421 | 22566413 | 4/16/2024  |
| &nbsp;&nbsp;&nbsp; 137 Ventures VII LP<sup>1</sup>  | Not Permitted  | N/A  | 15743782 | 21233178 | 6/20/2025  |
| &nbsp;&nbsp;&nbsp; 225 Broadway RTL LLC<sup>1</sup>  | Not Permitted  | N/A  | 26097500 | 26097500 | 1/7/2026  |
| &nbsp;&nbsp;&nbsp; Acer Tree Credit Opportunities Partners LP<sup>1</sup>  | Quarterly  | 45 Days  | 25000000 | 24919210 | 1/31/2025  |
| &nbsp;&nbsp;&nbsp; APD BEAC Equity Blocker LP<sup>1</sup>  | Not Permitted  | N/A  | 30000 | 30000 | 4/2/2026  |
| &nbsp;&nbsp;&nbsp; APD SSC Equity LP<sup>1</sup>  | Not Permitted  | N/A  | 581958 | 581958 | 2/23/2026  |
| &nbsp;&nbsp;&nbsp; Arbour Lane Credit Opportunity Fund IV LP<sup>1</sup>  | Not Permitted  | N/A  | 17537037 | 17274142 | 2/27/2025  |
| &nbsp;&nbsp;&nbsp; Arlington Capital Partners VI LP<sup>1</sup>  | Not Permitted  | N/A  | 2344530 | 3116692 | 1/26/2024  |
| &nbsp;&nbsp;&nbsp; Atlas Enhanced Fund LP<sup>1</sup>  | Quarterly  | 70 Days  | 42000000 | 41407443 | 2/2/2026  |
| &nbsp;&nbsp;&nbsp; Audax Private Credit Fund, LLC<sup>1</sup>  | Not Permitted  | N/A  | 50975418 | 50464249 | 10/30/2024  |
| &nbsp;&nbsp;&nbsp; Bailard Real Estate Investment Trust, <br> Inc.<sup>1</sup>  | Quarterly  | 30 Days  | 74725000 | 74620496 | 12/28/2018  |
| &nbsp;&nbsp;&nbsp; BC Partners Lending Corp.<sup>1</sup>  | Not Permitted  | N/A  | 12500000 | 10939738 | 3/6/2023  |
| &nbsp;&nbsp;&nbsp; Blue Owl Real Estate Net Lease Property <br> Fund LP<sup>1</sup>  | Quarterly  | 60 Days  | 99500000 | 92889880 | 1/25/2022  |
| &nbsp;&nbsp;&nbsp; Blue Torch Offshore Credit Opp Fund IV LP<sup>1</sup>  | Not Permitted  | N/A  | 3831377 | 3750000 | 12/26/2025  |
| &nbsp;&nbsp;&nbsp; Cartenna Partners LP<sup>1</sup>  | Monthly  | 45 Days  | 11250000 | 11386537 | 10/30/2025  |
| &nbsp;&nbsp;&nbsp; CIRE Real Estate Investment Trust, <br> Inc.<sup>1</sup>  | Quarterly<sup>2</sup>  | 90 Days  | 80322528 | 99602387 | 4/4/2023  |
| &nbsp;&nbsp;&nbsp; Cliffwater Enhanced Lending Fund – <br> Class I  | Quarterly<sup>3</sup>  | N/A  | 13345646 | 14240424 | 4/26/2022  |
| &nbsp;&nbsp;&nbsp; Core Spaces Fund IV LP<sup>1</sup>  | Not Permitted  | N/A  | 10412744 | 9742232 | 10/24/2024  |
| &nbsp;&nbsp;&nbsp; Dorsal Capital Partners LP<sup>1</sup>  | Quarterly  | 45 Days  | 11250000 | 10946373 | 10/30/2025  |
| &nbsp;&nbsp;&nbsp; DSC Meridian Credit Opportunities Onshore Fund LP<sup>1</sup>  | Quarterly<sup>4</sup>  | 65 Days  | 27450000 | 40145092 | 10/1/2018  |
| &nbsp;&nbsp;&nbsp; FCP Fund VI Avondale Co-Investment <br> LP<sup>1</sup>  | Not Permitted  | N/A  | 20083214 | 19753946 | 9/29/2025  |
| &nbsp;&nbsp;&nbsp; FCP Fund VI DWG Co-Investment LP<sup>1</sup>  | Not Permitted  | N/A  | 25000000 | 24530180 | 8/21/2025  |
| &nbsp;&nbsp;&nbsp; FCP Realty Fund VI-A LP<sup>1</sup>  | Not Permitted  | N/A  | 10247887 | 8682122 | 5/14/2024  |
| &nbsp;&nbsp;&nbsp; Fortress Credit Opportunities CLO, LLC<sup>1</sup>  | Not Permitted  | N/A  | 22224443 | 26335299 | 1/28/2025  |
| &nbsp;&nbsp;&nbsp; GHO Capital IV LP<sup>1</sup>  | Not Permitted  | N/A  | 2655148 | 1970859 | 8/20/2025  |
| &nbsp;&nbsp;&nbsp; GPS IV LP<sup>1</sup>  | Not Permitted  | N/A  | 876522 | 814293 | 3/7/2025  |
| &nbsp;&nbsp;&nbsp; Hedosophia Investments VI G LP<sup>1</sup>  | Not Permitted  | N/A  | 3040206 | 3030329 | 7/28/2025  |
| &nbsp;&nbsp;&nbsp; Hedosophia Investments VI H LP<sup>1</sup>  | Not Permitted  | N/A  | 1281191 | 1262485 | 6/27/2025  |
| &nbsp;&nbsp;&nbsp; Hedosophia Investments VI I LP<sup>1</sup>  | Not Permitted  | N/A  | 1257000 | 1270271 | 6/23/2025  |
| &nbsp;&nbsp;&nbsp; Hedosophia Investments VI J LP<sup>1</sup>  | Not Permitted  | N/A  | 1406059 | 1377255 | 6/27/2025  |
| &nbsp;&nbsp;&nbsp; Hedosophia Investments VI K LP<sup>1</sup>  | Not Permitted  | N/A  | 4030512 | 4016896 | 10/23/2025  |
| &nbsp;&nbsp;&nbsp; Hedosophia Investments VI O LP<sup>1</sup>  | Not Permitted  | N/A  | 1515000 | 1509577 | 11/26/2025  |

---

------

[**TABLE OF CONTENTS**](#TOC)

#### First Trust Alternative Opportunities Fund <br> CONSOLIDATED SCHEDULE OF INVESTMENTS — Continued <br> As of March 31, 2026

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **Securities with Restrictions on Redemptions**  | **Redemptions <br> Permitted**  | **Redemption <br> Notice Period**  | **Cost**  | **Fair Value**  | **Original <br> Acquisition <br> Date**  |
| &nbsp;&nbsp;&nbsp; Hedosophia Investments VI P LP<sup>1</sup>  | Not Permitted  | N/A  | $3022500 | $3022500 | 3/26/2026  |
| &nbsp;&nbsp;&nbsp; Hedosophia Investments VI N LP<sup>1</sup>  | Not Permitted  | N/A  | 3547385 | 3523678 | 11/18/2025  |
| &nbsp;&nbsp;&nbsp; Hedosophia Investors VI E LP<sup>1</sup>  | Not Permitted  | N/A  | 3847970 | 5897308 | 12/23/2024  |
| &nbsp;&nbsp;&nbsp; Hedosophia Partners VI LP<sup>1</sup>  | Not Permitted  | N/A  | 8181506 | 10644896 | 5/20/2024  |
| &nbsp;&nbsp;&nbsp; Hedosophia SP A LP<sup>1</sup>  | Not Permitted  | N/A  | 2125405 | 2313314 | 10/30/2024  |
| &nbsp;&nbsp;&nbsp; Hedosophia SP B LP<sup>1</sup>  | Not Permitted  | N/A  | 5019110 | 5871168 | 5/19/2025  |
| &nbsp;&nbsp;&nbsp; Hillpointe Workforce Housing Partners V LP<sup>1</sup>  | Not Permitted  | N/A  | 27250000 | 26221589 | 8/16/2024  |
| &nbsp;&nbsp;&nbsp; HS Investments NA18 LP<sup>1</sup>  | Not Permitted  | N/A  | 3437143 | 7143678 | 8/28/2024  |
| &nbsp;&nbsp;&nbsp; HS Investments V F LP<sup>1</sup>  | Not Permitted  | N/A  | 255016 | 355032 | 7/31/2023  |
| &nbsp;&nbsp;&nbsp; HS Investments VI A LP<sup>1</sup>  | Not Permitted  | N/A  | 9868488 | 17794654 | 7/11/2024  |
| &nbsp;&nbsp;&nbsp; HS Investments VI B LP<sup>1</sup>  | Not Permitted  | N/A  | 2568176 | 4034227 | 10/15/2024  |
| &nbsp;&nbsp;&nbsp; Hudson Bay Fund LP<sup>1</sup>  | Quarterly<sup>4,5</sup>  | 65 Days  |  | 320536 | 4/1/2021  |
| &nbsp;&nbsp;&nbsp; Invesco Real Estate Income Trust, Inc. – Class I  | Monthly  | 30 Days  | 57873128 | 52066974 | 6/1/2022  |
| &nbsp;&nbsp;&nbsp; Kern River Capital, LLC<sup>1</sup>  | Not Permitted  | N/A  | 750000 | 865786 | 3/26/2025  |
| &nbsp;&nbsp;&nbsp; KQ Partners Fund LP<sup>1</sup>  | Not Permitted  | N/A  | 2035157 | 11012694 | 5/9/2024  |
| &nbsp;&nbsp;&nbsp; Linden Investors LP<sup>1</sup>  | Quarterly<sup>4</sup>  | 65 Days  | 22250000 | 35811645 | 10/1/2018  |
| &nbsp;&nbsp;&nbsp; MCF CLO 12, LLC<sup>1</sup>  | Not Permitted  | N/A  | 30629469 | 35251456 | 2/24/2025  |
| &nbsp;&nbsp;&nbsp; MCTC Investment Hold Delaware, LLC – <br> Class H<sup>1</sup>  | Not Permitted  | N/A  | 5000000 | 5000000 | 3/23/2026  |
| &nbsp;&nbsp;&nbsp; Nuveen Real Estate U.S. Cities Industrial Fund LP<sup>1</sup>  | Quarterly  | 45 Days  | 7421207 | 6236409 | 10/3/2022  |
| &nbsp;&nbsp;&nbsp; Nuveen Real Estate U.S. Cities Multifamily <br> Fund LP<sup>1</sup>  | Quarterly  | 45 Days  | 6669201 | 4683339 | 4/1/2022  |
| &nbsp;&nbsp;&nbsp; Old Orchard Credit Fund LP<sup>1</sup>  | Quarterly<sup>4</sup>  | 65 Days  | 17000000 | 21365495 | 5/31/2023  |
| &nbsp;&nbsp;&nbsp; Opportunistic Credit Interval Fund – <br> Class I  | Quarterly<sup>3</sup>  | N/A  | 26705430 | 26857642 | 8/16/2022  |
| &nbsp;&nbsp;&nbsp; Point72 Capital LP<sup>1</sup>  | Quarterly<sup>4,6</sup>  | 45 Days  | 20059379 | 35996845 | 4/24/2019  |
| &nbsp;&nbsp;&nbsp; Pomona Investment Fund LP  | Quarterly<sup>3</sup>  | 75 Days  | 21864417 | 29409910 | 10/1/2018  |
| &nbsp;&nbsp;&nbsp; Prana Absolute Return Fund LP – <br> Class D  | Quarterly  | 50 Days  | 18000000 | 18614092 | 8/29/2025  |
| &nbsp;&nbsp;&nbsp; Proterra Credit Fund 3 LP<sup>1</sup>  | Not Permitted  | N/A  | 3302813 | 3188761 | 8/6/2025  |
| &nbsp;&nbsp;&nbsp; Quiet EE LP<sup>1</sup>  | Not Permitted  | N/A  | 2032500 | 2032500 | 12/23/2025  |
| &nbsp;&nbsp;&nbsp; Quiet OA Access LP<sup>1</sup>  | Not Permitted  | N/A  | 3049140 | 7259795 | 9/27/2024  |
| &nbsp;&nbsp;&nbsp; Quiet Select Fund – Class B<sup>1</sup>  | Not Permitted  | N/A  | 1269224 | 2057680 | 1/13/2025  |
| &nbsp;&nbsp;&nbsp; Quiet Select Fund – Class C<sup>1</sup>  | Not Permitted  | N/A  | 2789818 | 3335245 | 1/13/2025  |
| &nbsp;&nbsp;&nbsp; Quiet Select Fund – Class D<sup>1</sup>  | Not Permitted  | N/A  | 1502429 | 1500905 | 2/20/2025  |
| &nbsp;&nbsp;&nbsp; Quiet Select Fund – Class E<sup>1</sup>  | Not Permitted  | N/A  | 2027588 | 2003174 | 3/19/2025  |
| &nbsp;&nbsp;&nbsp; Quiet Select Fund – Class F<sup>1</sup>  | Not Permitted  | N/A  | 1273162 | 3263678 | 6/3/2025  |
| &nbsp;&nbsp;&nbsp; Quiet Select Fund III – Class I<sup>1</sup>  | Not Permitted  | N/A  | 1727137 | 1727138 | 1/21/2026  |
| &nbsp;&nbsp;&nbsp; Quiet T1 LP – Class A<sup>1</sup>  | Not Permitted  | N/A  | 1963497 | 9435835 | 1/29/2024  |
| &nbsp;&nbsp;&nbsp; Quiet T1 LP – Class B<sup>1</sup>  | Not Permitted  | N/A  | 1234617 | 2125952 | 1/27/2025  |
| &nbsp;&nbsp;&nbsp; Quiet T1 LP – Class C<sup>1</sup>  | Not Permitted  | N/A  | 1916990 | 1914558 | 10/17/2025  |
| &nbsp;&nbsp;&nbsp; Quiet Venture I LP<sup>1</sup>  | Not Permitted  | N/A  | 6362899 | 7969003 | 9/30/2025  |
| &nbsp;&nbsp;&nbsp; Quiet Venture III LP<sup>1</sup>  | Not Permitted  | N/A  | 11450556 | 20041301 | 5/6/2024  |
| &nbsp;&nbsp;&nbsp; RA Capital Healthcare Fund LP<sup>1</sup>  | Quarterly<sup>7</sup>  | 90 Days  | 11000000 | 11785196 | 10/30/2025  |
| &nbsp;&nbsp;&nbsp; RA Capital Nexus Fund IV LP<sup>1</sup>  | Not Permitted  | N/A  | 1925342 | 1875000 | 2/26/2026  |

---

------

[**TABLE OF CONTENTS**](#TOC)

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **Securities with Restrictions on Redemptions**  | **Redemptions <br> Permitted**  | **Redemption <br> Notice Period**  | **Cost**  | **Fair Value**  | **Original <br> Acquisition <br> Date**  |
| &nbsp;&nbsp;&nbsp; RiverNorth Capital Partners LP<sup>1</sup>  | Quarterly<sup>6</sup>  | 65 Days  | $15000000 | $19845355 | 6/1/2022  |
| &nbsp;&nbsp;&nbsp; Sachem Head LP<sup>1</sup>  | Quarterly  | 65 Days  | 11250000 | 10948663 | 10/30/2025  |
| &nbsp;&nbsp;&nbsp; Sapphire Venture VII LP<sup>1</sup>  | Not Permitted  | N/A  | 4468691 | 4138507 | 10/22/2025  |
| &nbsp;&nbsp;&nbsp; Savory Fund III Blocked LP<sup>1</sup>  | Not Permitted  | N/A  | 3677808 | 4124272 | 3/11/2024  |
| &nbsp;&nbsp;&nbsp; Schonfeld Strategic Partners Fund, <br> LLC<sup>1</sup>  | Quarterly  | 45 Days  | 40000000 | 41470940 | 3/28/2025  |
| &nbsp;&nbsp;&nbsp; Seer Capital Partners Fund LP<sup>1</sup>  | Not Permitted  | N/A  |  | 44816 | 9/29/2021  |
| &nbsp;&nbsp;&nbsp; Seer Capital Regulatory Capital Relief Fund LP<sup>1</sup>  | Not Permitted  | N/A  | 7000000 | 7271595 | 3/7/2024  |
| &nbsp;&nbsp;&nbsp; Sofinnova Bioequities LP<sup>1</sup>  | Quarterly  | 60 Days  | 11250000 | 11327020 | 10/31/2025  |
| &nbsp;&nbsp;&nbsp; TCW Direct Lending VIII, LLC<sup>1</sup>  | Not Permitted  | N/A  | 56373001 | 49527422 | 8/9/2023  |
| &nbsp;&nbsp;&nbsp; TCW Rescue Financing II LP<sup>1</sup>  | Not Permitted  | N/A  | 9046318 | 8441111 | 12/9/2024  |
| &nbsp;&nbsp;&nbsp; TPG Tech Adjacencies II Vega LP<sup>1</sup>  | Not Permitted  | N/A  | 1500000 | 2174729 | 5/15/2024  |
| &nbsp;&nbsp;&nbsp; TPG Tech Adjacencies II Vital CI LP<sup>1</sup>  | Not Permitted  | N/A  | 2020000 | 2660503 | 1/6/2025  |
| &nbsp;&nbsp;&nbsp; Ufenau VI German Asset Lite, SLP<sup>1</sup>  | Not Permitted  | N/A  | 5622057 | 6816234 | 3/30/2026  |
| &nbsp;&nbsp;&nbsp; Ufenau VI Overflow, SLP<sup>1</sup>  | Not Permitted  | N/A  | 525871 | 525533 | 3/30/2026  |
| &nbsp;&nbsp;&nbsp; US Industrial Club VII, LP<sup>1</sup>  | Not Permitted  | N/A  | 5378942 | 6299135 | 6/17/2025  |
| &nbsp;&nbsp;&nbsp; Walleye Opportunities Fund LP<sup>1</sup>  | Monthly<sup>4</sup>  | 30 Days  | 44925000 | 55831417 | 12/3/2018  |
| &nbsp;&nbsp;&nbsp; WH Strategic Opportunities Fund X LP<sup>1</sup>  | Not Permitted  | N/A  | 728000 | 714000 | 11/26/2025  |
| &nbsp;&nbsp;&nbsp; Whitehawk IV-Plus Onshore Fund LP <sup>1</sup>  | Not Permitted  | N/A  | 5600000 | 5693766 | 6/29/2023  |
| **Totals** |  |  | $**1271379315** | $**1488132797** |  |

---

<sup>1</sup> Securities generally offered in private placement transactions and as such are illiquid and generally restricted as to resale.

<sup>2</sup> The Real Estate Investment Trust can institute a limit on redemptions at the trust level of 5% of the fair value of the investment in the Real Estate Investment Trust.

<sup>3</sup> The Closed-End Fund can institute a limit on redemptions at the fund level of 5% of the net asset value of the Closed-End Fund.

<sup>4</sup> The Private Investment Vehicle can institute a gate provision on redemptions at the investor level of 25% of the fair value of the investment in the Private Investment Vehicle.

<sup>5</sup> The Private Investment Vehicle can institute a gate provision on redemptions at the investor level of 12.5% of the fair value of the investment in the Private Investment Vehicle.

<sup>6</sup> The Private Investment Vehicle can institute a gate provision on redemptions at the fund level of 10-25% of the fair value of the investment in the Private Investment Vehicle.

<sup>7</sup> The Private Investment Vehicle institutes a 1-year lock up with a 3% early redemption fee.

------

[**TABLE OF CONTENTS**](#TOC)

#### First Trust Alternative Opportunities Fund <br> CONSOLIDATED SCHEDULE OF INVESTMENTS — Continued <br>As of March 31, 2026

#### FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| | **Counterparty**  | **Currency <br> Exchange**  | **Settlement <br> Date**  | **Currency <br> Amount <br> Purchased <br> (Sold)**  | **Value At <br> Settlement <br> Date**  | **Value At <br> March 31, <br> 2026**  | **Unrealized <br> Appreciation <br> (Depreciation)**  |
| **PURCHASE CONTRACTS** | **PURCHASE CONTRACTS** | **PURCHASE CONTRACTS** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Euro  | BNP Paribas  | EUR per USD  | 4/15/2026  | $1506000 | $1750875 | $1741997 | $(8878) |
| &nbsp;&nbsp;&nbsp; Euro  | BNP Paribas  | EUR per USD  | 4/22/2026  | 30000 | 32475 | 34714 | 2239 |
| &nbsp;&nbsp;&nbsp; Euro  | BNP Paribas  | EUR per USD  | 4/27/2026  | 1000000 | 1157100 | 1157427 | 327 |
| &nbsp;&nbsp;&nbsp; Euro  | BNP Paribas  | EUR per USD  | 5/15/2026  | 1506000 | 1753436 | 1744388 | (9048) |
| &nbsp;&nbsp;&nbsp; Euro  | BNP Paribas  | EUR per USD  | 5/27/2026  | 1000000 | 1158800 | 1158958 | 158 |
| &nbsp;&nbsp;&nbsp; Euro  | BNP Paribas  | EUR per USD  | 6/18/2026  | 1600000 | 1777920 | 1856025 | 78105 |
| &nbsp;&nbsp;&nbsp; Euro  | BNP Paribas  | EUR per USD  | 6/26/2026  | 1000000 | 1160400 | 1160444 | 44 |
| &nbsp;&nbsp;&nbsp; Euro  | BNP Paribas  | EUR per USD  | 7/22/2026  | 2608000 | 2836200 | 3028528 | 192328 |
| &nbsp;&nbsp;&nbsp; Euro  | BNP Paribas  | EUR per USD  | 11/6/2026  | 2808000 | 3146364 | 3271221 | 124857 |
| &nbsp;&nbsp;&nbsp; Great British Pound  | BNP Paribas  | GBP per USD  | 4/15/2026  | 324000 | 432550 | 428841 | (3709) |
| &nbsp;&nbsp;&nbsp; Great British Pound  | BNP Paribas  | GBP per USD  | 5/15/2026  | 324000 | 432556 | 428804 | (3752) |
| &nbsp;&nbsp;&nbsp; Swedish Krona  | BNP Paribas  | SEK per USD  | 4/15/2026  | 31000 | 3366 | 3277 | (89) |
| &nbsp;&nbsp;&nbsp; Swedish Krona  | BNP Paribas  | SEK per USD  | 5/15/2026  | 31000 | 3371 | 3282 | (89) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **TOTAL PURCHASE CONTRACTS**  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **TOTAL PURCHASE CONTRACTS**  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **TOTAL PURCHASE CONTRACTS**  |  |  | $**15645413** | $**16017906** | $**372493** |
| **SALE CONTRACTS** | **SALE CONTRACTS** | **SALE CONTRACTS** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Euro  | BNP Paribas  | EUR per USD  | 4/15/2026  | $(5589000) | $(6413936) | $(6464822) | $(50886) |
| &nbsp;&nbsp;&nbsp; Euro  | BNP Paribas  | EUR per USD  | 4/15/2026  | (83251000) | (97508566) | (96296810) | 1211756 |
| &nbsp;&nbsp;&nbsp; Euro  | BNP Paribas  | EUR per USD  | 4/22/2026  | (30000) | (33447) | (34714) | (1267) |
| &nbsp;&nbsp;&nbsp; Euro  | BNP Paribas  | EUR per USD  | 4/22/2026  | (130000) | (144820) | (150426) | (5606) |
| &nbsp;&nbsp;&nbsp; Euro  | BNP Paribas  | EUR per USD  | 4/22/2026  | (250000) | (281000) | (289282) | (8282) |
| &nbsp;&nbsp;&nbsp; Euro  | BNP Paribas  | EUR per USD  | 4/22/2026  | (290000) | (322625) | (335567) | (12942) |
| &nbsp;&nbsp;&nbsp; Euro  | BNP Paribas  | EUR per USD  | 4/22/2026  | (300000) | (333840) | (347138) | (13298) |
| &nbsp;&nbsp;&nbsp; Euro  | BNP Paribas  | EUR per USD  | 4/22/2026  | (360000) | (423000) | (416565) | 6435 |
| &nbsp;&nbsp;&nbsp; Euro  | BNP Paribas  | EUR per USD  | 4/22/2026  | (360000) | (400500) | (416565) | (16065) |
| &nbsp;&nbsp;&nbsp; Euro  | BNP Paribas  | EUR per USD  | 4/22/2026  | (390000) | (439140) | (451279) | (12139) |
| &nbsp;&nbsp;&nbsp; Euro  | BNP Paribas  | EUR per USD  | 4/22/2026  | (410000) | (483718) | (474422) | 9296 |
| &nbsp;&nbsp;&nbsp; Euro  | BNP Paribas  | EUR per USD  | 4/22/2026  | (1448000) | (1595696) | (1675519) | (79823) |
| &nbsp;&nbsp;&nbsp; Euro  | BNP Paribas  | EUR per USD  | 4/27/2026  | (3220000) | (3718456) | (3726917) | (8461) |
| &nbsp;&nbsp;&nbsp; Euro  | BNP Paribas  | EUR per USD  | 4/27/2026  | (4862000) | (5631168) | (5627412) | 3756 |
| &nbsp;&nbsp;&nbsp; Euro  | BNP Paribas  | EUR per USD  | 5/15/2026  | (5589000) | (6423438) | (6473695) | (50257) |
| &nbsp;&nbsp;&nbsp; Euro  | BNP Paribas  | EUR per USD  | 5/15/2026  | (83395000) | (99345128) | (96595779) | 2749349 |
| &nbsp;&nbsp;&nbsp; Euro  | BNP Paribas  | EUR per USD  | 5/22/2026  | (350000) | (410585) | (405538) | 5047 |
| &nbsp;&nbsp;&nbsp; Euro  | BNP Paribas  | EUR per USD  | 5/22/2026  | (420000) | (454650) | (486646) | (31996) |
| &nbsp;&nbsp;&nbsp; Euro  | BNP Paribas  | EUR per USD  | 5/22/2026  | (640000) | (716480) | (741556) | (25076) |
| &nbsp;&nbsp;&nbsp; Euro  | BNP Paribas  | EUR per USD  | 5/22/2026  | (740000) | (830502) | (857424) | (26922) |
| &nbsp;&nbsp;&nbsp; Euro  | BNP Paribas  | EUR per USD  | 5/22/2026  | (7040000) | (7895360) | (8157111) | (261751) |
| &nbsp;&nbsp;&nbsp; Euro  | BNP Paribas  | EUR per USD  | 5/27/2026  | (3220000) | (3723608) | (3731845) | (8237) |
| &nbsp;&nbsp;&nbsp; Euro  | BNP Paribas  | EUR per USD  | 5/27/2026  | (4862000) | (5638948) | (5634854) | 4094 |
| &nbsp;&nbsp;&nbsp; Euro  | BNP Paribas  | EUR per USD  | 6/15/2026  | (5589000) | (6432380) | (6482428) | (50048) |
| &nbsp;&nbsp;&nbsp; Euro  | BNP Paribas  | EUR per USD  | 6/15/2026  | (84450000) | (98273620) | (97949738) | 323882 |
| &nbsp;&nbsp;&nbsp; Euro  | BNP Paribas  | EUR per USD  | 6/18/2026  | (9472000) | (10656000) | (10987665) | (331665) |
| &nbsp;&nbsp;&nbsp; Euro  | BNP Paribas  | EUR per USD  | 6/26/2026  | (3220000) | (3728438) | (3736629) | (8191) |
| &nbsp;&nbsp;&nbsp; Euro  | BNP Paribas  | EUR per USD  | 6/26/2026  | (4862000) | (5646241) | (5642077) | 4164 |
| &nbsp;&nbsp;&nbsp; Euro  | BNP Paribas  | EUR per USD  | 7/16/2026  | (360000) | (426852) | (418048) | 8804 |
| &nbsp;&nbsp;&nbsp; Euro  | BNP Paribas  | EUR per USD  | 7/16/2026  | (4000000) | (4770000) | (4643626) | 126374 |
| &nbsp;&nbsp;&nbsp; Euro  | BNP Paribas  | EUR per USD  | 7/22/2026  | (250000) | (279300) | (290311) | (11011) |
| &nbsp;&nbsp;&nbsp; Euro  | BNP Paribas  | EUR per USD  | 7/22/2026  | (360000) | (424620) | (418048) | 6572 |

---

------

[**TABLE OF CONTENTS**](#TOC)

#### First Trust Alternative Opportunities Fund <br> CONSOLIDATED SCHEDULE OF INVESTMENTS — Continued <br> As of March 31, 2026

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| | **Counterparty**  | **Currency <br> Exchange**  | **Settlement <br> Date**  | **Currency <br> Amount <br> Purchased <br> (Sold)**  | **Value At <br> Settlement <br> Date**  | **Value At <br> March 31, <br> 2026**  | **Unrealized <br> Appreciation <br> (Depreciation)**  |
| &nbsp;&nbsp;&nbsp; Euro  | BNP Paribas  | EUR per USD  | 7/22/2026  | $(370000) | $(418396) | $(429661) | $(11265) |
| &nbsp;&nbsp;&nbsp; Euro  | BNP Paribas  | EUR per USD  | 8/21/2026  | (330000) | (359040) | (383691) | (24651) |
| &nbsp;&nbsp;&nbsp; Euro  | BNP Paribas  | EUR per USD  | 8/21/2026  | (350000) | (412510) | (406945) | 5565 |
| &nbsp;&nbsp;&nbsp; Euro  | BNP Paribas  | EUR per USD  | 8/21/2026  | (730000) | (821250) | (848770) | (27520) |
| &nbsp;&nbsp;&nbsp; Euro  | BNP Paribas  | EUR per USD  | 8/24/2026  | (540000) | (606690) | (627936) | (21246) |
| &nbsp;&nbsp;&nbsp; Euro  | BNP Paribas  | EUR per USD  | 10/22/2026  | (120000) | (134340) | (139720) | (5380) |
| &nbsp;&nbsp;&nbsp; Euro  | BNP Paribas  | EUR per USD  | 10/22/2026  | (120000) | (133860) | (139349) | (5489) |
| &nbsp;&nbsp;&nbsp; Euro  | BNP Paribas  | EUR per USD  | 10/22/2026  | (280000) | (313964) | (326014) | (12050) |
| &nbsp;&nbsp;&nbsp; Euro  | BNP Paribas  | EUR per USD  | 10/22/2026  | (360000) | (408672) | (419161) | (10489) |
| &nbsp;&nbsp;&nbsp; Euro  | BNP Paribas  | EUR per USD  | 10/22/2026  | (380000) | (425410) | (442447) | (17037) |
| &nbsp;&nbsp;&nbsp; Euro  | BNP Paribas  | EUR per USD  | 10/22/2026  | (400000) | (447800) | (465734) | (17934) |
| &nbsp;&nbsp;&nbsp; Euro  | BNP Paribas  | EUR per USD  | 10/22/2026  | (410000) | (485276) | (477378) | 7898 |
| &nbsp;&nbsp;&nbsp; Euro  | BNP Paribas  | EUR per USD  | 10/22/2026  | (430000) | (512044) | (500664) | 11380 |
| &nbsp;&nbsp;&nbsp; Euro  | BNP Paribas  | EUR per USD  | 10/22/2026  | (440000) | (491040) | (510948) | (19908) |
| &nbsp;&nbsp;&nbsp; Euro  | BNP Paribas  | EUR per USD  | 10/22/2026  | (480000) | (535920) | (557398) | (21478) |
| &nbsp;&nbsp;&nbsp; Euro  | BNP Paribas  | EUR per USD  | 10/22/2026  | (2608000) | (2914440) | (3028528) | (114088) |
| &nbsp;&nbsp;&nbsp; Euro  | BNP Paribas  | EUR per USD  | 11/6/2026  | (10936000) | (12248320) | (12740055) | (491735) |
| &nbsp;&nbsp;&nbsp; Euro  | BNP Paribas  | EUR per USD  | 11/20/2026  | (280000) | (331380) | (326355) | 5025 |
| &nbsp;&nbsp;&nbsp; Euro  | BNP Paribas  | EUR per USD  | 11/20/2026  | (330000) | (360855) | (384632) | (23777) |
| &nbsp;&nbsp;&nbsp; Euro  | BNP Paribas  | EUR per USD  | 11/20/2026  | (9320000) | (10503640) | (10862952) | (359312) |
| &nbsp;&nbsp;&nbsp; Euro  | BNP Paribas  | EUR per USD  | 11/23/2026  | (600000) | (676500) | (699407) | (22907) |
| &nbsp;&nbsp;&nbsp; Euro  | BNP Paribas  | EUR per USD  | 12/23/2026  | (1649000) | (1763605) | (1924286) | (160681) |
| &nbsp;&nbsp;&nbsp; Euro  | BNP Paribas  | EUR per USD  | 1/22/2027  | (110000) | (123530) | (128503) | (4973) |
| &nbsp;&nbsp;&nbsp; Euro  | BNP Paribas  | EUR per USD  | 1/22/2027  | (240000) | (269976) | (280369) | (10393) |
| &nbsp;&nbsp;&nbsp; Euro  | BNP Paribas  | EUR per USD  | 1/22/2027  | (260000) | (308750) | (303734) | 5016 |
| &nbsp;&nbsp;&nbsp; Euro  | BNP Paribas  | EUR per USD  | 1/22/2027  | (270000) | (304749) | (315897) | (11148) |
| &nbsp;&nbsp;&nbsp; Euro  | BNP Paribas  | EUR per USD  | 1/22/2027  | (290000) | (330542) | (338780) | (8238) |
| &nbsp;&nbsp;&nbsp; Euro  | BNP Paribas  | EUR per USD  | 1/22/2027  | (300000) | (343200) | (350997) | (7797) |
| &nbsp;&nbsp;&nbsp; Euro  | BNP Paribas  | EUR per USD  | 1/22/2027  | (300000) | (358710) | (350462) | 8248 |
| &nbsp;&nbsp;&nbsp; Euro  | BNP Paribas  | EUR per USD  | 1/22/2027  | (340000) | (404906) | (397797) | 7109 |
| &nbsp;&nbsp;&nbsp; Euro  | BNP Paribas  | EUR per USD  | 1/22/2027  | (410000) | (460225) | (478965) | (18740) |
| &nbsp;&nbsp;&nbsp; Euro  | BNP Paribas  | EUR per USD  | 1/22/2027  | (410000) | (492082) | (479696) | 12386 |
| &nbsp;&nbsp;&nbsp; Euro  | BNP Paribas  | EUR per USD  | 2/22/2027  | (270000) | (320841) | (315769) | 5072 |
| &nbsp;&nbsp;&nbsp; Euro  | BNP Paribas  | EUR per USD  | 2/22/2027  | (630000) | (713160) | (736795) | (23635) |
| &nbsp;&nbsp;&nbsp; Euro  | BNP Paribas  | EUR per USD  | 2/22/2027  | (5472000) | (6013728) | (6399592) | (385864) |
| &nbsp;&nbsp;&nbsp; Euro  | BNP Paribas  | EUR per USD  | 4/22/2027  | (130000) | (146380) | (152099) | (5719) |
| &nbsp;&nbsp;&nbsp; Euro  | BNP Paribas  | EUR per USD  | 4/22/2027  | (430000) | (484180) | (503096) | (18916) |
| &nbsp;&nbsp;&nbsp; Euro  | BNP Paribas  | EUR per USD  | 5/21/2027  | (270000) | (321975) | (316188) | 5787 |
| &nbsp;&nbsp;&nbsp; Euro  | BNP Paribas  | EUR per USD  | 5/24/2027  | (650000) | (738725) | (761266) | (22541) |
| &nbsp;&nbsp;&nbsp; Euro  | BNP Paribas  | EUR per USD  | 6/4/2027  | (14224000) | (16144240) | (16664671) | (520431) |
| &nbsp;&nbsp;&nbsp; Euro  | BNP Paribas  | EUR per USD  | 7/22/2027  | (210000) | (250782) | (246409) | 4373 |
| &nbsp;&nbsp;&nbsp; Euro  | BNP Paribas  | EUR per USD  | 7/22/2027  | (240000) | (271752) | (281610) | (9858) |
| &nbsp;&nbsp;&nbsp; Euro  | BNP Paribas  | EUR per USD  | 7/22/2027  | (310000) | (373364) | (363747) | 9617 |
| &nbsp;&nbsp;&nbsp; Euro  | BNP Paribas  | EUR per USD  | 7/22/2027  | (410000) | (462480) | (481085) | (18605) |
| &nbsp;&nbsp;&nbsp; Euro  | BNP Paribas  | EUR per USD  | 7/22/2027  | (4208000) | (4830784) | (4937571) | (106787) |
| &nbsp;&nbsp;&nbsp; Euro  | BNP Paribas  | EUR per USD  | 7/30/2027  | (8776000) | (9901083) | (10300179) | (399096) |
| &nbsp;&nbsp;&nbsp; Euro  | BNP Paribas  | EUR per USD  | 8/2/2027  | (1120000) | (1264480) | (1314642) | (50162) |
| &nbsp;&nbsp;&nbsp; Euro  | BNP Paribas  | EUR per USD  | 8/20/2027  | (5968000) | (7142502) | (7009181) | 133321 |
| &nbsp;&nbsp;&nbsp; Euro  | BNP Paribas  | EUR per USD  | 10/22/2027  | (270000) | (306612) | (317742) | (11130) |

---

------

[**TABLE OF CONTENTS**](#TOC)

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| | **Counterparty**  | **Currency <br> Exchange**  | **Settlement <br> Date**  | **Currency <br> Amount <br> Purchased <br> (Sold)**  | **Value At <br> Settlement <br> Date**  | **Value At <br> March 31, <br> 2026**  | **Unrealized <br> Appreciation <br> (Depreciation)**  |
| &nbsp;&nbsp;&nbsp; Euro  | BNP Paribas  | EUR per USD  | 10/22/2027  | $(280000) | $(335300) | $(329510) | $5790 |
| &nbsp;&nbsp;&nbsp; Euro  | BNP Paribas  | EUR per USD  | 10/22/2027  | (400000) | (483400) | (470729) | 12671 |
| &nbsp;&nbsp;&nbsp; Euro  | BNP Paribas  | EUR per USD  | 1/21/2028  | (290000) | (351712) | (342272) | 9440 |
| &nbsp;&nbsp;&nbsp; Euro  | BNP Paribas  | EUR per USD  | 1/21/2028  | (4968000) | (5971635) | (5863472) | 108163 |
| &nbsp;&nbsp;&nbsp; Euro  | BNP Paribas  | EUR per USD  | 1/24/2028  | (230000) | (261970) | (271483) | (9513) |
| &nbsp;&nbsp;&nbsp; Euro  | BNP Paribas  | EUR per USD  | 3/13/2028  | (5656000) | (6447840) | (6686608) | (238768) |
| &nbsp;&nbsp;&nbsp; Euro  | BNP Paribas  | EUR per USD  | 3/13/2028  | (9064000) | (11017292) | (10715597) | 301695 |
| &nbsp;&nbsp;&nbsp; Euro  | BNP Paribas  | EUR per USD  | 4/21/2028  | (390000) | (474825) | (461641) | 13184 |
| &nbsp;&nbsp;&nbsp; Great British Pound  | BNP Paribas  | GBP per USD  | 4/15/2026  | (17080000) | (22987289) | (22606797) | 380492 |
| &nbsp;&nbsp;&nbsp; Great British Pound  | BNP Paribas  | GBP per USD  | 5/15/2026  | (19455000) | (26581756) | (25748091) | 833665 |
| &nbsp;&nbsp;&nbsp; Great British Pound  | BNP Paribas  | GBP per USD  | 6/15/2026  | (19131000) | (25666150) | (25315229) | 350921 |
| &nbsp;&nbsp;&nbsp; Swedish Krona  | BNP Paribas  | SEK per USD  | 4/15/2026  | (23942000) | (2617050) | (2531181) | 85869 |
| &nbsp;&nbsp;&nbsp; Swedish Krona  | BNP Paribas  | SEK per USD  | 5/15/2026  | (38606500) | (4346331) | (4087627) | 258704 |
| &nbsp;&nbsp;&nbsp; Swedish Krona  | BNP Paribas  | SEK per USD  | 6/15/2026  | (38210700) | (4176028) | (4051898) | 124130 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **TOTAL SALE CONTRACTS**  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **TOTAL SALE CONTRACTS**  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **TOTAL SALE CONTRACTS**  |  |  | $**(573913330)** | $**(571011464)** | $**2901866** |
|  **TOTAL FORWARD FOREIGN CURRENCY <br> EXCHANGE CONTRACTS**  | **TOTAL FORWARD FOREIGN CURRENCY <br> EXCHANGE CONTRACTS**  | **TOTAL FORWARD FOREIGN CURRENCY <br> EXCHANGE CONTRACTS**  |  |  | $**(558267917)** | $**(554993558)** | $**3274359** |

---

EUR – Euro

GBP – British Pound Sterling

SEK – Swedish Krona

*See accompanying Notes to Consolidated Financial Statements.* 

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[**TABLE OF CONTENTS**](#TOC)

#### First Trust Alternative Opportunities Fund <br> CONSOLIDATED PORTFOLIO COMPOSITION <br> As of March 31, 2026 (Unaudited)

---

| | | |
|:---|:---|:---|
| **Country of Incorporation\***  | **Value**  | **Percent of <br> Total Net Assets**  |
| Canada  | $458147 | 0.0% |
| Cayman Islands  | 42799969 | 1.4% |
| European Union  | 516979021 | 16.6% |
| Israel  | 1 | 0.0% |
| Singapore  | 20164 | 0.0% |
| Switzerland  | —<sup>1</sup> | 0.0% |
| United Kingdom  | 70341072 | 2.1% |
| United States  | 2777797400 | 85.1% |
| Virgin Islands (British)  | 415990 | 0.0% |
| **Total Investments**  | **3408811834** | 105.2% |
| Liabilities in Excess of Other Assets  | (169317636) | (5.2)% |
| **Total Net Assets**  | $**3239494198** | **100.0%** |

---

<sup>1</sup> Amount represents less than $0.50.

\* This table does not include forward foreign currency exchange contracts. Please refer to the Consolidated Schedule of Investments for information on forward foreign currency exchange contracts.

See accompanying Notes to Consolidated Financial Statements.

------

[**TABLE OF CONTENTS**](#TOC)

#### First Trust Alternative Opportunities Fund <br> CONSOLIDATED SUMMARY OF INVESTMENTS <br> As of March 31, 2026 (Unaudited)

---

| | |
|:---|:---|
| **Security Type/Sector\***  | **Percent of <br> Total Net Assets**  |
| Asset-Backed Securities  | 14.6% |
| Bank Loans  | 16.0% |
| Closed-End Funds  | 2.5% |
| Collateralized Loan Obligations  | 16.2% |
| Collateralized Mortgage Obligations  | 0.0% |
| Common Stocks |  |
| &nbsp;&nbsp;&nbsp; Consumer Staples  | 0.1% |
| &nbsp;&nbsp;&nbsp; Financials  | 1.1% |
| &nbsp;&nbsp;&nbsp; Health Care  | 0.0% |
| &nbsp;&nbsp;&nbsp; Industrials  | 0.0% |
| &nbsp;&nbsp;&nbsp; Technology  | 1.0% |
| **Total Common Stocks**  | **2.2%** |
| Corporate Bonds |  |
| &nbsp;&nbsp;&nbsp; Financials  | 0.6% |
| Mutual Funds  | 1.1% |
| Preferred Stocks |  |
| &nbsp;&nbsp;&nbsp; Consumer Non-Cyclical  | 0.3% |
| &nbsp;&nbsp;&nbsp; Consumer Staples  | 0.1% |
| &nbsp;&nbsp;&nbsp; Financials  | 1.1% |
| &nbsp;&nbsp;&nbsp; Technology  | 0.6% |
| **Total Preferred Stocks**  | **2.1%** |
| Private Investment Vehicles |  |
| &nbsp;&nbsp;&nbsp; Investment Partnerships  | 31.2% |
| &nbsp;&nbsp;&nbsp; Non-Listed Business Development Companies  | 3.4% |
| &nbsp;&nbsp;&nbsp; Private Collateralized Loan Obligations  | 3.8% |
| **Total Private Investment Vehicles**  | **38.4%** |
| Real Estate Investment Trusts  | 7.0% |
| Rights  | 0.0% |
| Special Purpose Acquisition Companies |  |
| &nbsp;&nbsp;&nbsp; Financials  | 0.4% |
| Warrants  | 0.1% |
| Short-Term Investments  | 4.0% |
| **Total Investments**  | **105.2%** |
| Liabilities in Excess of Other Assets  | (5.2)% |
| **Total Net Assets**  | **100.0%** |

---

\* This table does not include forward foreign currency exchange contracts. Please refer to the Consolidated Schedule of Investments for information on forward foreign currency exchange contracts.

See accompanying Notes to Consolidated Financial Statements.

------

[**TABLE OF CONTENTS**](#TOC)

#### First Trust Alternative Opportunities Fund <br> CONSOLIDATED STATEMENT OF ASSETS AND LIABILITIES <br> As of March 31, 2026

---

| | |
|:---|:---|
| **Assets:** |  |
| &nbsp;&nbsp;&nbsp; Investments in securities, at fair value  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Unaffiliated investments (Cost $2,481,071,144)  | $2678929005 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Affiliated investments (Cost $674,835,783)  | 600906412 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Short-term investments (Cost $128,976,417)  | 128976417 |
| &nbsp;&nbsp;&nbsp; Cash  | 7106173 |
| &nbsp;&nbsp;&nbsp; Cash deposited with broker  | 162600 |
| &nbsp;&nbsp;&nbsp; Cash denominated in foreign currency, at value (Cost $5,059,575)  | 5095850 |
| &nbsp;&nbsp;&nbsp; Unrealized appreciation on forward foreign currency exchange contracts  | 7563108 |
| &nbsp;&nbsp;&nbsp; Receivables:  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Investment securities sold  | 62279339 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Investment securities purchased cancelled  | 33500000 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Dividends and interest  | 17692017 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Investments purchased in advance  | 17000000 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Fund shares sold  | 2176625 |
| &nbsp;&nbsp;&nbsp; Prepaid expenses  | 783854 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total assets  | 3562171400 |
| **Liabilities:** |  |
| &nbsp;&nbsp;&nbsp; Line of credit payable (Note 13)  | 100000000 |
| &nbsp;&nbsp;&nbsp; Unrealized depreciation on forward foreign currency exchange contracts  | 4288749 |
| &nbsp;&nbsp;&nbsp; Payables:  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Fund shares redeemed  | 207105701 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Investment securities purchased  | 6960000 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Investment Management fees  | 1263501 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pricing and research expense  | 1175769 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Fund services expense  | 596400 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Distribution fees – Class I (Note 3)  | 536962 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Tax expense  | 242470 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Unused line of credit fees (Note 13)  | 168390 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; SEC fees  | 116000 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Legal fees  | 85426 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Audit fees  | 80250 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Tax services fees  | 30937 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shareholder reporting fees  | 8448 |
| &nbsp;&nbsp;&nbsp; Accrued other expenses  | 18199 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total liabilities  | 322677202 |
| Commitments and contingencies (Note 3 & Note 12) |  |
| **Net Assets**  | $3239494198 |

---

See accompanying Notes to Consolidated Financial Statements.

------

[**TABLE OF CONTENTS**](#TOC)

#### First Trust Alternative Opportunities Fund <br> CONSOLIDATED STATEMENT OF ASSETS AND LIABILITIES — Continued <br> As of March 31, 2026

---

| | |
|:---|:---|
| **Components of Net Assets:** |  |
| &nbsp;&nbsp;&nbsp; Paid-in capital (par value of $0.01 per share with an unlimited number of shares authorized)  | $3160908186 |
| &nbsp;&nbsp;&nbsp; Total accumulated earnings (deficit)  | 78586012 |
| **Net Assets**  | $3239494198 |
| **Maximum Offering Price per Share:** |  |
| &nbsp;&nbsp;&nbsp; Class A Shares  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Net assets applicable to shares outstanding  | $40228243 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares of common stock issued and outstanding  | 1492935 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Net asset value per share  | $26.951 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Maximum sales charge (4.50% of offering price)\*  | $1.27 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Maximum offer price to public  | $28.22 |
| &nbsp;&nbsp;&nbsp; Class I Shares  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Net assets applicable to shares outstanding  | $3199265955 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares of common stock issued and outstanding  | 116938955 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Net asset value per share  | $27.36 |

---

<sup>1</sup> Includes adjustments in accordance with GAAP and accordingly the returns and per unit net asset value for financial reporting may differ from the per unit net asset value and returns for shareholder transactions.

\* Investors in Class A Shares may be charged a sales charge of up to 4.50% of the subscription amount. For Class A Shares, no sales charge applies on investments of $250,000 or more, but a contingent deferred sales charge ("CDSC") of 1.25% will be imposed to the extent a finder's fee was paid on certain redemptions of such Shares within 12 months of the date of purchase.

See accompanying Notes to Consolidated Financial Statements.

------

[**TABLE OF CONTENTS**](#TOC)

#### First Trust Alternative Opportunities Fund <br> CONSOLIDATED STATEMENT OF OPERATIONS <br> For the Year Ended March 31, 2026

---

| | |
|:---|:---|
| **Investment Income:** |  |
| &nbsp;&nbsp;&nbsp; Dividends (net of foreign withholding taxes of $406,884)  | $18723986 |
| &nbsp;&nbsp;&nbsp; Dividends from affiliated issuers  | 23583296 |
| &nbsp;&nbsp;&nbsp; Interest  | 133289329 |
| &nbsp;&nbsp;&nbsp; Interest from affiliated issuers  | 13148696 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total investment income  | 188745307 |
| **Expenses:** |  |
| &nbsp;&nbsp;&nbsp; Investment Management fees (Note 3)  | 28998714 |
| &nbsp;&nbsp;&nbsp; Distribution fees – Class I (Note 3)  | 4897862 |
| &nbsp;&nbsp;&nbsp; Pricing and research expense  | 4805430 |
| &nbsp;&nbsp;&nbsp; Fund services expense  | 3320059 |
| &nbsp;&nbsp;&nbsp; Interest expense (Note 13)  | 1195543 |
| &nbsp;&nbsp;&nbsp; Shareholder reporting fees  | 510423 |
| &nbsp;&nbsp;&nbsp; Unused line of credit fees (Note 13)  | 358810 |
| &nbsp;&nbsp;&nbsp; Legal fees  | 280415 |
| &nbsp;&nbsp;&nbsp; Registration fees  | 245814 |
| &nbsp;&nbsp;&nbsp; Tax expense  | 245582 |
| &nbsp;&nbsp;&nbsp; Commitment fees (Note 13)  | 193942 |
| &nbsp;&nbsp;&nbsp; Audit fees  | 153000 |
| &nbsp;&nbsp;&nbsp; Chief Compliance Officer fees  | 133427 |
| &nbsp;&nbsp;&nbsp; SEC fees  | 116000 |
| &nbsp;&nbsp;&nbsp; Trustees' fees and expenses  | 88000 |
| &nbsp;&nbsp;&nbsp; Tax services fees  | 56056 |
| &nbsp;&nbsp;&nbsp; Insurance fees  | 36111 |
| &nbsp;&nbsp;&nbsp; Distribution fees – Class A (Note 3)  | 21137 |
| &nbsp;&nbsp;&nbsp; Interest on securities sold short  | 15325 |
| &nbsp;&nbsp;&nbsp; Dividends on securities sold short  | 361 |
| &nbsp;&nbsp;&nbsp; Miscellaneous  | 316241 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total expenses  | 45988252 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Investment Management fees recouped (waived)  | (2094838) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Net expenses  | 43893414 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Net investment income (loss)**  | 144851893 |
|  **Realized and Unrealized Gain (Loss) on Investments, Investments in Affiliated Issuers, Securities Sold Short, Forward Foreign Currency Exchange Contracts, Foreign Currency and Distributions of Long-Term Realized Gains from Regulated Investment Companies:**  |  |
| &nbsp;&nbsp;&nbsp; Net realized gain (loss) on:  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Investments  | 35972919 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Investments in affiliated issuers  | 67915 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Securities sold short  | 44486 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Forward foreign currency exchange contracts  | (26136839) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Foreign currency transactions  | 2850207 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Distributions of long-term realized gains from regulated investment companies  | 2475061 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Net realized gain (loss)  | 15273749 |
| &nbsp;&nbsp;&nbsp; Net change in unrealized appreciation/depreciation on:  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Investments  | 105766690 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Investments in affiliated issuers  | (39977860) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Securities sold short  | 5562 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Forward foreign currency exchange contracts  | 10497713 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Foreign currency translations  | (153794) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Net change in unrealized appreciation/depreciation  | 76138311 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Net realized and unrealized gain (loss) on investments, investments in affiliated issuers, securities <br> sold short, forward foreign currency exchange contracts, foreign currency and distributions of <br> long-term realized gains from regulated investment companies**  | 91412060 |
| &nbsp;&nbsp;&nbsp; **Net Increase (Decrease) in Net Assets from Operations**  | $236263953 |

---

See accompanying Notes to Consolidated Financial Statements.

------

[**TABLE OF CONTENTS**](#TOC)

#### First Trust Alternative Opportunities Fund <br> CONSOLIDATED STATEMENTS OF CHANGES IN NET ASSETS

---

| | | |
|:---|:---|:---|
| | **For the <br> Year Ended <br> March 31, 2026**  | **For the <br> Year Ended <br> March 31, 2025**  |
| **Increase (Decrease) in Net Assets from:** |  |  |
| **Operations:** |  |  |
| &nbsp;&nbsp;&nbsp; Net investment income (loss)  | $144851893 | $130667368 |
| &nbsp;&nbsp;&nbsp; Net realized gain (loss) on investments, investments in affiliated <br> issuers, securities sold short, forward foreign currency <br> exchange contracts, foreign currency and distributions of <br> long-term realized gains from regulated investment <br> companies  | 15273749 | 25848611 |
| &nbsp;&nbsp;&nbsp; Net change in unrealized appreciation/depreciation on investments, investments in affiliated issuers, securities sold short, forward foreign currency exchange contracts and foreign currency  | 76138311 | 25867598 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Net increase (decrease) in net assets from <br> operations**  | **236263953**  | **182383577**  |
| **Distributions to Shareholders:**  |  |  |
| &nbsp;&nbsp;&nbsp; Distributions:  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Class A  | (1994752) | (1372478) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Class I  | (195566137) | (161973157) |
| &nbsp;&nbsp;&nbsp; Return of capital:  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Class A  | (101871) |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Class I  | (9860529) |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total distributions to shareholders**  | (207523289) | (163345635) |
| **Capital Transactions:** |  |  |
| &nbsp;&nbsp;&nbsp; Net proceeds from shares sold:  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Class A  | 21150432 | 14576604 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Class I  | 1194070149 | 1191475534 |
| &nbsp;&nbsp;&nbsp; Reinvestment of distributions:  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Class A  | 431271 | 313605 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Class I  | 36194674 | 28615451 |
| &nbsp;&nbsp;&nbsp; Cost of shares redeemed:  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Class A  | (4133559) | (1966206) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Class I  | (514217074) | (300995666) |
| &nbsp;&nbsp;&nbsp; Net increase from payments by affiliates (Note 3):  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Class A  | 66 | 828 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Class I  |  | 58866 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Net increase (decrease) in net assets from capital transactions**  | 733495959 | 932079016 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total increase (decrease) in net assets**  | 762236623 | 951116958 |
| **Net Assets:** |  |  |
| &nbsp;&nbsp;&nbsp; Beginning of period  | 2477257575 | 1526140617 |
| &nbsp;&nbsp;&nbsp; End of period  | $3239494198 | $2477257575 |
| **Capital Share Transactions:** |  |  |
| &nbsp;&nbsp;&nbsp; Shares sold:  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Class A  | 787049 | 548439 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Class I  | 43918490 | 44066842 |
| &nbsp;&nbsp;&nbsp; Shares reinvested:  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Class A  | 16094 | 11826 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Class I  | 1332702 | 1062263 |
| &nbsp;&nbsp;&nbsp; Shares redeemed:  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Class A  | (153906) | (73710) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Class I  | (18812413) | (11124637) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Net increase (decrease) in capital share transactions**  | 27088016 | 34491023 |

---

See accompanying Notes to Consolidated Financial Statements.

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[**TABLE OF CONTENTS**](#TOC)

#### First Trust Alternative Opportunities Fund <br> CONSOLIDATED STATEMENT OF CASH FLOWS <br> For the Year Ended March 31, 2026

---

| | |
|:---|:---|
| &nbsp;&nbsp;&nbsp; Cash flows provided by (used in) operating activities:  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Net increase (decrease) in net assets from operations  | $236263953 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Adjustments to reconcile net increase (decrease) in net assets from operations to net cash provided <br> by (used in) operating activities:  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Purchases of long-term portfolio investments  | (1746237049) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Sales of long-term portfolio investments  | 939763865 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Proceeds from securities sold short  | 22674259 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Covers of securities sold short  | (22723141) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Change in short-term investments, net  | 27397447 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Net amortization on investments  | (2376705) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Net realized (gain) loss on paydowns  | (4752938) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Net realized (gain) loss on investments, investments in affiliated issuers, and securities <br> sold short  | (36056883) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Net change in unrealized appreciation/depreciation on investments, investments in affiliated issuers, <br> and securities sold short  | (65794392) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Net change in unrealized appreciation/depreciation on forward foreign currency exchange <br> contracts  | (10497713) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Return of capital dividends received  | 45546414 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (Increase) Decrease in operating assets:  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Investment securities sold  | (62279339) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Investment securities purchased cancelled  | (33500000) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Dividends and interest  | (3451678) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Investments purchased in advance  | (12000000) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Prepaid expenses  | (644431) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Increase (Decrease) in operating liabilities:  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Investment securities purchased  | 4607264 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Investment Management Fees  | (440936) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Distribution fees – Class I (Note 3)  | 191129 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pricing and research expense  | 634960 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Fund services expense  | 212431 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shareholder reporting fees  | (35901) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Unused line of credit fees (Note 13)  | 138543 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Legal fees  | 8525 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Tax expense  | 242470 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Audit fees  | (52250) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; SEC fees  | 116000 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Tax services fees  | 9833 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Distribution fees-Class A (Note 3)  | (122683) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Extraordinary litigation fees  | (23113) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Accrued other expenses  | 6822 |
| &nbsp;&nbsp;&nbsp; Net cash provided by (used in) operating activities  | (723175237) |
| &nbsp;&nbsp;&nbsp; Cash flows provided by (used in) financing activities:  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Proceeds from shares sold  | 1217133292 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Cost of shares redeemed  | (396262424) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Draws on line of credit  | 524000000 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Paydowns on line of credit  | (444000000) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Net increase from payments by affiliates (Note 3)  | 66 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Dividends paid to shareholders, net of reinvestments  | (170897344) |
| &nbsp;&nbsp;&nbsp; Net cash provided by (used in) financing activities  | 729973590 |
| Net increase (decrease) in cash, cash deposited with broker and foreign currency  | 6798353 |
| Cash, cash deposited with broker and foreign currency: |  |
| &nbsp;&nbsp;&nbsp; Beginning of period balances:  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Cash  | 1540280 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Cash deposited with broker  | 265292 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Cash denominated in foreign currency, at value  | 3760698 |
| &nbsp;&nbsp;&nbsp; Total beginning of period balances  | 5566270 |
| &nbsp;&nbsp;&nbsp; End of period balances:  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Cash  | 7106173 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Cash deposited with broker  | 162600 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Cash denominated in foreign currency, at value  | 5095850 |
| &nbsp;&nbsp;&nbsp; Total end of period balances  | $12364623 |
| Supplemental disclosure of non-cash activities: |  |
| &nbsp;&nbsp;&nbsp; Reinvested dividends  | $36625945 |
| Supplemental disclosure of cash flow information: |  |
| &nbsp;&nbsp;&nbsp; Interest paid  | $1210868 |
| &nbsp;&nbsp;&nbsp; Taxes paid  | $3112 |

---

See accompanying Notes to Consolidated Financial Statements.

------

[**TABLE OF CONTENTS**](#TOC)

#### First Trust Alternative Opportunities Fund <br> CONSOLIDATED FINANCIAL HIGHLIGHTS <br> Class A
*Per share operating performance.<br>For a capital share outstanding throughout each period.* 

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| | **For the Year Ended March 31,**  | **For the Year Ended March 31,**  | **For the Year Ended March 31,**  | **For the Year Ended March 31,**  | **For the Period <br> August 2, 2021\* <br> Through <br> March 31, 2022**  |
| | **2026**  | **2025**  | **2024**  | **2023**  | **For the Period <br> August 2, 2021\* <br> Through <br> March 31, 2022**  |
|  **Net asset value, beginning of <br> period**  | $26.71 | $26.48 | $25.97 | $27.65 | $27.29 |
|  **Income (Loss) from investment operations:**  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Net investment income (loss)<sup>1</sup>  | 1.29 | 1.64 | 1.73 | 1.05 | 0.21 |
| &nbsp;&nbsp;&nbsp; Net realized and unrealized gain <br> (loss)  | 0.83 | 0.67 | 0.59 | (0.88) | 1.19 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total from investment operations  | 2.12 | 2.31 | 2.32 | 0.17 | 1.40 |
| **Less distributions:** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp; From net investment income  | (1.79) | (1.96) | (1.81) | (1.71) | (0.79) |
| &nbsp;&nbsp;&nbsp; From net realized gains  |  | (0.12) |  | (0.14) | (0.25) |
| &nbsp;&nbsp;&nbsp; From return of capital  | (0.09) |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total distributions  | (1.88) | (2.08) | (1.81) | (1.85) | (1.04) |
|  **Net increase from payments by affiliates (Note 3)**  | 0.00<sup>2</sup> | 0.00<sup>2</sup> |  | 0.00<sup>2</sup> |  |
| **Net asset value, end of period**  | $26.95 | $26.71 | $26.48 | $25.97 | $27.65 |
| **Total return<sup>3</sup>**  | 8.23%<sup>4,5</sup> | 9.11%<sup>4,6</sup> | 9.32% | 0.69%<sup>7</sup> | 5.17%<sup>8</sup> |
| **Ratios and Supplemental Data:** |  |  |  |  |  |
| Net assets, end of period (in thousands)  | $40228 | $22534 | $9456 | $1388 | $1 |
| Ratio of expenses to average net assets:  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp; (including commitment fees, dividends and interest on <br> securities sold short, excise tax, extraordinary <br> litigation fees, interest expense and unused line of credit fees)  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Before fees waived/recovered<sup>9,10</sup>  | 1.44% | 1.88% | 2.18% | 2.24% | 2.05%<sup>11</sup> |
| &nbsp;&nbsp;&nbsp; After fees waived/recovered<sup>9,10</sup>  | 1.50% | 1.89% | 2.15%<sup>12</sup> | 2.04% | —13 |
|  Ratio of net investment income (loss) to average net assets:  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp; (including commitment fees, dividends and interest on <br> securities sold short, excise tax, extraordinary <br> litigation fees, interest expense and unused line of credit fees)  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Before fees waived/recovered<sup>14</sup>  | 4.85% | 6.17% | 6.58% | 3.84% | 1.90%<sup>11</sup> |
| &nbsp;&nbsp;&nbsp; After fees waived/recovered<sup>14</sup>  | 4.78% | 6.16% | 6.61% | 4.04% |  |
| Portfolio turnover rate  | 31% | 26% | 15% | 11% | 26%<sup>8</sup> |
| **Senior Securities** |  |  |  |  |  |
| Total borrowings (000's omitted)  | $100000 | $20000 |  |  |  |
|  Asset coverage per $1,000 unit of senior indebtedness<sup>15</sup>  | $33397 | $124863 |  |  |  |

---

\* Commencement of operations.

See accompanying Notes to Consolidated Financial Statements.

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[**TABLE OF CONTENTS**](#TOC)

#### First Trust Alternative Opportunities Fund <br> CONSOLIDATED FINANCIAL HIGHLIGHTS <br> Class A — Continued

<sup>1</sup> Based on average Shares outstanding for the period.

<sup>2</sup> Amount represents less than $0.01 per share.

<sup>3</sup> Total returns would have been higher/lower had expenses not been recovered/waived by the Investment Manager. Returns shown include Rule 12b-1 fees of up to 1.00% and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Class A Shares.

<sup>4</sup> Includes adjustments in accordance with GAAP and accordingly the returns and per unit net asset value for financial reporting may differ from the per unit net asset value and returns for shareholder transactions.

<sup>5</sup> The Fund's Administrator reimbursed the Fund's Class A Shares $66 for losses from an expense error. For the year ended March 31, 2026, the reimbursement is included as a net increase from payment by affiliates on the Statement of Changes. The payment had no impact to the total return of the share class.

<sup>6</sup> The Investment Manager reimbursed the Fund's Class A Shares $828 for losses from a pricing error. For the year ended March 31, 2025, the reimbursement is included as a net increase from payment by affiliates on the Statement of Changes. The payment had no impact to the total return of the share class.

<sup>7</sup> The Investment Manager reimbursed the Fund's Class A Shares $37 for losses from a pricing error. For the year ended March 31, 2023, the reimbursement is included as a net increase from payment by affiliates on the Statement of Changes. The payment had no impact to the total return of the share class.

<sup>8</sup> Not annualized.

<sup>9</sup> If commitment fees, dividends and interest on securities sold short, excise tax, extraordinary litigation fees, interest expense, and unused line of credit fees had been excluded, the expense ratios would have been lowered by 0.07%, 0.05%, 0.02%, 0.04% and 0.07%, for the years ended March 31, 2026, 2025, 2024 and 2023 and the period ended March 31, 2022, respectively.

<sup>10</sup> Ratios do not reflect the Fund's proportionate share of the expenses of the private investment vehicles.

<sup>11</sup> Annualized.

<sup>12</sup> Effective August 1, 2023, the Investment Manager has contractually agreed to limit the annual fund operating expenses to 2.15%. Prior to August 1, 2023, the annual fund operating expense limitation was 2.00%.

<sup>13</sup> Effective November 2, 2021, the Investment Manager has contractually agreed to limit the annual fund operating expenses to 2.00%. Prior to November 2, 2021, the annual fund operating expense limitation was 1.95%.

<sup>14</sup> Ratios do not reflect the Fund's proportionate share of the income and expenses of the private investment vehicles.

<sup>15</sup> Calculated by subtracting the Fund's total liabilities (not including borrowings) from the Fund's total assets and dividing this by the total number of senior indebtedness units, where one unit equals $1,000 of senior indebtedness.

See accompanying Notes to Consolidated Financial Statements.

------

[**TABLE OF CONTENTS**](#TOC)

#### First Trust Alternative Opportunities Fund <br> CONSOLIDATED FINANCIAL HIGHLIGHTS <br> Class I
*Per share operating performance.<br>For a capital share outstanding throughout each year.* 

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| | **For the Year Ended March 31,**  | **For the Year Ended March 31,**  | **For the Year Ended March 31,**  | **For the Year Ended March 31,**  | **For the Year Ended March 31,**  |
| | **2026**  | **2025**  | **2024**  | **2023**  | **2022**  |
| **Net asset value, beginning of year**  | $27.12 | $26.85 | $26.29 | $27.73 | 26.62 |
|  **Income (Loss) from investment operations:**  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Net investment income (loss)<sup>1</sup>  | 1.31 | 1.78 | 1.96 | 1.27 | 0.92 |
| &nbsp;&nbsp;&nbsp; Net realized and unrealized gain <br> (loss)  | 0.84 | 0.73 | 0.59 | (0.88) | 1.89 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total from investment operations  | 2.15 | 2.51 | 2.55 | 0.39 | 2.81 |
| **Less distributions:**  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp; From net investment income  | (1.82) | (2.12) | (1.99) | (1.69) | (1.45) |
| &nbsp;&nbsp;&nbsp; From net realized gains  |  | (0.12) |  | (0.14) | (0.25) |
| &nbsp;&nbsp;&nbsp; From return of capital  | (0.09) |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total distributions  | (1.91) | (2.24) | (1.99) | (1.83) | (1.70) |
|  **Net increase from payments by affiliates (Note 3)**  |  | 0.00<sup>2</sup> |  | 0.00<sup>2</sup> |  |
| **Net asset value, end of year**  | $27.36 | $27.12 | $26.85 | $26.29 | $27.73 |
| **Total return<sup>3</sup>**  | 8.22%<sup>5</sup> | 9.73%<sup>4</sup> | 10.11% | 1.47%<sup>5,6</sup> | 10.80% |
| **Ratios and Supplemental Data:** |  |  |  |  |  |
| Net assets, end of year (in thousands)  | $3199266 | $2454724 | $1516685 | $732921 | $336466 |
| Ratio of expenses to average net assets:  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (including commitment fees, dividends and interest <br> on securities sold short, excise tax, extraordinary <br> litigation fees, interest expense and unused line of <br> credit fees)  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Before fees waived<sup>7,8</sup>  | 1.53% | 1.47% | 1.42% | 1.36% | 1.16% |
| &nbsp;&nbsp;&nbsp; After fees waived<sup>7,8</sup>  | 1.46% | 1.45% | 1.38%<sup>9</sup> | 1.30% | 1.14%<sup>10</sup> |
|  Ratio of net investment income (loss) to average net assets:  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (including commitment fees, dividends and interest <br> on securities sold short, excise tax, extraordinary <br> litigation fees, interest expense and unused line of <br> credit fees)  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Before fees waived<sup>11</sup>  | 4.75% | 6.58% | 7.35% | 4.72% | 3.34% |
| &nbsp;&nbsp;&nbsp; After fees waived<sup>11</sup>  | 4.83% | 6.60% | 7.39% | 4.78% | 3.36% |
| Portfolio turnover rate  | 31% | 26% | 15% | 11% | 26% |
| **Senior Securities** |  |  |  |  |  |
| Total borrowings (000's omitted)  | $100000 | $20000 |  |  |  |
|  Asset coverage per $1,000 unit of senior indebtedness<sup>12</sup>  | $33397 | $124863 |  |  |  |

---

See accompanying Notes to Consolidated Financial Statements.

------

[**TABLE OF CONTENTS**](#TOC)

#### First Trust Alternative Opportunities Fund <br> CONSOLIDATED FINANCIAL HIGHLIGHTS <br> Class I — Continued

<sup>1</sup> Based on average Shares outstanding for the year.

<sup>2</sup> Amount represents less than $0.01 per share.

<sup>3</sup> Total returns would have been lower had expenses not been waived by the Investment Manager. Returns shown include Rule 12b-1 fees of up to 0.25% and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Class I Shares.

<sup>4</sup> The Investment Manager reimbursed the Fund's Class I Shares $58,866 for losses from a pricing error. For the year ended March 31, 2025, the reimbursement is included as a net increase from payment by affiliates on the Statement of Changes. The payment had no impact to the total return of the share class.

<sup>5</sup> Includes adjustments in accordance with GAAP and accordingly the returns and per unit net asset value for financial reporting may differ from the per unit net asset value and returns for shareholder transactions.

<sup>6</sup> The Investment Manager reimbursed the Fund's Class I Shares $63,879 for losses from a pricing error. For the year ended March 31, 2023, the reimbursement is included as a net increase from payment by affiliates on the Statement of Changes. The payment had no impact to the total return of the share class.

<sup>7</sup> If commitment fees, dividends and interest on securities sold short, excise tax, extraordinary litigation fees, interest expense, and unused line of credit fees had been excluded, the expense ratios would have been lowered by 0.07%, 0.05%, 0.02%, 0.05%, and 0.08%, for the years ended March 31, 2026, 2025, 2024, 2023, and 2022, respectively.

<sup>8</sup> Ratios do not reflect the Fund's proportionate share of the expenses of the private investment vehicles.

<sup>9</sup> Effective August 1, 2023, the Investment Manager has contractually agreed to limit the annual fund operating expenses to 1.40%. Prior to August 1, 2023, the annual fund operating expense limitation was 1.25%.

<sup>10</sup> Effective November 2, 2021, the Investment Manager has contractually agreed to limit the annual fund operating expenses to 1.25%. Prior to November 2, 2021, the annual fund operating expense limitation was 0.95%.

<sup>11</sup> Ratios do not reflect the Fund's proportionate share of the income and expenses of the private investment vehicles.

<sup>12</sup> Calculated by subtracting the Fund's total liabilities (not including borrowings) from the Fund's total assets and dividing this by the total number of senior indebtedness units, where one unit equals $1,000 of senior indebtedness.

See accompanying Notes to Consolidated Financial Statements.

------

[**TABLE OF CONTENTS**](#TOC)

#### First Trust Alternative Opportunities Fund <br> NOTES TO CONSOLIDATED FINANCIAL STATEMENTS <br> March 31, 2026

#### Note 1 — Organization
First Trust Alternative Opportunities Fund (the "Fund") is a Delaware statutory trust registered under the Investment Company Act of 1940, as amended (the "Investment Company Act"), as a non-diversified, closed-end management investment company. The Fund operates as an interval fund. The Fund operates under an Amended and Restated Agreement and Declaration of Trust dated November 1, 2021 (the "Declaration of Trust"). First Trust Capital Management L.P. (the "Investment Manager") serves as the investment adviser to the Fund. The Investment Manager is an investment adviser registered with the U.S. Securities and Exchange Commission (the "SEC") under the Investment Advisers Act of 1940, as amended. The Fund has elected to be treated as a regulated investment company under the Internal Revenue Code of 1986, as amended (the "Code"). The Fund currently offers shares of beneficial interest (the "Shares") in two separate share classes: Class A Shares and Class I Shares.

The investment objective of the Fund is to seek to achieve long-term capital appreciation by pursuing positive absolute returns across market cycles. A fund seeking positive "absolute return" aims to earn a positive total return over a reasonable period of time regardless of market conditions or general market direction. In pursuing its objective, the Fund seeks to generate attractive long-term returns with low sensitivity to traditional equity and fixed income indices. The Fund uses a "multi-manager" approach whereby the Fund's assets are allocated among the Investment Manager and one or more sub-advisers, in percentages determined at the discretion of the Investment Manager. In pursuing the Fund's strategies, the Investment Manager and sub-advisers may invest directly in individual securities or through closed-end and open-end registered investment companies, private investment vehicles and other investment vehicles that invest or trade in a wide range of investments.

The Fund commenced the public offering of the Class I Shares in June 2017 and has publicly offered Class I Shares in a continuous offering since that time. Class A Shares have been publicly offered since August 2021. The Shares are generally offered for purchase on any business day, which is any day the New York Stock Exchange is open for business, in each case subject to any applicable sales charges and other fees, as described herein. The Shares are issued at net asset value per Share. No holder of Shares (each, a "Shareholder") has the right to require the Fund to redeem its Shares.

The Shares of each Class represent an interest in the same portfolio of investments of the Fund and have equal rights as to voting, redemptions, dividends and liquidation, subject to the approval of the Board of Trustees (the "Board," and the members thereof, the "Trustees"). Income, expenses (other than expenses attributable to a specific Class) and realized and unrealized gains and losses on investments are allocated to each Class of Shares in proportion to the value of their relative Shares outstanding. Shareholders of a Class that bears distribution and service expenses under the terms of a distribution plan have exclusive voting rights with respect to that distribution plan.

The Fund is an investment company and accordingly follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board ("FASB") Accounting Standards Codification ("ASC") 946, *Financial Services — Investment Companies*.

(a) Consolidation

The Fund may invest up to 25% of its total assets in its subsidiary, FTAOF Cayman Sub1 Ltd., a wholly-owned and controlled subsidiary formed under the laws of the Cayman Islands. FTAOF Cayman Sub1 Ltd. is advised by the Investment Manager and acts as an investment vehicle in order to effect certain investments consistent with the Fund's investment objectives and policies specified in the Fund's prospectus and statement of additional information. As of March 31, 2026, the net assets of FTAOF Cayman Sub1 Ltd. were $483,562,906, representing 14.9% of the Fund's total net assets.

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#### First Trust Alternative Opportunities Fund <br> NOTES TO CONSOLIDATED FINANCIAL STATEMENTS — Continued <br> March 31, 2026
FTAOF Cayman Sub1 Ltd., is an exempted company incorporated in the Cayman Islands with limited liability. It has received an undertaking from the Government of the Cayman Islands exempting it from all local income, profits and capital gains taxes. No such taxes are levied in the Cayman Islands at the present time.

The Fund may invest up to 25% of its total assets in its subsidiary, FTAOF Sub1 LLC, a Delaware limited liability company and wholly-owned and controlled subsidiary of the Fund. FTAOF Sub1 LLC is advised by the Investment Manager and acts as an investment vehicle in order to effect certain investments consistent with the Fund's investment objectives and policies specified in the Fund's prospectus and statement of additional information. As of March 31, 2026, the net assets of FTAOF Sub1 LLC were $114,631,672, representing 3.5% of the Fund's total net assets.

The Consolidated Schedule of Investments, Consolidated Statement of Assets and Liabilities, Consolidated Statement of Operations, Consolidated Statements of Changes in Net Assets, Consolidated Statement of Cash Flows and Consolidated Financial Highlights of the Fund include the accounts of FTAOF Cayman Sub1 Ltd. and FTAOF Sub1 LLC. All inter-company accounts and transactions have been eliminated in consolidation.

#### Note 2 — Significant Accounting Policies
The following is a summary of the significant accounting policies consistently followed by the Fund in the preparation of its consolidated financial statements. The preparation of Consolidated Financial Statements in conformity with accounting principles generally accepted in the United States of America ("GAAP") requires management to make estimates and assumptions that affect the reported amounts and disclosures in the Consolidated Financial Statements. Actual results could differ from these estimates.

(a) Valuation of Investments

UMB Fund Services, Inc. ("UMBFS"), the Fund's administrator, calculates the Fund's net asset value ("NAV") as of the close of business on each business day and at such other times as the Board may determine, including in connection with repurchases of Shares, in accordance with the procedures described below or as may be determined from time to time in accordance with policies established by the Board (each, a "Determination Date").

For purposes of calculating NAV, portfolio securities and other assets for which market quotations are readily available are valued at market value. A market quotation is readily available only when that quotation is a quoted price (unadjusted) in active markets for identical investments that the Fund can access at the measurement date, provided that a quotation will not be readily available if it is not reliable.

Investments for which market quotations are not readily available are valued at fair value as determined in good faith pursuant to Rule 2a-5 under the Investment Company Act. As a general principle, the fair value of a security or other asset is the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. Pursuant to Rule 2a-5, the Board has designated the Investment Manager as the valuation designee (in such capacity, the "Valuation Designee") for the Fund to perform in good faith the fair value determination relating to all Fund investments, under the Board's oversight. The Investment Manager carries out its designated responsibilities as Valuation Designee through its Valuation Committee. The fair values of one or more assets may not be the prices at which those assets are ultimately sold and the differences may be significant.

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#### First Trust Alternative Opportunities Fund <br> NOTES TO CONSOLIDATED FINANCIAL STATEMENTS — Continued <br> March 31, 2026
The Valuation Designee may value the Fund's portfolio securities for which market quotations are not readily available and other Fund assets utilizing inputs from pricing services, quotation reporting systems, valuation agents and other third-party sources.

Securities traded on one or more of the U.S. national securities exchanges, the NASDAQ Stock Market or any foreign stock exchange will be valued at the last sale price or the official closing price on the exchange or system where such securities are principally traded for the business day as of the relevant Determination Date. If no sale or official closing price of particular securities is reported on a particular day, the securities will be valued at the closing bid price for securities held long, or the closing ask price for securities held short, or if a closing bid or ask price, as applicable, is not available, at either the exchange or system-defined closing price on the exchange or system in which such securities are principally traded. Over-the-counter ("OTC") securities not quoted on the NASDAQ Stock Market will be valued at the last sale price on the relevant Determination Date or, if no sale occurs, at the last bid price, in the case of securities held long, or the last ask price, in the case of securities held short, at the time NAV is determined. Equity securities for which no prices are obtained under the foregoing procedures, including those for which a pricing service supplies no exchange quotation or a quotation that is believed by the Valuation Designee not to reflect the fair value, will be valued at the bid price, in the case of securities held long, or the ask price, in the case of securities held short, supplied by one or more dealers making a market in those securities or one or more brokers. Futures index options will be valued at the mid-point between the last bid price and the last ask price on the relevant Determination Date at the time NAV is determined.

Fixed-income securities with a remaining maturity of sixty (60) days or more will normally be valued according to the mean between the last available bid and ask price from a recognized pricing service. Fixed-income securities for which market quotations are unavailable or are believed by the Valuation Designee not to reflect fair value will be valued based upon broker-supplied quotations, provided that if such quotations are unavailable or are believed by the Valuation Designee not to reflect fair value, such fixed-income securities will be valued by the Valuation Designee using valuation models that take into account spread and daily yield changes on government securities in the appropriate market (e.g., matrix pricing). High quality investment grade debt securities (e.g., treasuries, commercial paper, etc.) with a remaining maturity of sixty (60) days or less are valued at amortized cost, which the Valuation Designee has determined to approximate fair value.

The Fund will generally value shares of exchange traded funds ("ETFs") at the last sale price on the exchange on which the ETF is principally traded. The Fund will generally value shares of open-end investment companies and closed-end investment companies that do not trade on one or more of the U.S. national securities exchanges at their respective NAVs.

To the extent that the Fund invests in private investment vehicles, the Fund will generally value those assets in accordance with the value determined as of such date by each private investment vehicle in accordance with the private investment vehicle's valuation policies and reported at the time of the Fund's valuation. As a general matter, the fair value of the Fund's interest in a private investment vehicle will represent the amount that the Fund could reasonably expect to receive from the private investment vehicle if the Fund's interest was redeemed at the time of valuation, based on information reasonably available at the time the valuation is made and that the Fund believes to be reliable. In the event that the private investment vehicle does not report a value to the Fund on a timely basis, the Fund will determine the fair value of such private investment vehicle based on the most recent final or estimated value reported by the private investment vehicle, as well as any other relevant information available at the time the Fund values its portfolio. A substantial amount of time may elapse between the occurrence of an event necessitating the pricing of Fund assets and the receipt of valuation information from the underlying manager of a private investment vehicle.

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The Valuation Designee will consider whether it is appropriate, in light of all relevant circumstances, to value such interests at the NAV as reported by the underlying manager at the time of valuation, or whether to adjust such value to reflect a premium or discount to NAV. In accordance with GAAP and industry practice, the Fund may not always apply a discount in cases where there is no contemporaneous redemption activity in a particular private investment vehicle. In other cases, such as when a private investment vehicle imposes extraordinary restrictions on redemptions, when other extraordinary circumstances exist or when there have been no recent transactions in private investment vehicle interests, the Fund may determine that it is appropriate to apply a discount to the NAV of the private investment vehicle. Any such decision will be made in good faith by the Valuation Designee, under oversight by the Board.

In certain circumstances, the Valuation Designee may determine that a private investment vehicle's NAV shall be adjusted more frequently. For these private investment vehicles, the NAVs are adjusted daily based on the total return that each private investment vehicle is estimated by the Valuation Designee to generate during the period (adjusted NAV). The Valuation Designee monitors these estimates daily and updates them as necessary if macro or individual fund changes warrant any adjustments, subject to the review and supervision of the Valuation Designee.

Where deemed appropriate by the Valuation Designee and consistent with the Investment Company Act, investments in private investment vehicles may be valued at cost. Cost will be used only when cost is determined to best approximate the fair value of the particular private investment vehicle under consideration.

The Valuation Designee will determine the fair value of its shares of a private company based on numerous factors, including but not limited to market activity or events in the market. Absent such a transaction or event within a year, or as deemed necessary by the Valuation Designee, but in no instance greater than one year from the quarter end in which such event occurred, the Valuation Designee will engage qualified external valuation consultants to provide an independent valuation.

The Valuation Designee will evaluate each private debt investment's fair value based on numerous factors, including but not limited to changes in credit risk, construction risk, the financial strength of the borrower and the debt instrument's spread to US Treasuries. The Fund will also engage qualified external valuation consultants to provide valuation information, typically on a quarterly basis, but at least semiannually. The Fund will generally value any private debt investments at the lesser of their amortized cost or the mid-point of any valuation range as provided by a qualified external valuation consultant. In certain circumstances, the Valuation Designee may determine that this amount does not represent the fair value of the private debt investment based on current market conditions. In such an instance, the Valuation Designee will fair value the investment using another methodology. In its fair valuation assessment process, the Valuation Designee may consider any information it deems appropriate including from external valuation consultants.

Warrants for which market quotations are not readily available will be fair valued based on the underlying investment. The Fund will engage qualified external valuation consultants to provide valuation information, typically on a quarterly basis, but at least semiannually. The Fund will generally value warrants at the mid-point of any valuation range as provided by a qualified external valuation consultant. In certain circumstances, the Valuation Designee may determine that this amount does not represent the fair value of the warrant based on current market conditions. In such an instance, the Valuation Designee will fair value the warrant using another methodology. In its fair valuation assessment process, the Valuation Designee may consider any information it deems appropriate including from external valuation consultants.

Assets and liabilities initially expressed in foreign currencies will be converted into U.S. dollars using foreign exchange rates provided by a pricing service. Trading in foreign securities generally is completed, and the values of such securities are determined, prior to the close of securities markets in

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the United States. Foreign exchange rates are also determined prior to such close. On occasion, the values of securities and exchange rates may be affected by events occurring between the time as of which determination of such values or exchange rates are made and the time as of which the NAV of the Fund is determined. When such events materially affect the values of securities held by the Fund or its liabilities, such securities and liabilities will be valued at fair value as determined in good faith by the Valuation Designee.

Investors should be aware that situations involving uncertainties as to the value of portfolio positions could have an adverse effect on the Fund's NAV if the judgments regarding appropriate valuations should prove incorrect.

(b) Foreign Currency Translation

The Fund's records are maintained in U.S. dollars. The value of securities, currencies and other assets and liabilities denominated in currencies other than U.S. dollars are translated into U.S. dollars based upon foreign exchange rates prevailing at the end of the reporting period. The currencies are translated into U.S. dollars by using the exchange rates quoted as of 4:00 PM Eastern Standard Time. Purchases and sales of investment securities, income and expenses are translated on the respective dates of such transactions.

The Fund does not isolate that portion of its net realized and unrealized gains and losses on investments resulting from changes in foreign exchange rates from the impact arising from changes in market prices. Such fluctuations are included with net realized and unrealized gains or losses on investments and foreign currency.

Net realized foreign currency transaction gains and losses arise from sales of foreign currencies, currency gains or losses realized between the trade and settlement dates on securities transactions and the differences between the amounts of dividends, interest and foreign withholding taxes recorded on the Fund's books and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized foreign currency translation gains and losses arise from changes in the value of assets and liabilities, other than investments in securities, resulting from changes in the exchange rates.

(c) Short Sales

Short sales are transactions in which the Fund sells a security it does not own in anticipation of a decline in the value of that security. To complete such a transaction, the Fund must borrow the security to make delivery to the buyer. The Fund then is obligated to replace the security borrowed by purchasing the security at market price at the time of replacement. The price at such time may be more or less than the price at which the security was sold by the Fund. When a security is sold short, a decrease in the value of the security will be recognized as a gain and an increase in the value of the security will be recognized as a loss, which is potentially limitless. Until the security is replaced, the Fund is required to pay the lender amounts equal to dividend or interest that accrue during the period of the loan, which is recorded as an expense. To borrow the security, the Fund also may be required to pay a premium or an interest fee, which are recorded as interest expense. To the extent the Fund sells securities short, it will provide collateral to the broker-dealer and/or will maintain additional asset coverage in the form of cash, U.S. Government securities or other liquid securities with its custodian in a segregated account as required by each respective broker-dealer. The Fund is subject to the risk that it may not always be able to close out a short position at a particular time or at an acceptable price.

(d) Closed-end Funds ("CEFs")

A CEF is a pooled investment vehicle that is registered under the Investment Company Act and whose shares may be listed and traded on U.S. national securities exchanges. Investments in CEFs are subject to various risks, including reliance on management's ability to meet a CEF's investment

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objective and to manage a CEF's portfolio, and fluctuation in the market value of a CEF's shares compared to the changes in the value of the underlying securities that the CEF owns. In addition, the Fund bears a pro rata share of the management fees and expenses of each underlying CEF in addition to the Fund's management fees and expenses, which results in the Fund's Shareholders being subject to higher expenses than if they invested directly in the CEFs.

(e) Private Investment Vehicles

Private investment vehicles are generally exempt under Section 3(c)(1) or 3(c)(7) of the Investment Company Act and invest or trade in a wide range of securities. When the Fund invests in securities issued by Private investment vehicles, it will bear its pro rata portion of the Private investment vehicles' expenses. These expenses are in addition to the direct expenses of the Fund's own operations, thereby increasing indirect costs and potentially reducing returns to Shareholders. A Private investment vehicle in which the Fund invests has its own investment risks, and those risks can affect the value of the Fund's investment in the Private investment vehicle. There can be no assurance that the investment objective of a private investment vehicle will be achieved. A Private investment vehicle may change its investment objective or policies without the Fund's approval, which could force the Fund to withdraw its investment from such Private investment vehicle at a time that is unfavorable to the Fund. In addition, one Private investment vehicle may buy the same securities that another Private investment vehicle sells. Therefore, the Fund would indirectly bear the costs of these trades without accomplishing any investment purpose.

(f) Real Estate Investment Trusts ("REITs")

REITs are companies that own interests in real estate (or specialize in acquiring, holding, and managing real estate) or in real estate-related loans or other interests, and their revenue principally consists of rent derived from owned, income-producing real estate properties and capital gains from the sale of such properties or from interest payments on real estate-related loans. A REIT is not taxed at the entity level on income distributed to its shareholders or unitholders if it distributes to such shareholders or unitholders at least 90% of its taxable income for each taxable year and complies with regulatory requirements relating to its organization, ownership, assets and income. By investing in REITs indirectly through the Fund, a Shareholder will bear expenses of the REITs in addition to expenses of the Fund. Distributions received from REITs may be characterized as ordinary income, capital gain or a return of capital to the Fund. The proper characterization of distributions from REITs is generally not known until after the end of each calendar year. As such, estimates are used in reporting the character of income and distributions for financial statement purposes.

(g) Forward Foreign Currency Exchange Contracts

The Fund may enter into forward foreign currency exchange contracts ("forward contracts") under which it is obligated to exchange currencies on specified future dates at specified rates, and is subject to the risk of foreign exchange rate fluctuations. All contracts are "marked-to-market" daily and any resulting unrealized gains or losses are recorded as unrealized appreciation/depreciation on forward foreign currency exchange contracts. The Fund records realized gains or losses at the time the forward contract is settled. Counterparties to these forward contracts are major U.S. financial institutions.

(h) Investment Transactions, Investment Income and Expenses

Investment transactions are accounted for on the trade date. Realized gains and losses on investments are determined on the identified cost basis. Dividend income and expense is recorded net of applicable withholding taxes on the ex-dividend date and interest income and expense is recorded on an accrual basis. Withholding taxes on foreign dividends, if applicable, are paid (a portion of which may be reclaimable) or provided for in accordance with the applicable country's tax rules and rates and are disclosed in the Consolidated Statement of Operations. Withholding tax reclaims are filed in certain

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countries to recover a portion of the amounts previously withheld. The Fund records a reclaim receivable based on a number of factors, including a jurisdiction's legal obligation to pay reclaims as well as payment history and market convention. Discounts or premiums on debt securities are accreted or amortized to interest income over the lives of the respective securities using the effective interest method.

Some or all of the interest payments of a loan or preferred equity may be structured in the form of paid-in-kind ("PIK"), which accrues to cost and principal on a current basis but is generally not paid in cash until maturity or some other determined payment date. Interest payments structured in the form of PIK are subject to the risk that a borrower could default when actual cash interest or principal payments are due.

Investments in the equity of collateralized loan obligations ("CLOs") recognize investment income by utilizing an effective interest methodology based upon an effective yield to maturity utilizing projected cash flows, as required by ASC 325-40, *Beneficial Interest in Securities Financial Assets*. The Fund monitors the expected residual payments, and effective yield is determined and updated periodically, as needed. Accordingly, investment income recognized on CLO equity securities in the Consolidated Statement of Operations differs from both the tax-basis investment income and from the cash distributions actually received by the Fund during the period.

(i) Federal Income Taxes

The Fund intends to continue to comply with the requirements of Subchapter M of the Code applicable to RICs and to distribute substantially all of its net investment income and any net realized gains to its Shareholders. Therefore, no provision is made for federal income or excise taxes. Due to the timing of dividend distributions and the differences in accounting for income and realized gains and losses for Consolidated Financial Statement and federal income tax purposes, the fiscal year in which amounts are distributed may differ from the year in which the income and realized gains and losses are recorded by the Fund.

ASC 740, *Income Taxes* ("ASC 740") requires an evaluation of tax positions taken (or expected to be taken) in the course of preparing the Fund's tax returns to determine whether these positions meet a "more-likely-than-not" standard that, based on the technical merits, have a more than fifty percent likelihood of being sustained by a taxing authority upon examination. A tax position that meets the "more-likely-than-not" recognition threshold is measured to determine the amount of benefit to recognize in the Consolidated Financial Statements. The Fund recognizes interest and penalties, if any, related to unrecognized tax benefits as income tax expense in the Consolidated Statement of Operations.

ASC 740 requires management of the Fund to analyze tax positions taken in the prior three open tax years, if any, and tax positions expected to be taken in the Fund's current tax year, based on the statute of limitations for all major jurisdictions, including federal tax authorities and certain state tax authorities. As of March 31, 2026, and during the prior three open tax years, the Fund did not have a liability for any unrecognized tax benefits. The Fund has no examination in progress and is not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months.

(j) Distributions to Shareholders

The Fund makes monthly distributions to its Shareholders equal to 7% annually of the Fund's NAV per Share (the "Distribution Policy"). This predetermined dividend rate may be modified by the Board from time to time, and may be increased to the extent of the Fund's investment company taxable income that it is required to distribute in order to maintain its status as a RIC. The amount and timing of distributions are determined in accordance with federal income tax regulations, which may differ from

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GAAP. The character of distributions made during the year from net investment income or net realized gains may differ from the characterization for federal income tax purposes due to differences in the recognition of income, expense and gain (loss) items for Consolidated Financial Statement and tax purposes.

For financial reporting purposes, dividends and distributions to Shareholders are recorded on the ex-date. If, for any distribution, available cash is less than the amount of this predetermined dividend rate, then assets of the Fund will be sold and such disposition may generate additional taxable income. The Fund's final distribution for each calendar year will include any remaining investment company taxable income and net tax-exempt income undistributed during the year, as well as the remaining net capital gain realized during the year. If the total distributions made in any calendar year exceed investment company taxable income, net tax-exempt income and net capital gain, such excess distributed amount would be treated as ordinary dividend income to the extent of the Fund's current and accumulated earnings and profits. Payments in excess of the earnings and profits would first be a tax-free return of capital to the extent of the adjusted tax basis in the Shares. After such adjusted tax basis is reduced to zero, the payment would constitute capital gain (assuming the Shares are held as capital assets). This Distribution Policy may, under certain circumstances, have certain adverse consequences to the Fund and its Shareholders because it may result in a return of capital resulting in less of a Shareholder's assets being invested in the Fund and, over time, increase the Fund's expense ratio. The Distribution Policy also may cause the Fund to sell a security at a time it would not otherwise do so in order to manage the distribution of income and gain.

(k) Segments

An operating segment is defined in ASC 280 — *Segment Reporting* as a component of a public entity that engages in business activities from which it may recognize revenues and incur expenses, has operating results that are regularly reviewed by the public entity's chief operating decision maker ("CODM") to make decisions about resources to be allocated to the segment and assess its performance and has discrete financial information available. The Fund's President acts as the Fund's CODM. The Fund represents a single operating segment, as the CODM monitors the operating results of the Fund as a whole and the Fund's long-term strategic asset allocation is pre-determined in accordance with the terms of the Fund's single investment objective which is executed by the Fund's portfolio managers as a team. The financial information in the form of the Fund's portfolio composition, total returns, expense ratios and changes in net assets, which are used by the CODM to assess the segment's performance versus the Fund's comparative benchmarks and to make resource allocation decisions for the Fund's single segment, is consistent with that presented within the Fund's Consolidated Financial Statements. The total return and performance of the Fund is reflected within the accompanying Consolidated Financial Highlights. Segment assets are reflected on the accompanying Consolidated Statement of Assets and Liabilities as "total assets" and significant segment expenses are listed on the accompanying Consolidated Statement of Operations.

#### Note 3 — Investment Advisory and Other Agreements and Activity with Affiliates
The Fund has entered into an Investment Advisory Agreement (the "Agreement") with the Investment Manager. Under the terms of the Agreement, the Fund pays a monthly investment management fee to the Investment Manager equal to 0.95% on an annualized basis of the Fund's NAV as of each month-end (the "Investment Management Fee"), subject to certain adjustments.

The Fund uses a "multi-manager" approach whereby the Fund's assets are allocated amongst the Investment Manager and one or more sub-advisers in percentages determined at the discretion of the Investment Manager. During the year ended March 31, 2026, the Investment Manager engaged RiverNorth Capital Management, LLC ("RiverNorth") and Palmer Square Capital Management LLC ("Palmer Square") (each, a "Sub-Adviser" and together, the "Sub-Advisers") to manage certain assets

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#### First Trust Alternative Opportunities Fund <br> NOTES TO CONSOLIDATED FINANCIAL STATEMENTS — Continued <br> March 31, 2026
of the Fund. Pursuant to a separate sub-advisory agreement among the Fund, the Investment Manager and RiverNorth, RiverNorth receives a monthly sub-advisor fee equal to 0.80% of the Fund's average daily net assets allocated to RiverNorth, subject to certain adjustments. Pursuant to a separate sub-advisory agreement among the Fund, the Investment Manager and Palmer Square, Palmer Square receives a monthly sub-advisory fee equal to 0.50% of the Fund's average daily net assets allocated to Palmer Square, subject to certain adjustments. Each Sub-Adviser's fee is paid by the Investment Manager out of the Investment Management Fee.

The Investment Manager has entered into an expense limitation and reimbursement agreement (the "Expense Limitation and Reimbursement Agreement") with the Fund, whereby the Investment Manager has agreed to waive fees that it would otherwise have been paid, and/or to assume expenses of the Fund (a "Waiver"), if required to ensure the Total Annual Expenses (excluding any taxes, leverage interest, brokerage commissions, dividend and interest expenses on short sales, acquired fund fees and expenses (as determined in accordance with SEC Form N-2), expenses incurred in connection with any merger or reorganization and extraordinary expenses, such as litigation expenses) do not exceed 2.15% and 1.40% of the net assets on an annualized basis of Class A Shares and Class I Shares, respectively (the "Expense Limit") through July 31, 2026. The Expense Limitation and Reimbursement Agreement may not be terminated before that date by the Fund or the Investment Manager. Thereafter, the Expense Limitation and Reimbursement Agreement may be terminated by the Fund or the Investment Manager upon 30 days' written notice. Unless it is terminated, the Expense Limitation and Reimbursement Agreement automatically renews for consecutive one-year terms. Because taxes, leverage interest, brokerage commissions, dividend and interest expenses on short sales, acquired fund fees and expenses, expenses incurred in connection with any merger or reorganization and extraordinary expenses are excluded from the Expense Limit, Total Annual Expenses (after fee waivers and expense reimbursements) are expected to exceed 2.15% and 1.40% for the Class A Shares and Class I Shares, respectively. For a period not to exceed three years from the date on which a Waiver is made, the Investment Manager may recoup amounts waived or assumed, provided it is able to effect such recoupment and remain in compliance with the Expense Limit in effect at the time of the Waiver and the Expense Limit at the time of the recoupment. From November 2, 2021 to July 31, 2023, the Investment Manager had agreed to limit the total expenses of the Fund to 2.00% and 1.25% of the Fund's net assets on an annualized basis for the Class A Shares and Class I Shares, respectively.

For the year ended March 31, 2026, the Investment Manager waived its fees and absorbed other expenses totaling $2,094,838 for Class I Shares. As of March 31, 2026, the amount of these potentially recoverable expenses was $2,870,336. The potential recoverable amount is noted as "Commitments and contingencies" as reported on the Consolidated Statement of Assets and Liabilities. The Investment Manager may recapture all or a portion of this amount no later than March 31<sup>st</sup> of the year stated below:

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| | |
|:---|:---|
| 2027  | $429154 |
| 2028  | 346344 |
| 2029  | 2094838 |
| Total  | $2870336 |

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UMBFS reimbursed the Fund's Class A Shares $66 for losses from an expense error during the year ended March 31, 2026. This amount is reported on the Fund's Consolidated Statements of Changes in Net Assets and Consolidated Financial Highlights under the caption "Net increase from payments by affiliates." This reimbursement had no impact on the total return of Class A Shares.

The Investment Manager reimbursed the Fund's Class A Shares and Class I Shares $828 and $58,866, respectively, for losses from a pricing error during the year ended March 31, 2025. This amount is reported on the Fund's Consolidated Statements of Changes in Net Assets and

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Consolidated Financial Highlights under the caption "Net increase from payments by affiliates." This reimbursement had no impact on the total return of each Share Class, respectively.

The Investment Manager reimbursed the Fund's Class A Shares and Class I Shares $37 and $63,879, respectively, for losses from a pricing error during the year ended March 31, 2023. This amount is reported on the Fund's Consolidated Financial Highlights under the caption "Net increase from payments by affiliates." This reimbursement had no impact on the total return of each Share Class, respectively.

The Fund has adopted a Distribution and Service Plan with respect to Class A Shares and Class I Shares in compliance with Rule 12b-1 under the Investment Company Act. The Distribution and Service Plans allow the Fund to pay distribution and servicing fees for the sale and servicing of its Class A Shares and Class I Shares. Under the Distribution and Service Plan for Class A Shares, the Fund is permitted to pay as compensation up to 1.00% on an annualized basis of the aggregate net assets of the Fund attributable to Class A Shares and under the Distribution and Service Plan for Class I Shares, the Fund is permitted to pay as compensation up to 0.25% on an annualized basis of the aggregate net assets of the Fund attributable to Class I Shares (collectively, the "Distribution and Servicing Fee") to qualified recipients. The Fund or the Distributor (as defined below) may pay all or a portion of these fees to any registered securities dealer, financial institution or any other person who renders assistance in distributing or promoting the sale of the respective Class of Shares or who provides certain Shareholder services, pursuant to a written agreement. The Distribution and Servicing Fee is paid out of the Fund's assets attributable to the applicable Share Class and decreases the net profits or increases the net losses of such Share Class.

First Trust Portfolios L.P., an affiliate of the Investment Manager, serves as the Fund's distributor (the "Distributor"). UMBFS serves as the Fund's fund accountant, transfer agent and administrator; and UMB Bank, n.a., an affiliate of UMBFS, serves as a custodian of the assets of the Fund.

A Trustee is an affiliate, and an officer of the Fund is an employee, of UMBFS. The Fund does not compensate Trustees and officers affiliated with UMBFS or the Investment Manager. For the year ended March 31, 2026, the Fund's fees incurred for Trustees are reported on the Consolidated Statement of Operations.

Vigilant Compliance, LLC provides Chief Compliance Officer ("CCO") services to the Fund. The Fund's fees incurred for CCO services for the year ended March 31, 2026 are reported on the Consolidated Statement of Operations.

#### Note 4 — Federal Income Taxes
The Fund has elected to be treated and intends to continue to qualify as a RIC for federal income tax purposes. As a RIC, the Fund will generally not be subject to federal corporate income tax provided that, it distributes substantially all of its income and gains each year.

As of March 31, 2026, the cost of securities on a tax basis and gross unrealized appreciation and depreciation on investments for federal income tax purposes, were as follows:

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| | |
|:---|:---|
| Cost of investments  | $3351722601 |
| Gross unrealized appreciation  | $280326735 |
| Gross unrealized depreciation  | (207370095) |
| Net unrealized appreciation (depreciation) on investments and derivatives  | $72956640 |

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The difference between cost amounts for Consolidated Financial Statement and federal income tax purposes is due primarily to timing differences (i.e. wash sales) in recognizing certain gains and losses in securities transactions.

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#### First Trust Alternative Opportunities Fund <br> NOTES TO CONSOLIDATED FINANCIAL STATEMENTS — Continued <br> March 31, 2026
The Fund has a fiscal year end for federal income tax purposes of December 31 which is different than the March 31 fiscal year end used for financial reporting purposes. As a result, the information presented regarding tax reclassifications and distributable earnings for federal income tax purposes is as of December 31, 2025, the Fund's most recent tax year end. In addition, the tax character of distributions paid is also calculated on a tax basis and reflects the most recent information for the years ended December 31, 2025 and 2024.

GAAP requires that certain components of net assets be reclassified between financial and tax reporting. These reclassifications have no effect on net assets or NAV per Share. For the tax year ended December 31, 2025, permanent differences in book and tax accounting have been reclassified as follows:

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| | |
|:---|:---|
| Increase (Decrease)  | Increase (Decrease)  |
| Paid-in Capital  | Total Distributable <br> Earnings (Deficit)  |
| $(6322)  | $6322  |

---

As of December 31, 2025, the components of accumulated earnings (deficit) on a tax basis were as follows:

---

| | |
|:---|:---|
| Accumulated capital and other losses  | $(5180051) |
| Unrealized appreciation (depreciation) on investments  | 94400934 |
| Total accumulated earnings (deficit)  | $89220883 |

---

The tax character of distributions paid during the tax years ended December 31, 2025 and December 31, 2024 were as follows:

---

| | | |
|:---|:---|:---|
| **Distribution paid from:**  | **2025**  | **2024**  |
| &nbsp;&nbsp;&nbsp; Ordinary income  | $141204464 | $146421439 |
| &nbsp;&nbsp;&nbsp; Net long-term capital gains  | 45041704 | 6035326 |
| &nbsp;&nbsp;&nbsp; Return of capital  | 9962400 |  |
| Total distributions  | $196208568 | $152456765 |

---

As of December 31, 2025, the Fund had no capital loss carryovers.

As of December 31, 2025, the Fund had $5,180,051 in qualified late-year ordinary losses, which are deferred until fiscal year 2026 for tax purposes.

As of December 31, 2025, the Fund had no post-October capital losses. Capital losses incurred after October 31, and within the year are deemed to arise on the first day of the Fund's next taxable year.

FTAOF Sub1 LLC is a blocker taxed as a corporation. The current taxes reflect the estimated tax liability of the Fund as of March 31, 2026, based on taxable income of FTAOF Sub1 LLC. Deferred income taxes reflect the net tax effects of temporary differences between the carrying amounts of assets and liabilities of FTAOF Sub1 LLC for financial reporting purposes and the amounts used for income tax purposes.

#### Note 5 — Investment Transactions
For the year ended March 31, 2026, purchases and sales of investments, excluding short-term investments, were $1,746,237,049 and $939,763,865, respectively. Proceeds from securities sold short and covers of securities sold short were $22,674,259 and $22,723,141, respectively, for the same period.

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[**TABLE OF CONTENTS**](#TOC)

#### First Trust Alternative Opportunities Fund <br> NOTES TO CONSOLIDATED FINANCIAL STATEMENTS — Continued <br> March 31, 2026

#### Note 6 — Indemnifications
In the normal course of business, the Fund enters into contracts that provide general indemnifications. The Fund's maximum exposure under these arrangements cannot be known; however, the Fund expects any risk of loss to be remote.

#### Note 7 — Repurchase of Shares
The Fund provides a limited degree of liquidity to the Shareholders by conducting repurchase offers quarterly. In each repurchase offer, the Fund may offer to repurchase its Shares at their NAV as determined as of approximately March 31, June 30, September 30 and December 31, of each year, as applicable (each such date, a "Valuation Date"). Each repurchase offer is expected to be for up to 5% of the Fund's Shares outstanding. If Shareholders tender for repurchase more than the repurchase offer amount for a given repurchase offer, the Fund may, but is not required to, repurchase an additional amount of Shares not to exceed 2% of the outstanding Shares of the Fund. If the Fund determines not to repurchase more than the repurchase offer amount, or if Shareholders tender Shares in an amount exceeding the repurchase offer amount plus 2% of the outstanding Shares, the Fund will repurchase the Shares on a pro rata basis, and tendering Shareholders will not have all of their tendered Shares repurchased by the Fund.

The results of the repurchase offers conducted for the year ended March 31, 2026 are as follows:

---

| | | | | |
|:---|:---|:---|:---|:---|
| | **Repurchase <br> Offer**  | **Repurchase <br> Offer**  | **Repurchase <br> Offer**  | **Repurchase <br> Offer**  |
| Commencement Date  | May 30, 2025  | August 29, 2025  | December 1, 2025  | February 27, 2026  |
| Repurchase Request  | June 30, 2025  | September 30, 2025  | December 31, 2025  | March 31, 2026  |
| Repurchase Pricing Date  | June 30, 2025  | September 30, 2025  | December 31, 2025  | March 31, 2026  |
|  Net Asset Value as of Repurchase Pricing Date:  |  |  |  |  |
| Class A Shares  | $26.78  | $26.93  | $27.11  | $26.92  |
| Class I Shares  | $27.18  | $27.32  | $27.49  | $27.33  |
| Amount Repurchased: |  |  |  |  |
| Class A Shares  | $381327  | $1992739  | $359259  | $705710  |
| Class I Shares  | $93275520  | $106647789  | $107868127  | $206399991  |
|  Percentage of Outstanding Shares Repurchased:  |  |  |  |  |
| Class A Shares  | 1.45%  | 6.45%  | 1.01%  | 1.73%  |
| Class I Shares  | 3.36%  | 3.50%  | 3.29%  | 6.07%  |

---

#### Note 8 — Fair Value Measurement
ASC 820, *Fair Value Measurement* ("ASC 820") defines fair value, establishes a framework for measuring fair value in accordance with GAAP and expands disclosure about fair value measurements. It also provides guidance on determining when there has been a significant decrease in the volume and level of activity for an asset or a liability, when a transaction is not orderly and how that information must be incorporated into a fair value measurement.

Under ASC 820, various inputs are used in determining the value of the Fund's investments. These inputs are summarized into three broad levels as described below:

• Level 1 — Unadjusted quoted prices in active markets for identical assets or liabilities that the Fund has the ability to access.

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[**TABLE OF CONTENTS**](#TOC)

#### First Trust Alternative Opportunities Fund <br> NOTES TO CONSOLIDATED FINANCIAL STATEMENTS — Continued <br> March 31, 2026
• Level 2 — Observable inputs other than quoted prices included in Level 1 that are observable for the asset or liability, either directly or indirectly. These inputs may include quoted prices for the identical instrument on an inactive market, prices for similar instruments, interest rates, prepayment speeds, credit risk, yield curves, default rates and similar data.

• Level 3 — Unobservable inputs for the asset or liability, to the extent relevant observable inputs are not available, representing the Fund's own assumptions about the assumptions a market participant would use in valuing the asset or liability, and would be based on the best information available.

The availability of observable inputs can vary from security to security and is affected by a wide variety of factors, including, for example, the type of security, whether the security is new and not yet established in the marketplace, the liquidity of markets, and other characteristics particular to the security. To the extent that valuation is based on models or inputs that are less observable or unobservable in the market, the determination of fair value requires more judgment. Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3.

The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the level in the fair value hierarchy within which the fair value measurement falls in its entirety is determined based on the lowest level input that is significant to the fair value measurement in its entirety.

In accordance with Accounting Standards Update ("ASU") 2015-07, *Disclosures for Investments in Certain Entities That Calculate Net Asset Value per Share (or Its Equivalent)*, investments valued at the NAV as practical expedient are not included in the fair value hierarchy. As such, investments in CEFs, private investment vehicles and REITs with a fair value of $975,550,262 are excluded from the fair value hierarchy as of March 31, 2026.

The inputs or methodology used for valuing securities are not an indication of the risk associated with investing in those securities.

The following table summarizes the Fund's investments that are measured at fair value by level within the fair value hierarchy as of March 31, 2026:

---

| | | | | |
|:---|:---|:---|:---|:---|
| | **Level 1**  | **Level 2**  | **Level 3**  | **Total**  |
| **Assets** |  |  |  |  |
| Investments |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Asset-Backed Securities  | $— | $— | $472068744 | $472068744 |
| &nbsp;&nbsp;&nbsp; Bank Loans  |  |  | 519910034 | 519910034 |
| &nbsp;&nbsp;&nbsp; Closed-End Funds  | 10675132 |  |  | 10675132 |
| &nbsp;&nbsp;&nbsp; Collateralized Loan Obligations  |  | 488218652 | 36319131 | 524537783 |
| &nbsp;&nbsp;&nbsp; Collateralized Mortgage <br> Obligations  |  | 2 |  | 2 |
| &nbsp;&nbsp;&nbsp; Common Stocks  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Consumer Staples  | 178827 |  | 1969602 | 2148429 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Financials  | 28805021 | 1668469 | 4383662 | 34857152 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Health Care  |  |  | 1118539 | 1118539 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Industrials  | 132300 |  |  | 132300 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Technology  | 11329 |  | 32896868 | 32908197 |
| &nbsp;&nbsp;&nbsp; Corporate Bonds  |  | 19155995 |  | 19155995 |
| &nbsp;&nbsp;&nbsp; Mutual Funds  | 37262193 |  |  | 37262193 |

---

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[**TABLE OF CONTENTS**](#TOC)

---

| | | | | |
|:---|:---|:---|:---|:---|
| | **Level 1**  | **Level 2**  | **Level 3**  | **Total**  |
| &nbsp;&nbsp;&nbsp; Preferred Stocks  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Consumer Non-Cyclical  | $— | $— | $8295754 | $8295754 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Consumer Staples  |  |  | 2636033 | 2636033 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Financials  | 6315528 |  | 30793682 | 37109210 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Technology  |  |  | 19831715 | 19831715 |
| &nbsp;&nbsp;&nbsp; Private Investment Vehicles  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Investment Partnerships  |  |  | 429751065 | 429751065 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Private Collateralized Loan Obligations  |  |  | 84768759 | 84768759 |
| &nbsp;&nbsp;&nbsp; Real Estate Investment Trusts  |  |  | 52066974 | 52066974 |
| &nbsp;&nbsp;&nbsp; Rights  | 476246 |  | 2794 | 479040 |
| &nbsp;&nbsp;&nbsp; Special Purpose Acquisition Companies  | 11788000 |  |  | 11788000 |
| &nbsp;&nbsp;&nbsp; Warrants  | 533979 | 1273 | 2248853 | 2784105 |
| &nbsp;&nbsp;&nbsp; Short-Term Investments  | 128976417 |  |  | 128976417 |
| Subtotal  | $225154972 | $509044391 | $1699062209 | $2433261572 |
| Closed-End Funds at NAV  |  |  |  | 70507976 |
|  Private Investment Vehicles <br> at NAV  |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Investment Partnerships  |  |  |  | 580176680 |
| &nbsp;&nbsp;&nbsp; Non-Listed Business Development Companies  |  |  |  | 110931409 |
| &nbsp;&nbsp;&nbsp; Private Collateralized Loan Obligations  |  |  |  | 39711314 |
|  Real Estate Investment Trusts at <br> NAV  |  |  |  | 174222883 |
| Total Investments  |  |  |  | $3408811834 |
| Other Financial Instruments\* |  |  |  |  |
|  Forward foreign currency exchange contracts  | $— | $7563108 | $— | $7563108 |
| Total Assets  | $252012614 | $516607499 | $1699222607 | $3416374942 |
| **Liabilities** |  |  |  |  |
| Other Financial Instruments\* |  |  |  |  |
|  Forward foreign currency exchange contracts  | $— | $4288749 | $— | $4288749 |
| Total Liabilities  | $— | $4288749 | $— | $4288749 |

---

\* Forward foreign currency exchange contracts are valued at the unrealized appreciation/depreciation on the instrument.

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[**TABLE OF CONTENTS**](#TOC)

The following is a reconciliation of assets in which significant unobservable inputs (Level 3) were used in determining value:

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
|  | | | | | | | **Balance <br> as of <br> March 31, <br> 2026**  | |
| | <br> **Balance <br> as of <br> March 31, <br> 2025**  | <br> **Transfers <br> into <br> Level 3**  | <br> **Transfers <br> out of <br> Level 3**  | <br> **Net Gains <br> (Losses) <br> for the <br> Period**  | <br> **Purchases**  | <br> **Sales**  | **Balance <br> as of <br> March 31, <br> 2026**  |<br> **Change in <br> Unrealized <br> Gains <br> (Losses) for <br> the Period <br> for Assets <br> Held at the <br> End of the <br> Reporting <br> Period**  |
| Asset-Backed Securities  | $— | $267041674 | $— | $649838 | $220043937 | $(15666705) | $472068744 | $3433383 |
| Bank Loans  | 243147049 |  |  | (64808117) | 348357591 | (6786489) | 519910034 | 667272 |
|  Collateralized Loan <br> Obligations  |  |  |  | 784 | 36318347 |  | 36319131 | 784 |
| Common Stocks  | 40716709 |  | (4111692) | (6357807) | 10121461 |  | 40368671 | (6360685) |
| Preferred Stocks  | 55497743 |  | (7413305) | 4937266 | 18335470 | (9799990) | 61557184 | (175107) |
| Private Investment Vehicles  | 234529682 | 66692478 |  | 154790528 | 86282582 | (27775446) | 514519824 | 22709510 |
|  Real Estate Investment <br> Trusts  | 53214090 |  |  | (1147116) |  |  | 52066974 | (1147117) |
| Rights  | 491 | 2303 |  |  |  |  | 2794 |  |
| Warrants  | 344325 | 105 |  | (1963558) | 3867981 |  | 2248853 | (1854467) |
|  | $627450089 | $333736560 | $(11524997) | $86101818 | $723327369 | $(60028630) | $1699062209 |  |

---

The following table presents additional quantitative information about valuation methodologies and inputs used for investments that are measured at fair value and categorized within Level 3 as of March 31, 2026:

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **Investments**  | **Fair Value**  | **Valuation Technique(s)**  | **Unobservable Input(s)**  | **Range of Input(s)**  | **Weighted <br> Average**  | **Impact on <br> Valuation <br> from an <br> Increase <br> in Input**  |
|  Asset-Backed <br> Securities  |  |  |  |  |  |  |
|  | $19696024 | Transaction Price | Transaction Price | 610/0.00%/0.13%/0.00% – <br> 828/15.00%/1.42%/74.65% | 713/6.40%/<br>0.71%/55.70% | Increase |
|  | $296873825 | Discounted Cash Flow2 | Discount Margin, <br> Conditional Prepayment Rate, <br> Constant Default Rate, <br> Reinvestment Rate | N/A | N/A | Decrease |
|  | $155498895 | Discounted Cash Flow2 | Discount Margin, <br> Conditional Prepayment Rate, <br> Constant Default Rate, <br> Reinvestment Rate, Correlation, <br> Wavg Pool Credit Spread | 447/0.00%/0.14%/<br>55.63%/50.00%/44 – <br>955/10.00%/5.21%/<br>84.90%/50.00%/229 | 695/2.70%/<br>0.88%/66.70%/<br>50.00%/109 | Decrease |
| Bank Loans  |  |  |  |  |  |  |
|  | $11237495 | Coverage | EBITDA Multiple | 5.50x – 7.00x | 6.23x | Increase |
|  | $419992634 | Income Approach | Market Yield | 8.25% – 29.58% | 13.17% | Decrease |
|  | $16940850 | Liquidation Approach | Present Value of Expected Sale <br> Proceeds | N/A | N/A | Increase |
|  | $71739055 | Transaction Price | Transaction Price | N/A | N/A | Increase |

---

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[**TABLE OF CONTENTS**](#TOC)

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **Investments**  | **Fair Value**  | **Valuation Technique(s)**  | **Unobservable Input(s)**  | **Range of Input(s)**  | **Weighted <br> Average**  | **Impact on <br> Valuation <br> from an <br> Increase <br> in Input**  |
| Collateralized Loan Obligations  |  |  |  |  |  |  |
|  | $36319131 | Transaction Price | Transaction Price | N/A | N/A | Increase |
| Common Stocks  |  |  |  |  |  |  |
|  | $7164320 | Transaction Price | Transaction Price | N/A | N/A | Increase |
|  | $9033666 | Recent Transaction | Transaction Price | N/A | N/A | Increase |
|  | $24170685 | Guideline Public Companies | Market Multiple | 1.58x – 8.00x | 4.36x | Increase |
| Preferred Stocks  |  |  |  |  |  |  |
|  | $41380903 | Transaction Price | Transaction Price | N/A | N/A | Increase |
|  | $9982388 | Recent Transaction | Transaction Price | N/A | N/A | Increase |
|  | $10193893 | Guideline Public Companies | Market Multiple | 1.58x – 5.91x | 2.97x | Increase |
|  Private Investment <br> Vehicles  |  |  |  |  |  |  |
|  | $105760536 | Income Approach | Market Yield | 8.50% – 21.60% | 12.89% | Decrease |
|  | $611958 | Transaction Price | Transaction Price | N/A | N/A | Increase |
|  | $408147331 | Adjusted Net Asset Value | Reported Net Asset Value/<br>Fair Value Adjustments | N/A | N/A | Increase |
|  Real Estate Investment <br> Trusts  |  |  |  |  |  |  |
|  | $52066974 | Adjusted Net Asset Value | Reported Net Asset Value/<br>Fair Value Adjustments | N/A | N/A | Increase |
| Rights  |  |  |  |  |  |  |
|  | $2794 | Transaction Price | Transaction Price | N/A | N/A | Increase |
| Warrants  |  |  |  |  |  |  |
|  | $1859131 | Black-Scholes | Volatility | 45.00% – 101.68% | 89.79% | Increase |
|  | $18416 | Transaction Price | Transaction Price | N/A | N/A | Increase |
|  | $371306 | Guideline Public Companies/Sum of the Parts | Multiple | 0.45x – 6.25x | 3.35x | Increase |

---

#### Note 9 — Affiliated Issuers
An affiliated issuer is an entity in which the Fund has ownership of at least 5% of the voting securities or any investment which is advised or sponsored by a Sub-Adviser. The table below reflects transactions during the period with entities that are affiliates as of March 31, 2026.

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Security Description**  | **Shares/<br>Principal<br>Amount End<br>of Period**  | **Value <br> Beginning <br> of Period**  | **Additions**  | **Reductions**  | **Net <br> Realized <br> Gain (Loss)**  | **Change in <br> Unrealized <br> Appreciation <br> (Depreciation)**  | **Value <br> End of <br> Period**  | **Dividend <br> Income\***  | **Interest <br> Income\***  |
| **Closed-End Funds** |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Opportunistic Credit Interval Fund – Class I<sup>1</sup>  | 2339516 | $36008984 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | $(9581393) | $(307716) | $737767 | $26857642 | $2718791 | $— |
| &nbsp;&nbsp;&nbsp; Palmer Square Capital BDC, Inc.<sup>1</sup>  | 1092644 | 19034893 |  | (4699608) | (844672) | (2815481) | 10675132 | 1933225 |  |
| **Collateralized Loan Obligations** |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Palmer Square European Loan Funding, <br> Series 2022-1X, Class SUB, 0.000%, <br> 10/15/2031<sup>1,2,3,4</sup>  | 2975000 | 2088699 |  | (3285841) |  | 1197142 |  |  | (1083634) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Palmer Square European Loan Funding, <br> Series 2022-2X, Class SUB, 0.000%, <br> 10/15/2031<sup>1,2,3,4</sup>  | 4000000 | 135813 |  |  |  | (135813) |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | 80500 |

---

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[**TABLE OF CONTENTS**](#TOC)

#### First Trust Alternative Opportunities Fund <br> NOTES TO CONSOLIDATED FINANCIAL STATEMENTS — Continued <br> March 31, 2026

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Security Description**  | **Shares/<br>Principal<br>Amount End<br>of Period**  | **Value <br> Beginning <br> of Period**  | **Additions**  | **Reductions**  | **Net <br> Realized <br> Gain (Loss)**  | **Change in <br> Unrealized <br> Appreciation <br> (Depreciation)**  | **Value <br> End of <br> Period**  | **Dividend <br> Income\***  | **Interest <br> Income\***  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Palmer Square European Loan Funding, <br> Series 2022-3X, Class SUB, 0.000%, <br> 4/12/2032<sup>1,2,3,4,5</sup>  | 4000000 | $— | $— | $— | $— | $— | $— | $— | $— |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Palmer Square European Loan Funding, <br> Series 2023-1A, Class SUB, 0.000%, <br> 11/15/2032<sup>1,2,3,4,6</sup>  | 7100000 |  |  |  |  |  |  |  | 21603 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Palmer Square European Loan Funding, <br> Series 2023-2X, Class SUB, 0.000%, <br> 1/15/2033<sup>1,2,3,4</sup>  | 8325000 | 8377306 |  | (7061490) |  | 216977 | 1532793 |  | (131896) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Palmer Square European Loan Funding, <br> Series 2023-3X, Class SUB, 10.133%, <br> 5/15/2033<sup>1,2,3,4</sup>  | 8200000 | 7914888 |  | (1719459) |  | 835765 | 7031194 |  | (154248) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Palmer Square European Loan Funding, <br> Series 2024-1X, Class SUB, 11.195%, <br> 8/15/2033<sup>1,2,3,4</sup>  | 10575000 | 9034500 |  | (3288816) |  | 2377218 | 8122902 |  | (1265774) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Palmer Square European Loan Funding, <br> Series 2024-2X, Class SUB, 10.000%, <br> 5/15/2034<sup>1,2,3,4</sup>  | 14550000 | 13642541 |  | (3180167) |  | 955160 | 11417534 |  | 528049 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Palmer Square European Loan Funding, <br> Series 2024-3A, Class SUB, 12.095%, <br> 5/15/2034<sup>1,2,3,4,6</sup>  | 8150000 | 8462950 |  | (932707) |  | (266215) | 7264028 |  | 1242622 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Palmer Square European Loan Funding, <br> Series 2025-1X, Class SUB, 15.495%, <br> 10/15/2034<sup>1,2,3,4</sup>  | 6200000 | 6704152 |  | (585227) |  | (1067426) | 5051499 |  | 496772 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Palmer Square European Loan Funding, <br> Series 2022-1X, Class SUB, 0.000%, <br> 1/21/2035<sup>1,2,3,4,5,7</sup>  | 10260000 |  | 5742988 |  |  | (110186) | 5632802 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Palmer Square European Loan Funding, <br> Series 2025-2X, Class SUB, 11.274%, <br> 2/15/2035<sup>1,2,3,4,7</sup>  | 8050000 |  | 8989391 | (408344) |  | (1102041) | 7479006 |  | 848760 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Palmer Square European Loan Funding, <br> Series 2025-3X, Class SUB, 6.348%, <br> 7/15/2035<sup>1,2,3,4,7</sup>  | 7250000 |  | 8598197 |  |  | (199262) | 8398935 |  | 231342 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Palmer Square European Loan Funding, <br> Series 2026-1X, Class SUB, 0.000%, <br> 10/15/2035<sup>1,2,3,4,5,7</sup>  | 13850000 |  | 16007859 |  |  |  | 16007859 |  | 50347 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Palmer Square European Loan Funding, <br> Series 2024-2X, Class F, 11.745% (3-Month <br> Euribor+824 basis points), 10/15/2037<sup>1,10</sup>  |  | 4841633 | 100 | (5187339) | 608984 | (263378) |  |  | 153503 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Palmer Square European Loan Funding, <br> Series 2024-2X, Class SUB, 11.500%, <br> 10/15/2037<sup>1,2,3,4</sup>  | 9425000 | 9755943 |  | (234793) |  | (2135866) | 7385284 |  | 1477351 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Palmer Square European Loan Funding, <br> Series 2023-1X, Class FR, 10.286% <br> (3-Month Euribor+827 basis points), <br> 1/15/2038<sup>1,2,3,8</sup>  | 1700000 | 1831481 |  |  |  | 126114 | 1957595 |  | 207338 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Palmer Square European Loan Funding, <br> Series 2023-1X, Class SUB, 10.000%, <br> 1/15/2038<sup>1,2,3,4</sup>  | 10000000 | 8226172 |  | (607619) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | (1776248) | 5842305 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | 872611 |

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[**TABLE OF CONTENTS**](#TOC)

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| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Security Description**  | **Shares/<br>Principal<br>Amount End<br>of Period**  | **Value <br> Beginning <br> of Period**  | **Additions**  | **Reductions**  | **Net <br> Realized <br> Gain (Loss)**  | **Change in <br> Unrealized <br> Appreciation <br> (Depreciation)**  | **Value <br> End of <br> Period**  | **Dividend <br> Income\***  | **Interest <br> Income\***  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Palmer Square European Loan Funding, <br> Series 2021-2X, Class SUB, 0.000%, <br> 3/15/2038<sup>1,2,3,4</sup>  | 4570000 | $1952939 | $1320766 | $(994721) | $– | $259231 | $2538215 | $– | $(551157) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Palmer Square European Loan Funding, <br> Series 2025-2X, Class F, 10.186% (3-Month <br> Euribor+817 basis points), <br> 7/15/2038<sup>1,2,3,7,8</sup>  | 4000000 |  | 4458629 |  | – | 147193 | 4605822 | – | 343488 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Palmer Square European Loan Funding, <br> Series 2025-2X, Class SUB, 10.695%, <br> 7/15/2038<sup>1,2,3,4,7</sup>  | 10000000 |  | 10977583 | (353771) | – | (1483005) | 9140807 | – | 511062 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Palmer Square European Loan Funding, <br> Series 2023-2X, Class SUB, 10.000%, <br> 10/15/2038<sup>1,2,3,4</sup>  | 14495000 | 8400945 | 3110133 | (472651) | – | (2095774) | 8942653 | – | 366095 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Palmer Square European Loan Funding, <br> Series 2024-1X, Class SUB, 15.353%, <br> 1/15/2039<sup>1,2,3,4</sup>  | 14000000 | 14239915 |  | (1924382) | – | (1689671) | 10625862 | – | 1426826 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Palmer Square European Loan Funding, <br> Series 2026-1X, Class SUB, 0.000%, <br> 4/15/2039<sup>1,2,3,4,7</sup>  | 11750000 |  | 13928402 |  | – | (347727) | 13580675 | – | 377165 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Palmer Square European Loan Funding, <br> Series 2025-1X, Class SUB, 14.131%, <br> 10/15/2039<sup>1,2,3,4</sup>  | 6500000 | 6325692 | 23307 | (79958) | – | (500352) | 5768689 | – | 634824 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Palmer Square Loan Funding Ltd., <br> Series 2020-1A, Class SUB, 0.000%, 2/20/2028<sup>1,3,4,5,6,9</sup>  | 1250000 |  |  |  | – |  |  | – |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Palmer Square Loan Funding Ltd., <br> Series 2020-4A, Class SUB, 0.000%, 11/25/2028<sup>1,3,4,5,6,9</sup>  | 2250000 |  |  |  | – |  |  | – |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Palmer Square Loan Funding Ltd., <br> Series 2021-1A, Class SUB, 0.000%, 4/20/2029<sup>1,3,4,6,9</sup>  | 1250000 | 624250 |  | (931016) | – | 306766 |  | – | (303626) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Palmer Square Loan Funding Ltd., <br> Series 2021-2A, Class SUB, 0.000%, 5/20/2029<sup>1,3,4,6,9</sup>  | 2150000 | 1234536 |  | (680573) | – | (553963) |  | – | 561827 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Palmer Square Loan Funding Ltd., <br> Series 2021-3A, Class SUB, 0.000%, 7/20/2029<sup>1,3,4,6,9</sup>  | 1500000 | 928534 |  | (920020) | – | (1764) | 6750 | – |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Palmer Square Loan Funding Ltd., <br> Series 2021-4A, Class SUB, 0.000%, 10/15/2029<sup>1,3,4,6,9</sup>  | 3100000 | 1975757 |  | (3100000) | – | 1175703 | 51460 | – | (1267094)<sup>13</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Palmer Square Loan Funding Ltd., <br> Series 2022-1A, Class SUB, 0.000%, 4/15/2030<sup>1,3,4,6,9</sup>  | 5235000 | 3001220 |  | (5012302) | – | 2070238 | 59156 | – | (2101005)<sup>13</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Palmer Square Loan Funding Ltd., <br> Series 2022-2A, Class SUB, 0.000%, 10/15/2030<sup>1,3,4,6,9</sup>  | 6000000 | 4318255 |  | (5543153) | – | 1676669 | 451771 | – | (1797617)<sup>13</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Palmer Square Loan Funding Ltd., <br> Series 2022-5I, Class SUB, 0.000%, <br> 1/15/2031<sup>1,3,4,5,9</sup>  | 1250000 |  |  |  | – |  |  | – |  |

---

------

[**TABLE OF CONTENTS**](#TOC)

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Security Description**  | **Shares/<br>Principal<br>Amount End<br>of Period**  | **Value <br> Beginning <br> of Period**  | **Additions**  | **Reductions**  | **Net <br> Realized <br> Gain (Loss)**  | **Change in <br> Unrealized <br> Appreciation <br> (Depreciation)**  | **Value <br> End of <br> Period**  | **Dividend <br> Income\***  | **Interest <br> Income\***  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Palmer Square Loan Funding Ltd., <br> Series 2022-3A, Class SUB, 0.000%, 4/15/2031<sup>1,3,4,6,9</sup>  | 6250000 | $5609536 | $— | $(4233683) | $— | $594639 | $1970492 | $— | $(725667)<sup>13</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Palmer Square Loan Funding Ltd., <br> Series 2023-1A, Class SUB, 11.500%, 7/20/2031<sup>1,3,4,6,9</sup>  | 4675000 | 114294 |  | (114294) |  |  |  |  | 84427 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Palmer Square Loan Funding Ltd., <br> Series 2022-4A, Class SUB, 0.000%, 7/24/2031<sup>1,3,4,6,9</sup>  | 8050000 | 7045617 |  | (2114782) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | 88659 | 5019494 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | (884194)<sup>13</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Palmer Square Loan Funding Ltd., <br> Series 2023-2A, Class SUB, 10.000%, 1/25/2032<sup>1,3,4,6,9</sup>  | 6600000 | 5930847 |  | (1225184) |  | (493715) | 4211948 |  | (219483)<sup>13</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Palmer Square Loan Funding Ltd., <br> Series 2024-3A, Class SUB, 12.000%, 8/8/2032<sup>1,3,4,6,9</sup>  | 16250000 | 14908117 |  | (2871959) |  | (2084622) | 9951536 |  | (245670)<sup>13</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Palmer Square Loan Funding Ltd., <br> Series 2024-1A, Class E, 10.872% (3-Month <br> Term SOFR+657 basis points), <br> 10/15/2032<sup>1,10</sup>  |  | 744879 | 14369 | (750000) |  | (9248) |  |  | 86476 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Palmer Square Loan Funding Ltd., <br> Series 2024-1A, Class SUB, 10.000%, 10/15/2032<sup>1,3,4,6,9</sup>  | 8000000 | 7129152 |  | (1738509) |  | (889240) | 4501403 |  | (112715)<sup>13</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Palmer Square Loan Funding Ltd., <br> Series 2024-2A, Class SUB, 10.000%, 1/15/2033<sup>1,3,4,6,9</sup>  | 17500000 | 17538682 |  | (2881063) |  | (4019462) | 10638157 |  | 1447613<sup>13</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Palmer Square Loan Funding Ltd., <br> Series 2025-1A, Class SUB, 10.000%, 2/15/2033<sup>1,3,4,6,9</sup>  | 18800000 | 18800000 |  | (2972308) |  | (3044367) | 12783325 |  | 1661009<sup>13</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Palmer Square Loan Funding Ltd., <br> Series 2025-2A, Class SUB, 10.000%, 7/15/2033<sup>1,3,4,6,7,9</sup>  | 17500000 |  | 17500000 | (841081) |  | (3057202) | 13601717 |  | 1183408 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Palmer Square Loan Funding Ltd., <br> Series 2025-3A, Class SUB, 9.569%, 1/15/2034<sup>1,3,4,6,7,9</sup>  | 13200000 |  | 13200000 |  |  | 348939 | 13548939 |  | 195876 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Palmer Square Loan Funding Ltd., <br> Series 2024-1A, Class SUB, 10.000%, 4/15/2037<sup>1,3,4,6,9</sup>  | 13760000 | 13072798 |  | (839183) |  | (4394954) | 7838661 |  | 832985<sup>13</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Palmer Square Loan Funding Ltd., <br> Series 2024-2A, Class SUB, 10.000%, 7/20/2037<sup>1,3,4,6,9</sup>  | 11000000 | 9657361 |  | (400088) |  | (2666707) | 6590566 |  | 1014807 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Palmer Square Loan Funding Ltd., <br> Series 2024-3A, Class SUB, 12.000%, 7/20/2037<sup>1,3,4,6,9</sup>  | 6500000 | 6186472 |  | (182153) |  | (1685210) | 4319109 |  | 757845 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Palmer Square Loan Funding Ltd., <br> Series 2023-4A, Class SUB, 10.000%, 10/20/2037<sup>1,3,4,6,9</sup>  | 12750000 | 12113029 |  | (1048238) |  | (619912) | 10444879 |  | 862127<sup>13</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Palmer Square Loan Funding Ltd., <br> Series 2024-4A, Class SUB, 10.000%, 1/15/2038<sup>1,3,4,6,9</sup>  | 14000000 | 14194624 |  | (155315) |  | (4098490) | 9940819 |  | 1758002 |

---

------

[**TABLE OF CONTENTS**](#TOC)

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Security Description**  | **Shares/<br>Principal<br>Amount End<br>of Period**  | **Value <br> Beginning <br> of Period**  | **Additions**  | **Reductions**  | **Net <br> Realized <br> Gain (Loss)**  | **Change in <br> Unrealized <br> Appreciation <br> (Depreciation)**  | **Value <br> End of <br> Period**  | **Dividend <br> Income\***  | **Interest <br> Income\***  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Palmer Square Loan Funding Ltd., <br> Series 2023-1A, Class SUB, 0.000%, 1/20/2038<sup>1,3,4,6,9</sup>  | 4000000 | $4128190 | $— | $(651810) | $— | $(157089) | $3319291 | $— | $44517<sup>13</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Palmer Square Loan Funding Ltd., <br> Series 2025-1A, Class SUB, 10.000%, 4/20/2038<sup>1,3,4,6,9</sup>  | 11500000 | 11560383 |  | (79421) |  | (1829479) | 9651483 |  | 1206042 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Palmer Square Loan Funding Ltd., <br> Series 2023-2A, Class SUB, 10.000%, 7/20/2038<sup>1,3,4,6,9</sup>  | 9500000 | 9693333 |  | (1346055) |  | (2727987) | 5619291 |  | 280987<sup>13</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Palmer Square Loan Funding Ltd., <br> Series 2025-2A, Class SUB, 10.000%, 7/20/2038<sup>1,3,4,6,7,9</sup>  | 8450000 |  | 8450000 | (61355) |  | (2100065) | 6288580 |  | 577979 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Palmer Square Loan Funding Ltd., <br> Series 2025-3A, Class SUB, 11.500%, 7/20/2038<sup>1,3,4,6,7,9</sup>  | 11800000 |  | 11800000 |  |  | (1112699) | 10687301 |  | 615394 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Palmer Square Loan Funding Ltd., <br> Series 2025-4A, Class SUB, 12.922%, 10/20/2038<sup>1,3,4,6,7,9</sup>  | 10750000 |  | 10750000 |  |  | (333924) | 10416076 |  | 199598 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Palmer Square Loan Funding Ltd., <br> Series 2025-5A, Class SUB, 11.262%, 10/20/2038<sup>1,3,4,6,7,9</sup>  | 14260000 |  | 14260000 |  |  | (442538) | 13817462 |  | 277683 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Palmer Square Loan Funding Ltd., <br> Series 2023-3A, Class SUB, 10.000%, 1/20/2039<sup>1,3,4,6,9</sup>  | 8000000 | 7555258 |  | (443598) |  | (598548) | 6513112 |  | 290415<sup>13</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Palmer Square Loan Funding Ltd., <br> Series 2026-1A, Class SUB, 10.744%, 4/20/2039<sup>1,3,4,5,6,7,9</sup>  | 13250000 |  | 12587500 |  |  | 110970 | 12698470 |  | 183201 |
| **Mutual Funds** |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Driehaus Event Driven Fund<sup>10,11</sup>  |  | 37240967 |  | (38141287) | (838501) | 1738821 |  |  |  |
| &nbsp;&nbsp;&nbsp; Glenmede Secured Options Portfolio – Class Institutional<sup>11</sup>  | 2661585 | 77873967 | 44000000 | (86999999) | 1449820 | 938405 | 37262193 | 5293492 |  |
| **Private Investment Vehicles** |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Audax Private Credit Fund, LLC<sup>7,11</sup>  | 2039414 |  | 51124892 |  |  | (660643) | 50464249 | 1812647 |  |
| &nbsp;&nbsp;&nbsp; BC Partners Lending Corp.<sup>1</sup>  | 567120 | 11467159 |  |  |  | (527421) | 10939738 | 1020815 |  |
| &nbsp;&nbsp;&nbsp; MCF CLO 12, LLC<sup>5,10,11</sup>  | 30629469 | 11867246 |  | (11548335) |  | (318911) |  |  |  |
| &nbsp;&nbsp;&nbsp; RiverNorth Capital Partners LP<sup>1,5,12</sup>  | 1 | 19570057 |  | (1000000) |  | 1275298 | 19845355 |  |  |
| &nbsp;&nbsp;&nbsp; TCW Direct Lending VIII, LLC<sup>11</sup>  | 795000 | 36565578 | 14907427 |  |  | (1945583) | 49527422 | 7484901 |  |
| **Real Estate Investment Trusts** |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Invesco Real Estate Income Trust, Inc. – <br> Class I<sup>1,5</sup>  | 1992811 | 53214090 |  | (204296) |  | (942820) | 52066974 | 3319425 |  |
|  | **532372560** | $**592843634** | $**271751543** | $**(223629346)** | $**67915** | $**(40127334)** | $**600906412** | $**23583296** | $**13148696** |

---

\* Net of foreign withholding taxes.

<sup>1</sup> Advised or sponsored by a Sub-Adviser.

<sup>2</sup> Principal amount denoted in local currency.

<sup>3</sup> Callable.

<sup>4</sup> Variable rate security, upon which the interest rate adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. Rate shown is the rate in effect as of period end.

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[**TABLE OF CONTENTS**](#TOC)

<sup>5</sup> The value of these securities was determined using significant unobservable inputs. These are reported as Level 3 securities in the Fair Value Hierarchy.

<sup>6</sup> Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities are restricted and may be resold in transactions exempt from registration normally to qualified institutional buyers.

<sup>7</sup> Security not held or not an affiliate at the beginning of the period.

<sup>8</sup> Floating rate security, upon which the interest rate adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. Rate shown is the rate in effect as of period end.

<sup>9</sup> Foreign security denominated in U.S. Dollars.

<sup>10</sup> Security not held or not an affiliate at the end of the period.

<sup>11</sup> Entity in which the Fund has ownership of at least 5% of the voting securities outstanding.

<sup>12</sup> Investment does not issue shares.

<sup>13</sup> This amount includes adjustments to reflect distributions as return of capital.

#### Note 10 — Derivatives and Hedging Disclosures
ASC 815, *Derivatives and Hedging* requires enhanced disclosures about the Fund's derivative and hedging activities, including how such activities are accounted for and their effects on the Fund's financial position, performance and cash flows.

The effects of these derivative instruments on the Fund's financial position and financial performance as reflected in the Consolidated Statement of Assets and Liabilities and Consolidated Statement of Operations are presented in the tables below. The fair values of derivative instruments as of March 31, 2026, by risk category are as follows:

---

| | | |
|:---|:---|:---|
| | **Derivatives Not Designated <br> as Hedging Instruments**  | **Derivatives Not Designated <br> as Hedging Instruments**  |
| | **Forward <br> Foreign <br> Currency <br> Exchange <br> Contracts**  | **Total**  |
| **Assets:** |  |  |
| Foreign currency  | $7563108 | $7563108 |
|  | $7563108 | $7563108 |
| **Liabilities:** |  |  |
| Foreign currency  | $(4288749) | $(4288749) |
|  | $(4288749) | $(4288749) |

---

The effects of derivative instruments on the Consolidated Statement of Operations for the year ended March 31, 2026, by risk category are as follows:

---

| | | |
|:---|:---|:---|
| | **Derivatives Not Designated <br> as Hedging Instruments**  | **Derivatives Not Designated <br> as Hedging Instruments**  |
| | **Forward <br> Foreign <br> Currency <br> Exchange <br> Contracts**  | **Total**  |
| **Net Realized Gain (Loss) on Derivatives:** |  |  |
| Foreign currency  | $(26136839) | $(26136839) |
|  | $(26136839) | $(26136839) |

---

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[**TABLE OF CONTENTS**](#TOC)

#### First Trust Alternative Opportunities Fund <br> NOTES TO CONSOLIDATED FINANCIAL STATEMENTS — Continued <br> March 31, 2026

---

| | | |
|:---|:---|:---|
| | **Derivatives Not Designated <br> as Hedging Instruments**  | **Derivatives Not Designated <br> as Hedging Instruments**  |
| | **Forward <br> Foreign <br> Currency <br> Exchange <br> Contracts**  | **Total**  |
| **Net Change in Unrealized Appreciation/Depreciation on Derivatives:**  |  |  |
| Foreign currency  | $10497713 | $10497713 |
|  | $10497713 | $10497713 |

---

The notional amount and the number of contracts as of March 31, 2026 are included on the Consolidated Schedule of Investments. The quarterly average volumes of derivative instruments for the period ended March 31, 2026 are as follows:

---

| | | |
|:---|:---|:---|
| **Derivatives Not Designated as Hedging Instruments**  | | |
| Forward foreign currency exchange contracts  | Notional amount  | $(508498444) |

---

#### Note 11 — Disclosures about Offsetting Assets and Liabilities
ASU 2011-11, *Disclosures about Offsetting Assets and Liabilities,* requires an entity to disclose information about offsetting and related arrangements to enable users of its financial statements to understand the effect of those arrangements on its financial position.

The Fund mitigates credit risk with respect to OTC derivative counterparties through credit support annexes included with International Swaps and Derivatives Association ("ISDA") Master Agreements or other Master Netting Agreements which are the standard contracts governing most derivative transactions between the Fund and each of its counterparties. These agreements allow the Fund and each counterparty to offset certain derivative financial instruments' payables and/or receivables against each other and/or with collateral, which is generally held by the Fund's custodian. The amount of collateral moved to/from applicable counterparties is based upon minimum transfer amounts specified in the agreement. To the extent amounts due to the Fund from its counterparties are not fully collateralized contractually or otherwise, the Fund bears the risk of loss from counterparty non-performance.

The Fund's Consolidated Statement of Assets and Liabilities presents financial instruments on a gross basis, therefore there are no net amounts and no offset amounts within the Consolidated Statement of Assets and Liabilities to present below. Gross amounts of the financial instruments, amounts related to financial instruments/cash collateral not offset in the Consolidated Statement of Assets and Liabilities and net amounts are presented below:

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **Unrealized Appreciation/<br>Depreciation on Forward Foreign <br>Currency Exchange Contracts**  | **Counterparty**  | **Gross Amounts <br> Recognized in <br> Consolidated <br> Statement of <br> Assets and <br> Liabilities**  | **Amounts Not Offset in <br> Consolidated Statement <br> of Assets and Liabilities**  | **Amounts Not Offset in <br> Consolidated Statement <br> of Assets and Liabilities**  | |
| **Unrealized Appreciation/<br>Depreciation on Forward Foreign <br>Currency Exchange Contracts**  | **Counterparty**  | **Gross Amounts <br> Recognized in <br> Consolidated <br> Statement of <br> Assets and <br> Liabilities**  | **Financial <br> Instruments\***  | **Cash <br> Collateral\*\***  |<br> **Net Amount**  |
|  Forward foreign currency exchange contracts – assets  | BNP Paribas  | $7563108 | $(4288749) | $162600 | $3436959 |
|  Forward foreign currency exchange contracts – liabilities  | BNP Paribas  | $(4288749) | $4288749 | $— | $— |

---

\* Amounts relate to Master Netting Agreements and collateral agreements (for example, ISDA) which have been determined by the Investment Manager to be legally enforceable in the event of default and where certain other criteria are met in accordance with applicable offsetting guidance.

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[**TABLE OF CONTENTS**](#TOC)

#### First Trust Alternative Opportunities Fund <br> NOTES TO CONSOLIDATED FINANCIAL STATEMENTS — Continued <br> March 31, 2026
\*\* The collateral amounts may exceed the related net amounts of financial assets and liabilities presented in the Consolidated Statement of Assets and Liabilities. Where this is the case, the total amount reported is limited to the net amounts of financial assets and liabilities with that counterparty.

#### Note 12 — Commitments
Bank loans, collateralized loan obligations, corporate bonds and private investment vehicles may be structured to be fully funded at the time of investment or include unfunded investment commitments, which are contractual obligations for future funding. The potential investment commitments are noted as "Commitments and contingencies" as reported on the Consolidated Statement of Assets and Liabilities. The unfunded investment commitments outstanding as of March 31, 2026, are as follows:

---

| | |
|:---|:---|
| | **Unfunded <br> Commitment**  |
| Bank Loans |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Accuray, Inc.  | $2813542 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Blue Raven Solutions, LLC  | 535000 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Craftmark Bakery Holdings, LLC  | 1076923 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Craftmark Bakery Holdings, LLC  | 3327799 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Fenix Topco, LLC  | 80586 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Fenix Topco, LLC  | 3386835 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; GT Independence Services, LLC  | 1578947 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; GT Independence Services, LLC  | 1421053 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Medical Technology Solutions, LLC  | 3437500 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Medical Technology Solutions, LLC  | 1031250 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Minds + Assembly, LLC  | 950521 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; NMA Holdings, LLC  | 1729412 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; NMA Holdings, LLC  | 1411765 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; PayByPhone Technologies, Inc.  | 2153846 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; PayByPhone Technologies, Inc.  | 1346154 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Riccobene Associates  | 1428958 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Riccobene Associates  | 744249 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Sparta AN Bidco, LLC  | 270909 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Sparta AN Bidco, LLC  | 477273 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Summit Spine & Joint Centers  | 1899876 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Summit Spine & Joint Centers  | 4042288 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Super Sod, LLC  | 1469590 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Super Sod, LLC  | 1175672 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Vomela Purchaser, LLC  | 1978900 |
| Collateralized Loan Obligations |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; ABPCI Highland Park CLO  | 662500 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Arini European CLO  | 24900000 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Arini European CLO  | 6720000 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Neuberger Berman Loan Advisers CLO Ltd.  | 6175463 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Palmer Square Loan Funding Ltd.  | 17559000 |
| Private Investment Vehicles |  |
| &nbsp;&nbsp;&nbsp; Investment Partnerships  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 137 Holdings ISI, LLC  | 6000000 |

---

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#### First Trust Alternative Opportunities Fund <br> NOTES TO CONSOLIDATED FINANCIAL STATEMENTS — Continued <br> March 31, 2026

---

| | |
|:---|:---|
| | **Unfunded <br> Commitment**  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 137 Ventures VII LP  | 9105000 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; APD PBP Equity LP  | 105000 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Arbour Lane Credit Opportunity Fund IV LP  | 17711120 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Arlington Capital Partners VI LP  | 655266 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Arlington Capital Partners VII LP  | 12500000 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Arrow Credit Opportunities III LP  | 20000000 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Blue Torch Offshore Credit Opp Fund IV LP  | 21250000 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Core Spaces Fund IV LP  | 39308892 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Digital Realty DC Partners NA Fund-A LP  | 40000000 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; FCP Realty Fund VI-A LP  | $29840653 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; GHO Capital IV LP  | 17345955 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; GPS IV LP  | 717466 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Hedosophia Investments VI Q LP  | 2500000 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Hedosophia Partners VI LP  | 4318494 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Hillpointe Workforce Housing Partners V LP  | 22750000 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Proterra Credit Fund 3 LP  | 1704387 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Quiet Leaders Fund I LP  | 10000000 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Quiet Venture III LP  | 1222044 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Quiet Venture IV LP  | 25000000 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; RA Capital Nexus Fund IV LP  | 13125000 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Sapphire Venture VII LP  | 10531309 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Savory Fund III Blocked LP  | 6500000 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; TCW Rescue Financing II LP  | 7260733 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; TPG Tech Adjacencies III LP  | 20000000 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Ufenau VI German Asset Lite, SLP  | 457011 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Ufenau VI Overflow, SLP  | 610197 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Ufenau VIII German Asset Lite, SLP  | 10750000 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; US Industrial Club VII, LP  | 31012269 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Whitehawk IV-Plus Onshore Fund LP  | 1400000 |
| &nbsp;&nbsp;&nbsp; Non-Listed Business Development Companies  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Audax Private Credit Fund, LLC  | 4024582 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; TCW Direct Lending VIII, LLC  | 24185342 |
| &nbsp;&nbsp;&nbsp; Private Collateralized Loan Obligations  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Fortress Credit Opportunities CLO, LLC  | 997383 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; GPG Loan Funding, LLC  | 4159800 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; MCF CLO 12, LLC  | 48906 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; NXT Capital CLO, LLC  | 11042450 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Private Credit Fund C-1 Holdco, LLC  | 6872301 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Silver Point Loan Funding, LLC  | 5334707 |
| Total Unfunded Commitments  | $536132078 |

---

As of March 31, 2026, unfunded commitments totaled $536.1 million for which net unrealized gains of $19,758,931 are included in the related value column of the Consolidated Schedule of Investments for such commitments.

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#### Note 13 — Credit Agreement
The Fund, as the borrower, has entered into a credit agreement, as amended (the "Credit Agreement"), with TriState Capital Bank as the lender. The Credit Agreement provides for borrowings on a committed basis in an aggregate principal amount up to $125,000,000, which amount may be increased from time to time upon mutual agreement by the parties. The expiration date of the Credit Agreement is March 25, 2027. In connection with the Credit Agreement, the Fund has made certain customary representations and warranties and is required to comply with various customary covenants, reporting requirements and other requirements, including maintaining a loan to value ratio of 3:00 to 1:00 at any time. The Credit Agreement contains events of default customary for similar financing transactions, including: (i) the failure to make principal, interest or other payments when due after the applicable grace period; (ii) the insolvency or bankruptcy of the Fund; or (iii) a change of management of the Fund. Upon the occurrence and during the continuation of an event of default, the lender may declare the outstanding advances and all other obligations under the Credit Agreement immediately due and payable. The Fund's obligations to the lender under the Credit Agreement are secured by a first-priority security interest in substantially all of the assets of the Fund.

For the year ended March 31, 2026, the Fund incurred a cost related to the setup and maintenance of the credit agreement (the "Commitment fee") and for the quarterly average daily unused portion of the revolving commitment (the "Unused line of credit fees") as reported on the Consolidated Statement of Operations. The average annualized interest rate, average daily loan balance, maximum loan amount outstanding and amount recorded as interest expense in the Consolidated Statement of Operations for the one hundred forty-one (141) specific days the Fund had outstanding borrowings were 6.73%, $46,049,645, $110,000,000, and $1,195,543, respectively. As of March 31, 2026 the Fund had $100,000,000 in outstanding borrowings.

#### Note 14 — Control Ownership
The beneficial ownership, either directly or indirectly, of more than 25% of the voting securities of the Fund creates presumption of control of the Fund, under Section 2(a) 9 of the Investment Company Act. As of March 31, 2026, the Shareholders listed in the table below held, for the benefit of their customers, the following percentages of the outstanding Shares of the Fund:

---

| | |
|:---|:---|
| **Beneficial Owner**  | **% of Outstanding <br> Shares of the Fund**  |
| Charles Schwab & Co.  | 57.2% |

---

The Fund has no knowledge as to whether all or any portion of the Shares owned of record are also owned beneficially.

#### Note 15 — Risk Factors
An investment in the Fund involves various risks. The Fund allocates assets to private investment vehicles that invest in and actively trade securities and other financial instruments using a variety of strategies and investment techniques with significant risk characteristics, including the risks arising from the volatility of the equity, fixed income, commodity and currency markets, the risks of borrowings and short sales, the risks arising from leverage associated with trading in the equities, currencies and over-the-counter derivatives markets, the illiquidity of derivative instruments and the risk of loss from counterparty defaults.

No guarantee or representation is made that the investment program will be successful.

Certain local, regional or global events such as war, acts of terrorism, the spread of infectious illnesses and/or other public health issues, financial institution instability, threatened or actual imposition of tariffs, recessions or other events may have a significant impact on a security or instrument. Tensions,

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#### First Trust Alternative Opportunities Fund <br> NOTES TO CONSOLIDATED FINANCIAL STATEMENTS — Continued <br> March 31, 2026
war or open conflict between nations, such as recently between Russia and Ukraine, in the Middle East or in eastern Asia, could affect the economies of many nations, including the United States. These types of events and other like them are collectively referred to as "Market Disruptions and Geopolitical Risks" and they may have adverse impacts on the worldwide economy, as well as the economies of individual countries, the financial health of individual companies and the markets in general in significant and unforeseen ways. Some of the impacts noted in recent times include but are not limited to embargos, political actions, supply chain disruptions, bank failures, restrictions on investment and/or monetary movement including the forced selling of securities or the inability to participate in impacted markets. The United States has enacted or proposed to enact significant tariffs, (which the U.S. Supreme Court recently ruled were unconstitutional) and various federal agencies have been directed to further evaluate key aspects of U.S. trade policy, which could potentially lead to significant changes to current policies, treaties, and tariffs. Significant uncertainty remains about the United States's future relationships with other countries with respect to such trade policies, treaties, military conflicts, sanctions and potential tariffs. These developments, or the perception thereof, may have a material adverse effect on global trade, trade between the impacted nations and the United States, the stability of global financial markets and overall global economic conditions. These events could adversely affect the Fund's performance, the performance of the securities in which the Fund invests and may lead to losses. The ultimate impact of "Market Disruptions and Geopolitical Risks" on the financial performance of the Fund's investments is not reasonably estimable at this time. Management is actively monitoring these events.

#### Note 16 — Events Subsequent to the Fiscal Period End
In preparing these Consolidated Financial Statements, management has evaluated subsequent events through the date of issuance of the Consolidated Financial Statements included herein. There have been no subsequent events that occurred during such period that would require disclosure or would be required to be recognized in the Consolidated Financial Statements.

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#### First Trust Alternative Opportunities Fund <br> FUND MANAGEMENT <br> March 31, 2026 (Unaudited)
The members of the Board and the Fund's officers and their brief biographical information, including their addresses, their year of birth and descriptions of their principal occupations during the past five years, are set forth below. The Fund's Statement of Additional Information includes additional information about the membership of the Board, and is available without charge, upon request, by calling the Fund at (877) 779-1999.

#### INDEPENDENT TRUSTEES AND ADVISORY BOARD MEMBER

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **NAME, ADDRESS <br> AND YEAR OF BIRTH** | **POSITION(S) <br> HELD WITH <br> THE FUND**  | **TERM OF <br> OFFICE AND <br> LENGTH OF <br> TIME <br> SERVED\***  | **PRINCIPAL <br> OCCUPATION(S) <br> DURING <br> PAST 5 YEARS**  | **NUMBER <br> OF <br> PORTFOLIOS <br> IN FUND <br> COMPLEX\*\* <br> OVERSEEN <br> BY <br> TRUSTEE**  | **OTHER <br> DIRECTORSHIPS <br> HELD BY <br> TRUSTEES\*\*\***  |
| David G. Lee <br> Year of Birth: 1952 <br> c/o UMB Fund Services, Inc. <br> 235 W. Galena St. <br> Milwaukee, WI 53212  | Chairman and Trustee | Chairman Since May 2019; Trustee Since Inception | Retired (Since 2012); President and Director, Client Opinions, Inc. (2003 – 2012); Chief Operating Officer, Brandywine Global Investment Management (1998 – 2002). | 33  |  |
| Robert Seyferth <br> Year of Birth: 1952 <br> c/o UMB Fund Services, Inc. <br> 235 W. Galena St. <br> Milwaukee, WI 53212  | Trustee | Since Inception | Retired (Since 2009); Chief Procurement Officer/Senior Managing Director, Bear Stearns/JP Morgan Chase (1993 – 2009). | 33  |  |
| Gary E. Shugrue <br> Year of Birth: 1954 <br> c/o UMB Fund Services, Inc. <br> 235 W. Galena St. <br> Milwaukee, WI 53212  | Trustee | Since September <br> 2021 | Retired (Since 2023); Managing Director, Veritable LP (investment advisory firm) (2016 – 2023); Founder/ Chief Investment Officer, Ascendant Capital Partners, LP (private equity firm) (2003 – <br> 2018). | 33  | Trustee, Quaker Investment Trust (1 portfolio) (registered investment company).  |

---

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#### First Trust Alternative Opportunities Fund <br> FUND MANAGEMENT — Continued <br> March 31, 2026 (Unaudited)

#### INTERESTED TRUSTEE AND OFFICERS

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **NAME, ADDRESS <br> AND YEAR OF BIRTH** | **POSITION(S) <br> HELD WITH <br> THE FUND**  | **TERM OF <br> OFFICE AND <br> LENGTH OF <br> TIME <br> SERVED\***  | **PRINCIPAL <br> OCCUPATION(S) <br> DURING PAST <br> 5 YEARS**  | **NUMBER <br> OF <br> PORTFOLIOS <br> IN FUND <br> COMPLEX\*\* <br> OVERSEEN <br> BY <br> TRUSTEE**  | **OTHER <br> DIRECTORSHIPS <br> HELD BY <br> TRUSTEES\*\*\***  |
| Terrance P. Gallagher\*\*\*\* <br> Year of Birth: 1958 <br> c/o UMB Fund Services, Inc. <br> 235 W. Galena St. Milwaukee, WI 53212  | Trustee | Since June 2020 | Retired (Since October 2025); Trustee, Investment Managers Series Trust II (registered investment company) (2013 - Present); Executive Vice President and Trust Platform Director, UMB Fund Services, Inc. (2024 – October 2025); President, Investment Managers Series Trust II (registered investment company) (2013 - April 2025); Executive Vice President and Director of Fund Accounting, Administration and Tax, UMB Fund Services, Inc. (2007 - 2023). | 33  | Trustee, Investment Managers Series Trust II (262 portfolios) (registered investment company).  |
| Michael Peck <br> Year of Birth: 1980 <br> c/o UMB Fund Services, Inc. <br> 235 W. Galena St. <br> Milwaukee, WI 53212  | President | Since Inception  | Chief Executive Officer and Co-CIO, First Trust Capital Management L.P. (formerly, Vivaldi Asset Management, LLC) (2012 – Present) President and Co-CIO, Vivaldi Capital Management LP (2012 – 2024); Portfolio Manager, Coe Capital Management (2010 - 2012); Senior Financial Analyst and Risk Manager, the Bond Companies (2006 - 2008). | N/A  | N/A  |

---

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#### First Trust Alternative Opportunities Fund <br> FUND MANAGEMENT — Continued <br> March 31, 2026 (Unaudited)

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **NAME, ADDRESS <br> AND YEAR OF BIRTH** | **POSITION(S) <br> HELD WITH <br> THE FUND**  | **TERM OF <br> OFFICE AND <br> LENGTH OF <br> TIME <br> SERVED\***  | **PRINCIPAL <br> OCCUPATION(S) <br> DURING PAST <br> 5 YEARS**  | **NUMBER <br> OF <br> PORTFOLIOS <br> IN FUND <br> COMPLEX\*\* <br> OVERSEEN <br> BY <br> TRUSTEE**  | **OTHER <br> DIRECTORSHIPS <br> HELD BY <br> TRUSTEES\*\*\***  |
| Chad Eisenberg <br> Year of Birth: 1982 <br> c/o UMB Fund Services, Inc. 235 W. Galena St. Milwaukee, WI 53212  | Treasurer | Since Inception | Chief Operating Officer, First Trust Capital Management L.P. (formerly, Vivaldi Asset Management, LLC) (2012 – Present); Chief Operating Officer, Vivaldi Capital Management LP (2012 – 2024); Director, Coe Capital Management LLC (2010 – 2011). | N/A  | N/A  |
| Bernadette Murphy <br> Year of Birth: 1964 <br> c/o UMB Fund Services, Inc. 235 W. Galena St. Milwaukee, WI 53212  | Chief Compliance Officer | Since 2021  | Director, Vigilant Compliance, LLC (investment management solutions firm) (2018 – Present). | N/A  | N/A  |
| Ann Maurer <br> Year of Birth: 1972 <br> c/o UMB Fund Services, Inc. 235 W. Galena St. Milwaukee, WI 53212  | Secretary | Since September <br> 2018 | Senior Vice President, Registered Funds Product Manager (August 2025 – <br> Present), Senior Vice President, Client Services (2017 - 2025), Vice President, Senior Client Service Manager (2013 - 2017), Assistant Vice President, Client Relations Manager (2002 – 2013), UMB Fund Services, Inc. | N/A  | N/A  |

---

\* Trustees serve on the Board for terms of indefinite duration. A Trustee's position in that capacity will terminate if the Trustee is removed or resigns or, among other events, upon the Trustee's death, incapacity or retirement. Officers hold office until their successors are chosen and qualified and serve at the pleasure of the Trustees.

\*\* As of March 31, 2026, the fund complex consists of the AFA Asset Based Lending Fund, Agility Multi-Asset Income Fund, Aspiriant Capital Appreciation Fund, Aspiriant Real Assets Fund, Destiny Alternative Fund, Felicitas Income Fund, Felicitas Private Markets Fund, First Trust Alternative Opportunities Fund, First Trust Enhanced Private Credit Fund, First Trust Hedged Strategies Fund, First Trust Private Assets Fund, First Trust Private Credit Fund, First Trust Real Assets Fund, FT Vest Hedged Equity Income Fund: Series A2, FT Vest Hedged Equity Income Fund: Series A3, FT Vest Hedged Equity Income Fund: Series A4, FT Vest Hedged Equity Income Fund: Series B1, FT Vest Hedged Equity Income Fund: Series B2, FT Vest Hedged Equity Income Fund: Series B3, FT Vest Rising Dividend Achievers Total Return Fund, FT Vest Total Return Income Fund: Series A1, FT Vest

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Total Return Income Fund: Series A2, FT Vest Total Return Income Fund: Series A3, FT Vest Total Return Income Fund: Series A4, FT Vest Total Return Income Fund: Series B1, FT Vest Total Return Income Fund: Series B2, FT Vest Total Return Income Fund: Series B3, FT Vest Total Return Income Fund: Series B4, Infinity Core Alternative Fund, Pender Real Estate Credit Fund, Variant Alternative Income Fund, Variant Alternative Lending Fund and Variant Impact Fund.

\*\*\* As of March 31, 2026.

\*\*\*\* Mr. Gallagher is deemed to be an interested person of the Fund because of his affiliation with the Fund's administrator, UMBFS.

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#### First Trust Alternative Opportunities Fund <br> FUND INFORMATION <br> March 31, 2026 (Unaudited)

---

| | | |
|:---|:---|:---|
| | **TICKER**  | **CUSIP**  |
| **First Trust Alternative Opportunities Fund – Class A Shares** | **VFLAX**  | **75943J209**  |
| **First Trust Alternative Opportunities Fund – Class I Shares** | **VFLEX**  | **75943J100**  |

---

#### Proxy Voting Policies and Procedures
A description of the Fund's proxy voting policies and procedures related to portfolio securities is available without charge, upon request, by calling the Fund at (877) 779-1999 or on the SEC website at www.sec.gov.

#### Proxy Voting Record
Information regarding how the Fund voted proxies for portfolio securities, if applicable, during the most recent 12-month period ended June 30, is also available, without charge and upon request by calling the Fund at (877) 779-1999 or by accessing the Fund's Form N-PX on the SEC's website at www.sec.gov.

#### Availability of Quarterly Portfolio Schedules
The Fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-PORT. The Fund's Form N-PORT is available on the SEC website at www.sec.gov or without charge and upon request by calling the Fund at (877) 779-1999.

#### Qualified Dividend Income
For the period ended December 31, 2025, 0.48% of dividends to be paid from net investment income, including short term capital gains from the Fund (if any), are designated as qualified dividend income.

#### Corporate Dividends Received Deduction
For the period ended December 31, 2025, 0.33% of the dividends to be paid from net investment income, including short-term capital gains from the Fund (if any), are designated as dividends received deduction available to corporate shareholders.

#### Section 163(j) Interest Dividends
For the period ended December 31, 2025, the Fund designated approximately 47.91% of its taxable ordinary income dividends, (dividend income and short-term gains, if any), or up to the maximum amount allowable, as Section 163(j) Interest Dividends. The Fund intends to pass through Section 163(j) Interest Dividends as defined in Proposed Treasury Regulation §1.163(j)-1(b).

#### Section 199A Dividends
For the period ended December 31, 2025, the Fund designated approximately 0.10% of its taxable ordinary income dividends, (dividend income and short-term gains, if any), or up to the maximum amount allowable, as Section 199A dividends. Non-corporate shareholders of the Fund meeting certain holding period requirements may be able to deduct up to 20 percent of qualified REIT dividends passed through and reported to the shareholders by the Fund as Section 199A dividends.

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#### First Trust Alternative Opportunities Fund <br> FUND INFORMATION — Continued <br> March 31, 2026 (Unaudited)

#### Capital Gains Designation
For the period ended December 31, 2025, the Fund designated $9,033,628 as short-term capital gain distributions.

For the period ended December 31, 2025, the Fund designated $31,997,844 as long-term capital gain distributions.

First Trust Alternative Opportunities Fund <br> 235 West Galena Street <br> Milwaukee, WI 53212 <br> Toll Free: (877) 779-1999

------

&nbsp;&nbsp;&nbsp;&nbsp;(b) Registrant has included
 in its Rule 30e-3(c) notice only the disclosures specified by Rule 30e-3(c)(1) and
 (2). Therefore, the registrant has not included a copy of the notice herewith.

ITEM 2. CODE OF ETHICS.

&nbsp;&nbsp;&nbsp;&nbsp;(a) The registrant, as of the end of the
 period covered by this report, has adopted a code of ethics that applies to the registrant's
 principal executive officer, principal financial officer, principal accounting officer or
 controller, or persons performing similar functions, regardless of whether these individuals
 are employed by the registrant or a third party.

&nbsp;&nbsp;&nbsp;&nbsp;(b) Not applicable.

&nbsp;&nbsp;&nbsp;&nbsp;(c) There have been no amendments, during
 the period covered by this report, to a provision of the code of ethics that applies to the
 registrant's principal executive officer, principal financial officer, principal accounting
 officer or controller, or persons performing similar functions, regardless of whether these
 individuals are employed by the registrant or a third party, and that relates to any element
 of the code of ethics description.

&nbsp;&nbsp;&nbsp;&nbsp;(d) The registrant has not granted any waivers,
 during the period covered by this report, including an implicit waiver, from a provision
 of the code of ethics that applies to the registrant's principal executive officer, principal
 financial officer, principal accounting officer or controller, or persons performing similar
 functions, regardless of whether these individuals are employed by the registrant or a third
 party, that relates to one or more of the items set forth in paragraph (b) of this item's
 instructions.

&nbsp;&nbsp;&nbsp;&nbsp;(e) The registrant does not intend to satisfy
 the disclosure requirement under paragraph (c) or (d) of this Item regarding an
 amendment to, or a waiver from, a provision of its code of ethics that applies to the registrant's
 principal executive officer, principal financial officer, principal accounting officer or
 controller, or persons performing similar functions and that relates to any element of the
 code of ethics definition enumerated in paragraph (b) of this Item by posting such information
 on its Internet website.

&nbsp;&nbsp;&nbsp;&nbsp;(f) The registrant has included with this
 filing, pursuant to Item 19(a)(1), a copy of its code of ethics that applies to the registrant's
 principal executive officer, principal financial officer, principal accounting officer or
 controller, or persons performing similar functions, as an exhibit to its annual report on
 this Form N-CSR.

ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.

&nbsp;&nbsp;&nbsp;&nbsp;(a) As of the end of the period covered
 by the report, the registrant's board of trustees has determined that Mr. David
 G. Lee and Mr. Robert Seyferth are qualified to serve as the audit committee financial
 experts serving on its audit committee and that they are "independent," as defined
 by Item 3 of Form N-CSR.

ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.

Audit Fees

&nbsp;&nbsp;&nbsp;&nbsp;(a) The aggregate fees billed for professional
 services rendered by the principal accountant for the audit of the registrant's annual financial
 statements or services that are normally provided by the accountant in connection with statutory
 and regulatory filings or engagements are $117,500 for 2025 and $150,000 for 2026.

Audit-Related Fees

&nbsp;&nbsp;&nbsp;&nbsp;(b) The aggregate fees billed for assurance and
 related services by the principal accountant that are reasonably related to the performance
 of the audit of the registrant's financial statements and are not reported under paragraph
 (a) of this Item are $0 for 2025 and $0 for 2026.

Tax Fees

&nbsp;&nbsp;&nbsp;&nbsp;(c) The aggregate fees billed for professional
 services rendered by the principal accountant for the review and preparation of tax returns
 are $46,680 for 2025 and $54,500 for 2026.

All Other Fees

&nbsp;&nbsp;&nbsp;&nbsp;(d) The aggregate fees billed for products and
 services provided by the principal accountant, other than the services reported in paragraphs
 (a) through (c) of this Item is $0 for 2025 and $0 for 2026.

&nbsp;&nbsp;&nbsp;&nbsp;(e) (1) The registrant's Audit Committee
 must pre-approve the audit and non-audit services of the Auditors prior to the Auditor's
 engagement.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(2) The percentage of services described in each of paragraphs (b) through (d) of this Item that were approved by the audit committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X are as follows:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(b) 0%

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(c) 0%

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(d) 0%

&nbsp;&nbsp;&nbsp;&nbsp;(f) The percentage of hours expended on the principal
 accountant's engagement to audit the registrant's financial statements for the fiscal period
 April 1, 2025 through March 31, 2026 that were attributed to work performed by
 persons other than the principal accountant's full-time, permanent employees was less than
 fifty percent.

&nbsp;&nbsp;&nbsp;&nbsp;(g) The aggregate non-audit fees billed by the
 registrant's accountant for services rendered to the registrant, and rendered to the registrant's
 investment adviser (not including any sub-adviser whose role is primarily portfolio management
 and is subcontracted with or overseen by another investment adviser), and any entity controlling,
 controlled by, or under common control with the adviser that provides ongoing services to
 the registrant for each of the fiscal year of the registrant was $0 for 2025 and $0 for 2026.

&nbsp;&nbsp;&nbsp;&nbsp;(h) The registrant's audit committee of the board
 of trustees has considered whether the provision of non-audit services that were rendered
 to the registrant's investment adviser (not including any sub-adviser whose role is primarily
 portfolio management and is subcontracted with or overseen by another investment adviser),
 and any entity controlling, controlled by, or under common control with the investment adviser
 that provides ongoing services to the registrant that were not pre-approved pursuant to paragraph
 (c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible with maintaining the principal
 accountant's independence.

&nbsp;&nbsp;&nbsp;&nbsp;(i) Not applicable

&nbsp;&nbsp;&nbsp;&nbsp;(j) Not applicable

ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.

&nbsp;&nbsp;&nbsp;&nbsp;(a) Not applicable.

&nbsp;&nbsp;&nbsp;&nbsp;(b) Not applicable.

ITEM 6. INVESTMENTS.

&nbsp;&nbsp;&nbsp;&nbsp;(a) Schedule of Investments in securities of
 unaffiliated issuers as of the close of the reporting period is included as part of the report
 to stockholders filed under Item 1(a) of this form.

&nbsp;&nbsp;&nbsp;&nbsp;(b) Not applicable.

ITEM 7. FINANCIAL STATEMENTS AND FINANCIAL HIGHLIGHTS FOR OPEN-END MANAGEMENT INVESTMENT COMPANIES.

&nbsp;&nbsp;&nbsp;&nbsp;(a) Not applicable.

&nbsp;&nbsp;&nbsp;&nbsp;(b) Not applicable.

ITEM 8. CHANGES IN AND DISAGREEMENTS WITH ACCOUNTANTS FOR OPEN-END MANAGEMENT INVESTMENT COMPANIES.

Not applicable.

ITEM 9. PROXY DISCLOSURES FOR OPEN-END MANAGEMENT INVESTMENT COMPANIES.

Not applicable.

ITEM 10. REMUNERATION PAID TO DIRECTORS, OFFICERS, AND OTHERS OF OPEN-END MANAGEMENT INVESTMENT COMPANIES.

Not applicable.

ITEM 11. STATEMENT REGARDING BASIS FOR APPROVAL OF INVESTMENT ADVISORY CONTRACT.

Not applicable.

ITEM 12. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES.

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**First Trust Capital Management L.P.**

**PROXY POLICY AND PROCEDURE**

**<u>INTRODUCTION</u>**

First Trust Capital Management L.P. ("FTCM") acts as either the advisor or sub-advisor to a number of registered investment companies, and manager or general partner to a number of non-registered private investment companies (referred to collectively as the "Funds"). In accord with Rule 206(4)-6 of the Investment Advisers Act of 1940, as amended, FTCM has adopted the following policies and procedures to provide information on FTCM's proxy policy (the "Proxy Policy and Procedure"). These policies and procedures apply only to FTCM. Investment managers engaged as a sub-advisor for at least one of the Funds are required to vote proxies in accord with their own policies and procedures and any applicable management agreements, as agreed upon in the sub-advisory agreement.

**<u>GENERAL GUIDELINES</u>**

FTCM's Proxy Policy and Procedure is designed to ensure that proxies are voted in a manner (i) reasonably believed to be in the best interests of the Funds and their shareholders<sup>1</sup> and (ii) not affected by any material conflict of interest. FTCM considers shareholders' best economic interests over the long term (*i.e.*, addresses the common interest of all shareholders over time). Although shareholders may have differing political or social interests or values, their economic interest is generally uniform.

FTCM has adopted voting guidelines to assist in making voting decisions on common issues. The guidelines are designed to address those securities in which the Funds generally invest and may be revised in FTCM's discretion. Any non-routine matters not addressed by the proxy voting guidelines are addressed on a case-by-case basis, considering all relevant facts and circumstances at the time of the vote, particularly where such matters have a potential for major economic impact on the issuer's structure or operations. In making voting determinations, FTCM typically will rely on the individual portfolio managers who invest in and track particular companies as they are the most knowledgeable about, and best suited to make decisions regarding, particular proxy matters. In addition, FTCM may conduct research internally and/or use the resources of an independent research consultant. FTCM may also consider other materials such as studies of corporate governance and/or analyses of shareholder and management proposals by a certain sector of companies and may engage in dialogue with an issuer's management.

FTCM acknowledges its responsibility to identify material conflicts of interest related to voting proxies. FTCM's employees are required to disclose to the Chief Compliance Officer ("CCO") any personal conflicts, such as officer or director positions held by them, their spouses or close relatives, in any publicly traded company. Conflicts based on business relationships with FTCM, any affiliate or any person associated with FTCM, will be considered only to the extent that FTCM has actual knowledge of such relationships. FTCM then takes appropriate steps to address identified conflicts. Typically, in those instances when a proxy vote may present a conflict between the interests of the Fund, on the one hand, and FTCM's interests or the interests of a person affiliated with FTCM on the other, FTCM will abstain from making a voting decision and will document the decision and reasoning for doing so.

<sup>1</sup> Actions taken in accord with the best interests of the Funds and their shareholders are those which align most closely with the Funds' stated investment objectives and strategies.

First Trust Capital Management \| 225 W. Wacker Drive \| 21<sup>st</sup> Floor \| Chicago, IL 60606 \| P: 773.828.6700 \| F: 847.386.2910

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In some cases, the cost of voting a proxy may outweigh the expected benefits. For example, casting a vote on a foreign security may involve additional costs such as hiring a translator or traveling to the foreign country to vote the security in person. In such situations, FTCM may abstain from voting a proxy if the effect on shareholders' economic interests or the value of the portfolio holding is indeterminable or insignificant.

In certain cases, securities on loan as part of a securities lending program may not be voted. Nothing in the proxy voting policies shall obligate FTCM to exercise voting rights with respect to a portfolio security if it is prohibited by the terms of the security or by applicable law or otherwise.

FTCM will not discuss with members of the public how they intend to vote on any particular proxy proposal.

**<u>SPECIAL CONSIDERATIONS</u>**

The registered investment companies are subject to the restrictions of Sections 12(d)(1)(A)(i) and (B)(i) of the Investment Company Act of 1940 (the "Act"). Generally, these provisions require that any fund and any entity controlled by that fund (including ETFs that are registered investment companies) may not (i) own, in the aggregate, more than three percent (3%) of the total outstanding voting securities of any registered open-end or closed-end investment company, including money market funds<sup>2</sup> ; (ii) invest more than 5% of its total net assets in any one investment company; or (iii) invest more than 10% of its total assets in the securities of other investment companies. Section 12(d)(1)(F) of the Act provides that the Section 12(d)(1) limitations do not apply to the securities acquired by a fund if (x) immediately after the purchase or acquisition of not more than 3% of the total outstanding stock of such registered investment company is owned by the fund and all affiliated persons of the fund, and (y) the fund is not proposing to offer or sell any security issued by it through a principal underwriter or otherwise at a public or offering price which includes a sales load of more than one and a half percent (1.5%). In the event that one of Funds relies upon Section 12(d)(1)(F), FTCM, acting on behalf of the Fund, will, when voting with respect to any investment company owned by the Fund, comply with either of the following voting restrictions:

● Seek instruction from the Fund's shareholders with regard to the voting of all proxies and vote in accordance with such instructions, or

● Vote the shares held by the Fund in the same proportion as the vote of all other holders of such security.

● In addition to Section 12(d)(1)(F), Rule 12d1-4 under the Act states that a registered investment company ("Acquiring Fund") may purchase or otherwise acquire the securities issued by another registered investment company (the "Acquired Fund") in excess of the limits of Section 12(d)(1) and an Acquired Fund may sell or otherwise dispose of the securities issued by the Acquiring Fund in excess of the limits of Section 12(d)(1) if certain conditions are met. One of the conditions is that if the Acquiring Fund and its advisory group (as defined by Rule 12d1-4), in aggregate (A) hold more than 25% of the outstanding voting securities of an Acquired Fund that is a registered open-end management investment company or registered unit investment trust as a result of a decrease in the outstanding voting securities of an Acquired Fund, or (B) hold more than 10% of the outstanding voting securities of an Acquired Fund that is a registered closed-end management investment company or business development company, each of those holders will vote its securities in the same proportion as the vote of all other holders of such securities. When relying on Rule 12d1-4, the Fund will comply with such voting restrictions as required by Rule 12d1-4 and any applicable provision in the respective Fund of Funds Agreement with the Acquired Fund.

<sup>2</sup> The three percent (3%) limit is measured at the time of investment.

First Trust Capital Management \| 225 W. Wacker Drive \| 21<sup>st</sup> Floor \| Chicago, IL 60606 \| P: 773.828.6700 \| F: 847.386.2910

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**<u>ISS PROXYEDGE</u>**

FTCM has a contractual relationship with Institutional Shareholder Services Inc. ("ISS") through which ISS provides certain proxy management services to FTCM's portfolio management teams.

Specifically, ISS (i) provides access to the ISS ProxyExchange web-based voting and research platform to access vote recommendations, research reports, execute vote instructions and run reports relevant to Subscriber's proxy voting environment; (ii) implements and maps FTCM's designated proxy voting policies to applicable accounts and generates vote recommendations based on the application of such policies; and (iii) monitors FTCM's incoming ballots, performs ballot-to-account reconciliations with FTCM and its third party providers to help ensure that ISS is receiving all ballots for which FTCM has voting rights. As part of our compliance procedures, FTCM's Compliance

Department reviews ISS on a periodic basis. The procedures performed include obtaining and reviewing certain compliance and operational related documents and reviewing a sample of proxies voted during the year to ensure compliance with our proxy voting policies and procedures.

ISS provides two options for how proxy ballots are executed:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1. Implied Consent: ISS
 executes ballots on FTCM's behalf based on policy guidelines chosen at the time FTCM
 entered into the relationship with ISS.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2. Mandatory Signoff: ISS
 is not permitted to mark or process any ballot on FTCM's behalf without first receiving
 FTCM's specific voting instructions via ProxyExchange.

FTCM has opted for Option 1. Implied Consent and in so doing has chosen to allow ISS to vote proxies on its behalf "with management's recommendations." FTCM has the option, however, to change its vote from the "with management's recommendations" default at any point prior to the voting deadline if the portfolio managers following the subject company determine it is in the best interests of the Funds and their shareholders to do so. In those instances when the subject company's management has not provided a voting recommendation, FTCM will either vote based on its own determination of what would align most closely with the best interests of the Funds and their shareholders or will opt to allow ISS to submit an "abstain" vote on its behalf. In addition, in those limited instances when share blocking<sup>3</sup> may apply, FTCM has instructed ISS not to cast a vote on FTCM's behalf unless FTCM provides specific instructions via ProxyExchange.

<sup>3</sup> Proxy voting in certain countries requires share blocking. Shareholders wishing to vote their proxies must deposit their shares shortly before the meeting date with a designated depositary. During this blocking period, any shares held by the designated depositary cannot be sold until the meeting has taken place and the shares have been returned to FTCM's custodian banks. FTCM generally opts not to participate in share blocking proxies given these restrictions on their ability to trade.

First Trust Capital Management \| 225 W. Wacker Drive \| 21<sup>st</sup> Floor \| Chicago, IL 60606 \| P: 773.828.6700 \| F: 847.386.2910

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**<u>FUND OF FUNDS-SPECIFIC POLICIES AND PROCEDURES</u>**

Several of the Funds are "Fund of Funds" that invest primarily in general or limited partnerships or other private investment vehicles (collectively, "Investment Funds"). While it is unlikely that the Fund of Funds will receive notices or proxies from Investment Funds, to the extent that the Fund of Funds do receive such notices or proxies and the Fund of Funds have voting interests in such Investment Funds, the responsibility for decisions regarding proxy voting for securities held by the Fund of Funds lies with FTCM as their advisor. FTCM will vote such proxies in accordance with the proxy policies and procedures noted above.

**<u>REGISTERED INVESTMENT COMPANIES-SPECIFIC POLICIES AND PROCEDURES</u>**

Each Fund that is registered under the Act is required to file Form N- PX annually, with its complete proxy voting record for the twelve (12) months ended June 30<sup>th</sup>, no later than August 31<sup>st</sup> of each year. The Fund's Form N-PX filing is available (i) without charge, upon request, from the Fund's administrator or (ii) by visiting the SEC's website at <u>www.sec.gov.</u>

First Trust Capital Management \| 225 W. Wacker Drive \| 21<sup>st</sup> Floor \| Chicago, IL 60606 \| P: 773.828.6700 \| F: 847.386.2910

**Acceptance of Proxy Voting Authority**

**POLICY**

The Firm has been delegated and accepted authority to vote proxies or exercise similar rights with respect to assets held by its Private Funds, Registered Funds, SMA Clients, CLOs and Direct Clients. Most of the securities the Firm invests in are non-voting securities and therefore do not require proxy voting. For those holdings that are voting securities, the Firm shall exercise any voting rights in a manner believed to be in the best interests of clients, or, to the extent applicable, their beneficiaries, and consistent with efforts to achieve a client's stated objective, including but not limited to maximizing portfolio value. The Firm will also ensure that the vote is not the product of an actual or potential conflict of interest. For clients that are subject to ERISA, it is the Firm's policy to follow the provisions of any ERISA plan's governing documents in the voting of plan securities, unless it determines that to do so would breach its fiduciary duties under ERISA.

For the Private Funds that are funds of funds, the managers of the underlying funds held by the funds of funds do not typically convey traditional voting rights to the holders and the occurrence of corporate governance or other notices for this type of investment is substantially less than that encountered in connection with registered equity securities. If the Firm is accorded voting or consent rights by virtue of any such investment, the Firm shall exercise such rights in accordance with its proxy voting policy described above.

CLOs generally invest in debt interests (including loans) that do not traditionally solicit proxies. However, to the extent authority is granted in the CLO's governing documents, a Palmer Square Affiliate could be called upon to provide or withhold consent to proposed modifications to the terms of a loan, covenants among the borrower and lenders, or restructurings and exchanges of a loan. Palmer Square will seek to make consent decisions in the overall best interests of the CLO from which consent is sought, subject to that CLO's governing documents. Depending on the circumstances, when a loan is held by multiple CLOs or by one or more CLOs and other clients, Palmer Square may determine that the interests of one or more holders diverge from others and, in that case, will generally exercise or refrain from exercising a consent right differently for some clients than for others.

**RESPONSIBILITY**

Where the Firm has accepted responsibility to vote proxies or exercise consents on behalf of a particular client, the Chief Operating Officer, or appropriate designee, is responsible for ensuring that proxies are voted or consents are exercised in a manner consistent with the proxy voting guidelines adopted by the Firm (the "Proxy Voting Guidelines") and the Firm's policies and procedures.

**<br> PROCEDURES**

Absent special circumstances, which are further discussed below, all proxies will be voted or consents exercised consistent with the guidelines attached to the Compliance Manual on <u>Exhibit B</u> ("Proxy Voting Guidelines") and the Firm's policies and procedures. The Firm shall, in its Form ADV, generally disclose to clients information about these policies and procedures and how clients may obtain information on how the Firm voted proxies or exercised consents on their behalf when applicable. At any time, a client may contact the Firm to request information about how it voted proxies or exercised consents for their account. It is generally the Firm's policy not to disclose this information to unaffiliated third parties or special interest groups.

The Firm has delegated the responsibility to review proxy proposals and make voting recommendations to the Firm to a non-affiliated third-party vendor.<sup>1</sup> The Investment Team will ensure that any third-party recommendations followed will be consistent with the Proxy Voting Guidelines. In all cases, however, the ultimate decisions on how to vote proxies or exercise consents are made by the Chief Investment Officer, or appropriate designee.

The Firm will vote proxies for its Registered Funds in accordance with Proxy Voting Guidelines. If a Registered Fund is sub-advised by a third-party manager, the Firm may delegate proxy voting authority to the manager. Respective boards of trustees review proxy voting on an annual basis. Proxy voting records for the Firm's Registered Funds are filed with the SEC by the Registered Fund administrator.

In the event Palmer Square is requested to vote a proxy solicited by one of the underlying funds in Palmer Square Private Funds, all proxy requests received by Palmer Square and any clients' requests for voting information will be logged and maintained for no less than five years. After a review of the proxy request, the Chief Investment Officer, or appropriate designee, will vote the proxy in accordance with the best interests of the relevant Palmer Square Private Fund(s) and log such vote and its rationale on the spreadsheet. As discussed below, if the Firm believes it to be in the best interests of its client(s) holding the relevant asset, the Firm can abstain from voting a proxy or exercising a consent and, in such cases, will log the rationale for abstaining.

The Compliance Team shall be responsible for periodically testing Firm's compliance with these proxy voting policies and procedures.

***ERISA Plans***

Plans managed by the Firm governed by ERISA shall be administered consistent with the terms of the governing plan documents and applicable provisions of ERISA. In cases where the Firm has been delegated sole proxy voting discretion, these policies and procedures will be followed subject to the fiduciary responsibility standards of ERISA. These standards generally require fiduciaries to act prudently and to discharge their duties solely in the interest of participants and beneficiaries. The Department of Labor has indicated that voting decisions of ERISA fiduciaries must generally focus on the course that would most likely increase the value of the stock being voted.

The documents governing ERISA individual account plans may set forth various procedures for voting "employer securities" held by the plan. Where authority over the investment of plan assets is granted to plan participants, many individual account plans provide that proxies for employer securities will be voted in accordance with directions received from plan participants as to shares allocated to their plan accounts. In some cases, the governing plan documents may further provide that unallocated shares and/or allocated shares for which no participant directions are received will be voted in accordance with a proportional voting method in which such shares are voted proportionately in the same manner as are allocated shares for which directions from participants have been received.

<sup>1</sup> Decisions as to consents with respect to loans or similar assets that are generally not covered by the non-affiliated third-party vendor will be made by the Chief Investment Officer or an appropriate designee.

***Conflicts of Interest***

The Firm is subject to conflicts of interest in the voting of proxies or exercising consents due to business or personal relationships it maintains with persons having an interest in the outcome of certain votes. For example, the Firm may provide services to accounts owned or controlled by companies whose management is soliciting proxies. The Firm, along with any affiliates and/or associates, has business or personal relationships with other proponents of proxy proposals, participants in proxy contests, corporate directors, or candidates for directorships. Additionally, in some cases, the Firm may advise clients whose interest in an issuer conflicts with the interests of other clients in that issuer or in the outcome of a proxy solicitation or consent request.

***Exercising Consents Related to Fixed Income Instruments***

In certain situations, a client may reserve to itself or another fiduciary the authority to exercise consents. The Firm will not exercise consent rights on behalf of a client unless the client's governing documents authorize it to do so. If requested by a client, the Firm will exercise consents pursuant to the client's statement of policy or guidelines with respect to consents; even if the Firm disagrees as to whether the decision required by the policy or guideline is in the overall best interest of the client. The exercise of consents may also be restricted or prohibited by applicable laws and regulations, including the restrictions on joint transactions applicable to registered investment companies and business development companies.

Where the Firm has full authority to exercise consents on behalf of clients, it will seek to exercise a consent on behalf of each client holding an interest in a loan or other instrument in the best interest of the particular client. Consents are to be exercised in a prudent and diligent manner and consistent with the objective of maximizing long-term investment returns.

***Special Circumstances***

The Firm may choose not to vote proxies or exercise consents in certain situations or for certain accounts, such as: (i) where a client has informed the Firm that they wish to retain the right to vote the proxy or exercise the consent; (ii) where the Firm deems the cost (including opportunity costs) of voting the proxy or exercising the consent would exceed any anticipated benefit to the client; (iii) where a proxy is received for a client that has terminated the Firm's services; (iv) where a proxy is received or a consent is solicited for a security that the Firm no longer manages (i.e., the Firm has previously sold the entire position); and/or (v) where the exercise of voting or consent rights could restrict the ability of an account's portfolio manager to freely trade the security in question (as is the case, for example, in certain foreign jurisdictions known as "blocking markets").

In addition, certain accounts over which the Firm has proxy-voting discretion may participate in securities lending programs administered by the custodian or a third party. Because title to loaned securities passes to the borrower, the Firm will be unable to vote any security that is out on loan to a borrower on a proxy record date. If the Firm has investment discretion, however, the Firm shall reserve the right to instruct the lending agent to terminate a loan in situations where the matter to be voted upon is deemed to be material to the investment and the benefits of voting the security are deemed to outweigh the costs of terminating the loan.

**BOOKS AND RECORDS**

In its books and records, the Firm will maintain a copy of the following documents:

● Proxy statement that the Firm receives regarding client's securities;

● Votes that the Firm casts on behalf of a client;

● Any document the Firm created that was material to making a decision on how to vote proxies on behalf of a client or that memorialize the basis for such decision; and

● Written client request for information on how the Firm voted proxies on behalf of the requesting client and a copy of the Firm's written response to any (written or verbal) client request for information on how the Firm voted proxies on behalf of the requesting client.

The Firm may rely upon the SEC's EDGAR system to maintain certain records referred to above.

**Exhibit B: Proxy Voting Guidelines**

In accordance with Rule 30b1-4 under the Investment Company Act of 1940 and Rule 206(4)-6 and 204-2 under of the Investment Advisers Act of 1940, Palmer Square Capital Management LLC ("Palmer Square") is providing all clients with a summary of its proxy voting procedures.

● Upon opening an account with Palmer Square, clients are given the option to delegate proxy-voting discretion to Palmer Square by completing the appropriate documents. Palmer Square will only exercise proxy-voting discretion over client shares in the instances where clients give Palmer Square discretionary authority to vote on their behalf.

● It is Palmer Square's policy to vote client shares primarily in conformity with Glass Lewis & Co. recommendations, in order to mitigate conflicts of interest that can arise between Palmer Square and its clients. Glass Lewis & Co. and Palmer Square retain a record of all recommendations.

● Glass Lewis & Co. is an independent third party that issues recommendations based upon its own internal guidelines.

● Palmer Square conducts a review at least annually of Glass Lewis & Co to assess the firm's capacity and competency to serve as a proxy advisor.

● Palmer Square will vote client shares inconsistent with Glass Lewis & Co. recommendations if Palmer Square believes that doing so is in the best interest of its clients.

● In situations where Palmer Square identifies a material conflict of interest in the voting of proxies due to business or personal relationships that Palmer Square maintains with persons having an interest in the outcome of certain votes, Palmer Square will take appropriate steps to ensure that its proxy voting decisions are made in the best interest of its clients.

● Palmer Square votes client shares via ProxyEdge, an electronic voting platform provided by Broadridge Financial Solutions, Inc. Additionally, ProxyEdge retains a record of proxy votes for each client.

● Annually, Palmer Square will file Form N-PX with the SEC, which will contain each fund's complete proxy voting record.

● Palmer Square's Compliance Team will periodically review all proxy votes to ensure consistency with its procedures.

● Upon request, clients can receive a copy of Palmer Square's proxy voting procedures and Glass Lewis & Co.'s proxy voting guidelines.

● These procedures are currently in effect but could be amended in the future

If you have any questions or would like a copy of Palmer Square's proxy voting procedures, Glass Lewis & Co.'s proxy voting guidelines and/or a record of how your shares were voted, please contact Palmer Square's Chief Compliance Officer at 816-994-3200.

Section 18 - Proxy Voting

**RiverNorth Capital Management, LLC**

**PROXY VOTING POLICIES AND PROCEDURES**

Pursuant to the adoption by the Securities and Exchange Commission (the "Commission") of Rule 206(4)-6 (17 CFR 275.206(4)-6) and amendments to Rule 204-2 (17 CFR 275.204-2) under the Investment Advisers Act of 1940 (the "Act"), it is a fraudulent, deceptive, or manipulative act, practice or course of business, within the meaning of Section 206(4) of the Act, for an investment adviser to exercise voting authority with respect to client securities, unless (i) the adviser has adopted and implemented written policies and procedures that are reasonably designed to ensure that the adviser votes proxies in the best interests of its clients, (ii) the adviser describes its proxy voting procedures to its clients and provides copies on request, and (iii) the adviser discloses to clients how they may obtain information on how the adviser voted their proxies.

In its standard investment advisory agreement, RiverNorth Capital Management, LLC ("RiverNorth") specifically states that it does not vote proxies unless otherwise directed by the client and the client, including clients governed by ERISA, is responsible for voting any proxies. Therefore, RiverNorth will not vote proxies for these clients. However, RiverNorth will vote proxies on behalf of its investment company clients and hedge fund clients ("Funds"). RiverNorth has instructed all custodians, other than Fund custodians, to forward proxies directly to its clients, and if RiverNorth accidentally receives a proxy for any non-Fund client, current or former, RiverNorth will promptly forward the proxy to the client. In order to fulfill its responsibilities to Funds, RiverNorth has adopted the following policies and procedures for proxy voting with regard to companies in any Funds' investment portfolios.

**<u>OVERVIEW</u>**

The Proxy Voting Policies and Procedures are designed to protect the best interests of the Funds. RiverNorth does not delegate or rely on any third-party service provider for voting recommendations.

**<u>KEY OBJECTIVES</u>**

The key objectives of these policies and procedures recognize that a company's management is entrusted with the day-to-day operations and longer term strategic planning of the company, subject to the oversight of the company's board of directors. While "ordinary business matters" are primarily the responsibility of management and should be approved solely by the corporation's board of directors, these objectives also recognize that the company's shareholders must have final say over how management and directors are performing, and how shareholders' rights and ownership interests are handled, especially when matters could have substantial economic implications to the shareholders.

Therefore, RiverNorth will pay particular attention to the following matters in exercising our proxy voting responsibilities as a fiduciary for the Funds:

● *Accountability*. Each company should have effective means in place to hold those entrusted with running a company's business accountable for their actions. Management of a company should be accountable to its board of directors and the board should be accountable to shareholders.

● *Alignment of Management and Shareholder Interests*. Each company should endeavor to align the interests of management and the board of directors with the interests of the company's shareholders. For example, we generally believe that compensation should be designed to reward management for doing a good job of creating value for the shareholders of the company.

● *Transparency*. Promotion of timely disclosure of important information about a company's business operations and financial performance enables investors to evaluate the performance of a company and to make informed decisions about the purchase and sale of a company's securities.

**<u>DECISION METHODS</u>**

RiverNorth generally believes that the individual portfolio managers that invest in and track particular companies are the most knowledgeable and best suited to make decisions with regard to proxy votes. Therefore, RiverNorth relies on those individuals to make the final decisions on how to cast proxy votes.

No set of proxy voting guidelines can anticipate all situations that may arise. In special cases, RiverNorth may seek insight from its managers and analysts on how a particular proxy proposal will impact the financial prospects of a company, and vote accordingly.

In some instances, a proxy vote may present a conflict between the interests of a Fund, on the one hand, and RiverNorth's interests or the interests of a person affiliated with us, on the other. In such a case, RiverNorth will abstain from making a voting decision and will forward all of the necessary proxy voting materials to the client to enable the client to cast the votes.

Notwithstanding the forgoing, the following policies will apply to investment company shares owned by a Fund. The Investment Company Act of 1940, as amended, (the "Act") defines an "investment company" to include mutual funds, money market funds, closed-end funds (including preferred shares of a closed-end fund), and exchange traded funds. Under Section 12(d)(1) of the Act, a fund may only invest up to 5% of its total assets in the securities of any one investment company, but may not own more than 3% of the outstanding voting stock of any one investment company or invest more than 10% of its total assets in the securities of other investment companies. However, Section 12(d)(1)(F) of the Act provides that the provisions of paragraph 12(d)(1) shall not apply to securities purchased or otherwise acquired by a fund if (i) immediately after such purchase or acquisition not more than 3% of the total outstanding stock of such registered investment company is owned by the fund and all affiliated persons of the fund; and (ii) the fund is not proposing to offer or sell any security issued by it through a principal underwriter or otherwise at a public or offering price which includes a sales load of more than 1½% percent. Therefore, each Fund (or the Adviser acting on behalf of the Fund) must comply with the following voting restrictions unless it is determined that the Fund is not relying on Section 12(d) (1) (F):

● when the Fund exercises voting rights, by proxy or otherwise, with respect to any investment company owned by the Fund, the Fund will either

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;o seek instruction from the Fund's
 shareholders with regard to the voting of all proxies and vote in accordance with such instructions,
 or

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;o vote the shares held by the Fund in the
 same proportion as the vote of all other holders of such security.

Under Section 12(d)(1)-(4) of the Act, an investment company (including exchange traded funds ("ETFs"), or closed-end funds), or business development company ("BDC"), is allowed to acquire securities of any other registered investment company or BDC in excess of the limitations in Section 12(d)(1). For purposes of these policies and procedures, the term "Acquiring Fund" means a fund that invests in any other registered investment company and "Acquired Fund" means a fund that is being acquired by another registered investment company.

When an investment company is relying on 12(d)(1)-(4), the investment company must comply with the following provisions regarding proxy voting:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;● Limits on Control and Voting. When an investment company acquires shares of another investment company (Acquiring Fund), its advisory group<sup>1</sup> is prohibited from controlling<sup>2</sup>, individually or in the aggregate, of the Acquired Fund. An Acquiring Fund and its advisory group are required to use mirror voting when they hold more than: (i) 25 percent of the outstanding voting securities of an Acquired Fund that is an open-end fund or UIT due to a decrease in the outstanding voting securities of the Acquired Fund; or (ii) 10 percent of the outstanding voting securities of an Acquired Fund that is a closed-end fund or BDC. In assessing whether a Fund is deemed to have control, the Acquiring Fund is required to aggregate its investment in an Acquired Fund with the investment of the Acquiring Fund's advisory group. The Acquiring Fund and its advisory group are required to use pass-through voting (i.e., seek voting instructions from the Acquiring Fund's own shareholders and vote accordingly) in situations where (1) all holders of an Acquired Fund's outstanding voting securities are required by Rule 12d1-4 or Section 12(d)(1) of the 1940 Act to use mirror voting, or (2) mirror voting by an Acquiring Fund is not possible (for example, when Acquiring Funds are the only shareholders of an Acquired Fund).

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;● Exceptions from the Control and Voting Conditions. The control and voting conditions described above do not apply when: (i) an Acquiring Fund is within the same group of investment companies as an Acquired Fund; or (ii) the Acquiring Fund's investment sub-advisor or any person controlling, controlled by, or under common control with such investment sub-advisor acts as the Acquired Fund's investment advisor or depositor.

**<u>PROXY VOTING GUIDELINES</u>**

**Election of the Board of Directors**

We believe that good corporate governance generally starts with a board composed primarily of independent directors, unfettered by significant ties to management, all of whose members are elected annually. We also believe that turnover in board composition promotes independent board action; fresh approaches to governance, and generally has a positive impact on shareholder value. We will generally vote in favor of non-incumbent independent directors.

The election of a company's board of directors is one of the most fundamental rights held by shareholders. Because a classified board structure prevents shareholders from electing a full slate of directors annually, we will generally support efforts to declassify boards or other measures that permit shareholders to remove a majority of directors at any time, and will generally oppose efforts to adopt classified board structures.

**Approval of Independent Auditors**

RiverNorth believes that the relationship between a company and its auditors should be limited primarily to the audit engagement, although it may include certain closely related activities that do not raise an appearance of impaired independence.

<sup>1</sup> Rule 12d1-4 defines "advisory group" as either: (i) an Acquiring Fund's investment advisor or depositor and any person controlling, controlled by, or under common control with such investment advisor or depositor; or (ii) an Acquiring Fund's investment sub-advisor and any person controlling, controlled by, or under common control with such investment sub-advisor.

<sup>2</sup> "Control" means the power to exercise a controlling influence over the management or policies of a company, unless such power is solely the result of an official position with such company. The 1940 Act creates a rebuttable presumption that any person who, directly or indirectly, beneficially owns more than 25% of the voting securities of a company is deemed to control the company. Accordingly, an Acquiring Fund and its advisory group could own up to 25% of the outstanding shares of an Acquired Fund without being presumed to control the Acquired Fund. A determination of control depends on the facts and circumstances of the particular situation and does not turn solely on ownership of voting securities of a company.

RiverNorth will evaluate on a case-by-case basis instances in which the audit firm has a substantial non-audit relationship with a company to determine whether we believe independence has been, or could be, compromised.

**Equity-based compensation plans**

RiverNorth believes that appropriately designed equity-based compensation plans, approved by shareholders, can be an effective way to align the interests of shareholders and the interests of directors, management, and employees by providing incentives to increase shareholder value. Conversely, we are opposed to plans that substantially dilute ownership interests in the company, provide participants with excessive awards, or have inherently objectionable structural features.

RiverNorth will generally support measures intended to increase stock ownership by executives and the use of employee stock purchase plans to increase company stock ownership by employees. These may include:

● Requiring senior executives to hold stock in a company.

● Requiring stock acquired through option exercise to be held for a certain period of time.

These are guidelines, and we consider other factors, such as the nature of the industry and size of the company, when assessing a plan's impact on ownership interests.

**Corporate Structure**

RiverNorth views the exercise of shareholders' rights, including the rights to act by written consent, to call special meetings and to remove directors, to be fundamental to good corporate governance.

Because classes of common stock with unequal voting rights limit the rights of certain shareholders, RiverNorth generally believes that shareholders should have voting power equal to their equity interest in the company and should be able to approve or reject changes to a company's by-laws by a simple majority vote.

RiverNorth will generally support the ability of shareholders to cumulate their votes for the election of directors.

**Shareholder Rights Plans**

While RiverNorth recognizes that there are arguments both in favor of and against shareholder rights plans, also known as poison pills, such measures may tend to entrench current management, which RiverNorth generally considers to have a negative impact on shareholder value. Therefore, while RiverNorthwill evaluate such plans on a case by case basis, we will generally oppose such plans.

**<u>PROXY SERVICE PROVIDER OVERSIGHT</u>**

RiverNorth uses Broadridge Financial Solutions Inc.'s ProxyEdge ("ProxyEdge") as our third-party service provider for voting proxies. ProxyEdge, as a RiverNorth service provider, is monitored by RiverNorth through its proxy service and undergoes an initial and periodic due diligence review.

The initial due diligence of a third-party service provider for proxy services includes a review of the service provider's compliance policies and procedures, records of any administrative proceedings against the firm, interview with key personnel, review the information technology and cybersecurity controls in place to protect vital data and discussions with other clients of the service provider.

For a periodic due diligence, RiverNorth requires its third-party service provider for proxy services to complete a Due Diligence Questionnaire (DDQ). As with the initial due diligence, the DDQ will cover the service provider's compliance policies and procedures, records of any administrative proceedings against the firm and information technology and cybersecurity controls in place to protect vital data. It will also include an evaluation of any material changes in services or operations of the third-party service provider for proxy services.

**<u>CLIENT INFORMATION</u>**

A copy of these Proxy Voting Policies and Procedures is available to our clients, without charge, upon request, by calling 1-800-646-0148. RiverNorth will send a copy of these Proxy Voting Policies and Procedures within three (3) business days of receipt of a request, by first-class mail or other means designed to ensure equally prompt delivery. In addition, RiverNorth will provide each client, without charge, upon request, information regarding the proxy votes cast by us with regard to the client's securities.

**<u>TESTING PROCEDURES</u>**

On a monthly basis, the Chief Compliance Officer ("CCO") or his designee shall obtain periodic affirmations from employees responsible for voting proxies that all outstanding proxies have been voted. On a periodic basis, the CCO or his designee shall review a sample of all proxies for compliance with these policies and procedures.

Revised 2/12/2013<br> 11/7/2014 <br> 7/1//2021 <br> 3/01/2022 <br> 7/1/2024

ITEM 13. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES.

&nbsp;&nbsp;&nbsp;&nbsp;(a) (1) The following
 table provides biographical information about the members of First Trust Capital Management
 L.P. (the "Investment Adviser") Palmer Square Capital Management LLC and RiverNorth
 Capital Management, LLC, (the "Sub-Advisers"), who are primarily responsible for
 the day-to-day portfolio management of First Trust Alternative Opportunities Fund as of the
 date of filing this report:

---

| | | | | |
|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;**Name of Portfolio<br> Management Team<br> Member** | &nbsp;&nbsp;**Title** | &nbsp;&nbsp;**Length of Time of<br> Service to the Fund** | &nbsp;&nbsp;**Business Experience During the Past 5<br> Years** | &nbsp;&nbsp;**Role of Portfolio Management<br> Team Member** |
| &nbsp;&nbsp;Michael Peck | &nbsp;&nbsp;Chief Executive Officer & Co-Chief Investment Officer | &nbsp;&nbsp;Since Inception | &nbsp;&nbsp;Chief Executive Officer and Co-CIO, First Trust Capital Management L.P. (formerly, Vivaldi Asset Management, LLC) (2012 - Present); President and Co-CIO, Vivaldi Capital Management LP (formerly, Vivaldi Capital Management, LLC) (2012 – March 2024) | &nbsp;&nbsp;Portfolio Management |
| &nbsp;&nbsp;Brian Murphy | &nbsp;&nbsp;Co-Chief Investment Officer | &nbsp;&nbsp;Since Inception | &nbsp;&nbsp; Co-Chief Investment Officer and Portfolio Manager, First Trust Capital Management L.P. (formerly, Vivaldi Asset Management, LLC) (2014<br> - Present), Portfolio Manager, Vivaldi Capital Management LP (formerly, Vivaldi Capital Management, LLC) (2014 – March 2024) | &nbsp;&nbsp;Portfolio Management |
| &nbsp;&nbsp;Daniel Lancz | &nbsp;&nbsp;Portfolio Manager | &nbsp;&nbsp;Since Inception | &nbsp;&nbsp;Portfolio Manager, First Trust Capital Management L.P. (formerly, Vivaldi Asset Management, LLC) (2014 – Present); Portfolio Manager, Vivaldi Capital Management LP (formerly, Vivaldi Capital Management, LLC) (2014 – 2021) | &nbsp;&nbsp;Portfolio Management |
| &nbsp;&nbsp;Robert O'Hara | &nbsp;&nbsp;Principal, Portfolio Manager | &nbsp;&nbsp;July 2025 to Present | &nbsp;&nbsp;Principal and Portfolio Manager, First Trust Capital Management L.P. (2022 – Present); Investment Analyst and Trader, LBMC Investment Advisors (2018-2021) | &nbsp;&nbsp;Portfolio Management |
| &nbsp;&nbsp;Angie Long | &nbsp;&nbsp;Chief Investment Officer | &nbsp;&nbsp;Since February 2023 | &nbsp;&nbsp;Chief Investment Officer, Palmer Square Capital Management since 2011 | &nbsp;&nbsp;Portfolio Manager |
| &nbsp;&nbsp;Christopher Long | &nbsp;&nbsp;Chief Executive Officer | &nbsp;&nbsp;Since February 2023 | &nbsp;&nbsp;Chief Executive Officer, Palmer Square Capital Management since 2009 | &nbsp;&nbsp;Portfolio Manager |
| &nbsp;&nbsp;Taylor Moore | &nbsp;&nbsp;Managing Director, Portfolio Manager, Head of Structured Credit Trading | &nbsp;&nbsp;Since February 2023 | &nbsp;&nbsp;Managing Director, Portfolio Manager, Head of Structured Credit Trading at Palmer Square Capital Management since 2018, joined Palmer Square in 2013. | &nbsp;&nbsp;Portfolio Manager |
| &nbsp;&nbsp;Patrick Galley | &nbsp;&nbsp; Chief Executive Officer, Chief Investment Officer,<br> Portfolio Manager | &nbsp;&nbsp;Since Inception | &nbsp;&nbsp; CIO/PM, RiverNorth Capital Management, LLC (2004-present).<br> CEO, RiverNorth Capital Management, LLC (2020- present). | &nbsp;&nbsp;Portfolio Management |
| &nbsp;&nbsp;Stephen O'Neill | &nbsp;&nbsp;Portfolio Manager | &nbsp;&nbsp;Since Inception | &nbsp;&nbsp;PM, RiverNorth Capital Management, LLC (2007- present). | &nbsp;&nbsp;Portfolio Management |

---

&nbsp;&nbsp;&nbsp;&nbsp;(a) (2) The following table provides information about portfolios
 and accounts, other than First Trust Alternative Opportunities Fund, for which the members
 of the Portfolio Management team listed above are primarily responsible for the day-to-day
 portfolio management as of the end of the period covered by this report:

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;**Name of Portfolio<br> Management Team<br> Member** | &nbsp;&nbsp;**Number of Accounts and Total Value of Assets for<br> Which Advisory Fee is Performance-Based:** | &nbsp;&nbsp;**Number of Accounts and Total Value of Assets for<br> Which Advisory Fee is Performance-Based:** | &nbsp;&nbsp;**Number of Accounts and Total Value of Assets for<br> Which Advisory Fee is Performance-Based:** | &nbsp;&nbsp;**Number of Other Accounts Managed and Total Value of <br> Assets by Account Type for Which There is No Performance-<br> Based Fee:** | &nbsp;&nbsp;**Number of Other Accounts Managed and Total Value of <br> Assets by Account Type for Which There is No Performance-<br> Based Fee:** | &nbsp;&nbsp;**Number of Other Accounts Managed and Total Value of <br> Assets by Account Type for Which There is No Performance-<br> Based Fee:** |
| &nbsp;&nbsp; Name<br>| &nbsp;&nbsp;Registered investment companies | &nbsp;&nbsp;Other pooled investment vehicles | &nbsp;&nbsp;Other accounts | &nbsp;&nbsp;Registered investment companies | &nbsp;&nbsp;Other pooled investment vehicles | &nbsp;&nbsp;Other accounts |
| &nbsp;&nbsp;Michael Peck | &nbsp;&nbsp;2 Accounts $151.80M | &nbsp;&nbsp;11 Accounts $413.76M | &nbsp;&nbsp;0 Accounts | &nbsp;&nbsp;7 Accounts $1,954.70M | &nbsp;&nbsp;4 Accounts $85.84M | &nbsp;&nbsp;0 Accounts |
| &nbsp;&nbsp;Brian Murphy | &nbsp;&nbsp;2 Accounts $151.80M | &nbsp;&nbsp;11 Accounts $413.76M | &nbsp;&nbsp;0 Accounts | &nbsp;&nbsp;7 Accounts $1,954.70M | &nbsp;&nbsp;11 Accounts $143.25M | &nbsp;&nbsp;0 Accounts |
| &nbsp;&nbsp;Daniel Lancz | &nbsp;&nbsp;0 Accounts | &nbsp;&nbsp; 1 Account<br> $9.61M | &nbsp;&nbsp;0 Accounts | &nbsp;&nbsp; 2 Accounts<br> $1.84B | &nbsp;&nbsp;0 Accounts | &nbsp;&nbsp;0 Accounts |
| &nbsp;&nbsp;Robert O'Hara | &nbsp;&nbsp; 1 Account<br> $80.50M | &nbsp;&nbsp; 3 Accounts<br> $56.30M | &nbsp;&nbsp;0 Accounts | &nbsp;&nbsp; 2 Accounts<br> $551.23M | &nbsp;&nbsp; 1 Accounts<br> $25.83M | &nbsp;&nbsp;0 Accounts |
| &nbsp;&nbsp;Angie Long | &nbsp;&nbsp;1 Account<br> $1.20B | &nbsp;&nbsp;88 Accounts $26.70B | &nbsp;&nbsp;0 Accounts | &nbsp;&nbsp; 8 Accounts<br> $3.30B | &nbsp;&nbsp;98 Accounts $29,288.52B | &nbsp;&nbsp;57 Accounts $2.40B |
| &nbsp;&nbsp;Christopher Long | &nbsp;&nbsp;1 Account<br> $1.20B | &nbsp;&nbsp;88 Accounts $26.70B | &nbsp;&nbsp;0 Accounts | &nbsp;&nbsp; 5 Accounts<br> $2.70B | &nbsp;&nbsp;98 Accounts $29,288.52B | &nbsp;&nbsp;81 Accounts $2.40B |
| &nbsp;&nbsp;Taylor Moore | &nbsp;&nbsp;0 Accounts | &nbsp;&nbsp;0 Accounts | &nbsp;&nbsp;0 Accounts | &nbsp;&nbsp; 4 Accounts<br> $1.10B | &nbsp;&nbsp;0 Accounts | &nbsp;&nbsp;0 Accounts |
| &nbsp;&nbsp;Patrick Galley | &nbsp;&nbsp;0 Accounts | &nbsp;&nbsp;5 Accounts $1.08B | &nbsp;&nbsp; 10 Accounts<br> $100.10M | &nbsp;&nbsp; 16 Accounts<br> $3.70B | &nbsp;&nbsp;0 Accounts | &nbsp;&nbsp;0 Accounts |
| &nbsp;&nbsp;Stephen O'Neill | &nbsp;&nbsp;0 Accounts | &nbsp;&nbsp;5 Accounts $1.08B | &nbsp;&nbsp; 10 Accounts<br> $100.10M | &nbsp;&nbsp; 14 Accounts<br> $3.69B | &nbsp;&nbsp;0 Accounts | &nbsp;&nbsp;0 Accounts |

---

**Conflicts of Interest**

The Investment Adviser, Sub-Advisers and Portfolio Managers may manage multiple funds and/or other accounts, and as a result may be presented with one or more of the following actual or potential conflicts:

The management of multiple funds and/or other accounts may result in the Investment Adviser, a Sub-Adviser or Portfolio Manager devoting unequal time and attention to the management of each fund and/or other account. The Investment Adviser seeks to manage such competing interests for the time and attention of a Portfolio Manager by having the Portfolio Manager focus on a particular investment discipline. Most other accounts managed by a Portfolio Manager are managed using the same investment models that are used in connection with the management of the Fund.

If the Investment Adviser, a Sub-Adviser or Portfolio Manager identifies a limited investment opportunity which may be suitable for more than one fund or other account, a fund may not be able to take full advantage of that opportunity due to an allocation of filled purchase or sale orders across all eligible funds and other accounts. To deal with these situations, the Investment Adviser and Sub-Advisers have adopted procedures for allocating portfolio transactions across multiple accounts.

The Investment Adviser and Sub-Advisers have adopted certain compliance procedures which are designed to address these types of conflicts. However, there is no guarantee that such procedures will detect each and every situation in which a conflict arises.

&nbsp;&nbsp;&nbsp;&nbsp;(a) (3) The below information is provided
 as of March 31, 2026.

Mr. Peck and Mr. Murphy receive base salaries and bonuses, neither of which is based on performance, and are eligible to avail themselves of life insurance, medical and dental benefits offered to all First Trust Capital Management L.P. employees and to participate in First Trust Capital Management L.P.'s 401(k) plan. In addition, they are limited partners of VFT Holdings LP and receive compensation based on the overall profitability of the firm and its affiliates. Mr. Lancz receives a fixed salary and a discretionary bonus, based on individual and firm level performance. In addition, he owns interests in First Trust Capital Management L.P. and receives compensation based on the overall profitability of the firm. He also participates in a 401(k) program and receives medical/dental insurance benefits on the same basis as other employees of First Trust Capital Management L.P. Mr. O'Hara receives a fixed salary and a discretionary bonus, based on individual and firm level performance. In addition, he owns interests in First Trust Capital Management L.P. and receives compensation based on the overall profitability of the firm. He also participates in a 401(k) program and receives medical/dental insurance benefits on the same basis as other employees of First Trust Capital Management L.P.

The Portfolio Management team members from Palmer Square Capital Management LLC receive a fixed based salary and a discretionary bonus. Each Portfolio Management team member is an equity owner of the firm and shares in the firm's profits. The Portfolio Management team members' compensation arrangements are not determined on the basis of specific funds or accounts managed.

Mr. Galley's and Mr. O'Neill's total compensation includes a base salary fixed from year to year and a variable performance bonus consisting of cash incentives. The performance bonus reflects individual performance of the funds managed by the portfolio managers and the performance of RiverNorth's business as a whole. Mr. Galley and Mr. O'Neill also participate in a 401K program on the same basis as other officers of RiverNorth. As equity owners of RiverNorth, Mr. Galley and Mr. O'Neill also participate in the profits of the firm.

&nbsp;&nbsp;&nbsp;&nbsp;(a) (4) The following
 is listing of the dollar range of shares beneficially owned by each Portfolio Management
 Team Member as of the end of the period covered by this report:

---

| | |
|:---|:---|
| &nbsp;&nbsp;**<u>Name of Portfolio <br> Management Team Member:</u>** | &nbsp;&nbsp;**<u>Dollar Range of Shares Beneficially<br> Owned by Portfolio Management Team<br> Member:</u>** |
| &nbsp;&nbsp;Michael Peck |  |
| &nbsp;&nbsp;Brian Murphy | &nbsp;&nbsp;$10001 - $50000 |
| &nbsp;&nbsp;Daniel Lancz |  |
| &nbsp;&nbsp;Robert O'Hara |  |
| &nbsp;&nbsp;Angie Long |  |
| &nbsp;&nbsp;Christopher Long |  |
| &nbsp;&nbsp;Taylor Moore |  |
| &nbsp;&nbsp;Patrick Galley |  |
| &nbsp;&nbsp;Stephen O'Neill |  |

---

&nbsp;&nbsp;&nbsp;&nbsp;(b) Not applicable.

ITEM 14. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS.

&nbsp;&nbsp;&nbsp;&nbsp;(a) Not applicable.

&nbsp;&nbsp;&nbsp;&nbsp;(b) Not applicable.

ITEM 15. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.

There have been no material changes to the procedures by which the shareholders may recommend nominees to the registrant's board of trustees, where those changes were implemented after the registrant last provided disclosure in response to the requirements of Item 407(c)(2)(iv) of Regulation S-K (17 CFR 229.407), or this Item.

ITEM 16. CONTROLS AND PROCEDURES.

&nbsp;&nbsp;&nbsp;&nbsp;(a) The registrant's principal
 executive and principal financial officers, or persons performing similar functions, have
 concluded that the registrant's disclosure controls and procedures (as defined in Rule 30a-3(c) under
 the Investment Company Act of 1940, as amended (the "1940 Act") (17 CFR 270.30a-3(c)))
 are effective, as of a date within 90 days of the filing date of the report that includes
 the disclosure required by this paragraph, based on their evaluation of these controls and
 procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and
 Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as
 amended (17 CFR 240.13a-15(b) or 240.15d-15(b)).

&nbsp;&nbsp;&nbsp;&nbsp;(b) There were no changes
 in the registrant's internal control over financial reporting (as defined in Rule 30a-3(d) under
 the 1940 Act (17 CFR 270.30a-3(d)) that occurred during the period covered by this report
 that has materially affected, or is reasonably likely to materially affect, the registrant's
 internal control over financial reporting.

ITEM 17. DISCLOSURE OF SECURITIES LENDING ACTIVITIES FOR CLOSED-END MANAGEMENT COMPANIES.

&nbsp;&nbsp;&nbsp;&nbsp;(a) Not applicable.

&nbsp;&nbsp;&nbsp;&nbsp;(b) Not applicable.

ITEM 18. RECOVERY OF ERRONEOUSLY AWARDED COMPENSATION.

&nbsp;&nbsp;&nbsp;&nbsp;(a) Not applicable.

&nbsp;&nbsp;&nbsp;&nbsp;(b) Not applicable.

ITEM 19. EXHIBITS.

[(a)(1) Code of ethics or any amendments thereto, that is subject to disclosure required by item 2 is attached hereto.](tm2614954d1_ex99-codeeth.htm)

(a)(2) Not applicable.

[(a)(3) Certifications pursuant to Rule 30a-2(a) under the 1940 Act and Section 302 of the Sarbanes-Oxley Act of 2002 are attached hereto.](tm2614954d1_ex99-cert.htm)

(a)(4) There were no written solicitations.

(a)(5) There was no change to the registrant's independent public accountant.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;[(b) Certifications pursuant to Rule 30a-2(b) under the 1940 Act and Section 906 of the Sarbanes-Oxley Act of 2002 are attached hereto.](tm2614954d1_ex99-906cert.htm)

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

(registrant) First Trust Alternative Opportunities Fund

---

| | |
|:---|:---|
| By (Signature and Title)\* | /s/ Michael Peck |
|  | Michael Peck, President |
|  | (Principal Executive Officer) |

---

Date <u>June 9, 2026</u>

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

---

| | |
|:---|:---|
| By (Signature and Title)\* | /s/ Michael Peck |
|  | Michael Peck, President |
|  | (Principal Executive Officer) |

---

Date <u>June 9, 2026</u>

---

| | |
|:---|:---|
| By (Signature and Title)\* | /s/ Chad Eisenberg |
|  | Chad Eisenberg, Treasurer |
|  | (Principal Financial Officer) |

---

Date <u>June 9, 2026</u>

\* Print the name and title of each signing officer under his or her signature.

## Ex-99.Codeeth

**Exhibit 99.CODEETH**

**First Trust Alternative Opportunities Fund**

**FINANCIAL OFFICER CODE OF ETHICS**

<u>Purposes of the Code</u>

The reputation and integrity of the First Trust Alternative Opportunities Fund (the "Fund") are valuable assets that are vital to the Fund's success. Each officer and employee of the Fund, including each of the Fund's senior financial officers ("SFOs"), is responsible for conducting the Fund's business in a manner that demonstrates a commitment to the highest standards of integrity. SFOs include the principal executive officer, the principal financial officer, comptroller (or principal accounting officer), and any person who performs a similar function. The Fund has adopted a Code of Ethics under Rule 17j-1 under the Investment Company Act of 1940. The Fund's Rule 17j-1 Code is designed to prevent certain conflicts of interest that may arise when officers, employees, or trustees know about present or future Fund transactions, have the power to influence those transactions; and engage in securities transactions in their personal account(s).

The Fund has chosen to adopt a financial officer code of ethics for the purpose of promoting:

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

&nbsp;&nbsp;&nbsp;&nbsp;· Full, fair, accurate, timely and understandable
disclosure in reports and documents that the Fund files with, or submits to, the SEC, and in other public communications made by the Fund;

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

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

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

This Code of Ethics should be read in conjunction with the Fund's other policy statements, including its Rule 17j-1 Code and its Disclosure Controls and Procedures.

<u>Principles for the Handling of Financial Information</u>

The Fund has adopted the following principles to govern the manner in which SFOs perform their duties. Persons subject to these guidelines include the principal executive officer, the principal financial officer, comptroller (or principal accounting officer), and any Fund officer or employee who performs a similar function or who participates in the preparation of any part of the Fund's financial statements. Specifically, persons subject to this Code shall:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· Act with honesty and integrity

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· Avoid actual or apparent conflicts of interest
with the Fund in personal and professional relationships

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· Provide information to the Fund's employees
and service providers (Investment Manager, administrator, outside auditor, outside counsel, custodian, etc.) that is accurate, complete,
objective, relevant, timely, and understandable

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· Endeavor to ensure full, fair, timely, accurate,
and understandable disclosure in the Fund's periodic reports

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· Comply with the federal securities laws and other
applicable laws and rules, such as the Internal Revenue Code

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· Act in good faith, responsibly, and with due
care, competence and diligence, without misrepresenting material facts or subordinating independent judgment to another end

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· Respect the confidentiality of information acquired
in the course of their work, except where disclosure is expressly permitted or is otherwise legally mandated

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· Record (or participate in the recording of) entries
in the Fund's books and records that are accurate

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· Refrain from using confidential information for
personal advantage

<u>Violations of the Code</u>

Any action that directly or indirectly contravenes one or more of the Principles outlined above shall be treated as a violation of this Code unless good cause for such apparent contravention is found to exist.

Dishonest or unethical conduct or conduct that is illegal will constitute a per se violation of this Code, regardless of whether this Code refers to that particular conduct.

A violation of this Code may result in disciplinary action, up to and including termination of employment. The Fund must and will report all suspected criminal violations to the appropriate authorities for possible prosecution, and will investigate, address and report as appropriate, non-criminal violations.

<u>Enforcement of the Code</u>

*Violations*

All persons subject to this Code who observe, learn of, or, in good faith, suspect a current or threatened violation of the Code must immediately report the violation in writing to the Compliance Officer, another member of the Fund's senior management, or to the Audit Committee of the Board. An example of a possible Code violation is the preparation and filing of financial disclosure that omits material facts, or that is accurate but is written in a way that obscures its meaning.

*Disclosures*

All persons subject to this Code shall file a letter (a "Disclosure Letter") regarding any transaction or relationship that reasonably appears to involve an actual or apparent conflict of interest with the Fund within ten days of becoming aware of such transaction or relationship. A Disclosure Letter should be prepared regarding these transactions or relationships whether you are involved or have only observed the transaction or relationship. All Disclosure Letters shall be submitted to the Compliance Officer, or if it is not possible to disclose the matter to the Compliance Officer, then the Disclosure Letter shall be submitted to another member of the Fund's senior management or to the Audit Committee of the Board.

An executive officer of the Fund or the Audit Committee will review all Disclosure Letters and determine whether further action is warranted. All determinations will be documented in writing and will be maintained by the Compliance Officer or other appropriate officers of the Fund.

*Outside Service Providers*

Because service providers to the Fund, such as the Administrator, outside accounting firm, and custodian, provide much of the work relating to the Fund's financial statements, you should be alert for actions by service providers that may be illegal, or that could be viewed as dishonest or unethical conduct. You should report these actions to the Compliance Officer even if you know, or think, that the service provider has its own code of ethics covering persons who are Fund SFOs or employees.

*Non-Retaliation Policy*

SFOs who report violations or suspected violations in good faith will not be subject to retaliation of any kind. Reported violations will be investigated and addressed promptly and will be treated confidentially to the extent possible.

<u>Annual Certification</u>

SFOs will receive training on the contents and importance of this Code and related policies and the manner in which violations must be reported and how Disclosure Letters must be submitted. Each SFO will be asked to certify on an annual basis that he/she is in full compliance with the Code and any related policy statements.

<u>Questions about the Code</u>

The Fund's Board of Trustees has designated Bernadette Murphy to be the Compliance Officer for purposes of implementing and administering this Code. Any questions about this Code should be directed to the Compliance Officer.

Effective: September 2016

Revised: June 5, 2019

Revised February 23, 2022

## Ex-99.Cert

**Exhibit 99.CERT**

CERTIFICATION PURSUANT TO RULE 30A-2(A) UNDER THE 1940 ACT AND SECTION 302 OF

THE SARBANES-OXLEY ACT

I, Michael Peck, certify that:

1. I have reviewed this report on Form N-CSR of First Trust Alternative Opportunities Fund;

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

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

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

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

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

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

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

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

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

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

---

| | | |
|:---|:---|:---|
| Date: | June 9, 2026 | /s/ Michael Peck |
| | | Michael Peck, President |
| | | (Principal Executive Officer) |

---

CERTIFICATION PURSUANT TO RULE 30A-2(A) UNDER THE 1940 ACT AND SECTION 302 OF

THE SARBANES-OXLEY ACT

I, Chad Eisenberg, certify that:

1. I have reviewed this report on Form N-CSR of First Trust Alternative Opportunities Fund;

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

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

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

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

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

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

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

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

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

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

---

| | | |
|:---|:---|:---|
| Date: | June 9, 2026 | /s/ Chad Eisenberg |
| | | Chad Eisenberg, Treasurer |
| | | (Principal Financial Officer) |

---

## Exhibit 99.906

**EXHIBIT 99.906CERT**

CERTIFICATIONS PURSUANT TO SECTION 906 OF THE SARBANES-OXLEY ACT OF 2002

I, Michael Peck, President of First Trust Alternative Opportunities Fund certify that to my knowledge:

1. The Form N-CSR of the registrant for the period ended March 31,
2026 (the "Report") fully complies with the requirements of Section 15(d) of the Securities Exchange Act of 1934;
and

&nbsp;&nbsp;&nbsp;&nbsp;2. The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations
of the registrant.

---

| |
|:---|
| /s/ Michael Peck |
| Michael Peck |
| President and Principal Executive Officer |
| June 9, 2026 |

---

I, Chad Eisenberg, Treasurer of First Trust Alternative Opportunities Fund certify that to my knowledge:

1. The Form N-CSR of the registrant for the period ended March 31,
2026 (the "Report") fully complies with the requirements of Section 15(d) of the Securities Exchange Act of 1934;
and

&nbsp;&nbsp;&nbsp;&nbsp;2. The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations
of the registrant.

---

| |
|:---|
| /s/ Chad Eisenberg |
| Chad Eisenberg |
| Treasurer and Principal Financial Officer |
| June 9, 2026 |

---

These certifications are being furnished to the Commission solely pursuant to Rule 30a-2(b) under the Investment Company Act of 1940, as amended, and 18 U.S.C. (S) 1350 and are not being filed as part of the Form N-CSR with the Commission.