# EDGAR Filing Document

**Accession Number:** 0001105076
**File Stem:** 0001752724-23-000121
**Filing Date:** 2023-1
**Character Count:** 74354
**Document Hash:** 5e7167c0b87422f9bce5cccc6a2facb3
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-23-000121.hdr.sgml**: 20230104

**ACCESSION NUMBER**: 0001752724-23-000121

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20221130

**FILED AS OF DATE**: 20230104

**DATE AS OF CHANGE**: 20230104

**PERIOD START**: 20230531

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** ARBITRAGE FUNDS
- **CENTRAL INDEX KEY:** 0001105076
- **IRS NUMBER:** 000000000
- **STATE OF INCORPORATION:** DE
- **FISCAL YEAR END:** 0531

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-09815
- **FILM NUMBER:** 23505606

**BUSINESS ADDRESS:**
- **STREET 1:** C/O ALPS FUND SERVICES, INC.
- **STREET 2:** 1290 BROADWAY, SUITE 1100
- **CITY:** DENVER
- **STATE:** CO
- **ZIP:** 80203
- **BUSINESS PHONE:** 303-623-2577

**MAIL ADDRESS:**
- **STREET 1:** C/O ALPS FUND SERVICES, INC.
- **STREET 2:** 1290 BROADWAY, SUITE 1100
- **CITY:** DENVER
- **STATE:** CO
- **ZIP:** 80203

## Series and Classes Contracts Data

### ARBITRAGE FUND (Series ID: S000006440)

| Class ID   | Class Name   | Ticker Symbol   |
|:---|:---|:---|
| C000017637 | Class R      | ARBFX           |
| C000017638 | Class I      | ARBNX           |
| C000115401 | Class C      | ARBCX           |
| C000127228 | Class A      | ARGAX           |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** ARBITRAGE FUNDS

- **b. Investment Company Act file number:** 811-09815

- **c. CIK number of Registrant:** 0001105076

- **d. LEI of Registrant:** 549300NPBJYDNFZ58M30

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

  - **Street Address 1:** C/O ALPS FUND SERVICES, INC.

  - **City:** DENVER

  - **State:** CO

  - **Foreign country:** US

  - **Zip / Postal Code:** 80203

  - **Telephone number:** 303-623-2577

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

- **a. Name of Series:** THE ARBITRAGE FUND

- **b. EDGAR series identifier (if any):** S000006440

- **c. LEI of Series:** 5ID2Z4T6QF54X8TFRS62

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

- **a. Date of fiscal year-end:** 2023-05-31

- **b. Date as of which information is reported:** 2022-11-30

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $1471586979.36

**Total Liabilities:** $27346568.81

**Net Assets:** $1444240410.55

**Cash Not Reported:** $13974190.99

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000127228 | -0.79%               | 1.76%                | -1.02%               |
| Class ID C000017638 | -0.76%               | 1.69%                | -0.98%               |
| Class ID C000115401 | -0.86%               | 1.64%                | -1.10%               |
| Class ID C000017637 | -0.79%               | 1.68%                | -0.94%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-1306327.52             | $-22838062.76                              |
| Month 2  | $12946880.19             | $14151605.23                               |
| Month 3  | $7105720.39              | $-11696132.72                              |

**Designated Index Information**

- **Index Name:** Securities Portfolio VaR

- **Index Identifier:** Designated Reference Portfolio is the Fund`s Securities Portfolio

### Schedule of Portfolio Investments

| Name                               | Title                                                                                         | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |   Balance | Units   | Value (USD)   | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| Swedish Orphan Biovitrum AB        | Swedish Orphan Biovitrum AB                                                                   | CUSIP: 000000000<br>LEI: 549300124Y3MQI87PT35 | Long             | EC               | CORP              | SE        |    346239 | NS      | $7487335.75   | 0.52%             |  |  |  | No            |                  1 | On Loan: No      |
| SEK CASH COLLATERAL                | SEK CASH COLLATERAL                                                                           | CUSIP: 000000000<br>LEI: N/A                  | Short            | STIV             | CORP              | SE        |        -1 | NS      | $-0.12        | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| CONTRA ZOGENIX INC                 | CONTRA ZOGENIX INC                                                                            | CUSIP: 989CVR014<br>LEI: N/A                  | N/A              | DE               |  | US        |    304716 | NS      | $222229.38    | 0.02%             |  |  |  | No            |                  3 | On Loan: No      |
| Morgan Stanley & Co. LLC           | PURCHASED NZD / SOLD USD                                                                      | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | NZ        |         1 | NC      | $4877.02      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY PRIME BROKER CA     | MORGAN STANLEY PRIME BROKER CA                                                                | CUSIP: 000000000<br>LEI: N/A                  | Short            |  | CORP              | CA        |        -3 | NS      | $-2.58        | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| STORE Capital Corp                 | STORE Capital Corp                                                                            | CUSIP: 862121100<br>LEI: 5493004EA6C9IHDZ7N66 | Long             | EC               |  | US        |   1173120 | NS      | $37422528.00  | 2.59%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC           | PURCHASED USD / SOLD GBP                                                                      | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |         1 | NC      | $6890.58      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Rogers Corp                        | Rogers Corp                                                                                   | CUSIP: 775133101<br>LEI: PW0CN80KNFR7RUOOKJ84 | Long             | EC               | CORP              | US        |    143490 | NS      | $15646149.60  | 1.08%             |  |  |  | No            |                  1 | On Loan: No      |
| Forterra Inc                       | Forterra Inc                                                                                  | CUSIP: 34960W106<br>LEI: 549300M8CB93DI1JD480 | Long             | EC               | CORP              | US        |    653007 | NS      | $15672168.00  | 1.09%             |  |  |  | No            |                  3 | On Loan: No      |
| Biffa PLC                          | Biffa PLC                                                                                     | CUSIP: 000000000<br>LEI: 2138008RB4WDK7HYYS91 | Long             | EC               | CORP              | GB        |   2118542 | NS      | $10417765.59  | 0.72%             |  |  |  | Yes           |                  1 | On Loan: No      |
| ESC FRESH MKT INC                  | ESC FRESH MKT INC                                                                             | CUSIP: 358ESC010<br>LEI: 529900QM5ZSBEBR6CS58 | Long             | EC               | CORP              | US        |    771452 | NS      | $0.00         | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| AVEVA Group PLC                    | AVEVA Group PLC                                                                               | CUSIP: 000000000<br>LEI: 213800XHATUM2LFMKG16 | Long             | EC               | CORP              | GB        |    377856 | NS      | $14486628.78  | 1.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC           | PURCHASED USD / SOLD EUR                                                                      | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |         1 | NC      | $-87782.49    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC           | PURCHASED USD / SOLD SEK                                                                      | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |         1 | NC      | $-653.10      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Altra Industrial Motion Corp       | Altra Industrial Motion Corp                                                                  | CUSIP: 02208R106<br>LEI: NQ0NIXPGW4YKG4MWM571 | Long             | EC               | CORP              | US        |    252378 | NS      | $14794398.36  | 1.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC           | PURCHASED USD / SOLD GBP                                                                      | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |         1 | NC      | $-343915.52   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Magnachip Semiconductor Corp       | Magnachip Semiconductor Corp                                                                  | CUSIP: 55933J203<br>LEI: 529900P54J1ATLRBUV29 | Long             | EC               | CORP              | US        |    411831 | NS      | $4167729.72   | 0.29%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC           | PURCHASED USD / SOLD CHF                                                                      | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |         1 | NC      | $-444.12      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC           | PURCHASED USD / SOLD GBP                                                                      | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |         1 | NC      | $-464235.73   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC           | PURCHASED USD / SOLD NZD                                                                      | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |         1 | NC      | $-4035.47     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LIGHTNING EMOTORS INC              | Lightning eMotors Inc                                                                         | CUSIP: 53228RAA3<br>LEI: 549300JQ9U3NF5XD5A71 | Long             | DBT              | CORP              | US        |   1084000 | PA      | $643679.20    | 0.04%             | 2024-05-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| KALEYRA INC                        | Kaleyra Inc                                                                                   | CUSIP: 483379AA1<br>LEI: 549300Q16CZ1PDK9BL93 | Long             | DBT              | CORP              | US        |   2947000 | PA      | $2332974.54   | 0.16%             | 2026-06-01      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| AVEO Pharmaceuticals Inc           | AVEO Pharmaceuticals Inc                                                                      | CUSIP: 053588307<br>LEI: 529900PLC55DUQO4CR76 | Long             | EC               | CORP              | US        |    456464 | NS      | $6824136.80   | 0.47%             |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY PRIME BROKER AU     | MORGAN STANLEY PRIME BROKER AU                                                                | CUSIP: 000000000<br>LEI: N/A                  | Short            |  | CORP              | AU        |        -0 | NS      | $-0.01        | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| OneMarket Ltd                      | OneMarket Ltd                                                                                 | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | AU        |    111800 | NS      | $0.00         | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| Morgan Stanley & Co. LLC           | PURCHASED NZD / SOLD USD                                                                      | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | NZ        |         1 | NC      | $7525.58      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Archaea Energy Inc                 | Archaea Energy Inc                                                                            | CUSIP: 03940F103<br>LEI: 549300ZBE567NNMH7V89 | Long             | EC               | CORP              | US        |   1224192 | NS      | $31755540.48  | 2.20%             |  |  |  | No            |                  1 | On Loan: No      |
| Moneylion Inc                      | Moneylion Inc                                                                                 | CUSIP: 60938K114<br>LEI: N/A                  | N/A              | DE               |  | US        |    290320 | NS      | $29032.00     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| CONTRA FLEXION THERAPE             | CONTRA FLEXION THERAPE                                                                        | CUSIP: 339CVR011<br>LEI: N/A                  | N/A              | DE               |  | US        |   1411000 | NS      | $965406.20    | 0.07%             |  |  |  | No            |                  3 | On Loan: No      |
| Morgan Stanley & Co. LLC           | PURCHASED USD / SOLD CAD                                                                      | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |         1 | NC      | $11599.27     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC           | PURCHASED USD / SOLD GBP                                                                      | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |         1 | NC      | $-50211.02    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Black Knight Inc                   | Black Knight Inc                                                                              | CUSIP: 09215C105<br>LEI: 549300TUSNXS3BFFML48 | Long             | EC               | CORP              | US        |     79969 | NS      | $4957278.31   | 0.34%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC           | PURCHASED USD / SOLD GBP                                                                      | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |         1 | NC      | $-2370593.72  | -0.16%            |  |  |  | No            |                  2 | On Loan: No      |
| Micro Focus International PLC      | Micro Focus International PLC                                                                 | CUSIP: 000000000<br>LEI: 213800F8E4X648142844 | Long             | EC               | CORP              | GB        |   1375000 | NS      | $8654000.29   | 0.60%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC           | PURCHASED USD / SOLD EUR                                                                      | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |         1 | NC      | $-181811.35   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| State Street Global Advisors       | State Street Institutional US Government Money Market Fund                                    | CUSIP: 857492706<br>LEI: 549300BZ5TGIFZUZDZ37 | Long             | STIV             | RF                | US        | 131434069 | NS      | $131434069.13 | 9.10%             |  |  |  | No            |                  1 | On Loan: No      |
| TOWER Ltd                          | TOWER Ltd                                                                                     | CUSIP: 000000000<br>LEI: 549300093EX23WVB0N63 | Long             | EC               | CORP              | NZ        |   7208016 | NS      | $3202202.05   | 0.22%             |  |  |  | No            |                  1 | On Loan: No      |
| First Horizon Corp                 | First Horizon Corp                                                                            | CUSIP: 320517105<br>LEI: TF3RXI1ZB1TQ30H9JV10 | Long             | EC               | CORP              | US        |   1751813 | NS      | $43532553.05  | 3.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC           | PURCHASED NZD / SOLD USD                                                                      | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | NZ        |         1 | NC      | $8964.67      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RPS Group PLC                      | RPS Group PLC                                                                                 | CUSIP: 000000000<br>LEI: 213800BHEVF3ZB6NG750 | Long             | EC               | CORP              | GB        |   2750000 | NS      | $7258621.46   | 0.50%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC           | PURCHASED SEK / SOLD USD                                                                      | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | SE        |         1 | NC      | $30163.02     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Aerojet Rocketdyne Holdings Inc    | Aerojet Rocketdyne Holdings Inc                                                               | CUSIP: 007800105<br>LEI: 549300VULNLWHE8QWI76 | Long             | EC               | CORP              | US        |    286113 | NS      | $14877876.00  | 1.03%             |  |  |  | No            |                  1 | On Loan: No      |
| KnowBe4 Inc                        | KnowBe4 Inc                                                                                   | CUSIP: 49926T104<br>LEI: N/A                  | Long             | EC               | CORP              | US        |    620187 | NS      | $15312417.03  | 1.06%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC           | PURCHASED USD / SOLD SEK                                                                      | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |         1 | NC      | $-18626.45    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC           | PURCHASED USD / SOLD SEK                                                                      | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |         1 | NC      | $-44650.67    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| iRobot Corp                        | iRobot Corp                                                                                   | CUSIP: 462726100<br>LEI: 5493009PRNKOUKBAT390 | Long             | EC               | CORP              | US        |    393725 | NS      | $20509135.25  | 1.42%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC           | PURCHASED USD / SOLD EUR                                                                      | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |         1 | NC      | $-160142.70   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Atlas Corp                         | Atlas Corp                                                                                    | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | MH        |    986796 | NS      | $15167054.52  | 1.05%             |  |  |  | No            |                  1 | On Loan: No      |
| UpHealth Inc                       | UpHealth Inc                                                                                  | CUSIP: 91532B119<br>LEI: 549300OSKGXG2OH2XE50 | N/A              | DE               |  | US        |      4897 | NS      | $127.32       | 0.00%             |  |  |  | Yes           |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC           | PURCHASED USD / SOLD GBP                                                                      | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |         1 | NC      | $-131128.77   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC           | PURCHASED NZD / SOLD USD                                                                      | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | NZ        |         1 | NC      | $4202.34      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC           | PURCHASED NZD / SOLD USD                                                                      | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | NZ        |         1 | NC      | $3296.23      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UPHEALTH INC                       | UpHealth Inc                                                                                  | CUSIP: 91532BAA9<br>LEI: 549300OSKGXG2OH2XE50 | Long             | DBT              | CORP              | US        |   1275000 | PA      | $379312.50    | 0.03%             | 2026-06-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Momentive Global Inc               | Momentive Global Inc                                                                          | CUSIP: 60878Y108<br>LEI: 549300PR9RG3VC9OH575 | Long             | EC               | CORP              | US        |   1604381 | NS      | $12722741.33  | 0.88%             |  |  |  | No            |                  1 | On Loan: No      |
| CONTRA ADAMAS PHARMACE             | CONTRA ADAMAS PHARMACE                                                                        | CUSIP: 005CVR014<br>LEI: N/A                  | N/A              | DE               |  | US        |   1150652 | NS      | $76173.16     | 0.01%             |  |  |  | No            |                  3 | On Loan: No      |
| Morgan Stanley & Co. LLC           | PURCHASED USD / SOLD NZD                                                                      | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |         1 | NC      | $-8273.07     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC           | PURCHASED USD / SOLD EUR                                                                      | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |         1 | NC      | $-135200.59   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC           | Morgan Stanley Institutional Liquidity Funds - Government Portfolio                           | CUSIP: 61747C707<br>LEI: 549300BI6Y5SI6BYPB26 | Long             | STIV             | RF                | US        | 131434069 | NS      | $131434069.08 | 9.10%             |  |  |  | No            |                  1 | On Loan: No      |
| Pershing LLC                       | TENNECO INC                                                                                   | CUSIP: 000000000<br>LEI: ZI8Q1A8EI8LQFJNM0D94 | N/A              | DE               |  | US        |       -56 | NC      | $0.00         | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Apollo Endosurgery Inc             | Apollo Endosurgery Inc                                                                        | CUSIP: 03767D108<br>LEI: 549300OD82W5UIMD4H13 | Long             | EC               | CORP              | US        |    359000 | NS      | $3636670.00   | 0.25%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC           | PURCHASED USD / SOLD NZD                                                                      | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |         1 | NC      | $-1747.27     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC           | Long: ICEMSS    TRS USD R V 01MFEDL FEDL01/-40BPS / Short: ICEMSS    TRS USD P E ICE US SWAP  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               |  | US        |   1084433 | OU      | $-144560.78   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Summit Industrial Income REIT      | Summit Industrial Income REIT                                                                 | CUSIP: 866120116<br>LEI: 2549002JNRHTJ9H0MR86 | Long             | EC               |  | CA        |    222102 | NS      | $3723302.31   | 0.26%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC           | PURCHASED USD / SOLD EUR                                                                      | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |         1 | NC      | $-48832.35    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC           | BROADCOM INC                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               |  | US        |        33 | NC      | $181665.00    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Somfy SA                           | Somfy SA                                                                                      | CUSIP: 000000000<br>LEI: 969500D830K8WFLKFS83 | Long             | EC               | CORP              | FR        |     24003 | NS      | $3586772.31   | 0.25%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC           | PURCHASED USD / SOLD SEK                                                                      | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |         1 | NC      | $572.72       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Sierra Wireless Inc                | Sierra Wireless Inc                                                                           | CUSIP: 826516106<br>LEI: 549300E33RZ5BJ726L53 | Long             | EC               | CORP              | CA        |   1287743 | NS      | $37769502.19  | 2.62%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC           | PURCHASED USD / SOLD CHF                                                                      | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |         1 | NC      | $-42545.27    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC           | PURCHASED NZD / SOLD USD                                                                      | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | NZ        |         1 | NC      | $2282.72      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC           | PURCHASED USD / SOLD NZD                                                                      | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |         1 | NC      | $-9345.15     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC           | PURCHASED NZD / SOLD USD                                                                      | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | NZ        |         1 | NC      | $9518.71      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC           | Long: DGHMS     TRS ZAR R E DGH SJ RE / Short: DGHMS     TRS ZAR P V 01MSABOR SAONBOR+125 BPS | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               |  | XX        |  18766625 | OU      | $6381.05      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Resolute Forest Products Inc       | Resolute Forest Products Inc                                                                  | CUSIP: 76117W109<br>LEI: N/A                  | Long             | EC               | CORP              | US        |    803806 | NS      | $16960306.60  | 1.17%             |  |  |  | No            |                  1 | On Loan: No      |
| Myovant Sciences Ltd               | Myovant Sciences Ltd                                                                          | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | BM        |    563645 | NS      | $15139504.70  | 1.05%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC           | PURCHASED USD / SOLD CAD                                                                      | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |         1 | NC      | $164607.54    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Caverion Oyj                       | Caverion Oyj                                                                                  | CUSIP: 000000000<br>LEI: 7437007ECQWVPCJIS695 | Long             | EC               | CORP              | FI        |    684302 | NS      | $4956109.49   | 0.34%             |  |  |  | No            |                  1 | On Loan: No      |
| Silicon Motion Technology Corp     | Silicon Motion Technology Corp                                                                | CUSIP: 82706C108<br>LEI: 5299005RBVBZQJTYFC89 | Long             | EC               | CORP              | KY        |    251202 | NS      | $15850846.20  | 1.10%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC           | PURCHASED NZD / SOLD USD                                                                      | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | NZ        |         1 | NC      | $4044.73      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC           | PURCHASED USD / SOLD NZD                                                                      | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |         1 | NC      | $-1194.87     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ContourGlobal PLC                  | ContourGlobal PLC                                                                             | CUSIP: 000000000<br>LEI: 5493002I3A4J5TFOR115 | Long             | EC               | CORP              | GB        |   2242798 | NS      | $6757833.83   | 0.47%             |  |  |  | Yes           |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC           | PURCHASED USD / SOLD NZD                                                                      | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |         1 | NC      | $-4822.31     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC           | PURCHASED USD / SOLD NZD                                                                      | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |         1 | NC      | $-2923.40     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Activision Blizzard Inc            | Activision Blizzard Inc                                                                       | CUSIP: 00507V109<br>LEI: 549300TPQQDBP9GNOF40 | Long             | EC               | CORP              | US        |    624728 | NS      | $46198635.60  | 3.20%             |  |  |  | No            |                  1 | On Loan: No      |
| SWAP GOLDMAN SACHS COC             | SWAP GOLDMAN SACHS COC                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             |  | CORP              | US        |    530000 | NS      | $530000.00    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| Water Island Event Driven Fund     | Water Island Event Driven Fund                                                                | CUSIP: 03875R403<br>LEI: 71ZPS0ACY0O0VMTK8636 | Long             | EC               | RF                | US        |   6605365 | NS      | $72923232.30  | 5.05%             |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY PRIME BROKER G      | MORGAN STANLEY PRIME BROKER G                                                                 | CUSIP: 000000000<br>LEI: N/A                  | Long             |  | CORP              | GB        |         2 | NS      | $1.87         | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC           | PURCHASED USD / SOLD SEK                                                                      | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |         1 | NC      | $1187.13      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HomeServe PLC                      | HomeServe PLC                                                                                 | CUSIP: 000000000<br>LEI: 213800EKBJTGNMXEDF11 | Long             | EC               | CORP              | GB        |    549278 | NS      | $7884629.78   | 0.55%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC           | PURCHASED NZD / SOLD USD                                                                      | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | NZ        |         1 | NC      | $4245.79      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UpHealth Inc                       | UpHealth Inc                                                                                  | CUSIP: 91532B101<br>LEI: 549300OSKGXG2OH2XE50 | Long             | EC               | CORP              | US        |     48973 | NS      | $16920.17     | 0.00%             |  |  |  | Yes           |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC           | PURCHASED NZD / SOLD USD                                                                      | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | NZ        |         1 | NC      | $4206.78      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC           | PURCHASED USD / SOLD NZD                                                                      | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |         1 | NC      | $-117848.49   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC           | PURCHASED USD / SOLD SEK                                                                      | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |         1 | NC      | $-17971.60    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Pershing LLC                       | BROADCOM INC                                                                                  | CUSIP: 000000000<br>LEI: ZI8Q1A8EI8LQFJNM0D94 | N/A              | DE               |  | US        |       255 | NC      | $476850.00    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC           | PURCHASED USD / SOLD SEK                                                                      | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |         1 | NC      | $-4275.54     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC           | Long: AVGOMSS   TRS USD R V 01MFEDL FEDL01 -40BPS / Short: AVGOMSS   TRS USD P V 01MFEDL      | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               |  | US        |  16761658 | OU      | $-2884765.14  | -0.20%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC           | PURCHASED USD / SOLD SEK                                                                      | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |         1 | NC      | $-64520.88    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC           | PURCHASED USD / SOLD EUR                                                                      | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |         1 | NC      | $-61047.12    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Shaw Communications Inc            | Shaw Communications Inc                                                                       | CUSIP: 82028K200<br>LEI: 549300SCT0RG6178CI40 | Long             | EC               | CORP              | CA        |    289718 | NS      | $7906588.69   | 0.55%             |  |  |  | No            |                  1 | On Loan: No      |
| Goldman Sachs & Co. LLC            | Long: DGHGS     TRS ZAR R E DGH SJ RE / Short: DGHGS     TRS ZAR P V 01MSABOR JIBA1M +150 BPS | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DE               |  | XX        |  64262373 | OU      | $21850.75     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC           | PURCHASED USD / SOLD EUR                                                                      | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |         1 | NC      | $-82466.94    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC           | PURCHASED USD / SOLD EUR                                                                      | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |         1 | NC      | $-48674.35    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC           | PURCHASED USD / SOLD CHF                                                                      | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |         1 | NC      | $-34193.39    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Mediclinic International PLC       | Mediclinic International PLC                                                                  | CUSIP: 000000000<br>LEI: 2138002S5BSBIZTD5I60 | Long             | EC               | CORP              | GB        |   2008366 | NS      | $11986733.12  | 0.83%             |  |  |  | No            |                  1 | On Loan: No      |
| Houghton Mifflin Harcourt Co       | Houghton Mifflin Harcourt Co                                                                  | CUSIP: 44157R109<br>LEI: N/A                  | Long             | EC               | CORP              | US        |   1739400 | NS      | $36527400.00  | 2.53%             |  |  |  | No            |                  3 | On Loan: No      |
| Morgan Stanley & Co. LLC           | PURCHASED EUR / SOLD USD                                                                      | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | XX        |         1 | NC      | $1197511.30   | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| Pershing LLC                       | IRONSOURCE LTD                                                                                | CUSIP: 000000000<br>LEI: ZI8Q1A8EI8LQFJNM0D94 | N/A              | DE               |  | US        |      3491 | NC      | $0.00         | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Switch Inc                         | Switch Inc                                                                                    | CUSIP: 87105L104<br>LEI: 549300EZ98N5Y55J4X37 | Long             | EC               | CORP              | US        |    806083 | NS      | $27608342.75  | 1.91%             |  |  |  | No            |                  1 | On Loan: No      |
| Electricite de France SA           | Electricite de France SA                                                                      | CUSIP: 000000000<br>LEI: 549300X3UK4GG3FNMO06 | Long             | EC               | CORP              | FR        |   1614148 | NS      | $20156189.91  | 1.40%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC           | PURCHASED USD / SOLD SEK                                                                      | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |         1 | NC      | $-83115.21    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC           | PURCHASED USD / SOLD SEK                                                                      | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |         1 | NC      | $-25471.53    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC           | PURCHASED USD / SOLD NZD                                                                      | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |         1 | NC      | $-8896.31     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC           | PURCHASED USD / SOLD EUR                                                                      | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |         1 | NC      | $-142155.69   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC           | PURCHASED NZD / SOLD USD                                                                      | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | NZ        |         1 | NC      | $4149.75      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC           | PURCHASED EUR / SOLD USD                                                                      | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | XX        |         1 | NC      | $133001.88    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| PNM Resources Inc                  | PNM Resources Inc                                                                             | CUSIP: 69349H107<br>LEI: 5493003JOBJGLZSDDQ28 | Long             | EC               | CORP              | US        |    785402 | NS      | $38484698.00  | 2.66%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC           | PURCHASED NZD / SOLD USD                                                                      | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | NZ        |         1 | NC      | $3901.86      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC           | PURCHASED SEK / SOLD USD                                                                      | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | SE        |         1 | NC      | $250117.33    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Imago Biosciences Inc              | Imago Biosciences Inc                                                                         | CUSIP: 45250K107<br>LEI: N/A                  | Long             | EC               | CORP              | US        |    101598 | NS      | $3626032.62   | 0.25%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC           | PURCHASED USD / SOLD EUR                                                                      | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |         1 | NC      | $-1423957.24  | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| ForgeRock Inc                      | ForgeRock Inc                                                                                 | CUSIP: 34631B101<br>LEI: N/A                  | Long             | EC               | CORP              | US        |    836738 | NS      | $18199051.50  | 1.26%             |  |  |  | No            |                  1 | On Loan: No      |
| BAML PRIME BROKER USD              | BAML PRIME BROKER USD                                                                         | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |       247 | NS      | $246.91       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC           | PURCHASED USD / SOLD EUR                                                                      | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |         1 | NC      | $-247688.18   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC           | PURCHASED USD / SOLD EUR                                                                      | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |         1 | NC      | $-121887.67   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Pershing LLC                       | TENNECO INC                                                                                   | CUSIP: 000000000<br>LEI: ZI8Q1A8EI8LQFJNM0D94 | N/A              | DE               |  | US        |      3272 | NC      | $0.00         | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC           | PURCHASED SEK / SOLD USD                                                                      | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | SE        |         1 | NC      | $1558.43      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC           | PURCHASED USD / SOLD EUR                                                                      | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |         1 | NC      | $-426400.86   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC           | PURCHASED USD / SOLD NZD                                                                      | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |         1 | NC      | $-16743.25    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Bristol-Myers Squibb Co            | Bristol-Myers Squibb Co                                                                       | CUSIP: 110122157<br>LEI: HLYYNH7UQUORYSJQCN42 | N/A              | DE               |  | US        |    857631 | NS      | $857631.00    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC           | PURCHASED USD / SOLD SEK                                                                      | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |         1 | NC      | $-91615.73    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Home Capital Group Inc             | Home Capital Group Inc                                                                        | CUSIP: 436913107<br>LEI: 529900BYMJZJJLBC8L85 | Long             | EC               | CORP              | CA        |    230520 | NS      | $7317551.20   | 0.51%             |  |  |  | No            |                  1 | On Loan: No      |
| Benefitfocus Inc                   | Benefitfocus Inc                                                                              | CUSIP: 08180D106<br>LEI: 254900W89KP1OS3RXO89 | Long             | EC               | CORP              | US        |    699932 | NS      | $7258294.84   | 0.50%             |  |  |  | No            |                  1 | On Loan: No      |
| Bluerock Homes Trust Inc           | Bluerock Homes Trust Inc                                                                      | CUSIP: 09631H100<br>LEI: N/A                  | Long             | EC               |  | US        |     38628 | NS      | $947158.56    | 0.07%             |  |  |  | No            |                  1 | On Loan: No      |
| Atlas Air Worldwide Holdings Inc   | Atlas Air Worldwide Holdings Inc                                                              | CUSIP: 049164205<br>LEI: 549300R0A2TUVCYZB465 | Long             | EC               | CORP              | US        |    280211 | NS      | $28236862.47  | 1.96%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC           | PURCHASED USD / SOLD NZD                                                                      | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |         1 | NC      | $-4741.47     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CONTRA ADAMAS PHARMACE             | CONTRA ADAMAS PHARMACE                                                                        | CUSIP: 005CVR022<br>LEI: N/A                  | N/A              | DE               |  | US        |   1150652 | NS      | $76058.10     | 0.01%             |  |  |  | No            |                  3 | On Loan: No      |
| UPHEALTH INC                       | UpHealth Inc                                                                                  | CUSIP: 91532BAC5<br>LEI: 549300OSKGXG2OH2XE50 | Long             | DBT              | CORP              | US        |   3506000 | PA      | $3264086.00   | 0.23%             | 2025-12-15      | Floating      | 12.81%                | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC           | PURCHASED NZD / SOLD USD                                                                      | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | NZ        |         1 | NC      | $798.95       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Cowen Inc                          | Cowen Inc                                                                                     | CUSIP: 223622606<br>LEI: 5493008QI0EFC5WBED75 | Long             | EC               | CORP              | US        |    397161 | NS      | $15354244.26  | 1.06%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC           | PURCHASED USD / SOLD SEK                                                                      | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |         1 | NC      | $-138531.58   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC           | PURCHASED USD / SOLD CHF                                                                      | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |         1 | NC      | $-14453.40    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| 1Life Healthcare Inc               | 1Life Healthcare Inc                                                                          | CUSIP: 68269G107<br>LEI: N/A                  | Long             | EC               | CORP              | US        |   1520267 | NS      | $25829336.33  | 1.79%             |  |  |  | No            |                  1 | On Loan: No      |
| Moneylion Inc                      | Moneylion Inc                                                                                 | CUSIP: 60938K106<br>LEI: N/A                  | Long             | EC               | CORP              | US        |   2489318 | NS      | $1858524.82   | 0.13%             |  |  |  | Yes           |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC           | PURCHASED USD / SOLD NZD                                                                      | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |         1 | NC      | $-1125.38     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC           | PURCHASED USD / SOLD NZD                                                                      | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |         1 | NC      | $-8098.49     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Siemens Gamesa Renewable Energy SA | Siemens Gamesa Renewable Energy SA                                                            | CUSIP: 000000000<br>LEI: 9598004BR8D81D3M1D64 | Long             | EC               | CORP              | ES        |    792536 | NS      | $14869575.44  | 1.03%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC           | PURCHASED USD / SOLD NZD                                                                      | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |         1 | NC      | $-2686.79     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC           | PURCHASED USD / SOLD GBP                                                                      | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |         1 | NC      | $-12327.29    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC           | PURCHASED USD / SOLD EUR                                                                      | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |         1 | NC      | $-10115.59    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC           | PURCHASED USD / SOLD GBP                                                                      | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |         1 | NC      | $-24782.53    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC           | PURCHASED USD / SOLD GBP                                                                      | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |         1 | NC      | $-761895.80   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| LHC Group Inc                      | LHC Group Inc                                                                                 | CUSIP: 50187A107<br>LEI: 5299009NPLWAMRQYZX73 | Long             | EC               | CORP              | US        |    163295 | NS      | $26684035.95  | 1.85%             |  |  |  | No            |                  1 | On Loan: No      |
| ABIOMED Inc                        | ABIOMED Inc                                                                                   | CUSIP: 003654100<br>LEI: 5493001EZN4ZTB4Z5887 | Long             | EC               | CORP              | US        |     58849 | NS      | $22232563.71  | 1.54%             |  |  |  | No            |                  1 | On Loan: No      |
| Broadcom Inc                       | Broadcom Inc                                                                                  | CUSIP: 11135F101<br>LEI: 549300WV6GIDOZJTV909 | Short            | EC               | CORP              | US        |     -4389 | NS      | $-2418470.67  | -0.17%            |  |  |  | No            |                  1 | On Loan: No      |
| Evo Payments Inc                   | Evo Payments Inc                                                                              | CUSIP: 26927E104<br>LEI: 549300Z5UL344C8KEC55 | Long             | EC               | CORP              | US        |    810122 | NS      | $27309212.62  | 1.89%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC           | PURCHASED USD / SOLD CAD                                                                      | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |         1 | NC      | $31728.83     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC           | PURCHASED USD / SOLD GBP                                                                      | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |         1 | NC      | $-9173.87     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC           | PURCHASED USD / SOLD GBP                                                                      | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |         1 | NC      | $-40270.03    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC           | PURCHASED CHF / SOLD USD                                                                      | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | CH        |         1 | NC      | $384429.11    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Signify Health Inc                 | Signify Health Inc                                                                            | CUSIP: 82671G100<br>LEI: N/A                  | Long             | EC               | CORP              | US        |    683132 | NS      | $19551237.84  | 1.35%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC           | PURCHASED SEK / SOLD USD                                                                      | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | SE        |         1 | NC      | $-335213.87   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Pershing LLC                       | BROADCOM INC                                                                                  | CUSIP: 000000000<br>LEI: ZI8Q1A8EI8LQFJNM0D94 | N/A              | DE               |  | US        |        72 | NC      | $278280.00    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC           | PURCHASED USD / SOLD CAD                                                                      | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |         1 | NC      | $-35816.23    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC           | PURCHASED GBP / SOLD USD                                                                      | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | GB        |         1 | NC      | $199517.35    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| JPY CSSH AT MORGAN STANLEY         | JPY CSSH AT MORGAN STANLEY                                                                    | CUSIP: 000000000<br>LEI: N/A                  | Short            |  | CORP              | JP        |       -16 | NS      | $-0.12        | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| MaxLinear Inc                      | MaxLinear Inc                                                                                 | CUSIP: 57776J100<br>LEI: 549300EMOI0SM2IY4F64 | Short            | EC               | CORP              | US        |    -97467 | NS      | $-3567292.20  | -0.25%            |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY PRIME BROKER        | MORGAN STANLEY PRIME BROKER                                                                   | CUSIP: 000000000<br>LEI: N/A                  | Short            | STIV             | CORP              | NO        |        -7 | NS      | $-0.68        | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| TEGNA Inc                          | TEGNA Inc                                                                                     | CUSIP: 87901J105<br>LEI: 549300YC5EDBGX85AO10 | Long             | EC               | CORP              | US        |   2344230 | NS      | $46275100.20  | 3.20%             |  |  |  | No            |                  1 | On Loan: No      |
| BTRS Holdings Inc                  | BTRS Holdings Inc                                                                             | CUSIP: 11778X104<br>LEI: 549300K51KDPS5MBVB54 | Long             | EC               | CORP              | US        |   2473118 | NS      | $23420427.46  | 1.62%             |  |  |  | No            |                  1 | On Loan: No      |
| FAST SPONSOR CAPITAL               | FAST SPONSOR CAPITAL                                                                          | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | US        |    290700 | NS      | $581400.00    | 0.04%             |  |  |  | Yes           |                  3 | On Loan: No      |
| South Jersey Industries Inc        | South Jersey Industries Inc                                                                   | CUSIP: 838518108<br>LEI: 549300DJYWYT5VXLFA46 | Long             | EC               | CORP              | US        |   1034649 | NS      | $35902320.30  | 2.49%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC           | PURCHASED USD / SOLD SEK                                                                      | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |         1 | NC      | $766.75       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC           | PURCHASED USD / SOLD SEK                                                                      | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |         1 | NC      | $-3777.31     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC           | PURCHASED SEK / SOLD USD                                                                      | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | SE        |         1 | NC      | $18470.68     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS PRIME BROKER CAD     | GOLDMAN SACHS PRIME BROKER CAD                                                                | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | CORP              | CA        |         0 | NS      | $0.01         | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| UserTesting Inc                    | UserTesting Inc                                                                               | CUSIP: 91734E101<br>LEI: N/A                  | Long             | EC               | CORP              | US        |   1978004 | NS      | $14676789.68  | 1.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC           | PURCHASED GBP / SOLD USD                                                                      | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | GB        |         1 | NC      | $829800.14    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| Devro PLC                          | Devro PLC                                                                                     | CUSIP: 000000000<br>LEI: 549300Z9YLY7LEMLJ904 | Long             | EC               | CORP              | GB        |    978000 | NS      | $3606929.23   | 0.25%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC           | PURCHASED USD / SOLD GBP                                                                      | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |         1 | NC      | $-264578.28   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC           | APOLLO ENDOSURGERY INC                                                                        | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               |  | US        |      2738 | NC      | $102675.00    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC           | PURCHASED USD / SOLD SEK                                                                      | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |         1 | NC      | $-1702.05     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Poshmark Inc                       | Poshmark Inc                                                                                  | CUSIP: 73739W104<br>LEI: N/A                  | Long             | EC               | CORP              | US        |    846716 | NS      | $15096946.28  | 1.05%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC           | PURCHASED USD / SOLD CHF                                                                      | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |         1 | NC      | $-32568.60    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY PRIME BROKER US     | MORGAN STANLEY PRIME BROKER US                                                                | CUSIP: 000000000<br>LEI: N/A                  | Long             |  | CORP              | US        |   6356097 | NS      | $6356096.74   | 0.44%             |  |  |  | No            |                  1 | On Loan: No      |
| Pershing LLC                       | MOMENTIVE GLOBAL INC                                                                          | CUSIP: 000000000<br>LEI: ZI8Q1A8EI8LQFJNM0D94 | N/A              | DE               |  | US        |     11864 | NC      | $88980.00     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC           | PURCHASED USD / SOLD EUR                                                                      | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |         1 | NC      | $-237249.28   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC           | PURCHASED USD / SOLD EUR                                                                      | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |         1 | NC      | $-394593.52   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| VMware Inc                         | VMware Inc                                                                                    | CUSIP: 928563402<br>LEI: 549300BUDHS3LRWBE814 | Long             | EC               | CORP              | US        |    317925 | NS      | $38624708.25  | 2.67%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC           | PURCHASED USD / SOLD GBP                                                                      | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |         1 | NC      | $-21746.96    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC           | PURCHASED SEK / SOLD USD                                                                      | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | SE        |         1 | NC      | $1864.28      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2022-12-15

**Name of Applicant:** ARBITRAGE FUNDS

**Signature:** Jonathon Hickey

**Name of Signer:** Jonathon Hickey

**Title:** Treasurer