# EDGAR Filing Document

**Accession Number:** 0001681717
**File Stem:** 0001145549-23-012727
**Filing Date:** 2023-2
**Character Count:** 313771
**Document Hash:** 286649672e242656206a980859933969
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001145549-23-012727.hdr.sgml**: 20230228

**ACCESSION NUMBER**: 0001145549-23-012727

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 2

**CONFORMED PERIOD OF REPORT**: 20221231

**FILED AS OF DATE**: 20230228

**DATE AS OF CHANGE**: 20230228

**PERIOD START**: 20230331

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** FIRST TRUST ALTERNATIVE OPPORTUNITIES FUND
- **CENTRAL INDEX KEY:** 0001681717
- **IRS NUMBER:** 000000000
- **STATE OF INCORPORATION:** DE
- **FISCAL YEAR END:** 0331

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-23179
- **FILM NUMBER:** 23680664

**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

## Nport-Ex

**First Trust Alternative Opportunities Fund**

**SCHEDULE OF INVESTMENTS**

**As of December 31, 2022 (Unaudited)**

---

| | | |
|:---|:---|:---|
| Principal<br> Amount |  | Value |
|  | **ASSET-BACKED SECURITIES — 14.0%** |  |
| $500000 | ACC Trust<br> Series 2022-1, Class D, 6.65%, 10/20/2028<sup>1,2</sup> | $472893 |
| 175107 | Adjustable Rate Mortgage Trust<br> Series 2006-1, Class 2A1, 4.23%, 3/25/2036<sup>2,3,4</sup> | 105420 |
| 34487 | Aqua Finance Trust<br> Series 2019-A, Class A, 3.14%, 7/16/2040<sup>1,2</sup> | 32505 |
| 4000000 | BFNS, LLC<br> Series 2022-1A, Class C, 7.00%, 7/10/2035<sup>1,2,5</sup> | 3756861 |
| 2000000 | CAL Receivables, LLC<br> Series 2022-1, Class B, 8.16% (30-Day SOFR Average+435 basis points), 10/15/2026<sup>1,5</sup> | 1958358 |
|  | Carvana Auto Receivables Trust |  |
| 250000 | &nbsp;&nbsp;Series 2021-N4, Class E, 4.53%, 9/11/2028<sup>1,2</sup> | 217351 |
| 250000 | &nbsp;&nbsp;Series 2022-N1, Class E, 6.01%, 12/11/2028<sup>1,2</sup> | 226501 |
| 200000 | &nbsp;&nbsp;Series 2022-P2, Class D, 6.28%, 5/10/2029<sup>2</sup> | 189246 |
| 198444 | CHL Mortgage Pass-Through Trust<br> Series 2007-8, Class 1A12, 5.87%, 1/25/2038<sup>2,3</sup> | 94561 |
|  | COLT Mortgage Loan Trust |  |
| 500000 | &nbsp;&nbsp;Series 2022-2, Class M1, 4.00%, 2/25/2067<sup>1,2,4</sup> | 400388 |
| 500000 | &nbsp;&nbsp;Series 2021-1, Class M1, 2.29%, 6/25/2066<sup>1,2,4</sup> | 291944 |
| 250000 | Connecticut Avenue Securities Trust<br> Series 2020-R02, Class 2B1, 7.39% (1-Month USD Libor+300 basis points), 1/25/2040<sup>1,2,5</sup> | 225395 |
| 300000 | Deephaven Residential Mortgage Trust<br> Series 2021-2, Class B1, 3.17%, 4/25/2066<sup>1,2,4</sup> | 189978 |
| 106173 | DSLA Mortgage Loan Trust<br> Series 2006-AR2, Class 1A1A, 4.53% (1-Month USD Libor+19 basis points), 10/19/2036<sup>2,5</sup> | 85193 |
| 300000 | Eagle RE Ltd.<br> Series 2021-1, Class M2, 8.38% (30-Day SOFR Average+445 basis points), 10/25/2033<sup>1,2,5</sup> | 291379 |
| 300000 | Exeter Automobile Receivables Trust<br> Series 2022-4A, Class E, 8.23%, 3/15/2030<sup>1,2</sup> | 273231 |
| 250000 | First Investors Auto Owner Trust<br> Series 2022-1A, Class E, 5.41%, 6/15/2029<sup>1,2</sup> | 227049 |
| 200000 | Foursight Capital Automobile Receivables Trust<br> Series 2022-2, Class D, 7.09%, 10/15/2029<sup>1,2</sup> | 192177 |
|  | Freddie Mac Structured Agency Credit Risk Debt Notes |  |
| 500000 | &nbsp;&nbsp;Series 2021-DNA6, Class B2, 11.43% (30-Day SOFR Average+750 basis points), 10/25/2041<sup>1,2,5</sup> | 427675 |
| 250000 | &nbsp;&nbsp;Series 2021-DNA2, Class B2, 9.93% (30-Day SOFR Average+600 basis points), 8/25/2033<sup>1,2,5</sup> | 213173 |
| 250000 | GCAT Trust<br> Series 2021-NQM6, Class M1, 3.41%, 8/25/2066<sup>1,2,4</sup> | 191104 |

---

---

| |
|:---|
| **First Trust Alternative Opportunities Fund** |
| **SCHEDULE OF INVESTMENTS - Continued** |
| **As of December 31, 2022 (Unaudited)** |

---

---

| | | |
|:---|:---|:---|
| Principal<br> Amount |  | Value |
|  | **ASSET-BACKED SECURITIES (Continued)** |  |
| $300000 | GS Mortgage Securities Corp. Trust<br> Series 2018-TWR, Class G, 8.49% (1-Month USD Libor+418 basis points), 7/15/2031<sup>1,5</sup> | $240696 |
| 419000 | GS Mortgage-Backed Securities Corp. Trust<br> Series 2020-PJ3, Class B5, 3.42%, 10/25/2050<sup>1,2,4</sup> | 202506 |
| 139483 | GSR Mortgage Loan Trust<br> Series 2007-AR1, Class 2A1, 3.47%, 3/25/2047<sup>2,3,4</sup> | 91552 |
| 500000 | Hertz Vehicle Financing III LP<br> Series 2021-2A, Class D, 4.34%, 12/27/2027<sup>1,2</sup> | 417991 |
|  | Home RE Ltd. |  |
| 500000 | &nbsp;&nbsp;Series 2021-2, Class M2, 7.18% (30-Day SOFR Average+325 basis points), 1/25/2034<sup>1,2,3,5</sup> | 429760 |
| 200000 | &nbsp;&nbsp;Series 2021-2, Class M1C, 6.73% (30-Day SOFR Average+280 basis points), 1/25/2034<sup>1,2,5</sup> | 185626 |
| 250000 | &nbsp;&nbsp;Series 2022-1, Class M1C, 9.43% (30-Day SOFR Average+550 basis points), 10/25/2034<sup>1,2,5</sup> | 234038 |
| 489933 | JP Morgan Mortgage Trust<br> Series 2022-1, Class B4, 3.10%, 7/25/2052<sup>1,2,3,4</sup> | 324492 |
| 250000 | Magnetite XVI Ltd.<br> Series 2015-16A, Class F, 10.69% (3-Month USD Libor+650 basis points), 1/18/2028<sup>1,2,3,5</sup> | 217843 |
| 250000 | Med Trust<br> Series 2021-MDLN, Class F, 8.32% (1-Month USD Libor+400 basis points), 11/15/2038<sup>1,5</sup> | 231110 |
| 400000 | Monroe Capital Mml Clo X Ltd.<br> Series 2020-1A, Class ER, 13.03% (3-Month Term SOFR+875 basis points), 5/20/2034<sup>1,2,3,5</sup> | 354694 |
| 46866 | Mosaic Solar Loan Trust<br> Series 2019-1A, Class B, 0.000%, 12/21/2043<sup>1,2</sup> | 41792 |
| 16084782 | Mount Logan Funding LP<br> Series 2018-1A, Class SUBR, 0.000%, 1/22/2033<sup>1,2,4</sup> | 10372946 |
|  | New Residential Mortgage Loan Trust |  |
| 219240 | &nbsp;&nbsp;Series 2019-1A, Class B6B, 3.18%, 9/25/2057<sup>1,2,4</sup> | 185866 |
| 250000 | &nbsp;&nbsp;Series 2022-NQM1, Class M1, 3.60%, 4/25/2061<sup>1,2,4</sup> | 164270 |
| 325245 | Nomura Asset Acceptance Corp. Alternative Loan Trust<br> Series 2006-AP1, Class A3, 5.65%, 1/25/2036<sup>2,3,4</sup> | 100497 |
| 200000 | Oportun Issuance Trust<br> Series 2022-A, Class C, 7.40%, 6/9/2031<sup>1,2</sup> | 188140 |
|  | Pagaya AI Debt Trust |  |
| 199974 | &nbsp;&nbsp;Series 2022-1, Class C, 4.89%, 10/15/2029<sup>1,2</sup> | 166632 |
| 300000 | &nbsp;&nbsp;Series 2022-3, Class B, 8.05%, 3/15/2030<sup>1,2</sup> | 298769 |
| 2500000 | Palmer Square European CLO<br> Series 2021-2X, Class SUB, 0.000%, 4/15/2035<sup>2,4</sup> | 1536654 |

---

---

| |
|:---|
| **First Trust Alternative Opportunities Fund** |
| **SCHEDULE OF INVESTMENTS - Continued** |
| **As of December 31, 2022 (Unaudited)** |

---

---

| | | |
|:---|:---|:---|
| Principal<br> Amount |  | Value |
|  | **ASSET-BACKED SECURITIES (Continued)** |  |
|  | Palmer Square European Loan Funding |  |
| $2975000 | &nbsp;&nbsp;Series 2022-1X, Class SUB, 0.000%, 10/15/2031<sup>2,4</sup> | $2026238 |
| 4000000 | &nbsp;&nbsp;Series 2022-2X, Class SUB, 0.000%, 10/15/2031<sup>2,4</sup> | 3248681 |
| 7500000 | &nbsp;&nbsp;Series 2022-3X, Class E, 9.32% (3-Month EUR Libor+728 basis points), 4/12/2032<sup>2,5</sup> | 7151227 |
| 4000000 | &nbsp;&nbsp;Series 2022-3X, Class SUB, 0.000%, 4/12/2032<sup>2,4</sup> | 4281738 |
|  | Palmer Square Loan Funding Ltd. |  |
| 1000000 | &nbsp;&nbsp;Series 2019-1A, Class SUB, 0.000%, 4/20/2027<sup>1,2,4,6</sup> |  |
| 1000000 | &nbsp;&nbsp;Series 2019-3A, Class SUB, 0.000%, 8/20/2027<sup>1,2,4</sup> | 70300 |
| 1500000 | &nbsp;&nbsp;Series 2019-4A, Class SUB, 0.000%, 10/24/2027<sup>1,2,4</sup> | 231150 |
| 1250000 | &nbsp;&nbsp;Series 2020-1A, Class SUB, 0.000%, 2/20/2028<sup>1,2,4</sup> | 813341 |
| 650000 | &nbsp;&nbsp;Series 2020-2A, Class SUB, 0.000%, 4/20/2028<sup>1,2,4</sup> | 31720 |
| 1250000 | &nbsp;&nbsp;Series 2020-3A, Class SUB, 0.000%, 7/20/2028<sup>1,2,4,6</sup> |  |
| 2250000 | &nbsp;&nbsp;Series 2020-4A, Class SUB, 0.000%, 11/25/2028<sup>1,2,4</sup> | 1370694 |
| 1250000 | &nbsp;&nbsp;Series 2021-1A, Class SUB, 0.000%, 4/20/2029<sup>1,2,4</sup> | 737372 |
| 2150000 | &nbsp;&nbsp;Series 2021-2A, Class SUB, 0.000%, 5/20/2029<sup>1,2,4</sup> | 1169311 |
| 1500000 | &nbsp;&nbsp;Series 2021-3A, Class SUB, 0.000%, 7/20/2029<sup>1,2,4</sup> | 885951 |
| 3100000 | &nbsp;&nbsp;Series 2021-4A, Class SUB, 0.000%, 10/15/2029<sup>1,2,4</sup> | 1906112 |
| 5235000 | &nbsp;&nbsp;Series 2022-1I, Class SUB, 0.000%, 4/15/2030<sup>2,4</sup> | 3436094 |
| 6000000 | &nbsp;&nbsp;Series 2022-2A, Class SUB, 0.000%, 10/15/2030<sup>1,2,4</sup> | 4461108 |
| 2500000 | &nbsp;&nbsp;Series 2022-5I, Class D, 8.76% (3-Month Term SOFR+538 basis points), 1/15/2031<sup>2,5</sup> | 2247826 |
| 1250000 | &nbsp;&nbsp;Series 2022-5I, Class SUB, 0.000%, 1/15/2031<sup>2,4</sup> | 1250000 |
| 6250000 | &nbsp;&nbsp;Series 2022-3A, Class SUB, 0.000%, 4/15/2031<sup>1,2,4</sup> | 6176670 |
| 281594 | PRET, LLC<br> Series 2021-NPL5, Class A1, 2.49%, 10/25/2051<sup>1,2,4,7</sup> | 256149 |
|  | PRPM, LLC |  |
| 266842 | &nbsp;&nbsp;Series 2020-6, Class A1, 2.36%, 11/25/2025<sup>1,2,3,4,7</sup> | 248150 |
| 244179 | &nbsp;&nbsp;Series 2021-3, Class A1, 1.87%, 4/25/2026<sup>1,2,4,7</sup> | 219206 |
|  | Radnor RE Ltd. |  |
| 250000 | &nbsp;&nbsp;Series 2021-2, Class M1B, 7.63% (30-Day SOFR Average+370 basis points), 11/25/2031<sup>1,2,5</sup> | 236420 |
| 250000 | &nbsp;&nbsp;Series 2021-2, Class M2, 8.93% (30-Day SOFR Average+500 basis points), 11/25/2031<sup>1,2,5</sup> | 219064 |
| 150000 | &nbsp;&nbsp;Series 2020-1, Class M2A, 6.39% (1-Month USD Libor+200 basis points), 1/25/2030<sup>1,2,5</sup> | 141954 |
| 175000 | &nbsp;&nbsp;Series 2021-1, Class M1C, 6.63% (30-Day SOFR Average+270 basis points), 12/27/2033<sup>1,2,5</sup> | 166492 |
| 300000 | &nbsp;&nbsp;Series 2022-1, Class M1B, 10.68% (30-Day SOFR Average+675 basis points), 9/25/2032<sup>1,2,5</sup> | 287979 |
|  | RALI Trust |  |
| 71732 | &nbsp;&nbsp;Series 2006-QA10, Class A1, 4.76% (1-Month USD Libor+37 basis points), 12/25/2036<sup>2,5</sup> | 57054 |
| 170898 | &nbsp;&nbsp;Series 2006-QS2, Class 1A9, 5.50%, 2/25/2036<sup>2,3</sup> | 134611 |
| 340000 | Residential Mortgage Loan Trust<br> Series 2020-1, Class B2, 4.66%, 1/26/2060<sup>1,2,3,4</sup> | 239930 |

---

---

| |
|:---|
| **First Trust Alternative Opportunities Fund** |
| **SCHEDULE OF INVESTMENTS - Continued** |
| **As of December 31, 2022 (Unaudited)** |

---

---

| | | |
|:---|:---|:---|
| Principal<br> Amount |  | Value |
|  | **ASSET-BACKED SECURITIES (Continued)** |  |
| $250000 | Saranac Clo VIII Ltd.<br> Series 2020-8A, Class E, 12.79% (3-Month USD Libor+812 basis points), 2/20/2033<sup>1,2,3,5</sup> | $206089 |
| 1426344 | Silver Point Loan Funding, LLC<br> Class ,0.000%, 10/20/2033<sup>6</sup> | 1425788 |
| 100000 | STAR Trust<br> Series 2021-SFR1, Class F, 6.74% (1-Month USD Libor+240 basis points), 4/17/2038<sup>1,5</sup> | 92874 |
|  | Triangle RE Ltd. |  |
| 1030000 | &nbsp;&nbsp;Series 2021-3, Class M1B, 6.83% (30-Day SOFR Average+290 basis points), 2/25/2034<sup>1,2,3,5</sup> | 967940 |
| 500000 | &nbsp;&nbsp;Series 2021-3, Class M2, 7.68% (30-Day SOFR Average+375 basis points), 2/25/2034<sup>1,2,5</sup> | 426997 |
| 100000 | &nbsp;&nbsp;Series 2021-2, Class M1B, 6.99% (1-Month USD Libor+260 basis points), 10/25/2033<sup>1,2,5</sup> | 99355 |
|  | Upstart Securitization Trust |  |
| 200000 | &nbsp;&nbsp;Series 2021-5, Class C, 4.15%, 11/20/2031<sup>1,2</sup> | 167121 |
| 200000 | &nbsp;&nbsp;Series 2021-3, Class C, 3.28%, 7/20/2031<sup>1,2</sup> | 172404 |
|  | Veros Automobile Receivables Trust |  |
| 40000 | &nbsp;&nbsp;Series 2020-1, Class D, 5.64%, 2/16/2027<sup>1,2</sup> | 39695 |
| 100000 | &nbsp;&nbsp;Series 2022-1, Class D, 7.23%, 7/16/2029<sup>1,2</sup> | 94621 |
|  | Verus Securitization Trust |  |
| 900000 | &nbsp;&nbsp;Series 2020-5, Class B2, 4.71%, 5/25/2065<sup>1,2,4</sup> | 689866 |
| 812000 | &nbsp;&nbsp;Series 2021-8, Class B2, 4.33%, 11/25/2066<sup>1,2,4</sup> | 502451 |
| 300000 | &nbsp;&nbsp;Series 2021-5, Class M1, 2.33%, 9/25/2066<sup>1,2,4</sup> | 219649 |
| 250000 | &nbsp;&nbsp;Series 2022-7, Class M1, 5.41%, 7/25/2067<sup>1,2,4</sup> | 218735 |
| 23361 | WaMu Mortgage Pass-Through Certificates Trust<br> Series 2006-AR18, Class 3A1, 3.22%, 1/25/2037<sup>2,4</sup> | 20230 |
| 166582 | Wells Fargo Mortgage Loan Trust<br> Series 2010-RR2, Class 1A4, 3.49%, 9/27/2035<sup>1,2,3,4</sup> | 124811 |
|  | Western Mortgage Reference Notes |  |
| 440622 | &nbsp;&nbsp;Series 2021-CL2, Class M4, 9.28% (30-Day SOFR Average+535 basis points), 7/25/2059<sup>1,2,3,5</sup> | 409362 |
| 448241 | &nbsp;&nbsp;Series 2021-CL2, Class M5, 10.43% (30-Day SOFR Average+650 basis points), 7/25/2059<sup>1,2,3,5</sup> | 414933 |
| 81250 | XCALI Mortgage Trust<br> Series 2020-1, Class B1, 11.62% (1-Month USD Libor+750 basis points), 1/22/2023<sup>1,2,5</sup> | 80807 |
|  | **TOTAL ASSET-BACKED SECURITIES** |  |
|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(Cost $91,541,127) | **76124526** |

---

---

| |
|:---|
| **First Trust Alternative Opportunities Fund** |
| **SCHEDULE OF INVESTMENTS - Continued** |
| **As of December 31, 2022 (Unaudited)** |

---

---

| | | |
|:---|:---|:---|
| Principal<br> Amount |  | Value |
|  | **BANK LOANS — 12.8%** |  |
|  | Advantage Capital Holdings, LLC |  |
| $1229 | &nbsp;&nbsp;12.50% PIK, 4/14/2027<sup>6,8</sup> | $4222685 |
| 2546147 | &nbsp;&nbsp;12.00% PIK, 4/14/2027<sup>6,8</sup> | 2453977 |
| 299436 | BJ Services<br> 11.83%, 1/3/2023<sup>6</sup> | 284464 |
| 1950496 | Challenge Manufacturing Company, LLC<br> 14.12%, 12/18/2025<sup>4,6</sup> | 1862723 |
| 7500000 | Cherco, LLC<br> 15.41%, 9/1/2025<sup>4,6</sup> | 7387500 |
| 3500000 | GH Group, Inc.<br> 16.50%, 12/10/2026<sup>4,6</sup> | 3202500 |
| 5537510 | IFit Inc.<br> 17.76%, 2/22/2023<sup>4,6</sup> | 5371385 |
| 5653034 | Lucky Bucks Holdings, LLC<br> 12.50%, 5/29/2028<sup>4,6</sup> | 4706151 |
| 8674512 | Nova Compression, LLC<br> 11.63%, 9/1/2025<sup>6</sup> | 8761258 |
| 236284 | Premier Brands Group Holdings, LLC<br> 9.12%, 3/20/2024<sup>6</sup> | 226833 |
| 8601977 | PWCC Marketplace, LLC<br> 10.91%, 9/6/2025<sup>6</sup> | 8386927 |
| 10250000 | Shryne Group, Inc.<br> 14.75%, 5/26/2026<sup>6</sup> | 10045000 |
| 9479167 | Stronghold Digital Mining, Inc.<br> 3.80%, 11/16/2025<sup>4,6</sup> | 9289583 |
|  | Wellbore Integrity Solutions, LLC |  |
| 1586711 | &nbsp;&nbsp;11.40%, 12/31/2024<sup>4,6</sup> | 1570844 |
| 2015264 | &nbsp;&nbsp;14.83%, 12/31/2024<sup>4,6</sup> | 1985035 |
|  | **TOTAL BANK LOANS** |  |
|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(Cost $70,813,879) | **69756865** |

---

---

| | | |
|:---|:---|:---|
| Number<br> of Shares |  |  |
|  | **CLOSED-END FUNDS — 18.7%** |  |
| 55592 | Apollo Diversified Credit Fund - Class I | 1157427 |
| 2086615 | Cliffwater Corporate Lending Fund - Class I | 21763391 |
| 2814531 | Cliffwater Enhanced Lending Fund - Class I | 29777737 |
| 422519 | Conversus Stepstone Private Markets - Class I<sup>\*</sup> | 18390447 |
| 32823 | Invesco Dynamic Credit Opportunity Fund - Class AX | 367291 |
| 191603 | Opportunistic Credit Interval Fund - Class I | 1904536 |
| 697900 | Palmer Square Opportunistic Income Fund | 11333889 |
| 1169025 | Pomona Investment Fund LP | 17087527 |
|  | **TOTAL CLOSED-END FUNDS** |  |
|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(Cost $96,983,016) | **101782245** |

---

---

| |
|:---|
| **First Trust Alternative Opportunities Fund** |
| **SCHEDULE OF INVESTMENTS - Continued** |
| **As of December 31, 2022 (Unaudited)** |

---

---

| | | |
|:---|:---|:---|
| Principal<br> Amount |  | Value |
|  | **COLLATERALIZED MORTGAGE OBLIGATIONS — 2.4%** |  |
| $100000 | Arivo Acceptance Auto Loan Receivables Trust<br> Series 2022-1A, Class D, 7.38%, 9/17/2029<sup>1,2</sup> | $93105 |
|  | Bellemeade Re Ltd. |  |
| 350000 | &nbsp;&nbsp;Series 2019-1A, Class M2, 7.09% (1-Month USD Libor+270 basis points), 3/25/2029<sup>1,2,5</sup> | 347623 |
| 250000 | &nbsp;&nbsp;Series 2019-2A, Class M2, 7.49% (1-Month USD Libor+310 basis points), 4/25/2029<sup>1,2,3,5</sup> | 242686 |
| 2500000 | &nbsp;&nbsp;Series 2021-3A, Class M2, 7.08% (30-Day SOFR Average+315 basis points), 9/25/2031<sup>1,2,5</sup> | 2150440 |
| 1000000 | &nbsp;&nbsp;Series 2022-1, Class M1C, 7.63% (30-Day SOFR Average+370 basis points), 1/26/2032<sup>1,2,5</sup> | 838383 |
| 500000 | &nbsp;&nbsp;Series 2022-1, Class M2, 8.53% (30-Day SOFR Average+460 basis points), 1/26/2032<sup>1,2,3,5</sup> | 405598 |
| 212500 | BX Commercial Mortgage Trust<br> Series 2019-XL, Class J, 7.10% (1-Month Term SOFR+276 basis points), 10/15/2036<sup>1,5</sup> | 202882 |
| 643990 | CHL Mortgage Pass-Through Trust<br> Series 2004-29, Class 1X, , 2/25/2035<sup>2,4</sup> | 1709 |
|  | Connecticut Avenue Securities Trust |  |
| 18497 | &nbsp;&nbsp;Series 2019-R01, Class 2M2, 6.84% (1-Month USD Libor+245 basis points), 7/25/2031<sup>1,2,5</sup> | 18455 |
| 6655 | &nbsp;&nbsp;Series 2019-R03, Class 1M2, 6.54% (1-Month USD Libor+215 basis points), 9/25/2031<sup>1,2,5</sup> | 6640 |
| 500000 | &nbsp;&nbsp;Series 2019-HRP1, Class B1, 13.64% (1-Month USD Libor+925 basis points), 11/25/2039<sup>1,2,5</sup> | 479995 |
| 1000000 | CSMC<br> Series 2021-NQM2, Class B1, 3.44%, 2/25/2066<sup>1,2,4</sup> | 594158 |
| 369732 | DSLA Mortgage Loan Trust<br> Series 2004-AR2, Class X2, 0.00%, 11/19/2044<sup>2,4</sup> | 409 |
|  | Eagle RE Ltd. |  |
| 550000 | &nbsp;&nbsp;Series 2020-1, Class B1, 7.24% (1-Month USD Libor+285 basis points), 1/25/2030<sup>1,2,5</sup> | 511107 |
| 750000 | &nbsp;&nbsp;Series 2020-1, Class M2, 6.39% (1-Month USD Libor+200 basis points), 1/25/2030<sup>1,2,5</sup> | 702293 |
| 500000 | &nbsp;&nbsp;Series 2021-2, Class M2, 8.18% (30-Day SOFR Average+425 basis points), 4/25/2034<sup>1,2,5</sup> | 450497 |
| 200000 | Foursight Capital Automobile Receivables Trust<br> Series 2020-1, Class F, 4.62%, 6/15/2027<sup>1,2</sup> | 195441 |
|  | Freddie Mac Structured Agency Credit Risk Debt Notes |  |
| 249154 | &nbsp;&nbsp;Series 2018-SPI2, Class B, 3.83%, 5/25/2048<sup>1,2,4</sup> | 179488 |
| 365056 | &nbsp;&nbsp;Series 2018-SPI3, Class B, 4.16%, 8/25/2048<sup>1,2,3,4</sup> | 272499 |
| 189983 | &nbsp;&nbsp;Series 2018-SPI4, Class B, 4.51%, 11/25/2048<sup>1,2,4</sup> | 132073 |
| 2000000 | &nbsp;&nbsp;Series 2020-DNA1, Class B2, 9.64% (1-Month USD Libor+525 basis points), 1/25/2050<sup>1,2,5</sup> | 1729912 |

---

---

| |
|:---|
| **First Trust Alternative Opportunities Fund** |
| **SCHEDULE OF INVESTMENTS - Continued** |
| **As of December 31, 2022 (Unaudited)** |

---

---

| | | |
|:---|:---|:---|
| Principal<br> Amount |  | Value |
|  | **COLLATERALIZED MORTGAGE OBLIGATIONS (Continued)** |  |
| $1000000 | &nbsp;&nbsp;Series 2022-DNA2, Class B2, 12.43% (30-Day SOFR Average+850 basis points), 2/25/2042<sup>1,2,5</sup> | $829293 |
| 500000 | &nbsp;&nbsp;Series 2022-HQA1, Class B2, 14.92% (30-Day SOFR Average+1,100 basis points), 3/25/2042<sup>1,2,5</sup> | 450958 |
|  | Home RE Ltd. |  |
| 500000 | &nbsp;&nbsp;Series 2021-1, Class M2, 7.24% (1-Month USD Libor+285 basis points), 7/25/2033<sup>1,2,5</sup> | 467099 |
| 550000 | &nbsp;&nbsp;Series 2021-1, Class B1, 8.04% (1-Month USD Libor+365 basis points), 7/25/2033<sup>1,2,5</sup> | 498945 |
| 1410000 | JP Morgan Mortgage Trust<br> Series 2022-INV2, Class B6, 3.35%, 7/25/2052<sup>1,2,4</sup> | 505261 |
| 100000 | Lendingpoint Asset Securitization Trust<br> Series 2022-B, Class C, 8.45%, 10/15/2029<sup>1,2</sup> | 94955 |
|  | Rate Mortgage Trust |  |
| 632000 | &nbsp;&nbsp;Series 2022-J1, Class B5, 2.75%, 1/25/2052<sup>1,2,4</sup> | 222640 |
| 1100000 | &nbsp;&nbsp;Series 2022-J1, Class B6, 2.75%, 1/25/2052<sup>1,2,4</sup> | 222693 |
|  | **TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS** |  |
|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(Cost $14,518,525) | **12847237** |

---

---

| | | |
|:---|:---|:---|
| Number<br> of Shares |  |  |
|  | **COMMON STOCKS — 1.8%** |  |
|  | **AEROSPACE/DEFENSE-EQUIPMENT — 0.0%** |  |
| 514 | Aerojet Rocketdyne Holdings, Inc.<sup>\*,3</sup> | **28748** |
|  | **APPLIANCES — 0.0%** |  |
| 3022 | iRobot Corp.<sup>\*,3</sup> | **145449** |
|  | **APPLICATIONS SOFTWARE — 0.1%** |  |
| 11134 | ForgeRock, Inc. - Class A<sup>\*,3</sup> | **253521** |
|  | **COMMERCIAL BANKS-SOUTHERN US — 0.0%** |  |
| 8009 | First Horizon Corp.<sup>3</sup> | **196220** |
|  | **COMMERCIAL BANKS-WESTERN US — 0.0%** |  |
| 2461 | Umpqua Holdings Corp.<sup>3</sup> | **43929** |
|  | **COMMERCIAL SERVICES-FINANCE — 0.0%** |  |
| 2901 | MoneyGram International, Inc.<sup>\*,3</sup> | **31592** |
|  | **COMPUTER SERVICES — 0.0%** |  |
| 50 | MicroAlgo, Inc.<sup>\*,9</sup> | **63** |
|  | **DIAGNOSTIC KIT — 0.1%** |  |
| 1 | Cardio Diagnostics Holdings, Inc.<sup>\*</sup> | 1 |

---

---

| |
|:---|
| **First Trust Alternative Opportunities Fund** |
| **SCHEDULE OF INVESTMENTS - Continued** |
| **As of December 31, 2022 (Unaudited)** |

---

---

| | | |
|:---|:---|:---|
| Number<br> of Shares |  | Value |
|  | **COMMON STOCKS (Continued)** |  |
|  | **DIAGNOSTIC KIT (Continued)** |  |
| 6837 | Meridian Bioscience, Inc.<sup>\*,3</sup> | $227057 |
|  |  | **227058** |
|  | **ENTERTAINMENT SOFTWARE — 0.0%** |  |
| 2030 | Activision Blizzard, Inc.<sup>3</sup> | **155396** |
|  | **FINANCE-INVESTMENT BANKER/BROKER — 0.0%** |  |
| 4268 | Cowen, Inc. - Class A<sup>3</sup> | **164830** |
|  | **GAS-DISTRIBUTION — 0.0%** |  |
| 583 | South Jersey Industries, Inc.<sup>3</sup> | **20714** |
|  | **INVESTMENT MANAGEMENT/ADVISORY SERVICES — 0.0%** |  |
| 158 | AGBA Group Holding Ltd.<sup>\*,9</sup> | **244** |
|  | **MACHINERY-GENERAL INDUSTRY — 0.0%** |  |
| 1562 | Altra Industrial Motion Corp.<sup>3</sup> | **93329** |
|  | **MEDICAL INFORMATION SYSTEMS — 0.0%** |  |
| 9646 | 1Life Healthcare, Inc.<sup>\*,3</sup> | **161185** |
|  | **MEDICAL LABS & TESTING SERVICES — 0.0%** |  |
| 138 | Euda Health Holdings Ltd.<sup>\*,9</sup> | **231** |
|  | **MEDICAL-OUTPATIENT/HOME MEDICAL — 0.0%** |  |
| 934 | LHC Group, Inc.<sup>\*,3</sup> | 151019 |
| 1411 | Signify Health, Inc. - Class A<sup>\*,3</sup> | 40439 |
|  |  | **191458** |
|  | **OIL-US ROYALTY TRUSTS — 0.0%** |  |
| 5902 | Sitio Royalties Corp. - Class A<sup>3</sup> | **170267** |
|  | **PUBLISHING-NEWSPAPERS — 0.0%** |  |
| 6202 | TEGNA, Inc.<sup>3</sup> | **131420** |
|  | **REITS-SINGLE TENANT — 0.1%** |  |
| 7001 | STORE Capital Corp.<sup>3</sup> | **224452** |
|  | **S & L/THRIFTS-EASTERN US — 0.0%** |  |
| 7395 | New York Community Bancorp, Inc. | **63597** |
|  | **SPECIFIED PURPOSE ACQUISITIONS — 1.4%** |  |
| 94 | ABG Acquisition Corp. I - Class A<sup>\*,9</sup> | 948 |
| 2076 | Accretion Acquisition Corp.<sup>\*</sup> | 20926 |

---

---

| |
|:---|
| **First Trust Alternative Opportunities Fund** |
| **SCHEDULE OF INVESTMENTS - Continued** |
| **As of December 31, 2022 (Unaudited)** |

---

---

| | | |
|:---|:---|:---|
| Number<br> of Shares |  | Value |
|  | **COMMON STOCKS (Continued)** |  |
|  | **SPECIFIED PURPOSE ACQUISITIONS (Continued)** |  |
| 1456 | Ace Global Business Acquisition Ltd.<sup>\*,9</sup> | $15463 |
| 1774 | Achari Ventures Holdings Corp. I<sup>\*</sup> | 18822 |
| 20 | African Gold Acquisition Corp. - Class A<sup>\*,9</sup> | 201 |
| 1489 | Alpha Star Acquisition Corp.<sup>\*,9</sup> | 15277 |
| 2330 | ALSP Orchid Acquisition Corp. I - Class A<sup>\*,9</sup> | 23859 |
| 1466 | AltEnergy Acquisition Corp. - Class A<sup>\*</sup> | 14997 |
| 50000 | Ares Acquisition Corp. - Class A<sup>\*,9</sup> | 503500 |
| 1050 | Arisz Acquisition Corp.<sup>\*</sup> | 10605 |
| 25000 | Arrowroot Acquisition Corp. - Class A<sup>\*</sup> | 251250 |
| 2964 | Avalon Acquisition, Inc. - Class A<sup>\*</sup> | 30381 |
| 2834 | Biotech Acquisition Co. - Class A<sup>\*,9</sup> | 28623 |
| 2396 | Black Mountain Acquisition Corp. - Class A<sup>\*</sup> | 24439 |
| 390 | Blockchain Coinvestors Acquisition Corp. I - Class A<sup>\*,9</sup> | 4013 |
| 1778 | Blockchain Moon Acquisition Corp.<sup>\*</sup> | 18118 |
| 2874 | Blue Safari Group Acquisition Corp. - Class A<sup>\*,9</sup> | 30062 |
| 1722 | Build Acquisition Corp. - Class A<sup>\*</sup> | 17254 |
| 2932 | Cactus Acquisition Corp. I Ltd. - Class A<sup>\*,9</sup> | 30082 |
| 585 | CC Neuberger Principal Holdings III - Class A<sup>\*,9</sup> | 5909 |
| 2935 | Churchill Capital Corp. VI - Class A<sup>\*</sup> | 29335 |
| 2875 | Churchill Capital Corp. VII - Class A<sup>\*</sup> | 28664 |
| 2445 | Colombier Acquisition Corp. - Class A<sup>\*</sup> | 24303 |
| 1215 | Corazon Capital V838 Monoceros Corp. - Class A<sup>\*,9</sup> | 12272 |
| 626 | Crescera Capital Acquisition Corp. - Class A<sup>\*,9</sup> | 6398 |
| 1764 | Deep Medicine Acquisition Corp. - Class A<sup>\*</sup> | 18734 |
| 930 | DHC Acquisition Corp. - Class A<sup>\*,9</sup> | 9374 |
| 698 | dMY Technology Group, Inc. VI - Class A<sup>\*</sup> | 7015 |
| 592 | Enterprise 4.0 Technology Acquisition Corp. - Class A<sup>\*,9</sup> | 6092 |
| 920 | Everest Consolidator Acquisition Corp. - Class A<sup>\*</sup> | 9412 |
| 592 | ExcelFin Acquisition Corp. - Class A<sup>\*</sup> | 6038 |
| 2109 | Far Peak Acquisition Corp. - Class A<sup>\*,9</sup> | 21174 |
| 1712 | FAST Acquisition Corp. II - Class A<sup>\*</sup> | 17137 |
| 1060 | Finnovate Acquisition Corp. - Class A<sup>\*,9</sup> | 10876 |
| 20000 | FinServ Acquisition Corp. II - Class A<sup>\*</sup> | 200600 |
| 93 | Fintech Evolution Acquisition Group - Class A<sup>\*,9</sup> | 939 |
| 236 | Flame Acquisition Corp. - Class A<sup>\*</sup> | 2372 |
| 32591 | FTAC Parnassus Acquisition Corp. - Class A<sup>\*</sup> | 326888 |
| 474 | Fusion Acquisition Corp. II - Class A<sup>\*</sup> | 4759 |
| 1455 | G Squared Ascend II, Inc. - Class A<sup>\*,9</sup> | 14754 |
| 2354 | Genesis Growth Tech Acquisition Corp. - Class A<sup>\*,9</sup> | 24340 |
| 1763 | Globalink Investment, Inc.<sup>\*</sup> | 17983 |
| 1582 | Goldenbridge Acquisition Ltd.<sup>\*,9</sup> | 16263 |

---

---

| |
|:---|
| **First Trust Alternative Opportunities Fund** |
| **SCHEDULE OF INVESTMENTS - Continued** |
| **As of December 31, 2022 (Unaudited)** |

---

---

| | | |
|:---|:---|:---|
| Number<br> of Shares |  | Value |
|  | **COMMON STOCKS (Continued)** |  |
|  | **SPECIFIED PURPOSE ACQUISITIONS (Continued)** |  |
| 2885 | Graf Acquisition Corp. IV<sup>\*</sup> | $28706 |
| 782 | Green Visor Financial Technology Acquisition Corp. I - Class A<sup>\*,9</sup> | 8109 |
| 12288 | GSR II Meteora Acquisition Corp. - Class A<sup>\*</sup> | 124662 |
| 882 | Innovative International Acquisition Corp. - Class A<sup>\*,9</sup> | 9085 |
| 1962 | Integrated Rail and Resources Acquisition Corp. - Class A<sup>\*,6</sup> | 19914 |
| 2354 | Integrated Wellness Acquisition Corp. - Class A<sup>\*,9</sup> | 24270 |
| 295 | InterPrivate III Financial Partners, Inc. - Class A<sup>\*,6</sup> | 2980 |
| 592 | Jack Creek Investment Corp. - Class A<sup>\*,9</sup> | 5997 |
| 56469 | Jaws Juggernaut Acquisition Corp. - Class A<sup>\*,9</sup> | 567513 |
| 93112 | Jaws Mustang Acquisition Corp. - Class A<sup>\*,9</sup> | 940897 |
| 1241 | Jupiter Wellness Acquisition Corp. - Class A<sup>\*</sup> | 12968 |
| 61108 | Kadem Sustainable Impact Corp. - Class A<sup>\*</sup> | 612913 |
| 562 | Kairos Acquisition Corp. - Class A<sup>\*,9</sup> | 5665 |
| 1748 | Kairous Acquisition Corp. Ltd.<sup>\*,9</sup> | 18074 |
| 1069 | Khosla Ventures Acquisition Co. III - Class A<sup>\*</sup> | 10642 |
| 55746 | Lakeshore Acquisition II Corp.<sup>\*,9</sup> | 567494 |
| 2764 | LAMF Global Ventures Corp. <sup>I\*,9</sup> | 28331 |
| 584 | Learn CW Investment Corp. - Class A<sup>\*,9</sup> | 5898 |
| 2510 | Legato Merger Corp. II<sup>\*</sup> | 25401 |
| 2508 | Levere Holdings Corp. - Class A<sup>\*,9</sup> | 25306 |
| 1052 | LF Capital Acquisition Corp. II - Class A<sup>\*</sup> | 10794 |
| 3396 | Lionheart III Corp. - Class A<sup>\*</sup> | 34707 |
| 61047 | Live Oak Mobility Acquisition Corp. - Class A<sup>\*</sup> | 613828 |
| 1182 | M3-Brigade Acquisition III Corp. - Class A<sup>\*</sup> | 11986 |
| 426 | McLaren Technology Acquisition Corp. - Class A<sup>\*</sup> | 4349 |
| 474 | Medicus Sciences Acquisition Corp.<sup>\*,9</sup> | 4754 |
| 2122 | Mercato Partners Acquisition Corp. - Class A<sup>\*</sup> | 21687 |
| 2256 | Monterey Bio Acquisition Corp.<sup>\*</sup> | 23282 |
| 284 | Moringa Acquisition Corp. - Class A<sup>\*,9</sup> | 2874 |
| 2885 | Mountain Crest Acquisition Corp. III<sup>\*</sup> | 29225 |
| 1689 | Mountain Crest Acquisition Corp. V<sup>\*</sup> | 16890 |
| 59983 | MSD Acquisition Corp. - Class A<sup>\*,9</sup> | 605828 |
| 1684 | Nabors Energy Transition Corp. - Class A<sup>\*</sup> | 17295 |
| 9 | New Vista Acquisition Corp. - Class A<sup>\*,9</sup> | 91 |
| 27670 | Newbury Street Acquisition Corp.<sup>\*</sup> | 276700 |
| 1186 | Newcourt Acquisition Corp. - Class A<sup>\*,9</sup> | 12180 |
| 711 | Noble Rock Acquisition Corp. - Class A<sup>\*,9</sup> | 7181 |
| 2282 | Nocturne Acquisition Corp.<sup>\*,9</sup> | 24372 |
| 3780 | NorthView Acquisition Corp.<sup>\*</sup> | 38291 |
| 2885 | OceanTech Acquisitions I Corp. - Class A<sup>\*</sup> | 30408 |
| 554 | Onyx Acquisition Co. I - Class A<sup>\*,9</sup> | 5706 |

---

---

| |
|:---|
| **First Trust Alternative Opportunities Fund** |
| **SCHEDULE OF INVESTMENTS - Continued** |
| **As of December 31, 2022 (Unaudited)** |

---

---

| | | |
|:---|:---|:---|
| Number<br> of Shares |  | Value |
|  | **COMMON STOCKS (Continued)** |  |
|  | **SPECIFIED PURPOSE ACQUISITIONS (Continued)** |  |
| 1750 | OPY Acquisition Corp. I - Class A<sup>\*,6</sup> | $17815 |
| 2500 | Orion Biotech Opportunities Corp. - Class A<sup>\*,9</sup> | 25125 |
| 646 | Phoenix Biotech Acquisition Corp. - Class A<sup>\*,6</sup> | 6628 |
| 5 | Pivotal Investment Corp. III - Class A<sup>\*,6</sup> | 50 |
| 720 | Post Holdings Partnering Corp. - Class A<sup>\*</sup> | 7150 |
| 375 | Priveterra Acquisition Corp. - Class A<sup>\*</sup> | 3771 |
| 2346 | Project Energy Reimagined Acquisition Corp. - Class A<sup>\*,9</sup> | 23624 |
| 1666 | Roth CH Acquisition V Co.<sup>\*</sup> | 16843 |
| 2424 | ScION Tech Growth II - Class A<sup>\*,9</sup> | 24507 |
| 372 | Silver Spike Acquisition Corp. II - Class A<sup>\*,9</sup> | 3754 |
| 2760 | Sizzle Acquisition Corp.<sup>\*</sup> | 28207 |
| 888 | SportsMap Tech Acquisition Corp.<sup>\*</sup> | 9075 |
| 4204 | Spree Acquisition Corp. 1 Ltd. - Class A<sup>\*,9</sup> | 42965 |
| 12497 | SVF Investment Corp. II - Class A<sup>\*,9</sup> | 125970 |
| 186 | Tailwind International Acquisition Corp. - Class A<sup>\*,9</sup> | 1877 |
| 1896 | Tastemaker Acquisition Corp. - Class A<sup>\*</sup> | 19225 |
| 1722 | Tech and Energy Transition Corp. - Class A<sup>\*</sup> | 17272 |
| 852 | TG Venture Acquisition Corp. - Class A<sup>\*</sup> | 8665 |
| 592 | Thrive Acquisition Corp. - Class A<sup>\*,9</sup> | 6121 |
| 22243 | TPG Pace Beneficial II Corp.<sup>\*,3,9</sup> | 218538 |
| 2558 | Trine II Acquisition Corp. - Class A<sup>\*,9</sup> | 26360 |
| 2396 | Tristar Acquisition I Corp. - Class A<sup>\*,9</sup> | 24224 |
| 378 | Twelve Seas Investment Co. II - Class A<sup>\*</sup> | 3810 |
| 838 | Vahanna Tech Edge Acquisition I Corp. - Class A<sup>\*,9</sup> | 8623 |
| 3044 | Worldwide Webb Acquisition Corp. - Class A<sup>\*,9</sup> | 30927 |
|  |  | **7418830** |
|  | **TRANSPORT-AIR FREIGHT — 0.0%** |  |
| 1099 | Atlas Air Worldwide Holdings, Inc.<sup>\*,3</sup> | **110779** |
|  | **WIRELESS EQUIPMENT — 0.1%** |  |
| 7340 | Sierra Wireless, Inc.<sup>\*,3,9</sup> | **212787** |
|  | **TOTAL COMMON STOCKS** |  |
|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(Cost $9,904,027) | **10046099** |

---

---

| |
|:---|
| **First Trust Alternative Opportunities Fund** |
| **SCHEDULE OF INVESTMENTS - Continued** |
| **As of December 31, 2022 (Unaudited)** |

---

---

| | | |
|:---|:---|:---|
| Principal<br> Amount |  | Value |
|  | **CORPORATE BONDS — 0.0%** |  |
|  | **FINANCIALS — 0.0%** |  |
| $200000 | PennantPark Floating Rate Capital Ltd.<br> 4.25%, 4/1/2026<sup>2</sup> | $**174690** |
|  | **TOTAL CORPORATE BONDS** |  |
|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(Cost $199,373) | **174690** |

---

---

| | | |
|:---|:---|:---|
| Number<br> of Shares |  |  |
|  | **EXCHANGE-TRADED DEBT SECURITIES — 0.1%** |  |
|  | **FINANCIALS — 0.1%** |  |
| 12181 | First Eagle Alternative Capital BDC, Inc.<br> 5.00%, 5/25/2026<sup>2</sup> | 280894 |
| 2134 | XAI Octagon Floating Rate Alternative Income Term Trust<br> 6.50%, 3/31/2026<sup>2</sup> | 53457 |
|  |  | **334351** |
|  | **TOTAL EXCHANGE-TRADED DEBT SECURITIES** |  |
|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(Cost $361,411) | **334351** |
|  | **MUTUAL FUNDS — 5.2%** |  |
| 1019303 | Driehaus Event Driven Fund | 12017586 |
| 1354102 | Glenmede Secured Options Portfolio - Class Institutional<sup>\*</sup> | 16195058 |
|  | **TOTAL MUTUAL FUNDS** |  |
|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(Cost $31,000,000) | **28212644** |
|  | **PRIVATE INVESTMENT FUNDS — 25.3%** |  |
| N/A | DSC Meridian Credit Opportunities Onshore Fund LP | 11534166 |
| N/A | Eisler Capital Multi Strategy Fund LP | 11503000 |
| N/A | Hudson Bay Fund LP | 8927799 |
| N/A | Linden Investors LP | 11272008 |
| N/A | Nuveen Real Estate U.S. Cities Industrial Fund LP | 5088023 |
| N/A | Nuveen Real Estate U.S. Cities Multifamily Fund LP | 9992407 |
| N/A | Oak Street Real Estate Capital Net Lease Property Fund LP | 14089727 |
| N/A | Pender Capital Asset Based Lending Fund I LP | 28500000 |
| N/A | Point72 Capital LP | 9849595 |
| N/A | Rivernorth Capital Partners LP | 11807010 |
| N/A | Seer Capital Partners Fund LP | 2700299 |
| N/A | Walleye Opportunities Fund LP | 12774359 |
|  | **TOTAL PRIVATE INVESTMENT FUNDS** |  |
|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(Cost $131,917,147) | **138038393** |
|  | **REAL ESTATE INVESTMENT TRUSTS — 11.8%** |  |
|  | **REAL ESTATE — 11.8%** |  |
| 686379 | Bailard Real Estate Investment Trust LP | 24393898 |

---

---

| |
|:---|
| **First Trust Alternative Opportunities Fund** |
| **SCHEDULE OF INVESTMENTS - Continued** |
| **As of December 31, 2022 (Unaudited)** |

---

---

| | | |
|:---|:---|:---|
| Number<br> of Shares |  | Value |
|  | **REAL ESTATE INVESTMENT TRUSTS (Continued)** |  |
|  | **REAL ESTATE (Continued)** |  |
| 626336 | Invesco Real Estate Income Trust, Inc. - Class I | $19353331 |
| 1439175 | Jones Lang LaSalle Income Property Trust, Inc. - Class M-I | 20695337 |
|  |  | **64442566** |
|  | **TOTAL REAL ESTATE INVESTMENT TRUSTS** |  |
|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(Cost $58,983,722) | **64442566** |
|  | **RIGHTS — 0.0%** |  |
| 481 | ABIOMED, Inc., Expiration Date: March 14, 2023<sup>\*,3,6</sup> | 491 |
| 2076 | Accretion Acquisition Corp., Expiration Date: February 14, 2023<sup>\*</sup> | 150 |
| 1489 | Alpha Star Acquisition Corp., Expiration Date: January 18, 2023<sup>\*,9</sup> | 164 |
| 1050 | Arisz Acquisition Corp., Expiration Date: August 17, 2023<sup>\*</sup> | 94 |
| 1778 | Blockchain Moon Acquisition Corp., Expiration Date: April 13, 2023<sup>\*</sup> | 62 |
| 2874 | Blue Safari Group Acquisition Corp., Expiration Date: December 8, 2023<sup>\*,9</sup> | 273 |
| 1207 | Breeze Holdings Acquisition Corp., Expiration Date: May 24, 2027<sup>\*</sup> | 157 |
| 1299 | Brilliant Acquisition Corp., Expiration Date: March 30, 2023<sup>\*,9</sup> | 247 |
| 1764 | Deep Medicine Acquisition Corp., Expiration Date: February 13, 2023<sup>\*</sup> | 88 |
| 923 | Edoc Acquisition Corp., Expiration Date: January 1, 2023<sup>\*,9</sup> | 57 |
| 1765 | Financial Strategies Acquisition Corp., Expiration Date: January 19, 2023<sup>\*</sup> | 113 |
| 1763 | Globalink Investment, Inc., Expiration Date: September 21, 2023<sup>\*</sup> | 89 |
| 1582 | Goldenbridge Acquisition Ltd., Expiration Date: October 27, 2025<sup>\*,9</sup> | 206 |
| 768 | GSR II Meteora Acquisition Corp., Expiration Date: March 13, 2023<sup>\*</sup> | 714 |
| 1241 | Jupiter Wellness Acquisition Corp., Expiration Date: June 5, 2023<sup>\*</sup> | 62 |
| 1748 | Kairous Acquisition Corp. Ltd., Expiration Date: February 21, 2023<sup>\*,9</sup> | 229 |
| 55746 | Lakeshore Acquisition II Corp., Expiration Date: February 14, 2023<sup>\*,9</sup> | 8362 |
| 2530 | Model Performance Acquisition Corp., Expiration Date: March 6, 2023<sup>\*,9</sup> | 1366 |
| 2885 | Mountain Crest Acquisition Corp. III, Expiration Date: January 11, 2028<sup>\*</sup> | 231 |
| 1689 | Mountain Crest Acquisition Corp. V, Expiration Date: February 15, 2023<sup>\*</sup> | 281 |
| 2282 | Nocturne Acquisition Corp., Expiration Date: March 30, 2023<sup>\*,9</sup> | 127 |
| 3780 | NorthView Acquisition Corp., Expiration Date: September 19, 2023<sup>\*</sup> | 652 |
| 1805 | Viveon Health Acquisition Corp., Expiration Date: February 17, 2023<sup>\*</sup> | 235 |
|  | **TOTAL RIGHTS** |  |
|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(Cost $491) | **14450** |
|  | **UNITS — 1.8%** |  |
|  | **SPECIFIED PURPOSE ACQUISITIONS — 1.8%** |  |
| 4393 | AIB Acquisition Corp.<sup>\*,9</sup> | 43666 |
| 19429 | Alphatime Acquisition Corp.<sup>\*,9</sup> | 196427 |
| 24475 | AlphaVest Acquisition Corp.<sup>\*,9</sup> | 247197 |
| 195 | Apeiron Capital Investment Corp.<sup>\*</sup> | 1893 |
| 19609 | Aquaron Acquisition Corp.<sup>\*</sup> | 199031 |
| 36883 | Ares Acquisition Corp.<sup>\*,9</sup> | 375100 |

---

---

| |
|:---|
| **First Trust Alternative Opportunities Fund** |
| **SCHEDULE OF INVESTMENTS - Continued** |
| **As of December 31, 2022 (Unaudited)** |

---

---

| | | |
|:---|:---|:---|
| Number<br> of Shares |  | Value |
|  | **UNITS (Continued)** |  |
|  | **SPECIFIED PURPOSE ACQUISITIONS (Continued)** |  |
| 1045 | Atlantic Coastal Acquisition Corp. II<sup>\*</sup> | $10638 |
| 1182 | Ault Disruptive Technologies Corp.<sup>\*</sup> | 12127 |
| 143 | B. Riley Principal 250 Merger Corp.<sup>\*</sup> | 1424 |
| 2938 | Battery Future Acquisition Corp.<sup>\*,9</sup> | 30144 |
| 824 | BioPlus Acquisition Corp.<sup>\*,9</sup> | 8438 |
| 3089 | Blue Ocean Acquisition Corp.<sup>\*,9</sup> | 31570 |
| 2069 | Bullpen Parlay Acquisition Co.<sup>\*,9</sup> | 21166 |
| 21891 | Churchill Capital Corp. V<sup>\*</sup> | 217818 |
| 59972 | Churchill Capital Corp. VI<sup>\*</sup> | 599126 |
| 61192 | Churchill Capital Corp. VII<sup>\*</sup> | 609478 |
| 1 | Colombier Acquisition Corp.<sup>\*</sup> | 10 |
| 9833 | Denali Capital Acquisition Corp.<sup>\*,9</sup> | 100592 |
| 19672 | dMY Squared Technology Group, Inc.<sup>\*</sup> | 196720 |
| 20295 | Elliott Opportunity II Corp.<sup>\*,9</sup> | 204777 |
| 2938 | EVe Mobility Acquisition Corp.<sup>\*,9</sup> | 30203 |
| 19846 | FG Merger Corp.<sup>\*</sup> | 202231 |
| 20001 | Fusion Acquisition Corp. II<sup>\*</sup> | 200610 |
| 1652 | Games & Esports Experience Acquisition Corp.<sup>\*,9</sup> | 16916 |
| 23908 | Goldenstone Acquisition Ltd.<sup>\*</sup> | 242427 |
| 29037 | Gores Holdings IX, Inc.<sup>\*</sup> | 289209 |
| 1 | Graf Acquisition Corp. IV<sup>\*</sup> | 10 |
| 1765 | Growth For Good Acquisition Corp.<sup>\*,9</sup> | 17782 |
| 19983 | Hainan Manaslu Acquisition Corp.<sup>\*,9</sup> | 205825 |
| 1348 | Healthcare AI Acquisition Corp.<sup>\*,9</sup> | 13844 |
| 19947 | Horizon Space Acquisition I Corp.<sup>\*,9</sup> | 201465 |
| 14391 | Hudson Acquisition I Corp.<sup>\*</sup> | 146644 |
| 211 | Intelligent Medicine Acquisition Corp.<sup>\*</sup> | 2163 |
| 1765 | Jackson Acquisition Co.<sup>\*</sup> | 17915 |
| 42547 | Jaws Hurricane Acquisition Corp.<sup>\*</sup> | 427172 |
| 2 | Jaws Mustang Acquisition Corp.<sup>\*,9</sup> | 20 |
| 37490 | LDH Growth Corp. I<sup>\*,9</sup> | 365902 |
| 20035 | Metal Sky Star Acquisition Corp. <sup>\*,9</sup> | 198948 |
| 2 | Noble Rock Acquisition Corp.<sup>\*,9</sup> | 20 |
| 1 | OPY Acquisition Corp. I<sup>\*</sup> | 10 |
| 4 | Orion Biotech Opportunities Corp.<sup>\*,9</sup> | 39 |
| 1045 | Papaya Growth Opportunity Corp. I<sup>\*</sup> | 10659 |
| 18409 | Plutonian Acquisition Corp.<sup>\*</sup> | 185010 |
| 3529 | Power & Digital Infrastructure Acquisition II Corp.<sup>\*</sup> | 35502 |
| 44401 | Priveterra Acquisition Corp.<sup>\*</sup> | 446230 |
| 1 | Project Energy Reimagined Acquisition Corp.<sup>\*,9</sup> | 10 |
| 1833 | PROOF Acquisition Corp. I<sup>\*</sup> | 18642 |

---

---

| |
|:---|
| **First Trust Alternative Opportunities Fund** |
| **SCHEDULE OF INVESTMENTS - Continued** |
| **As of December 31, 2022 (Unaudited)** |

---

---

| | | |
|:---|:---|:---|
| Number<br> of Shares |  | Value |
|  | **UNITS (Continued)** |  |
|  | **SPECIFIED PURPOSE ACQUISITIONS (Continued)** |  |
| 294 | Pyrophyte Acquisition Corp.<sup>\*,9</sup> | $2972 |
| 19479 | Qomolangma Acquisition Corp.<sup>\*</sup> | 196933 |
| 20023 | Redwoods Acquisition Corp.<sup>\*</sup> | 202232 |
| 19239 | RF Acquisition Corp.<sup>\*</sup> | 195853 |
| 2478 | ROC Energy Acquisition Corp.<sup>\*</sup> | 25895 |
| 52328 | Screaming Eagle Acquisition Corp.<sup>\*,9</sup> | 524327 |
| 1764 | Sculptor Acquisition Corp. I<sup>\*,9</sup> | 18134 |
| 212 | Semper Paratus Acquisition Corp.<sup>\*,9</sup> | 2184 |
| 60000 | SHUAA Partners Acquisition Corp. I<sup>\*,9</sup> | 616800 |
| 1763 | Southport Acquisition Corp.<sup>\*</sup> | 17859 |
| 1649 | ST Energy Transition I Ltd.<sup>\*,9</sup> | 16886 |
| 62852 | Sustainable Development Acquisition I Corp.<sup>\*</sup> | 629777 |
| 50005 | SVF Investment Corp.<sup>\*,9</sup> | 505050 |
| 1763 | Swiftmerge Acquisition Corp.<sup>\*,9</sup> | 17859 |
| 1 | Tailwind International Acquisition Corp.<sup>\*,9</sup> | 10 |
| 15965 | TenX Keane Acquisition<sup>\*,9</sup> | 164918 |
| 117 | TKB Critical Technologies 1<sup>\*,9</sup> | 1203 |
| 333 | TLGY Acquisition Corp.<sup>\*,9</sup> | 3370 |
| 2 | Twelve Seas Investment Co. II<sup>\*</sup> | 20 |
| 2479 | UTA Acquisition Corp.<sup>\*,9</sup> | 24939 |
| 3680 | Welsbach Technology Metals Acquisition Corp.<sup>\*</sup> | 37426 |
| 1 | Worldwide Webb Acquisition Corp.<sup>\*,9</sup> | 10 |
|  |  | **9587407** |
|  | **TOTAL UNITS** |  |
|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(Cost $9,479,176) | **9587407** |
|  | **WARRANTS — 0.1%** |  |
| 68 | 7GC & Co. Holdings, Inc., Expiration Date: December 31, 2026<sup>\*</sup> | 5 |
| 1038 | Accretion Acquisition Corp., Expiration Date: February 19, 2023<sup>\*</sup> | 19 |
| 1456 | Ace Global Business Acquisition Ltd., Expiration Date: December 31, 2027<sup>\*,9</sup> | 45 |
| 1774 | Achari Ventures Holdings Corp. I, Expiration Date: August 5, 2026<sup>\*</sup> | 89 |
| 274 | Advantage Capital Holdings, LLC, Expiration Date: January 28, 2025<sup>\*,6</sup> | 594838 |
| 15 | African Gold Acquisition Corp., Expiration Date: March 13, 2028<sup>\*,6,9</sup> | 0 |
| 2247 | AGBA Group Holding Ltd., Expiration Date: May 10, 2024<sup>\*,9</sup> | 70 |
| 1489 | Alpha Star Acquisition Corp., Expiration Date: December 13, 2026<sup>\*,9</sup> | 25 |
| 1165 | ALSP Orchid Acquisition Corp. I, Expiration Date: November 30, 2028<sup>\*,9</sup> | 41 |
| 733 | AltEnergy Acquisition Corp., Expiration Date: February 6, 2023<sup>\*</sup> | 76 |
| 46 | Altitude Acquisition Corp., Expiration Date: November 30, 2027<sup>\*</sup> | 2 |
| 862 | American Acquisition Opportunity, Inc., Expiration Date: May 28, 2026<sup>\*</sup> | 17 |
| 60000 | Amprius Technologies, Inc., Expiration Date: September 14, 2027<sup>\*</sup> | 17406 |
| 232 | Appreciate Holdings, Inc., Expiration Date: November 29, 2027<sup>\*</sup> | 7 |

---

---

| |
|:---|
| **First Trust Alternative Opportunities Fund** |
| **SCHEDULE OF INVESTMENTS - Continued** |
| **As of December 31, 2022 (Unaudited)** |

---

---

| | | |
|:---|:---|:---|
| Number<br> of Shares |  | Value |
|  | **WARRANTS (Continued)** |  |
| 10000 | Ares Acquisition Corp., Expiration Date: December 31, 2027<sup>\*,9</sup> | $4663 |
| 902 | Aries I Acquisition Corp., Expiration Date: May 7, 2023<sup>\*,9</sup> | 48 |
| 1050 | Arisz Acquisition Corp., Expiration Date: November 16, 2026<sup>\*</sup> | 15 |
| 2223 | Avalon Acquisition, Inc., Expiration Date: February 26, 2023<sup>\*</sup> | 145 |
| 1658 | Better World Acquisition Corp., Expiration Date: November 15, 2027<sup>\*</sup> | 163 |
| 1417 | Biotech Acquisition Co., Expiration Date: November 30, 2027<sup>\*,9</sup> | 91 |
| 1797 | Black Mountain Acquisition Corp., Expiration Date: October 15, 2027<sup>\*</sup> | 66 |
| 195 | Blockchain Coinvestors Acquisition Corp. I, Expiration Date: November 1, 2028<sup>\*,9</sup> | 10 |
| 1778 | Blockchain Moon Acquisition Corp., Expiration Date: October 14, 2026<sup>\*</sup> | 32 |
| 1207 | Breeze Holdings Acquisition Corp., Expiration Date: May 25, 2027<sup>\*</sup> | 77 |
| 389 | Brilliant Acquisition Corp., Expiration Date: December 31, 2025<sup>\*,9</sup> | 4 |
| 574 | Build Acquisition Corp., Expiration Date: April 29, 2023<sup>\*</sup> | 3 |
| 1466 | Cactus Acquisition Corp. I Ltd., Expiration Date: July 20, 2023<sup>\*,9</sup> | 9 |
| 419 | Cardio Diagnostics Holdings, Inc., Expiration Date: December 1, 2026<sup>\*</sup> | 21 |
| 117 | CC Neuberger Principal Holdings III, Expiration Date: December 31, 2027<sup>\*,9</sup> | 6 |
| 45 | CF Acquisition Corp. IV, Expiration Date: December 14, 2025<sup>\*</sup> | 3 |
| 430 | CF Acquisition Corp. VIII, Expiration Date: December 31, 2027<sup>\*</sup> | 12 |
| 587 | Churchill Capital Corp. VI, Expiration Date: December 31, 2027<sup>\*</sup> | 35 |
| 575 | Churchill Capital Corp. VII, Expiration Date: February 29, 2028<sup>\*</sup> | 28 |
| 2030 | Coeptis Therapeutics Holdings, Expiration Date: October 31, 2025<sup>\*</sup> | 203 |
| 815 | Colombier Acquisition Corp., Expiration Date: December 31, 2028<sup>\*</sup> | 62 |
| 968 | Comera Life Sciences Holdings, Inc., Expiration Date: May 19, 2027<sup>\*</sup> | 46 |
| 3920 | Compute Health Acquisition Corp., Expiration Date: December 31, 2027<sup>\*</sup> | 441 |
| 405 | Corazon Capital V838 Monoceros Corp., Expiration Date: December 31, 2028<sup>\*,9</sup> | 4 |
| 117 | Corner Growth Acquisition Corp., Expiration Date: December 31, 2027<sup>\*,9</sup> | 4 |
| 935 | Corner Growth Acquisition Corp. 2, Expiration Date: March 1, 2023<sup>\*,9</sup> | 9 |
| 313 | Crescera Capital Acquisition Corp., Expiration Date: April 20, 2028<sup>\*,9</sup> | 9 |
| 2151 | Data Knights Acquisition Corp., Expiration Date: December 31, 2028<sup>\*</sup> | 75 |
| 310 | DHC Acquisition Corp., Expiration Date: December 31, 2027<sup>\*,9</sup> | 3 |
| 637 | Digital Health Acquisition Corp., Expiration Date: October 14, 2023<sup>\*</sup> | 62 |
| 349 | dMY Technology Group, Inc. VI, Expiration Date: June 25, 2023<sup>\*</sup> | 37 |
| 534 | Dune Acquisition Corp., Expiration Date: October 29, 2027<sup>\*</sup> | 6 |
| 789 | East Resources Acquisition Co., Expiration Date: July 1, 2027<sup>\*</sup> | 138 |
| 880 | Edify Acquisition Corp., Expiration Date: December 31, 2027<sup>\*</sup> | 26 |
| 923 | Edoc Acquisition Corp., Expiration Date: November 30, 2027<sup>\*,9</sup> | 18 |
| 351 | EdtechX Holdings Acquisition Corp. II, Expiration Date: June 15, 2027<sup>\*</sup> | 14 |
| 296 | Enterprise 4.0 Technology Acquisition Corp., Expiration Date: September 24, 2023<sup>\*,9</sup> | 3 |
| 470 | Eucrates Biomedical Acquisition Corp., Expiration Date: December 14, 2025<sup>\*,9</sup> | 24 |
| 1464 | Euda Health Holdings Ltd., Expiration Date: September 24, 2026<sup>\*,9</sup> | 117 |
| 484 | Eve Holding, Inc., Expiration Date: October 8, 2025<sup>\*</sup> | 121 |
| 460 | Everest Consolidator Acquisition Corp., Expiration Date: July 19, 2028<sup>\*</sup> | 7 |
| 296 | ExcelFin Acquisition Corp., Expiration Date: July 5, 2023<sup>\*</sup> | 3 |

---

---

| |
|:---|
| **First Trust Alternative Opportunities Fund** |
| **SCHEDULE OF INVESTMENTS - Continued** |
| **As of December 31, 2022 (Unaudited)** |

---

---

| | | |
|:---|:---|:---|
| Number<br> of Shares |  | Value |
|  | **WARRANTS (Continued)** |  |
| 703 | Far Peak Acquisition Corp., Expiration Date: December 7, 2025<sup>\*,9</sup> | $0 |
| 428 | FAST Acquisition Corp. II, Expiration Date: March 16, 2026<sup>\*</sup> | 287 |
| 1765 | Financial Strategies Acquisition Corp., Expiration Date: March 31, 2028<sup>\*</sup> | 18 |
| 795 | Finnovate Acquisition Corp., Expiration Date: April 15, 2023<sup>\*,9</sup> | 12 |
| 31 | Fintech Evolution Acquisition Group, Expiration Date: March 31, 2028<sup>\*,6,9</sup> | 0 |
| 118 | Flame Acquisition Corp., Expiration Date: December 31, 2028<sup>\*</sup> | 77 |
| 2109 | Forafric Global PLC, Expiration Date: June 9, 2027<sup>\*,9</sup> | 1455 |
| 1228 | FOXO Technologies, Inc., Expiration Date: August 1, 2027<sup>\*</sup> | 33 |
| 158 | Fusion Acquisition Corp. II, Expiration Date: December 31, 2027<sup>\*</sup> | 0 |
| 485 | G Squared Ascend II, Inc., Expiration Date: December 31, 2026<sup>\*,9</sup> | 12 |
| 1177 | Genesis Growth Tech Acquisition Corp., Expiration Date: May 19, 2028<sup>\*,9</sup> | 186 |
| 53 | Getaround, Inc., Expiration Date: March 9, 2026<sup>\*,6</sup> | 3 |
| 280000 | Glass House Brands, Inc., Expiration Date: January 15, 2026<sup>\*,9</sup> | 117600 |
| 1763 | Globalink Investment, Inc., Expiration Date: December 3, 2026<sup>\*</sup> | 18 |
| 71 | Golden Falcon Acquisition Corp., Expiration Date: November 4, 2026<sup>\*</sup> | 11 |
| 1582 | Goldenbridge Acquisition Ltd., Expiration Date: October 28, 2025<sup>\*,9</sup> | 79 |
| 1266 | Gorilla Technology Group, Inc., Expiration Date: July 14, 2027<sup>\*,9</sup> | 266 |
| 577 | Graf Acquisition Corp. IV, Expiration Date: May 31, 2028<sup>\*</sup> | 49 |
| 391 | Green Visor Financial Technology Acquisition Corp. I, Expiration Date: May 8, 2023<sup>\*,9</sup> | 4 |
| 12288 | GSR II Meteora Acquisition Corp., Expiration Date: July 22, 2023<sup>\*</sup> | 785 |
| 1774 | IG Acquisition Corp., Expiration Date: October 5, 2027<sup>\*</sup> | 44 |
| 441 | Innovative International Acquisition Corp., Expiration Date: April 3, 2023<sup>\*,9</sup> | 11 |
| 981 | Integrated Rail and Resources Acquisition Corp., Expiration Date: May 21, 2023<sup>\*</sup> | 137 |
| 1177 | Integrated Wellness Acquisition Corp., Expiration Date: October 31, 2028<sup>\*,9</sup> | 59 |
| 59 | InterPrivate III Financial Partners, Inc., Expiration Date: December 31, 2027<sup>\*</sup> | 4 |
| 296 | Jack Creek Investment Corp., Expiration Date: December 31, 2027<sup>\*,9</sup> | 62 |
| 23278 | Jaws Mustang Acquisition Corp., Expiration Date: January 30, 2026<sup>\*,9</sup> | 1513 |
| 868 | Kadem Sustainable Impact Corp., Expiration Date: March 16, 2026<sup>\*</sup> | 9 |
| 281 | Kairos Acquisition Corp., Expiration Date: December 31, 2027<sup>\*,9</sup> | 0 |
| 874 | Kairous Acquisition Corp. Ltd., Expiration Date: September 15, 2026<sup>\*,9</sup> | 66 |
| 870 | Kingswood Acquisition Corp., Expiration Date: May 1, 2027<sup>\*</sup> | 34 |
| 341 | KINS Technology Group, Inc., Expiration Date: December 31, 2025<sup>\*</sup> | 10 |
| 239 | KludeIn I Acquisition Corp., Expiration Date: July 8, 2027<sup>\*</sup> | 19 |
| 27873 | Lakeshore Acquisition II Corp., Expiration Date: November 18, 2026<sup>\*,9</sup> | 836 |
| 1382 | LAMF Global Ventures Corp. I, Expiration Date: April 4, 2023<sup>\*,9</sup> | 111 |
| 292 | Learn CW Investment Corp., Expiration Date: December 31, 2028<sup>\*,9</sup> | 15 |
| 1255 | Legato Merger Corp. II, Expiration Date: February 5, 2023<sup>\*</sup> | 551 |
| 836 | Levere Holdings Corp., Expiration Date: December 31, 2028<sup>\*,9</sup> | 9 |
| 526 | LF Capital Acquisition Corp. II, Expiration Date: January 7, 2026<sup>\*</sup> | 5 |
| 1698 | Lionheart III Corp., Expiration Date: March 19, 2023<sup>\*</sup> | 44 |
| 394 | M3-Brigade Acquisition III Corp., Expiration Date: May 11, 2023<sup>\*</sup> | 158 |
| 314 | Malacca Straits Acquisition Co., Ltd., Expiration Date: June 30, 2027<sup>\*,9</sup> | 6 |

---

---

| |
|:---|
| **First Trust Alternative Opportunities Fund** |
| **SCHEDULE OF INVESTMENTS - Continued** |
| **As of December 31, 2022 (Unaudited)** |

---

---

| | | |
|:---|:---|:---|
| Number<br> of Shares |  | Value |
|  | **WARRANTS (Continued)** |  |
| 479 | Maquia Capital Acquisition Corp., Expiration Date: December 31, 2027<sup>\*</sup> | $17 |
| 213 | McLaren Technology Acquisition Corp., Expiration Date: March 3, 2023<sup>\*</sup> | 1 |
| 52 | Medicus Sciences Acquisition Corp., Expiration Date: December 31, 2027<sup>\*,9</sup> | 5 |
| 1061 | Mercato Partners Acquisition Corp., Expiration Date: December 28, 2026<sup>\*</sup> | 11 |
| 940 | MicroAlgo, Inc., Expiration Date: December 31, 2027<sup>\*,9</sup> | 19 |
| 2925 | MicroCloud Hologram, Inc., Expiration Date: January 31, 2028<sup>\*,9</sup> | 205 |
| 1265 | Model Performance Acquisition Corp., Expiration Date: April 29, 2026<sup>\*,9</sup> | 196 |
| 2256 | Monterey Bio Acquisition Corp., Expiration Date: June 7, 2023<sup>\*</sup> | 45 |
| 142 | Moringa Acquisition Corp., Expiration Date: February 10, 2026<sup>\*,9</sup> | 14 |
| 2696 | Mount Rainier Acquisition Corp., Expiration Date: November 27, 2026<sup>\*</sup> | 485 |
| 770 | MSP Recovery, Inc., Expiration Date: February 14, 2026<sup>\*</sup> | 1132 |
| 842 | Nabors Energy Transition Corp., Expiration Date: November 17, 2026<sup>\*</sup> | 49 |
| 3 | New Vista Acquisition Corp., Expiration Date: December 31, 2027<sup>\*,9</sup> | 0 |
| 1335 | Newbury Street Acquisition Corp., Expiration Date: December 31, 2027<sup>\*</sup> | 93 |
| 593 | Newcourt Acquisition Corp., Expiration Date: April 12, 2028<sup>\*,9</sup> | 6 |
| 237 | Noble Rock Acquisition Corp., Expiration Date: December 31, 2027<sup>\*,9</sup> | 12 |
| 1890 | NorthView Acquisition Corp., Expiration Date: August 2, 2027<sup>\*</sup> | 67 |
| 2885 | OceanTech Acquisitions I Corp., Expiration Date: May 10, 2026<sup>\*</sup> | 113 |
| 1144 | OmniLit Acquisition Corp., Expiration Date: November 8, 2026<sup>\*</sup> | 37 |
| 277 | Onyx Acquisition Co. I, Expiration Date: January 7, 2023<sup>\*,9</sup> | 10 |
| 1764 | OPY Acquisition Corp. I, Expiration Date: April 8, 2023<sup>\*</sup> | 79 |
| 500 | Orion Biotech Opportunities Corp., Expiration Date: December 31, 2027<sup>\*,9</sup> | 82 |
| 1438 | Osiris Acquisition Corp., Expiration Date: May 1, 2028<sup>\*</sup> | 65 |
| 323 | Phoenix Biotech Acquisition Corp., Expiration Date: September 1, 2026<sup>\*</sup> | 13 |
| 1 | Pivotal Investment Corp. III, Expiration Date: December 31, 2027<sup>\*</sup> | 0 |
| 240 | Post Holdings Partnering Corp., Expiration Date: February 9, 2023<sup>\*</sup> | 19 |
| 479 | Prenetics Global Ltd., Expiration Date: May 17, 2027<sup>\*,9</sup> | 77 |
| 1990 | Presto Automation, Inc., Expiration Date: September 30, 2025<sup>\*</sup> | 76 |
| 125 | Priveterra Acquisition Corp., Expiration Date: December 31, 2027<sup>\*</sup> | 6 |
| 235 | Progress Acquisition Corp., Expiration Date: December 31, 2027<sup>\*</sup> | 15 |
| 1173 | Project Energy Reimagined Acquisition Corp., Expiration Date: December 31, 2028<sup>\*,9</sup> | 13 |
| 873 | ProSomnus, Inc., Expiration Date: April 20, 2028<sup>\*</sup> | 68 |
| 833 | Roth CH Acquisition V Co., Expiration Date: December 10, 2026<sup>\*</sup> | 32 |
| 808 | ScION Tech Growth II, Expiration Date: January 28, 2026<sup>\*,9</sup> | 3 |
| 11426 | Senior Connect Acquisition Corp. I, Expiration Date: December 31, 2027<sup>\*</sup> | 687 |
| 93 | Silver Spike Acquisition Corp. II, Expiration Date: February 26, 2026<sup>\*,9</sup> | 3 |
| 1380 | Sizzle Acquisition Corp., Expiration Date: March 12, 2026<sup>\*</sup> | 414 |
| 747 | SoundHound AI, Inc., Expiration Date: December 31, 2027<sup>\*</sup> | 112 |
| 666 | SportsMap Tech Acquisition Corp., Expiration Date: September 1, 2027<sup>\*</sup> | 7 |
| 2102 | Spree Acquisition Corp. 1 Ltd., Expiration Date: December 22, 2028<sup>\*,9</sup> | 75 |
| 62 | Tailwind International Acquisition Corp., Expiration Date: March 1, 2028<sup>\*,9</sup> | 0 |
| 948 | Tastemaker Acquisition Corp., Expiration Date: December 31, 2025<sup>\*</sup> | 142 |

---

---

| |
|:---|
| **First Trust Alternative Opportunities Fund** |
| **SCHEDULE OF INVESTMENTS - Continued** |
| **As of December 31, 2022 (Unaudited)** |

---

---

| | | |
|:---|:---|:---|
| Number<br> of Shares |  | Value |
|  | **WARRANTS (Continued)** |  |
| 574 | Tech and Energy Transition Corp., Expiration Date: December 31, 2027<sup>\*</sup> | $19 |
| 852 | TG Venture Acquisition Corp., Expiration Date: August 13, 2023<sup>\*</sup> | 51 |
| 296 | Thrive Acquisition Corp., Expiration Date: March 9, 2023<sup>\*,9</sup> | 1 |
| 1279 | Trine II Acquisition Corp., Expiration Date: December 31, 2027<sup>\*,9</sup> | 102 |
| 1198 | Tristar Acquisition I Corp., Expiration Date: December 31, 2028<sup>\*,9</sup> | 30 |
| 126 | Twelve Seas Investment Co. II, Expiration Date: March 2, 2028<sup>\*</sup> | 2 |
| 419 | Vahanna Tech Edge Acquisition I Corp., Expiration Date: November 30, 2028<sup>\*,9</sup> | 4 |
| 1805 | Viveon Health Acquisition Corp., Expiration Date: December 31, 2027<sup>\*</sup> | 90 |
| 1235429 | Whitehawk Finance, LLC, Expiration Date: February 24, 3030<sup>\*,6</sup> | 0 |
| 1522 | Worldwide Webb Acquisition Corp., Expiration Date: March 27, 2023<sup>\*,9</sup> | 17 |
| 519 | ZeroFox Holdings, Inc., Expiration Date: June 1, 2027<sup>\*</sup> | 79 |
| 2673 | ZyVersa Therapeutics, Inc., Expiration Date: December 20, 2026<sup>\*,6</sup> | 187 |
|  | **TOTAL WARRANTS** |  |
|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(Cost $598,027) | **749188** |
|  | **SHORT-TERM INVESTMENTS — 10.8%** |  |
| 59046827 | Morgan Stanley Institutional Liquidity Fund - Government Portfolio - Institutional Class, 4.05%<sup>10</sup> | 59046827 |
|  | **TOTAL SHORT-TERM INVESTMENTS** |  |
|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(Cost $59,046,827) | **59046827** |
|  | **TOTAL INVESTMENTS — 104.8%** |  |
|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(Cost $575,346,748) | **571157488** |
|  | Liabilities in Excess of Other Assets — (4.8)% | (26169194) |
|  | **TOTAL NET ASSETS — 100.0%** | $**544988294** |
|  | **SECURITIES SOLD SHORT — (0.1)%** |  |
|  | **COMMON STOCKS — (0.1)%** |  |
|  | **COMMERCIAL BANKS-WESTERN US — (0.0)%** |  |
| (1467) | Columbia Banking System, Inc. | **(44201)** |
|  | **OIL-US ROYALTY TRUSTS — (0.1)%** |  |
| (5902) | Sitio Royalties Corp. | **(170272)** |
|  | **S & L/THRIFTS-EASTERN US — (0.0)%** |  |
| (7403) | New York Community Bancorp, Inc. | (63666) |
|  | **TOTAL COMMON STOCKS** |  |
|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(Proceeds $299,854) | **(278139)** |
|  | **TOTAL SECURITIES SOLD SHORT** |  |
|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(Proceeds $299,854) | $**(278139)** |

---

LLC — Limited Liability Company <br> LP — Limited Partnership <br> PLC — Public Limited Company

---

| |
|:---|
| **First Trust Alternative Opportunities Fund** |
| **SCHEDULE OF INVESTMENTS - Continued** |
| **As of December 31, 2022 (Unaudited)** |

---

---

| |
|:---|
| <sup>\*</sup> Non-income producing security. |
| <sup>1</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 $61,487,035, which represents 11.28% of the total net assets of the Fund. |
| <sup>2</sup> Callable. |
| <sup>3</sup> All or a portion of this security is segregated as collateral for securities sold short. The market value of the securities pledged as collateral was $6,279,489, which represents 1.15% of the total net assets of the Fund. |
| <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. |
| <sup>5</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>6</sup> Level 3 securities fair valued under procedures established by the Board of Trustees, represents 13.18% of Net Assets. The total value of these securities is $71,825,559. |
| <sup>7</sup> Step rate security. |
| <sup>8</sup> Payment-in-kind interest is generally paid by issuing additional par of the security rather than paying cash. |
| <sup>9</sup> Foreign security denominated in U.S. Dollars. |
| <sup>10</sup> The rate is the annualized seven-day yield at period end. |

---

*See accompanying Notes to Schedule of Investments.*

---

| |
|:---|
| **First Trust Alternative Opportunities Fund** |
| **SCHEDULE OF INVESTMENTS - Continued** |
| **As of December 31, 2022 (Unaudited)** |

---

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| <br>**Securities With Restrictions On Redemptions** | **Redemptions**<br>**Permitted** | **Redemption**<br>**Notice Period** | <br>**Cost** | <br>**Fair Value** | **Original**<br>**Acquisition Date** |
| &nbsp;&nbsp;&nbsp;Apollo Diversified Credit Fund - Class I <sup>a</sup> | &nbsp;&nbsp;Quarterly | &nbsp;&nbsp;14 Days | $1361983 | $1157427 | &nbsp;&nbsp;8/9/2021 |
| &nbsp;&nbsp;&nbsp;Bailard Real Estate Investment Trust LP <sup>b</sup> | &nbsp;&nbsp;Quarterly | &nbsp;&nbsp;30 Days | 21400000 | 24393898 | &nbsp;&nbsp;12/28/2018 |
| &nbsp;&nbsp;&nbsp;Cliffwater Corporate Lending Fund - Class I <sup>a</sup> | &nbsp;&nbsp;Quarterly | &nbsp;&nbsp;14 Days | 21744258 | 21763391 | &nbsp;&nbsp;8/4/2020 |
| &nbsp;&nbsp;&nbsp;Cliffwater Enhanced Lending Fund - Class I <sup>a</sup> | &nbsp;&nbsp;Quarterly | &nbsp;&nbsp;14 Days | 30000000 | 29777737 | &nbsp;&nbsp;4/26/2022 |
| &nbsp;&nbsp;&nbsp;Conversus Stepstone Private Markets - Class I <sup>a</sup> | &nbsp;&nbsp;Quarterly | &nbsp;&nbsp;35 Days | 16157916 | 18390447 | &nbsp;&nbsp;3/26/2021 |
| &nbsp;&nbsp;&nbsp;DSC Meridian Credit Opportunities Onshore Fund LP <sup>b</sup> | &nbsp;&nbsp;Quarterly <sup>c</sup> | &nbsp;&nbsp;65 Days | 11450000 | 11534166 | &nbsp;&nbsp;10/1/2018 |
| &nbsp;&nbsp;&nbsp;Eisler Capital Multi Strategy Fund LP <sup>b</sup> | &nbsp;&nbsp;Quarterly <sup>c</sup> | &nbsp;&nbsp;65 Days | 11500000 | 11503000 | &nbsp;&nbsp;12/28/2022 |
| &nbsp;&nbsp;&nbsp;Hudson Bay Fund LP <sup>b</sup> | &nbsp;&nbsp;Quarterly <sup>c</sup> | &nbsp;&nbsp;65 Days | 8500000 | 8927799 | &nbsp;&nbsp;4/1/2021 |
| &nbsp;&nbsp;&nbsp;Invesco Dynamic Credit Opportunity Fund - Class AX <sup>a</sup> | &nbsp;&nbsp;Quarterly | &nbsp;&nbsp;15 Days | 374845 | 367291 | &nbsp;&nbsp;11/3/2021 |
| &nbsp;&nbsp;&nbsp;Invesco Real Estate Income Trust, Inc. - REIT | &nbsp;&nbsp;Monthly | &nbsp;&nbsp;30 Days | 20000000 | 19353331 | &nbsp;&nbsp;6/27/2022 |
| &nbsp;&nbsp;&nbsp;Linden Investors LP <sup>b</sup> | &nbsp;&nbsp;Quarterly <sup>d</sup> | &nbsp;&nbsp;65 Days | 10250000 | 11272008 | &nbsp;&nbsp;10/1/2018 |
| &nbsp;&nbsp;&nbsp;Nuveen Real Estate U.S. Cities Industrial Fund LP <sup>b</sup> | &nbsp;&nbsp;Quarterly | &nbsp;&nbsp;45 Days | 5245247 | 5088023 | &nbsp;&nbsp;10/3/2022 |
| &nbsp;&nbsp;&nbsp;Nuveen Real Estate U.S. Cities Multifamily Fund LP <sup>b</sup> | &nbsp;&nbsp;Quarterly | &nbsp;&nbsp;45 Days | 10000000 | 9992407 | &nbsp;&nbsp;4/1/2022 |
| &nbsp;&nbsp;&nbsp;Oak Street Real Estate Capital Net Lease Property Fund LP <sup>b</sup> | &nbsp;&nbsp;Quarterly | &nbsp;&nbsp;60 Days | 14000000 | 14089727 | &nbsp;&nbsp;1/25/2022 |
| &nbsp;&nbsp;&nbsp;Opportunistic Credit Interval Fund - Class I <sup>a</sup> | &nbsp;&nbsp;Quarterly | &nbsp;&nbsp;30 Days | 1928000 | 1904536 | &nbsp;&nbsp;8/16/2022 |
| &nbsp;&nbsp;&nbsp;Palmer Square Opportunistic Income Fund <sup>a</sup> | &nbsp;&nbsp;Quarterly | &nbsp;&nbsp;14 Days | 12800000 | 11333889 | &nbsp;&nbsp;10/2/2018 |
| &nbsp;&nbsp;&nbsp;Pender Capital Asset Based Lending Fund I LP <sup>b</sup> | &nbsp;&nbsp;Quarterly | &nbsp;&nbsp;90 Days | 28516533 | 28500000 | &nbsp;&nbsp;8/16/2019 |
| &nbsp;&nbsp;&nbsp;Point72 Capital LP <sup>b</sup> | &nbsp;&nbsp;Quarterly <sup>c</sup> | &nbsp;&nbsp;45 Days | 8030367 | 9849595 | &nbsp;&nbsp;4/24/2019 |
| &nbsp;&nbsp;&nbsp;Pomona Investment Fund LP <sup>a</sup> | &nbsp;&nbsp;Quarterly | &nbsp;&nbsp;75 Days | 12616015 | 17087527 | &nbsp;&nbsp;10/1/2018 |
| &nbsp;&nbsp;&nbsp;RiverNorth Capital Partners LP <sup>b</sup> | &nbsp;&nbsp;Quarterly <sup>d</sup> | &nbsp;&nbsp;65 Days | 11500000 | 11807010 | &nbsp;&nbsp;6/1/2022 |
| &nbsp;&nbsp;&nbsp;Seer Capital Partners Fund LP <sup>b</sup> | &nbsp;&nbsp;Not Permitted | &nbsp;&nbsp;N/A | 2000000 | 2700300 | &nbsp;&nbsp;9/29/2021 |
| &nbsp;&nbsp;&nbsp;Walleye Opportunities Fund LP <sup>b</sup> | &nbsp;&nbsp;Monthly <sup>d</sup> | &nbsp;&nbsp;30 Days | 10925000 | 12774359 | &nbsp;&nbsp;12/3/2018 |
| **Totals** |  |  | $**270300164** | $**283567868** |  |

---

<sup>a</sup> The Closed-End Fund can institute a gate provision on redemptions at the fund level of 5% of the fair value of the investment in the Closed-End Fund.

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

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

<sup>d</sup> The Private Investment Fund can institute a gate provision on redemptions at the fund level of 15 - 25% of the fair value of the investment in the Private Investment Fund.

See accompanying Notes to Schedule of Investments.

---

| |
|:---|
| **First Trust Alternative Opportunities Fund** |
| **SCHEDULE OF INVESTMENTS - Continued** |
| **As of December 31, 2022 (Unaudited)** |

---

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS** | **FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS** | **FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS** | | | | |
|  |  | **Currency** | | | | |
| **Sale Contracts** | **Counterparty** | **Exchange** |<br>**Currency**<br>**Amount**<br>**Sold** |<br>**Value At**<br>**Settlement**<br>**Date** |<br>**Value At**<br>**December 31,**<br> **2022** |<br>**Unrealized**<br>**Appreciation**<br>**(Depreciation)** |
| Euro | BNP | EUR per USD | (21247000) | $(23038841) | $(23439518) | $(400677) |
|  |  |  |  | (23038841) | (23439518) | (400677) |
| **TOTAL FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS** |  |  |  | $(23038841) | $(23439518) | $(400677) |

---

EUR – Euro

*See accompanying Notes to Financial Statements.*

**First Trust Alternative Opportunities Fund**

**Notes to Schedule of Investments**

**December 31, 2022 (Unaudited)** 

**Note 1 – Valuation of Investments**

The Board of Trustees of the Fund (the "Board") has approved valuation procedures for the Fund (the "Valuation Procedures"). Under the Valuation Procedures adopted by the Board, the Board has delegated day-to-day responsibility for fair value determinations and pricing to the Investment Manager subject to the oversight of the Board (the "Valuation Designee"). 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 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 net asset value 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 market 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, in accordance with the Valuation Procedures. 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 net asset value is determined. The mid-point of the last bid and the last ask is also known as the "mark".

Fixed-income securities with a remaining maturity of sixty (60) days or more for which accurate market quotations are readily available 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 not readily available or are believed by the Valuation Designee not to reflect market value will be valued based upon broker-supplied quotations in accordance with the Valuation Procedures, provided that if such quotations are unavailable or are believed by the Valuation Designee not to reflect market value, such fixed-income securities will be valued at fair value in accordance with the Valuation Procedures, which may include the utilization of 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 by Valuation Designee at amortized cost, which the Valuation Designee has determined to approximate fair value. All other instruments held by the Fund will be valued in accordance with the Valuation Procedures.

If no price is obtained for a security in accordance with the foregoing, because either an external price is not readily available or such external price is believed by the Valuation Designee not to reflect the market value, the Valuation Designee will make a determination in good faith of the fair value of the security in accordance with the Valuation Procedures. In general, fair value represents a good faith approximation of the current value of an asset and will be used when there is no public market or possibly no market at all for the asset. 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.

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 daily closing net asset values.

**First Trust Alternative Opportunities Fund**

**Notes to Schedule of Investments - Continued**

**December 31, 2022 (Unaudited)**

The Fund will generally value private investment funds in accordance with the value determined as of such date by each private investment fund in accordance with the private investment fund'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 fund will represent the amount that the Fund could reasonably expect to receive from the private investment fund 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 fund does not report a value to the Fund on a timely basis, the Fund will determine the fair value of such private investment fund based on the most recent final or estimated value reported by the private investment fund, as well as any other relevant information available at the time the Fund values its portfolio. Using the nomenclature of the hedge fund industry, any values reported as "estimated" or "final" values are expected to reasonably reflect market values of securities when available or fair value as of the Fund's valuation date. 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 fund.

**Note 2 – Fair Value Measurements and Disclosure**

*Fair Value Measurements and Disclosures* 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 *Fair Value Measurements and Disclosures*, various inputs are used in determining the value of the Fund's investments. These inputs are summarized into three broad levels as described below:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· Level
1 – Unadjusted quoted prices in active markets for identical assets or liabilities that the Fund has the ability to access.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· 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.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· 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") 2015-7, Disclosures for Investments in Certain Entities That Calculate Net Asset Value per Share (or Its Equivalent) investments valued at the net asset value as practical expedient are no longer included in the fair value hierarchy. As such, investments in Closed-End Funds, Real Estate Investment Trusts and Private Investment Funds with a fair value of $217,263,596 are excluded from the fair value hierarchy as of December 31, 2022.

**First Trust Alternative Opportunities Fund**

**Notes to Schedule of Investments - Continued**

**December 31, 2022 (Unaudited)**

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 December 31, 2022:

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | **Level 1** | **Level 2** | **Level 3** | **Total** |
| **Assets** |  |  |  |  |
| Investments |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Asset-Backed Securities | $- | $74698738 | $1425788 | $76124526 |
| &nbsp;&nbsp;&nbsp;Bank Loans |  |  | 69756865 | 69756865 |
| &nbsp;&nbsp;&nbsp;Closed-End Funds | 66304271 |  |  | 66304271 |
| &nbsp;&nbsp;&nbsp;Collateralized Mortgage Obligations |  | 12847237 |  | 12847237 |
| &nbsp;&nbsp;&nbsp;Common Stocks |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Aerospace/Defense-Equipment | 28748 |  |  | 28748 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Appliances | 145449 |  |  | 145449 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Applications Software | 253521 |  |  | 253521 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Commercial Banks-Southern US | 196220 |  |  | 196220 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Commercial Banks-Western US | 43929 |  |  | 43929 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Commercial Services-Finance | 31592 |  |  | 31592 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Computer Services | 63 |  |  | 63 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Diagnostic Kit | 227058 |  |  | 227058 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Entertainment Software | 155396 |  |  | 155396 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Finance-Investment Banker/Broker | 164830 |  |  | 164830 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Gas-Distribution | 20714 |  |  | 20714 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Investment Management/Advisory Services | 244 |  |  | 244 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Machinery-General Industry | 93329 |  |  | 93329 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Medical Information Systems | 161185 |  |  | 161185 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Medical Labs & Testing Services | 231 |  |  | 231 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Medical-Outpatient/Home Medical | 191458 |  |  | 191458 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Oil-US Royalty Trusts | 170267 |  |  | 170267 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Publishing-Newspapers | 131420 |  |  | 131420 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;REITS-Single Tenant | 224452 |  |  | 224452 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;S & L/Thrifts-Eastern US | 63597 |  |  | 63597 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Specified Purpose Acquisitions | 7371443 |  | 47387 | 7418830 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Transport-Air Freight | 110779 |  |  | 110779 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Wireless Equipment | 212787 |  |  | 212787 |
| &nbsp;&nbsp;&nbsp;Corporate Bonds\*\* |  | 174690 |  | 174690 |
| &nbsp;&nbsp;&nbsp;Exchange-Traded Debt Securities\* | 334351 |  |  | 334351 |
| &nbsp;&nbsp;&nbsp;Mutual Funds | 28212644 |  |  | 28212644 |
| &nbsp;&nbsp;&nbsp;Real Estate Investment Trusts | 20695337 |  |  | 20695337 |
| &nbsp;&nbsp;&nbsp;Rights | 13959 |  | 491 | 14450 |
| &nbsp;&nbsp;&nbsp;Units\* | 9587407 |  |  | 9587407 |
| &nbsp;&nbsp;&nbsp;Warrants | 154160 |  | 595028 | 749188 |
| &nbsp;&nbsp;&nbsp;Short-Term Investments | 59046827 | - | - | 59046827 |
| Subtotal | $194347668 | $87720665 | $71825559 | $353893892 |
| &nbsp;&nbsp;&nbsp;Closed End Funds |  |  |  | 35477974 |
| &nbsp;&nbsp;&nbsp;Private Investment Funds |  |  |  | 138038393 |
| &nbsp;&nbsp;&nbsp;Real Estate Investment Trusts |  |  |  | 43747229 |
| Total Investments |  |  |  | $571157488 |
| **Liabilities** |  |  |  |  |
| Securities Sold Short |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Common Stocks\* | $278139 | $- | $- | $279139 |
| Total Securities Sold Short | $278139 | $- | $- | $278139 |

---

\* All exchange-traded debt securities, units and common stocks held short in the Fund are Level 1 securities. For a detailed break-out of exchange-traded debt securities, units and common stocks held short by major industry classification, please refer to the Schedule of Investments.

\*\* All corporate bonds held in the Fund are Level 2 securities. For a detailed break-out of corporate bonds by major industry classification, please refer to the Schedule of Investments.

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** First Trust Alternative Opportunities Fund

- **b. Investment Company Act file number:** 811-23179

- **c. CIK number of Registrant:** 0001681717

- **d. LEI of Registrant:** 549300T1OQVTYVCDS341

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

  - **Street Address 1:** 235 WEST GALENA STREET

  - **City:** MILWAUKEE

  - **State:** WI

  - **Foreign country:** US

  - **Zip / Postal Code:** 532123948

  - **Telephone number:** 4142992000

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

- **a. Name of Series:** First Trust Alternative Opportunities Fund

- **c. LEI of Series:** 549300LX6NJ5X7I27V82

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

- **a. Date of fiscal year-end:** 2023-03-31

- **b. Date as of which information is reported:** 2022-12-31

**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:** $574162690.56

**Total Liabilities:** $1133267.00

**Net Assets:** $573029423.56

**Cash Not Reported:** $1651377.71

**Currency Risk Metrics (dv01):**

- 

**Credit Spread Risk - Investment Grade (dv01):**

- **3-Month:** 0.000000000000 | **1-Year:** 5.134326348120 | **5-Year:** 196.281068627466 | **10-Year:** 105.473381459477 | **30-Year:** 2213.309273003937

**Credit Spread Risk - Non-Investment Grade (dv01):**

- **3-Month:** 0.000000000000 | **1-Year:** 100.742460504263 | **5-Year:** 5063.461921423242 | **10-Year:** 14250.965986930370 | **30-Year:** 7106.373831658127

**Monthly Return Information**

| Class        | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID N/A | 0.12%                | 0.30%                | 0.07%                |
| Class ID N/A | 0.19%                | 0.38%                | 0.15%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-371332.68              | $-3340731.58                               |
| Month 2  | $-226943.04              | $3015019.05                                |
| Month 3  | $28962.83                | $-2415800.11                               |

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| INTERPRIVATE III FINANCIAL-A                                      | InterPrivate III Financial Partners, Inc.                            | CUSIP: 46064R114<br>LEI: N/A                  | N/A              | DE               | CORP              | US        |        59 | NC      | $3.98         | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| Intelligent Medicine Acquisiti                                    | Intelligent Medicine Acquisition Corp.                               | CUSIP: 45828D205<br>LEI: N/A                  | Long             |  | CORP              | US        |       211 | NS      | $2162.75      | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| iRobot Corp                                                       | iRobot Corp.                                                         | CUSIP: 462726100<br>LEI: 5493009PRNKOUKBAT390 | Long             | EC               | CORP              | US        |      3022 | NS      | $145448.86    | 0.03%             |  |  |  | No            | 1                  | On Loan: No      |
| Integrated Rail and Resources                                     | Integrated Rail and Resources Acquisition Corp. - Class A            | CUSIP: 45827R106<br>LEI: 549300G3080C4RIDLA64 | Long             | EC               | CORP              | US        |      1962 | NS      | $19914.30     | 0.00%             |  |  |  | No            | 3                  | On Loan: No      |
| INTEGRATED RAIL AND -CLASS A                                      | Integrated Rail and Resources Acquisition Corp.                      | CUSIP: 45827R114<br>LEI: 549300G3080C4RIDLA64 | N/A              | DE               | CORP              | US        |       981 | NC      | $137.34       | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| Swiftmerge Acquisition Corp                                       | Swiftmerge Acquisition Corp.                                         | CUSIP: G63836129<br>LEI: N/A                  | Long             |  | CORP              | CA        |      1763 | NS      | $17859.19     | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| Jack Creek Investment Corp                                        | Jack Creek Investment Corp. - Class A                                | CUSIP: G4989X115<br>LEI: N/A                  | Long             | EC               | CORP              | US        |       592 | NS      | $5996.96      | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| JACK CREEK INVESTMENT C-CL A                                      | Jack Creek Investment Corp.                                          | CUSIP: G4989X123<br>LEI: N/A                  | N/A              | DE               | CORP              | US        |       296 | NC      | $62.19        | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| Jaws Juggernaut Acquisition Co                                    | Jaws Juggernaut Acquisition Corp. - Class A                          | CUSIP: G50735102<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     56469 | NS      | $567513.45    | 0.10%             |  |  |  | No            | 1                  | On Loan: No      |
| JUPITER WELLNESS ACQUISITION C                                    | JUPITER WELLNESS ACQUISITION Corp. - Class A                         | CUSIP: 48208E108<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      1241 | NS      | $12968.45     | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| JUPITER WELLNESS ACQUISITION C                                    | JUPITER WELLNESS ACQUISITION Corp.                                   | CUSIP: 48208E116<br>LEI: N/A                  | N/A              | DE               | CORP              | US        |      1241 | NC      | $62.17        | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| Jaws Mustang Acquisition Corp                                     | Jaws Mustang Acquisition Corp. - Class A                             | CUSIP: G50737108<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     93112 | NS      | $940896.76    | 0.16%             |  |  |  | No            | 1                  | On Loan: No      |
| Jaws Mustang Acquisition Corp                                     | Jaws Mustang Acquisition Corp.                                       | CUSIP: G50737116<br>LEI: N/A                  | Long             |  | CORP              | US        |         2 | NS      | $20.24        | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| JAWS MUSTANG ACQUISITION C-A                                      | Jaws Mustang Acquisition Corp.                                       | CUSIP: G50737124<br>LEI: N/A                  | N/A              | DE               | CORP              | US        |     23278 | NC      | $1513.07      | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| Kairous Acquisition Corp ltd                                      | Kairous Acquisition Corp. Ltd.                                       | CUSIP: G52131110<br>LEI: N/A                  | Long             | EC               | CORP              | MY        |      1748 | NS      | $18074.32     | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| Kairous Acquisition Corp ltd                                      | Kairous Acquisition Corp. Ltd.                                       | CUSIP: G52131136<br>LEI: N/A                  | N/A              | DE               | CORP              | MY        |      1748 | NC      | $228.99       | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| KAIROUS ACQUISITION CORP LTD                                      | Kairous Acquisition Corp. Ltd.                                       | CUSIP: G52131128<br>LEI: N/A                  | N/A              | DE               | CORP              | US        |       874 | NC      | $65.55        | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| Kairos Acquisition Corp                                           | Kairos Acquisition Corp. - Class A                                   | CUSIP: G52110114<br>LEI: N/A                  | Long             | EC               | CORP              | US        |       562 | NS      | $5664.96      | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| KAIROS ACQUISITION CORP-A                                         | Kairos Acquisition Corp.                                             | CUSIP: G52110106<br>LEI: N/A                  | N/A              | DE               | CORP              | US        |       281 | NC      | $0.03         | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| KINS TECHNOLOGY GROUP INC-A                                       | KINS Technology Group, Inc.                                          | CUSIP: 49714K117<br>LEI: N/A                  | N/A              | DE               | CORP              | US        |       341 | NC      | $10.26        | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| Kadem Sustainable Impact Corp                                     | Kadem Sustainable Impact Corp. - Class A                             | CUSIP: 48284E105<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     61108 | NS      | $612913.24    | 0.11%             |  |  |  | No            | 1                  | On Loan: No      |
| KADEM SUSTAINABLE IMPAC-CL A                                      | Kadem Sustainable Impact Corp.                                       | CUSIP: 48284E113<br>LEI: N/A                  | N/A              | DE               | CORP              | US        |       868 | NC      | $8.94         | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| Khosla Ventures Acquisition Co                                    | Khosla Ventures Acquisition Co. III - Class A                        | CUSIP: 482506102<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      1069 | NS      | $10641.90     | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| KINGSWOOD ACQUISITION CORP-A                                      | Kingswood Acquisition Corp.                                          | CUSIP: 496861113<br>LEI: N/A                  | N/A              | DE               | CORP              | US        |       870 | NC      | $34.10        | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| Lakeshore Acquisition II Corp                                     | Lakeshore Acquisition II Corp.                                       | CUSIP: G5352N105<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     55746 | NS      | $567494.28    | 0.10%             |  |  |  | No            | 1                  | On Loan: No      |
| Lakeshore Acquisition II Corp                                     | Lakeshore Acquisition II Corp.                                       | CUSIP: G5352N113<br>LEI: N/A                  | N/A              | DE               | CORP              | US        |     55746 | NC      | $8361.90      | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| LAKESHORE ACQUISITION II COR                                      | Lakeshore Acquisition II Corp.                                       | CUSIP: G5352N121<br>LEI: N/A                  | N/A              | DE               | CORP              | US        |     27873 | NC      | $836.19       | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| Learn CW Investment Corp                                          | Learn CW Investment Corp. - Class A                                  | CUSIP: G54157105<br>LEI: N/A                  | Long             | EC               | CORP              | US        |       584 | NS      | $5898.40      | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| LEARN CW INVESTMENT CORP-A                                        | Learn CW Investment Corp.                                            | CUSIP: G54157113<br>LEI: N/A                  | N/A              | DE               | CORP              | US        |       292 | NC      | $15.42        | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| LDH Growth Corp I                                                 | LDH Growth Corp. I                                                   | CUSIP: G54094118<br>LEI: N/A                  | Long             |  | CORP              | US        |     37490 | NS      | $365902.40    | 0.06%             |  |  |  | No            | 1                  | On Loan: No      |
| LF Capital Acquisition Corp II                                    | LF Capital Acquisition Corp. II                                      | CUSIP: 50202D102<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      1052 | NS      | $10793.52     | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| LF CAPITAL ACQUISITION -CLA                                       | LF Capital Acquisition Corp. II                                      | CUSIP: 50202D110<br>LEI: N/A                  | N/A              | DE               | CORP              | US        |       526 | NC      | $5.26         | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| Semper Paratus Acquisition Cor                                    | Semper Paratus Acquisition Corp.                                     | CUSIP: G8028L123<br>LEI: 549300AC21G4NBK9D322 | Long             |  | CORP              | US        |       212 | NS      | $2183.60      | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| Monroe Capital MML CLO X LLC                                      | Monroe Capital Mml Clo X Ltd.                                        | CUSIP: 61034UAL9<br>LEI: 254900N1X9F88IDW7908 | Long             | ABS-CBDO         | CORP              | US        |    400000 | PA      | $354694.40    | 0.06%             | 2034-05-20      | Floating      | 13.03%                | Yes           | 2                  | On Loan: No      |
| Legato Merger Corp II                                             | Legato Merger Corp. II                                               | CUSIP: 52473Y104<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      2510 | NS      | $25401.20     | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| LEGATO MERGER CORP II                                             | Legato Merger Corp. II                                               | CUSIP: 52473Y112<br>LEI: N/A                  | N/A              | DE               | CORP              | US        |      1255 | NC      | $550.95       | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| Mosaic Solar Loans LLC                                            | Mosaic Solar Loan Trust 2019-1                                       | CUSIP: 61946CAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     46866 | PA      | $41791.85     | 0.01%             | 2043-12-21      | Fixed         | 0.00%                 | Yes           | 2                  | On Loan: No      |
| Mount Logan Funding LP                                            | Mount Logan Funding 2018-1 LP                                        | CUSIP: 62188AAC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  16084782 | PA      | $10372945.63  | 1.81%             | 2033-01-22      | Variable      | 0.00%                 | Yes           | 2                  | On Loan: No      |
| LONGVIEW ACQUISITION CORP -A                                      | Longview Acquisition Corp. II                                        | CUSIP: 54319Q113<br>LEI: 549300KFRIOC6K28E041 | N/A              | DE               | CORP              | US        |      8480 | NC      | $0.00         | 0.00%             |  |  |  | No            | 3                  | On Loan: No      |
| LAMF Global Ventures Corp I                                       | LAMF Global Ventures Corp. I                                         | CUSIP: G5338L108<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      2764 | NS      | $28331.00     | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| New Residential Mortgage Loan                                     | New Residential Mortgage Loan Trust 2019-1                           | CUSIP: 64830CBZ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    219240 | PA      | $185866.07    | 0.03%             | 2057-09-25      | Variable      | 3.18%                 | Yes           | 2                  | On Loan: No      |
| New Residential Mortgage Loan                                     | New Residential Mortgage Loan Trust 2022-NQM1                        | CUSIP: 64830JAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    250000 | PA      | $164269.75    | 0.03%             | 2061-04-25      | Variable      | 3.60%                 | Yes           | 2                  | On Loan: No      |
| LAMF GLOBAL VENTURES CORP I                                       | LAMF Global Ventures Corp. I                                         | CUSIP: G5338L124<br>LEI: N/A                  | N/A              | DE               | CORP              | US        |      1382 | NC      | $110.56       | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| LHC Group Inc                                                     | LHC Group, Inc.                                                      | CUSIP: 50187A107<br>LEI: 5299009NPLWAMRQYZX73 | Long             | EC               | CORP              | US        |       934 | NS      | $151018.46    | 0.03%             |  |  |  | No            | 1                  | On Loan: No      |
| Nomura Asset Acceptance Corpor                                    | Nomura Asset Acceptance Corp. Alternative Loan Trust Series 2006-AP1 | CUSIP: 65535VSK5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    325245 | PA      | $100496.66    | 0.02%             | 2036-01-25      | Variable      | 5.65%                 | No            | 2                  | On Loan: No      |
| Oportun Funding LLC                                               | Oportun Issuance Trust 2022-3                                        | CUSIP: 68378NAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    200000 | PA      | $188139.80    | 0.03%             | 2031-06-09      | Fixed         | 7.40%                 | Yes           | 2                  | On Loan: No      |
| LINDEN INVESTORS LP    /                                          | LINDEN INVESTORS LP    /                                             | CUSIP: 999999999<br>LEI: N/A                  | Long             | EC               | RF                | US        |         1 | NS      | $11272008.39  | 1.97%             |  |  |  | Yes           | N/A                | On Loan: No      |
| Lionheart III Corp                                                | Lionheart III Corp. - Class A                                        | CUSIP: 536262108<br>LEI: 549300FOQIPVJ7BSVU47 | Long             | EC               | CORP              | US        |      3396 | NS      | $34707.12     | 0.01%             |  |  |  | No            | 1                  | On Loan: No      |
| Preston Ridge Partners Mortgag                                    | PRPM 2021-3 LLC                                                      | CUSIP: 69357PAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    244179 | PA      | $219206.19    | 0.04%             | 2026-04-25      | Variable      | 1.87%                 | Yes           | 2                  | On Loan: No      |
| Preston Ridge Partners Mortgag                                    | PRPM 2020-6 LLC                                                      | CUSIP: 693587AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    266842 | PA      | $248149.67    | 0.04%             | 2025-11-25      | Variable      | 2.36%                 | Yes           | 2                  | On Loan: No      |
| LIONHEART III CORP -CLASS A                                       | Lionheart III Corp.                                                  | CUSIP: 536262116<br>LEI: 549300FOQIPVJ7BSVU47 | N/A              | DE               | CORP              | US        |      1698 | NC      | $44.15        | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| Live Oak Mobility Acquisition                                     | Live Oak Mobility Acquisition Corp. - Class A                        | CUSIP: 538126103<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     61047 | NS      | $613827.59    | 0.11%             |  |  |  | No            | 1                  | On Loan: No      |
| Levere Holdings Corp                                              | Levere Holdings Corp. - Class A                                      | CUSIP: G5462L106<br>LEI: N/A                  | Long             | EC               | CORP              | KY        |      2508 | NS      | $25305.72     | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| LEVERE HOLDINGS CORP-A                                            | Levere Holdings Corp.                                                | CUSIP: G5462L122<br>LEI: N/A                  | N/A              | DE               | CORP              | US        |       836 | NC      | $9.20         | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| Pagaya AI Debt Selection Trust                                    | Pagaya AI Debt Trust 2022-1                                          | CUSIP: 69546MAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    199974 | PA      | $166632.16    | 0.03%             | 2029-10-15      | Fixed         | 4.89%                 | Yes           | 2                  | On Loan: No      |
| Pagaya AI Debt Selection Trust                                    | PAGAYA AI Debt Trust 2022-3                                          | CUSIP: 69547MAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    300000 | PA      | $298769.10    | 0.05%             | 2030-03-15      | Fixed         | 8.05%                 | Yes           | 2                  | On Loan: No      |
| Moringa Acquisition Corp                                          | Moringa Acquisition Corp. - Class A                                  | CUSIP: G6S23K108<br>LEI: N/A                  | Long             | EC               | CORP              | US        |       284 | NS      | $2874.08      | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| MORINGA ACQUISITION CORP -A                                       | Moringa Acquisition Corp.                                            | CUSIP: G6S23K124<br>LEI: N/A                  | N/A              | DE               | CORP              | US        |       142 | NC      | $13.63        | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| Palmer Square Loan Funding Ltd                                    | Palmer Square Loan Funding 2019-4 Ltd.                               | CUSIP: 69689JAC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1500000 | PA      | $231150.00    | 0.04%             | 2027-10-24      | Variable      | 0.00%                 | Yes           | 2                  | On Loan: No      |
| Palmer Square Loan Funding Ltd                                    | Palmer Square Loan Funding 2019-3 Ltd.                               | CUSIP: 69689NAE2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $70300.00     | 0.01%             | 2027-08-20      | Variable      | 0.00%                 | Yes           | 2                  | On Loan: No      |
| MAQUIA CAPITAL ACQUISITION-A                                      | Maquia Capital Acquisition Corp.                                     | CUSIP: 56564V119<br>LEI: N/A                  | N/A              | DE               | CORP              | US        |       479 | NC      | $17.24        | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| M3-Brigade Acquisition III Cor                                    | M3-Brigade Acquisition III Corp. - Class A                           | CUSIP: 55407R103<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      1182 | NS      | $11985.48     | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| M3-BRIGADE ACQUISITION -CL A                                      | M3-Brigade Acquisition III Corp.                                     | CUSIP: 55407R111<br>LEI: N/A                  | N/A              | DE               | CORP              | US        |       394 | NC      | $157.60       | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| Nocturne Acquisition Corp                                         | Nocturne Acquisition Corp.                                           | CUSIP: G6580S114<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      2282 | NS      | $24371.76     | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| Nocturne Acquisition Corp                                         | Nocturne Acquisition Corp.                                           | CUSIP: G6580S106<br>LEI: N/A                  | N/A              | DE               | CORP              | US        |      2282 | NC      | $126.65       | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| Mountain Crest Acquisition Cor                                    | Mountain Crest Acquisition Corp. III                                 | CUSIP: 62402U107<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      2885 | NS      | $29225.05     | 0.01%             |  |  |  | No            | 1                  | On Loan: No      |
| Palmer Square Loan Funding Ltd                                    | Palmer Square Loan Funding 2022-3 Ltd.                               | CUSIP: 696923AC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   6250000 | PA      | $6176670.00   | 1.08%             | 2031-04-15      | Variable      | 0.00%                 | Yes           | 2                  | On Loan: No      |
| Palmer Square Loan Funding Ltd                                    | Palmer Square Loan Funding 2019-1 Ltd.                               | CUSIP: 69700RAC2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $0.00         | 0.00%             | 2027-04-20      | Variable      | 0.00%                 | Yes           | 3                  | On Loan: No      |
| Mountain Crest Acquisition Cor                                    | Mountain Crest Acquisition Corp. III                                 | CUSIP: 62402U115<br>LEI: N/A                  | N/A              | DE               | CORP              | US        |      2885 | NC      | $230.80       | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| Mountain Crest Acquisition Cor                                    | Mountain Crest Acquisition Corp. V                                   | CUSIP: 62404B107<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      1689 | NS      | $16890.00     | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| Palmer Square Loan Funding Ltd                                    | Palmer Square Loan Funding 2020-1 Ltd.                               | CUSIP: 69701DAC2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1250000 | PA      | $813341.25    | 0.14%             | 2028-02-20      | Variable      | 0.00%                 | Yes           | 2                  | On Loan: No      |
| Palmer Square Loan Funding Ltd                                    | Palmer Square Loan Funding 2020-2 Ltd.                               | CUSIP: 69701GAC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    650000 | PA      | $31720.00     | 0.01%             | 2028-04-20      | Variable      | 0.00%                 | Yes           | 2                  | On Loan: No      |
| Mountain Crest Acquisition Cor                                    | Mountain Crest Acquisition Corp. V                                   | CUSIP: 62404B115<br>LEI: N/A                  | N/A              | DE               | CORP              | US        |      1689 | NC      | $280.54       | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| MDH Acquisition Corp                                              | MDH Acquisition Corp. - Class A                                      | CUSIP: 55283P106<br>LEI: N/A                  | Long             | EC               | CORP              | US        |       950 | NS      | $9576.00      | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| Palmer Square Loan Funding Ltd                                    | Palmer Square Loan Funding 2020-3 Ltd.                               | CUSIP: 69701MAC2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1250000 | PA      | $0.00         | 0.00%             | 2028-07-20      | Variable      | 0.00%                 | Yes           | 3                  | On Loan: No      |
| Palmer Square Loan Funding Ltd                                    | Palmer Square Loan Funding 2020-4 Ltd.                               | CUSIP: 69701QAE9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2250000 | PA      | $1370693.93   | 0.24%             | 2028-11-25      | Variable      | 0.00%                 | Yes           | 2                  | On Loan: No      |
| MoneyGram International Inc                                       | MoneyGram International, Inc.                                        | CUSIP: 60935Y208<br>LEI: 5299002DLX0Q04KC4156 | Long             | EC               | CORP              | US        |      2901 | NS      | $31591.89     | 0.01%             |  |  |  | No            | 1                  | On Loan: No      |
| MALACCA STRAITS ACQUISI-CL A                                      | Malacca Straits Acquisition Co., Ltd.                                | CUSIP: G5859B109<br>LEI: N/A                  | N/A              | DE               | CORP              | US        |       314 | NC      | $6.28         | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| Palmer Square Loan Funding Ltd                                    | Palmer Square Loan Funding 2021-1 Ltd.                               | CUSIP: 69701VAC2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1250000 | PA      | $737372.38    | 0.13%             | 2029-04-20      | Variable      | 0.00%                 | Yes           | 2                  | On Loan: No      |
| Palmer Square Loan Funding Ltd                                    | Palmer Square Loan Funding 2021-3 Ltd.                               | CUSIP: 69702CAE9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1500000 | PA      | $885951.15    | 0.15%             | 2029-07-20      | Variable      | 0.00%                 | Yes           | 2                  | On Loan: No      |
| McLaren Technology Acquisition                                    | McLaren Technology Acquisition Corp. - Class A                       | CUSIP: 58176U109<br>LEI: N/A                  | Long             | EC               | CORP              | US        |       426 | NS      | $4349.46      | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| MCLAREN TECHNOLOGY ACQ-A                                          | McLaren Technology Acquisition Corp.                                 | CUSIP: 58176U117<br>LEI: N/A                  | N/A              | DE               | CORP              | US        |       213 | NC      | $1.04         | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| Palmer Square Loan Funding Ltd                                    | Palmer Square Loan Funding 2021-2 Ltd.                               | CUSIP: 69702FAE2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2150000 | PA      | $1169311.04   | 0.20%             | 2029-05-20      | Variable      | 0.00%                 | Yes           | 2                  | On Loan: No      |
| Palmer Square Loan Funding Ltd                                    | Palmer Square Loan Funding 2021-4 Ltd.                               | CUSIP: 69702JAE4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3100000 | PA      | $1906111.88   | 0.33%             | 2029-10-15      | Variable      | 0.00%                 | Yes           | 2                  | On Loan: No      |
| MicroAlgo Inc                                                     | MicroAlgo, Inc.                                                      | CUSIP: G6077Y103<br>LEI: N/A                  | Long             | EC               | CORP              | CN        |        50 | NS      | $62.50        | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| Everest Consolidator Acquisiti                                    | Everest Consolidator Acquisition Corp.                               | CUSIP: 29978K102<br>LEI: N/A                  | Long             | EC               | CORP              | US        |       920 | NS      | $9411.60      | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| EVEREST CONSOLIDATOR ACQUISI                                      | Everest Consolidator Acquisition Corp.                               | CUSIP: 29978K110<br>LEI: N/A                  | N/A              | DE               | CORP              | US        |       460 | NC      | $6.95         | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| Model Performance Acquisition                                     | Model Performance Acquisition Corp.                                  | CUSIP: G6246M121<br>LEI: N/A                  | N/A              | DE               | CORP              | HK        |      2530 | NC      | $1366.20      | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| Palmer Square Loan Funding Ltd                                    | Palmer Square Loan Funding 2022-2 Ltd.                               | CUSIP: 69702KAC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   6000000 | PA      | $4461108.00   | 0.78%             | 2030-10-15      | Variable      | 0.00%                 | Yes           | 2                  | On Loan: No      |
| Palmer Square Loan Funding Ltd                                    | Palmer Square Loan Funding Ltd.                                      | CUSIP: 69702LAF6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   5235000 | PA      | $3436094.33   | 0.60%             | 2030-04-15      | Variable      | 0.00%                 | No            | 2                  | On Loan: No      |
| Palmer Square Loan Funding Ltd                                    | Palmer Square Loan Funding 2022-5 Ltd.                               | CUSIP: 69702RAB2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2500000 | PA      | $2247826.50   | 0.39%             | 2031-01-15      | Floating      | 8.76%                 | No            | 2                  | On Loan: No      |
| Palmer Square Loan Funding Ltd                                    | Palmer Square Loan Funding 2022-5 Ltd.                               | CUSIP: 69702RAD8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1250000 | PA      | $1250000.00   | 0.22%             | 2031-01-15      | Variable      | 0.00%                 | No            | 2                  | On Loan: No      |
| MODEL PERFORMANCE ACQUISIT-A                                      | Model Performance Acquisition Corp.                                  | CUSIP: G6246M139<br>LEI: N/A                  | N/A              | DE               | CORP              | US        |      1265 | NC      | $196.08       | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| Mercato Partners Acquisition C                                    | Mercato Partners Acquisition Corp. - Class A                         | CUSIP: 58759A108<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      2122 | NS      | $21686.84     | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| PENNANTPARK FLOATING RAT                                          | PennantPark Floating Rate Capital Ltd.                               | CUSIP: 70806AAA4<br>LEI: 529900BH3IP6381K4L72 | Long             | DBT              | CORP              | US        |    200000 | PA      | $174689.60    | 0.03%             | 2026-04-01      | Fixed         | 4.25%                 | No            | 2                  | On Loan: No      |
| Pretium Mortgage Credit Partne                                    | PRET 2021-NPL5 LLC                                                   | CUSIP: 74143KAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    281594 | PA      | $256148.69    | 0.04%             | 2051-10-25      | Variable      | 2.49%                 | Yes           | 2                  | On Loan: No      |
| POMONA INVESTMENT LP AT COST   /                                  | POMONA INVESTMENT LP AT COST   /                                     | CUSIP: 999999999<br>LEI: N/A                  | Long             | EC               | RF                | US        |         1 | NS      | $2000000.00   | 0.35%             |  |  |  | Yes           | N/A                | On Loan: No      |
| POMONA INVESTMENT FD    /                                         | POMONA INVESTMENT FD    /                                            | CUSIP: 732125208<br>LEI: N/A                  | Long             | EC               | RF                | US        |   1026855 | NS      | $15009432.67  | 2.62%             |  |  |  | Yes           | N/A                | On Loan: No      |
| Residential Accredit Loans, In                                    | RALI Series 2006-QA10 Trust                                          | CUSIP: 74922NAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     71732 | PA      | $57053.83     | 0.01%             | 2036-12-25      | Floating      | 4.76%                 | No            | 2                  | On Loan: No      |
| Radnor Re LTD                                                     | Radnor RE 2020-1 Ltd.                                                | CUSIP: 750493AD0<br>LEI: 254900YVLP8CB4GC2O97 | Long             | ABS-MBS          | CORP              | BM        |    150000 | PA      | $141954.45    | 0.02%             | 2030-01-25      | Floating      | 6.39%                 | Yes           | 2                  | On Loan: No      |
| Radnor Re LTD                                                     | Radnor RE 2021-2 Ltd.                                                | CUSIP: 75049GAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | BM        |    250000 | PA      | $236420.00    | 0.04%             | 2031-11-25      | Floating      | 7.63%                 | Yes           | 2                  | On Loan: No      |
| Radnor Re LTD                                                     | Radnor RE 2021-2 Ltd.                                                | CUSIP: 75049GAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | BM        |    250000 | PA      | $219064.50    | 0.04%             | 2031-11-25      | Floating      | 8.93%                 | Yes           | 2                  | On Loan: No      |
| Radnor Re LTD                                                     | Radnor RE 2022-1 Ltd.                                                | CUSIP: 75049XAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    300000 | PA      | $287979.00    | 0.05%             | 2032-09-25      | Floating      | 10.68%                | Yes           | 2                  | On Loan: No      |
| Radnor Re LTD                                                     | Radnor RE 2021-1 Ltd.                                                | CUSIP: 75279YAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | BM        |    175000 | PA      | $166491.85    | 0.03%             | 2033-12-27      | Floating      | 6.63%                 | Yes           | 2                  | On Loan: No      |
| Southport Acquisition Corp                                        | Southport Acquisition Corp.                                          | CUSIP: 84465L204<br>LEI: N/A                  | Long             |  | CORP              | US        |      1763 | NS      | $17859.19     | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| Papaya Growth Opportunity Corp                                    | Papaya Growth Opportunity Corp. I                                    | CUSIP: 69882P201<br>LEI: 549300U6L3FU6EKJUM40 | Long             |  | CORP              | US        |      1045 | NS      | $10659.00     | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| PREMIER BRANDS TERM LOAN   /                                      | PREMIER BRANDS TERM LOAN   /                                         | CUSIP: 999999999<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    236284 | PA      | $226832.59    | 0.04%             | 2024-03-20      | None          | 9.12%                 | No            | 3                  | On Loan: No      |
| PRENETICS GLOBAL LTD-CL A                                         | Prenetics Global Ltd.                                                | CUSIP: G72245114<br>LEI: N/A                  | N/A              | DE               | CORP              | KY        |       479 | NC      | $76.64        | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| Rate Mortgage Trust                                               | Rate Mortgage Trust 2022-J1                                          | CUSIP: 75410RDK9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    632000 | PA      | $222640.33    | 0.04%             | 2052-01-25      | Variable      | 2.75%                 | Yes           | 2                  | On Loan: No      |
| Rate Mortgage Trust                                               | Rate Mortgage Trust 2022-J1                                          | CUSIP: 75410RDL7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1100000 | PA      | $222692.80    | 0.04%             | 2052-01-25      | Variable      | 2.75%                 | Yes           | 2                  | On Loan: No      |
| ADVANTAGE CAP HLDGS WARRANTS   /                                  | ADVANTAGE CAP HLDGS WARRANTS   /                                     | CUSIP: 999999999<br>LEI: N/A                  | N/A              | DE               | CORP              | US        |       274 | NC      | $594837.56    | 0.10%             |  |  |  | No            | 3                  | On Loan: No      |
| CC Neuberger Principal Holding                                    | CC Neuberger Principal Holdings III - Class A                        | CUSIP: G1992N100<br>LEI: N/A                  | Long             | EC               | CORP              | US        |       585 | NS      | $5908.50      | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| CC NEUBERGER PRINCIPAL III-A                                      | CC Neuberger Principal Holdings III                                  | CUSIP: G1992N126<br>LEI: N/A                  | N/A              | DE               | CORP              | US        |       117 | NC      | $5.90         | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| PRESTO AUTOMATION INC                                             | Presto Automation, Inc.                                              | CUSIP: 74113T113<br>LEI: N/A                  | N/A              | DE               | CORP              | US        |      1990 | NC      | $75.62        | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| Residential Accredit Loans, In                                    | RALI Series 2006-QS2 Trust                                           | CUSIP: 761118UQ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    170898 | PA      | $134610.65    | 0.02%             | 2036-02-25      | Fixed         | 5.50%                 | No            | 2                  | On Loan: No      |
| Residential Mortgage Loan Trus                                    | Residential Mortgage Loan Trust 2020-1                               | CUSIP: 76119CAF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    340000 | PA      | $239929.84    | 0.04%             | 2060-01-26      | Variable      | 4.67%                 | Yes           | 2                  | On Loan: No      |
| Property Solutions Acquisition                                    | Property Solutions Acquisition Corp. II - Class A                    | CUSIP: 74350A108<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      3276 | NS      | $33087.60     | 0.01%             |  |  |  | No            | 3                  | On Loan: No      |
| Atlantic Coastal Acquisition C                                    | Atlantic Coastal Acquisition Corp. II                                | CUSIP: 04845A207<br>LEI: N/A                  | Long             |  | CORP              | US        |      1045 | NS      | $10638.10     | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| BCP SPECIAL OPPORT LP   /                                         | BCP SPECIAL OPPORT LP   /                                            | CUSIP: 999999999<br>LEI: N/A                  | Long             | EC               | RF                | US        |      1229 | NS      | $4222685.18   | 0.74%             |  |  |  | No            | 3                  | On Loan: No      |
| ADVANTAGE CAPITAL TL 04/14/2027   /                               | ADVANTAGE CAPITAL TL 04/14/2027   /                                  | CUSIP: 999999999<br>LEI: N/A                  | Long             | LON              | CORP              | US        |   2546147 | PA      | $2453976.65   | 0.43%             | 2027-04-14      | Variable      | 12.00%                | No            | 3                  | On Loan: No      |
| Ace Global Business Acquisitio                                    | Ace Global Business Acquisition Ltd.                                 | CUSIP: G0083E102<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      1456 | NS      | $15462.72     | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| ACE GLOBAL BUSINESS ACQUISIT                                      | Ace Global Business Acquisition Ltd.                                 | CUSIP: G0083E110<br>LEI: N/A                  | N/A              | DE               | CORP              | US        |      1456 | NC      | $45.28        | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| ARISZ ACQUISITION CORP                                            | Arisz Acquisition Corp.                                              | CUSIP: 040450116<br>LEI: N/A                  | N/A              | DE               | CORP              | US        |      1050 | NC      | $15.33        | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| Arrowroot Acquisition Corp                                        | Arrowroot Acquisition Corp. - Class A                                | CUSIP: 04282M102<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     25000 | NS      | $251250.00    | 0.04%             |  |  |  | No            | 1                  | On Loan: No      |
| Edoc Acquisition Corp                                             | Edoc Acquisition Corp.                                               | CUSIP: G4000A136<br>LEI: N/A                  | N/A              | DE               | CORP              | US        |       923 | NC      | $57.23        | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| EDOC ACQUISITION CORP-CL A                                        | Edoc Acquisition Corp.                                               | CUSIP: G4000A110<br>LEI: N/A                  | N/A              | DE               | CORP              | US        |       923 | NC      | $18.46        | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| Ault Disruptive Technologies C                                    | Ault Disruptive Technologies Corp.                                   | CUSIP: 05150A203<br>LEI: N/A                  | Long             |  | CORP              | US        |      1182 | NS      | $12127.32     | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| AltEnergy Acquisition Corp                                        | AltEnergy Acquisition Corp. - Class A                                | CUSIP: 02157M108<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      1466 | NS      | $14997.18     | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| Astrea Acquisition Corp                                           | Astrea Acquisition Corp. - Class A                                   | CUSIP: 04637C106<br>LEI: N/A                  | Long             | EC               | CORP              | US        |       568 | NS      | $5736.80      | 0.00%             |  |  |  | No            | 3                  | On Loan: No      |
| Alphatime Acquisition Corp                                        | Alphatime Acquisition Corp.                                          | CUSIP: G0223V113<br>LEI: N/A                  | Long             |  | CORP              | US        |     19429 | NS      | $196427.19    | 0.03%             |  |  |  | No            | 1                  | On Loan: No      |
| ALTENERGY ACQUISITION CORP-A                                      | AltEnergy Acquisition Corp.                                          | CUSIP: 02157M116<br>LEI: N/A                  | N/A              | DE               | CORP              | US        |       733 | NC      | $75.50        | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| AF Acquisition Corp                                               | AF Acquisition Corp. - Class A                                       | CUSIP: 001040104<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      2667 | NS      | $26936.70     | 0.00%             |  |  |  | No            | 3                  | On Loan: No      |
| AlphaVest Acquisition Corp                                        | AlphaVest Acquisition Corp.                                          | CUSIP: G0283A124<br>LEI: N/A                  | Long             |  | CORP              | US        |     24475 | NS      | $247197.50    | 0.04%             |  |  |  | No            | 1                  | On Loan: No      |
| Activision Blizzard Inc                                           | Activision Blizzard, Inc.                                            | CUSIP: 00507V109<br>LEI: 549300TPQQDBP9GNOF40 | Long             | EC               | CORP              | US        |      2030 | NS      | $155396.50    | 0.03%             |  |  |  | No            | 1                  | On Loan: No      |
| Avalon Acquisition Inc                                            | Avalon Acquisition, Inc. - Class A                                   | CUSIP: 05338E101<br>LEI: 549300MQ0W8R6XMVEN12 | Long             | EC               | CORP              | US        |      2964 | NS      | $30381.00     | 0.01%             |  |  |  | No            | 1                  | On Loan: No      |
| AVALON ACQUISITION INC-A                                          | Avalon Acquisition, Inc.                                             | CUSIP: 05338E119<br>LEI: 549300MQ0W8R6XMVEN12 | N/A              | DE               | CORP              | US        |      2223 | NC      | $144.50       | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| FORAFRIC GLOBAL PLC                                               | Forafric Global PLC                                                  | CUSIP: X3R81D110<br>LEI: N/A                  | N/A              | DE               | CORP              | US        |      2109 | NC      | $1455.00      | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| African Gold Acquisition Corp                                     | African Gold Acquisition Corp. - Class A                             | CUSIP: G0112R108<br>LEI: N/A                  | Long             | EC               | CORP              | US        |        20 | NS      | $201.00       | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| Achari Ventures Holdings Corp                                     | Achari Ventures Holdings Corp. I                                     | CUSIP: 00444X101<br>LEI: 549300WXLNJWTBJTI395 | Long             | EC               | CORP              | US        |      1774 | NS      | $18822.14     | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| ACHARI VENTURES HOLDINGS COR                                      | Achari Ventures Holdings Corp. I                                     | CUSIP: 00444X119<br>LEI: 549300WXLNJWTBJTI395 | N/A              | DE               | CORP              | US        |      1774 | NC      | $88.70        | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| BAILARD REAL ESTATE LP   /                                        | BAILARD REAL ESTATE LP   /                                           | CUSIP: 999999999<br>LEI: N/A                  | Long             | EC               | RF                | US        |    686379 | NS      | $24393898.39  | 4.26%             |  |  |  | Yes           | N/A                | On Loan: No      |
| Palmer Square European CLO                                        | Palmer Square European CLO 2021-2 DAC                                | CUSIP: BCC3189J5<br>LEI: 5493008YA044FHERJ655 | Long             | ABS-CBDO         | CORP              | IE        |   2500000 | PA      | $1536653.82   | 0.27%             | 2035-04-15      | Variable      | 0.00%                 | No            | 2                  | On Loan: No      |
| AFRICAN GOLD ACQUISITION C-A                                      | African Gold Acquisition Corp.                                       | CUSIP: G0112R124<br>LEI: N/A                  | N/A              | DE               | CORP              | US        |        15 | NC      | $0.14         | 0.00%             |  |  |  | No            | 3                  | On Loan: No      |
| AGBA Group Holding Ltd                                            | AGBA Group Holding Ltd.                                              | CUSIP: G01212102<br>LEI: 5493006NA1XBERP7JE98 | Long             | EC               | CORP              | HK        |       159 | NS      | $244.40       | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| AGBA GROUP HOLDING LTD                                            | AGBA Group Holding Ltd.                                              | CUSIP: G01212110<br>LEI: 5493006NA1XBERP7JE98 | N/A              | DE               | CORP              | US        |      2247 | NC      | $69.66        | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| AIB Acquisition Corp                                              | AIB Acquisition Corp.                                                | CUSIP: G0R45S125<br>LEI: N/A                  | Long             |  | CORP              | US        |      4393 | NS      | $43666.42     | 0.01%             |  |  |  | No            | 1                  | On Loan: No      |
| Palmer Square European Loan Fu                                    | Palmer Square European Loan Funding 2022-1 DAC                       | CUSIP: BCC351L78<br>LEI: 549300OGFKGCPL337N48 | Long             | ABS-CBDO         | CORP              | IE        |   2975000 | PA      | $2026238.36   | 0.35%             | 2031-10-15      | Variable      | 0.00%                 | No            | 2                  | On Loan: No      |
| Palmer Square European Loan Fu                                    | Palmer Square European Loan Funding 2022-2 DAC                       | CUSIP: BCC35PCK6<br>LEI: 549300X0Z2PVQ7I6XX91 | Long             | ABS-CBDO         | CORP              | IE        |   4000000 | PA      | $3248680.80   | 0.57%             | 2031-10-15      | Variable      | 0.00%                 | No            | 2                  | On Loan: No      |
| Altra Industrial Motion Corp                                      | Altra Industrial Motion Corp.                                        | CUSIP: 02208R106<br>LEI: NQ0NIXPGW4YKG4MWM571 | Long             | EC               | CORP              | US        |      1562 | NS      | $93329.50     | 0.02%             |  |  |  | No            | 1                  | On Loan: No      |
| Aerojet Rocketdyne Holdings In                                    | Aerojet Rocketdyne Holdings, Inc.                                    | CUSIP: 007800105<br>LEI: 549300VULNLWHE8QWI76 | Long             | EC               | CORP              | US        |       514 | NS      | $28748.02     | 0.01%             |  |  |  | No            | 1                  | On Loan: No      |
| Palmer Square European Loan Fu                                    | Palmer Square European Loan Funding 2022-3 DAC                       | CUSIP: BCC37CLH0<br>LEI: 549300EL5O20QDEIMO98 | Long             | ABS-CBDO         | CORP              | IE        |   7500000 | PA      | $7151226.72   | 1.25%             | 2032-04-12      | Floating      | 9.32%                 | No            | 2                  | On Loan: No      |
| Palmer Square European Loan Fu                                    | Palmer Square European Loan Funding 2022-3 DAC                       | CUSIP: BCC37CLK3<br>LEI: 549300EL5O20QDEIMO98 | Long             | ABS-CBDO         | CORP              | IE        |   4000000 | PA      | $4281738.39   | 0.75%             | 2032-04-12      | Variable      | 0.00%                 | No            | 2                  | On Loan: No      |
| ALSP Orchid Acquisition Corp I                                    | ALSP Orchid Acquisition Corp. I - Class A                            | CUSIP: G0231L107<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      2330 | NS      | $23859.20     | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| ALSP ORCHID ACQUISITION-CL A                                      | ALSP Orchid Acquisition Corp. I                                      | CUSIP: G0231L123<br>LEI: N/A                  | N/A              | DE               | CORP              | US        |      1165 | NC      | $40.78        | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| LUCKY BUCKS TERM LOAN 05/29/2028   /                              | LUCKY BUCKS TERM LOAN 05/29/2028   /                                 | CUSIP: 999999999<br>LEI: N/A                  | Long             | LON              | CORP              | US        |   5482185 | PA      | $4563918.82   | 0.80%             | 2028-05-29      | Variable      | 12.50%                | No            | 3                  | On Loan: No      |
| Blockchain Coinvestors Acquisi                                    | Blockchain Coinvestors Acquisition Corp. I - Class A                 | CUSIP: G11765107<br>LEI: N/A                  | Long             | EC               | CORP              | KY        |       390 | NS      | $4013.10      | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| Alpha Star Acquisition Corp                                       | Alpha Star Acquisition Corp.                                         | CUSIP: G0230C108<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      1489 | NS      | $15277.14     | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| Alpha Star Acquisition Corp                                       | Alpha Star Acquisition Corp.                                         | CUSIP: G0230C132<br>LEI: N/A                  | N/A              | DE               | CORP              | US        |      1489 | NC      | $163.79       | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| BLOCKCHAIN COINVESTORS -CL A                                      | Blockchain Coinvestors Acquisition Corp. I                           | CUSIP: G11765115<br>LEI: N/A                  | N/A              | DE               | CORP              | US        |       195 | NC      | $9.75         | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| Battery Future Acquisition Cor                                    | Battery Future Acquisition Corp.                                     | CUSIP: G0888J116<br>LEI: N/A                  | Long             |  | CORP              | US        |      2938 | NS      | $30143.88     | 0.01%             |  |  |  | No            | 1                  | On Loan: No      |
| ALPHA STAR ACQUISITION CORP                                       | Alpha Star Acquisition Corp.                                         | CUSIP: G0230C116<br>LEI: N/A                  | N/A              | DE               | CORP              | US        |      1489 | NC      | $24.57        | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| ALTITUDE ACQUISITION CORP-A                                       | Altitude Acquisition Corp.                                           | CUSIP: 02156Y111<br>LEI: N/A                  | N/A              | DE               | CORP              | US        |        46 | NC      | $1.89         | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| Build Acquisition Corp                                            | Build Acquisition Corp. - Class A                                    | CUSIP: 12008J105<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      1722 | NS      | $17254.44     | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| BUILD ACQUISITION CORP-A                                          | Build Acquisition Corp.                                              | CUSIP: 12008J113<br>LEI: N/A                  | N/A              | DE               | CORP              | US        |       574 | NC      | $3.44         | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| AMERICAN ACQUISITION OP-CL A                                      | American Acquisition Opportunity, Inc.                               | CUSIP: 02369M110<br>LEI: N/A                  | N/A              | DE               | CORP              | US        |       862 | NC      | $17.07        | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| AMPRIUS TECHNOLOGIES INC                                          | Amprius Technologies, Inc.                                           | CUSIP: 03214Q116<br>LEI: N/A                  | N/A              | DE               | CORP              | US        |     60000 | NC      | $17406.00     | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| BioPlus Acquisition Corp                                          | BioPlus Acquisition Corp.                                            | CUSIP: G11217109<br>LEI: N/A                  | Long             |  | CORP              | US        |       824 | NS      | $8437.76      | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| Biotech Acquisition Co                                            | Biotech Acquisition Co. - Class A                                    | CUSIP: G1125A108<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      2834 | NS      | $28623.40     | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| Apeiron Capital Investment Cor                                    | Apeiron Capital Investment Corp.                                     | CUSIP: 03752A200<br>LEI: N/A                  | Long             |  | CORP              | US        |       195 | NS      | $1893.45      | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| Aquaron Acquisition Corp                                          | Aquaron Acquisition Corp.                                            | CUSIP: 03842W204<br>LEI: N/A                  | Long             |  | CORP              | US        |     19609 | NS      | $199031.35    | 0.03%             |  |  |  | No            | 1                  | On Loan: No      |
| BIOTECH ACQUISITION CO-CL A                                       | Biotech Acquisition Co.                                              | CUSIP: G1125A116<br>LEI: N/A                  | N/A              | DE               | CORP              | US        |      1417 | NC      | $90.55        | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| BJ SERVICES TERM LOAN   /                                         | BJ SERVICES TERM LOAN   /                                            | CUSIP: 999999999<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    299436 | PA      | $284464.45    | 0.05%             | 2023-01-03      | None          | 11.83%                | No            | 3                  | On Loan: No      |
| Arisz Acquisition Corp                                            | Arisz Acquisition Corp.                                              | CUSIP: 040450108<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      1050 | NS      | $10605.00     | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| Arisz Acquisition Corp                                            | Arisz Acquisition Corp.                                              | CUSIP: 040450124<br>LEI: N/A                  | N/A              | DE               | CORP              | US        |      1050 | NC      | $94.50        | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| BRILLIANT ACQUISITION CORP                                        | Brilliant Acquisition Corp.                                          | CUSIP: G1643W129<br>LEI: N/A                  | N/A              | DE               | CORP              | US        |       389 | NC      | $3.89         | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| Blue Safari Group Acquisition                                     | Blue Safari Group Acquisition Corp. - Class A                        | CUSIP: G1195R106<br>LEI: N/A                  | Long             | EC               | CORP              | HK        |      2874 | NS      | $30062.04     | 0.01%             |  |  |  | No            | 1                  | On Loan: No      |
| Blue Safari Group Acquisition                                     | Blue Safari Group Acquisition Corp.                                  | CUSIP: G1195R130<br>LEI: N/A                  | N/A              | DE               | CORP              | HK        |      2874 | NC      | $273.03       | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| BETTER WORLD ACQUISITION COR                                      | Better World Acquisition Corp.                                       | CUSIP: 08772B112<br>LEI: N/A                  | N/A              | DE               | CORP              | US        |      1658 | NC      | $163.31       | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| Cliffwater Corporate Lending F                                    | Cliffwater Corporate Lending Fund - Class I                          | CUSIP: 186854204<br>LEI: 549300H513RTF4I5T758 | Long             |  | RF                | US        |   2086615 | NS      | $21763391.14  | 3.80%             |  |  |  | No            | 1                  | On Loan: No      |
| Cactus Acquisition Corp 1 Ltd                                     | Cactus Acquisition Corp. 1 Ltd.                                      | CUSIP: G1745A108<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      2932 | NS      | $30082.32     | 0.01%             |  |  |  | No            | 1                  | On Loan: No      |
| CACTUS ACQUISITION CORP 1 LT                                      | Cactus Acquisition Corp. 1 Ltd.                                      | CUSIP: G1745A124<br>LEI: N/A                  | N/A              | DE               | CORP              | US        |      1466 | NC      | $9.38         | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| Churchill Capital Corp V                                          | Churchill Capital Corp. V                                            | CUSIP: 17144T206<br>LEI: N/A                  | Long             |  | CORP              | US        |     21891 | NS      | $217817.64    | 0.04%             |  |  |  | No            | 1                  | On Loan: No      |
| Churchill Capital Corp VI                                         | Churchill Capital Corp. VI - Class A                                 | CUSIP: 17143W101<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      2935 | NS      | $29335.33     | 0.01%             |  |  |  | No            | 1                  | On Loan: No      |
| Churchill Capital Corp VI                                         | Churchill Capital Corp. VI                                           | CUSIP: 17143W200<br>LEI: N/A                  | Long             |  | CORP              | US        |     59972 | NS      | $599126.28    | 0.10%             |  |  |  | No            | 1                  | On Loan: No      |
| CHURCHILL CAPITAL CORP VI-A                                       | Churchill Capital Corp. VI                                           | CUSIP: 17143W119<br>LEI: N/A                  | N/A              | DE               | CORP              | US        |       587 | NC      | $35.22        | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| Cardio Diagnostics Holdings In                                    | Cardio Diagnostics Holdings, Inc.                                    | CUSIP: 14159C103<br>LEI: N/A                  | Long             | EC               | CORP              | US        |         1 | NS      | $0.79         | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| CARDIO DIAGNOSTICS HOLDINGS                                       | Cardio Diagnostics Holdings, Inc.                                    | CUSIP: 14159C111<br>LEI: N/A                  | N/A              | DE               | CORP              | US        |       419 | NC      | $20.74        | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| Cliffwater Enhanced Lending Fu                                    | Cliffwater Enhanced Lending Fund - Class I                           | CUSIP: 18685P108<br>LEI: 549300GSOYHH68H7U345 | Long             |  | RF                | US        |   2814531 | NS      | $29777736.69  | 5.20%             |  |  |  | No            | 1                  | On Loan: No      |
| CF ACQUISITION CORP VIII-A                                        | CF Acquisition Corp. VIII                                            | CUSIP: 12520C117<br>LEI: N/A                  | N/A              | DE               | CORP              | US        |       430 | NC      | $12.04        | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| CF Acquisition Corp IV                                            | CF Acquisition Corp. IV - Class A                                    | CUSIP: 12520T102<br>LEI: N/A                  | Long             | EC               | CORP              | US        |       135 | NS      | $1355.40      | 0.00%             |  |  |  | No            | 3                  | On Loan: No      |
| CF ACQUISITION CORP IV-CL A                                       | CF Acquisition Corp. IV                                              | CUSIP: 12520T110<br>LEI: N/A                  | N/A              | DE               | CORP              | US        |        45 | NC      | $3.47         | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| CHALLENGE MFG LLC TERM LOAN   /                                   | CHALLENGE MFG LLC TERM LOAN   /                                      | CUSIP: 999999999<br>LEI: N/A                  | Long             | LON              | CORP              | US        |   2011449 | PA      | $1920933.40   | 0.34%             | 2025-12-18      | Variable      | 14.12%                | No            | 3                  | On Loan: No      |
| Colombier Acquisition Corp                                        | Colombier Acquisition Corp. - Class A                                | CUSIP: 19533H108<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      2445 | NS      | $24303.30     | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| Colombier Acquisition Corp                                        | Colombier Acquisition Corp.                                          | CUSIP: 19533H207<br>LEI: N/A                  | Long             |  | CORP              | US        |         1 | NS      | $9.83         | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| COLOMBIER ACQUISITION CORP-A                                      | Colombier Acquisition Corp.                                          | CUSIP: 19533H116<br>LEI: N/A                  | N/A              | DE               | CORP              | US        |       815 | NC      | $61.70        | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| COMERA LIFE SCIENCES HOLDING                                      | Comera Life Sciences Holdings, Inc.                                  | CUSIP: 20037C116<br>LEI: N/A                  | N/A              | DE               | CORP              | US        |       968 | NC      | $46.17        | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| COEPTIS THERAPEUTICS HOLDING                                      | Coeptis Therapeutics Holdings                                        | CUSIP: 19207A116<br>LEI: N/A                  | N/A              | DE               | CORP              | US        |      2030 | NC      | $203.00       | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| Columbia Banking System Inc                                       | Columbia Banking System, Inc.                                        | CUSIP: 197236102<br>LEI: N/A                  | Short            | EC               | CORP              | US        |     -1467 | NS      | $-44200.71    | -0.01%            |  |  |  | No            | 1                  | On Loan: No      |
| Corner Growth Acquisition Corp                                    | Corner Growth Acquisition Corp. - Class A                            | CUSIP: G2425N105<br>LEI: N/A                  | Long             | EC               | CORP              | US        |       351 | NS      | $3531.06      | 0.00%             |  |  |  | No            | 3                  | On Loan: No      |
| CORNER GROWTH ACQUISITION-A                                       | Corner Growth Acquisition Corp.                                      | CUSIP: G2425N113<br>LEI: N/A                  | N/A              | DE               | CORP              | US        |       117 | NC      | $3.52         | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| Cowen Inc                                                         | Cowen, Inc. - Class A                                                | CUSIP: 223622606<br>LEI: 5493008QI0EFC5WBED75 | Long             | EC               | CORP              | US        |      4268 | NS      | $164830.16    | 0.03%             |  |  |  | No            | 1                  | On Loan: No      |
| COMPUTE HEALTH ACQUISITION-A                                      | Compute Health Acquisition Corp.                                     | CUSIP: 204833115<br>LEI: N/A                  | N/A              | DE               | CORP              | US        |      3920 | NC      | $440.61       | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| Apollo Diversified Credit Fund                                    | Apollo Diversified Credit Fund - Class I                             | CUSIP: 39822Y307<br>LEI: 549300OM28GL3UQRWD92 | Long             |  | RF                | US        |     55592 | NS      | $1157427.11   | 0.20%             |  |  |  | No            | 1                  | On Loan: No      |
| Crescera Capital Acquisition C                                    | Crescera Capital Acquisition Corp. - Class A                         | CUSIP: G26507106<br>LEI: N/A                  | Long             | EC               | CORP              | US        |       626 | NS      | $6397.72      | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| CRESCERA CAPITAL ACQUIS-CL A                                      | Crescera Capital Acquisition Corp.                                   | CUSIP: G26507114<br>LEI: N/A                  | N/A              | DE               | CORP              | US        |       313 | NC      | $9.42         | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| Corazon Capital V838 Monoceros                                    | Corazon Capital V838 Monoceros Corp. - Class A                       | CUSIP: G24237102<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      1215 | NS      | $12271.50     | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| CORAZON CAPITAL V838 MONOC-A                                      | Corazon Capital V838 Monoceros Corp.                                 | CUSIP: G24237128<br>LEI: N/A                  | N/A              | DE               | CORP              | US        |       405 | NC      | $4.46         | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| Churchill Capital Corp VII                                        | Churchill Capital Corp. VII - Class A                                | CUSIP: 17144M102<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      2875 | NS      | $28663.75     | 0.01%             |  |  |  | No            | 1                  | On Loan: No      |
| Churchill Capital Corp VII                                        | Churchill Capital Corp. VII                                          | CUSIP: 17144M201<br>LEI: N/A                  | Long             |  | CORP              | US        |     61192 | NS      | $609478.44    | 0.11%             |  |  |  | No            | 1                  | On Loan: No      |
| CHURCHILL CAPITAL CORP VII-A                                      | Churchill Capital Corp. VII                                          | CUSIP: 17144M110<br>LEI: N/A                  | N/A              | DE               | CORP              | US        |       575 | NC      | $28.41        | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| Denali Capital Acquisition Cor                                    | Denali Capital Acquisition Corp.                                     | CUSIP: G6256B122<br>LEI: 549300L7MIQ7V1UUZB95 | Long             |  | CORP              | US        |      9833 | NS      | $100591.59    | 0.02%             |  |  |  | No            | 1                  | On Loan: No      |
| Driehaus Event Driven Fund                                        | Driehaus Event Driven Fund                                           | CUSIP: 262028814<br>LEI: 54930083K72EKHCON298 | Long             |  | RF                | US        |   1019303 | NS      | $12017585.49  | 2.10%             |  |  |  | No            | 1                  | On Loan: No      |
| DIGITAL HEALTH ACQUISTION CO                                      | Digital Health Acquisition Corp.                                     | CUSIP: 253893119<br>LEI: N/A                  | N/A              | DE               | CORP              | US        |       637 | NC      | $62.11        | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| DHC Acquisition Corp                                              | DHC Acquisition Corp. - Class A                                      | CUSIP: G2758T109<br>LEI: N/A                  | Long             | EC               | CORP              | US        |       930 | NS      | $9374.40      | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| DHC ACQUISITION CORP-A                                            | DHC Acquisition Corp.                                                | CUSIP: G2758T117<br>LEI: N/A                  | N/A              | DE               | CORP              | US        |       310 | NC      | $3.10         | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| DATA KNIGHTS ACQUISITION C-A                                      | Data Knights Acquisition Corp.                                       | CUSIP: 237699111<br>LEI: N/A                  | N/A              | DE               | CORP              | US        |      2151 | NC      | $74.64        | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| Deep Medicine Acquisition Corp                                    | Deep Medicine Acquisition Corp. - Class A                            | CUSIP: 243733102<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      1764 | NS      | $18733.68     | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| Deep Medicine Acquisition Corp                                    | Deep Medicine Acquisition Corp.                                      | CUSIP: 243733110<br>LEI: N/A                  | N/A              | DE               | CORP              | US        |      1764 | NC      | $88.20        | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| dMY Technology Group Inc VI                                       | dMY Technology Group, Inc. VI                                        | CUSIP: 233247105<br>LEI: N/A                  | Long             | EC               | CORP              | US        |       698 | NS      | $7014.90      | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| DMY TECHNOLOGY GROUP INC VI                                       | dMY Technology Group, Inc. VI                                        | CUSIP: 233247113<br>LEI: N/A                  | N/A              | DE               | CORP              | US        |       349 | NC      | $36.65        | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| Black Mountain Acquisition Cor                                    | Black Mountain Acquisition Corp. - Class A                           | CUSIP: 09216A108<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      2396 | NS      | $24439.20     | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| BLACK MOUNTAIN ACQUISITION-A                                      | Black Mountain Acquisition Corp.                                     | CUSIP: 09216A116<br>LEI: N/A                  | N/A              | DE               | CORP              | US        |      1797 | NC      | $65.95        | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| dMY Squared Technology Group I                                    | dMY Squared Technology Group, Inc.                                   | CUSIP: 233276203<br>LEI: 549300B5MTR1IYKX0H51 | Long             |  | CORP              | US        |     19672 | NS      | $196720.00    | 0.03%             |  |  |  | No            | 1                  | On Loan: No      |
| DSC MERIDIAN LP    /                                              | DSC MERIDIAN LP    /                                                 | CUSIP: 999999999<br>LEI: N/A                  | Long             | EC               | RF                | US        |         1 | NS      | $11534166.38  | 2.01%             |  |  |  | Yes           | N/A                | On Loan: No      |
| DUNE ACQUISITION CORP-CL A                                        | Dune Acquisition Corp.                                               | CUSIP: 265334110<br>LEI: N/A                  | N/A              | DE               | CORP              | US        |       534 | NC      | $5.87         | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| Edify Acquisition Corp                                            | Edify Acquisition Corp. - Class A                                    | CUSIP: 28059Q103<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      1760 | NS      | $17793.60     | 0.00%             |  |  |  | No            | 3                  | On Loan: No      |
| EDIFY ACQUISITION CORP-CL A                                       | Edify Acquisition Corp.                                              | CUSIP: 28059Q111<br>LEI: N/A                  | N/A              | DE               | CORP              | US        |       880 | NC      | $26.49        | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| EDTECHX HOLDINGS II-CLASS A                                       | EdtechX Holdings Acquisition Corp. II                                | CUSIP: 28139A110<br>LEI: N/A                  | N/A              | DE               | CORP              | US        |       351 | NC      | $14.04        | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| EISLER CAPTIAL MULTI STRATEGY FUND LP   /                         | EISLER CAPTIAL MULTI STRATEGY FUND LP   /                            | CUSIP: 999999999<br>LEI: N/A                  | Long             | EC               | RF                | US        |         1 | NS      | $11503000.00  | 2.01%             |  |  |  | Yes           | N/A                | On Loan: No      |
| Accretion Acquisition Corp                                        | Accretion Acquisition Corp.                                          | CUSIP: 00438Y107<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      2076 | NS      | $20926.08     | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| Accretion Acquisition Corp                                        | Accretion Acquisition Corp.                                          | CUSIP: 00438Y123<br>LEI: N/A                  | N/A              | DE               | CORP              | US        |      2076 | NC      | $150.30       | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| ACCRETION ACQUISITION CORP                                        | Accretion Acquisition Corp.                                          | CUSIP: 00438Y115<br>LEI: N/A                  | N/A              | DE               | CORP              | US        |      1038 | NC      | $19.41        | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| Blockchain Moon Acquisition Co                                    | Blockchain Moon Acquisition Corp.                                    | CUSIP: 09370F109<br>LEI: 549300W5G04TQZZCFC27 | Long             | EC               | CORP              | US        |      1778 | NS      | $18117.82     | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| Blockchain Moon Acquisition Co                                    | Blockchain Moon Acquisition Corp.                                    | CUSIP: 09370F117<br>LEI: 549300W5G04TQZZCFC27 | N/A              | DE               | CORP              | US        |      1778 | NC      | $62.41        | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| Enterprise 4.0 Technology Acqu                                    | Enterprise 4.0 Technology Acquisition Corp.                          | CUSIP: G3137C106<br>LEI: N/A                  | Long             | EC               | CORP              | US        |       592 | NS      | $6091.68      | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| ENTERPRISE 4.0 TECHNOLOGY AC                                      | Enterprise 4.0 Technology Acquisition Corp.                          | CUSIP: G3137C114<br>LEI: N/A                  | N/A              | DE               | CORP              | US        |       296 | NC      | $2.96         | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| Elliott Opportunity II Corp                                       | Elliott Opportunity II Corp.                                         | CUSIP: G30092129<br>LEI: 549300796AMMETN58424 | Long             |  | CORP              | US        |     20295 | NS      | $204776.55    | 0.04%             |  |  |  | No            | 1                  | On Loan: No      |
| EAST RESOURCES ACQUISITION-A                                      | East Resources Acquisition Co.                                       | CUSIP: 274681113<br>LEI: N/A                  | N/A              | DE               | CORP              | US        |       789 | NC      | $138.08       | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| BLOCKCHAIN MOON ACQUISITION                                       | Blockchain Moon Acquisition Corp.                                    | CUSIP: 09370F125<br>LEI: 549300W5G04TQZZCFC27 | N/A              | DE               | CORP              | US        |      1778 | NC      | $32.00        | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| Blue Ocean Acquisition Corp                                       | Blue Ocean Acquisition Corp.                                         | CUSIP: G1330L113<br>LEI: 54930022IRZD99B5AQ81 | Long             |  | CORP              | US        |      3089 | NS      | $31569.58     | 0.01%             |  |  |  | No            | 1                  | On Loan: No      |
| EURO FORWARD CONTRACT   /                                         | EURO FORWARD CONTRACT   /                                            | CUSIP: 999999999<br>LEI: N/A                  | Short            | STIV             |  | XX        |   -100000 | OU      | $-109715.32   | -0.02%            |  |  |  | No            | 1                  | On Loan: No      |
| EURO FORWARD CONTRACT   /                                         | EURO FORWARD CONTRACT   /                                            | CUSIP: 999999999<br>LEI: N/A                  | Short            | STIV             |  | XX        |   -100000 | OU      | $-107184.58   | -0.02%            |  |  |  | No            | 1                  | On Loan: No      |
| EURO FORWARD CONTRACT   /                                         | EURO FORWARD CONTRACT   /                                            | CUSIP: 999999999<br>LEI: N/A                  | Short            | STIV             |  | XX        |   -100000 | OU      | $-110371.59   | -0.02%            |  |  |  | No            | 1                  | On Loan: No      |
| EURO FORWARD CONTRACT   /                                         | EURO FORWARD CONTRACT   /                                            | CUSIP: 999999999<br>LEI: N/A                  | Short            | STIV             |  | XX        |   -100000 | OU      | $-107785.57   | -0.02%            |  |  |  | No            | 1                  | On Loan: No      |
| Bullpen Parlay Acquisition Co                                     | Bullpen Parlay Acquisition Co.                                       | CUSIP: G1792A126<br>LEI: N/A                  | Long             |  | CORP              | US        |      2069 | NS      | $21165.87     | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| Breeze Holdings Acquisition Co                                    | Breeze Holdings Acquisition Corp.                                    | CUSIP: 106762123<br>LEI: N/A                  | N/A              | DE               | CORP              | US        |      1207 | NC      | $156.91       | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| EURO FORWARD CONTRACT   /                                         | EURO FORWARD CONTRACT   /                                            | CUSIP: 999999999<br>LEI: N/A                  | Short            | STIV             |  | XX        |   -100000 | OU      | $-111035.77   | -0.02%            |  |  |  | No            | 1                  | On Loan: No      |
| EURO FORWARD CONTRACT   /                                         | EURO FORWARD CONTRACT   /                                            | CUSIP: 999999999<br>LEI: N/A                  | Short            | STIV             |  | XX        |   -100000 | OU      | $-108418.90   | -0.02%            |  |  |  | No            | 1                  | On Loan: No      |
| EURO FORWARD CONTRACT   /                                         | EURO FORWARD CONTRACT   /                                            | CUSIP: 999999999<br>LEI: N/A                  | Short            | STIV             |  | XX        |  -2024000 | OU      | $-2249893.29  | -0.39%            |  |  |  | No            | 1                  | On Loan: No      |
| EURO FORWARD CONTRACT   /                                         | EURO FORWARD CONTRACT   /                                            | CUSIP: 999999999<br>LEI: N/A                  | Short            | STIV             |  | XX        |   -100000 | OU      | $-109059.71   | -0.02%            |  |  |  | No            | 1                  | On Loan: No      |
| BREEZE HOLDINGS ACQUISITION                                       | Breeze Holdings Acquisition Corp.                                    | CUSIP: 106762115<br>LEI: N/A                  | N/A              | DE               | CORP              | US        |      1207 | NC      | $77.01        | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| B Riley Principal 250 Merger C                                    | B Riley Principal 250 Merger Corp.                                   | CUSIP: 05602L203<br>LEI: N/A                  | Long             |  | CORP              | US        |       143 | NS      | $1424.28      | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| EUCRATES BIOMEDICAL ACQUISIT                                      | Eucrates Biomedical Acquisition Corp.                                | CUSIP: G3141W122<br>LEI: N/A                  | N/A              | DE               | CORP              | US        |       470 | NC      | $23.97        | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| Euda Health Holdings Ltd                                          | Euda Health Holdings Ltd.                                            | CUSIP: G3142E105<br>LEI: N/A                  | Long             | EC               | CORP              | SG        |       138 | NS      | $231.13       | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| Brilliant Acquisition Corp                                        | Brilliant Acquisition Corp.                                          | CUSIP: G1643W137<br>LEI: N/A                  | N/A              | DE               | CORP              | CN        |      1299 | NC      | $246.81       | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| EUDA HEALTH HOLDINGS LTD                                          | Euda Health Holdings Ltd.                                            | CUSIP: G3142E121<br>LEI: N/A                  | N/A              | DE               | CORP              | SG        |      1464 | NC      | $117.27       | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| EURO CURRENCY  /                                                  | EURO CURRENCY  /                                                     | CUSIP: 999999999<br>LEI: N/A                  | Long             | STIV             |  | XX        |    159875 | OU      | $171135.69    | 0.03%             |  |  |  | No            | 1                  | On Loan: No      |
| EVe Mobility Acquisition Corp                                     | EVe Mobility Acquisition Corp.                                       | CUSIP: G3218G125<br>LEI: N/A                  | Long             |  | CORP              | US        |      2938 | NS      | $30202.64     | 0.01%             |  |  |  | No            | 1                  | On Loan: No      |
| EVE HOLDING INC                                                   | Eve Holding, Inc.                                                    | CUSIP: 29970N112<br>LEI: N/A                  | N/A              | DE               | CORP              | US        |       484 | NC      | $121.00       | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| FG Merger Corp                                                    | FG Merger Corp.                                                      | CUSIP: 30324Y200<br>LEI: N/A                  | Long             |  | CORP              | US        |     19846 | NS      | $202230.74    | 0.04%             |  |  |  | No            | 1                  | On Loan: No      |
| First Horizon Corp                                                | First Horizon Corp.                                                  | CUSIP: 320517105<br>LEI: TF3RXI1ZB1TQ30H9JV10 | Long             | EC               | CORP              | US        |      8009 | NS      | $196220.50    | 0.03%             |  |  |  | No            | 1                  | On Loan: No      |
| Flame Acquisition Corp                                            | Flame Acquisition Corp. - Class A                                    | CUSIP: 33850F108<br>LEI: N/A                  | Long             | EC               | CORP              | US        |       236 | NS      | $2371.80      | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| FLAME ACQUISITION CORP -CL A                                      | Flame Acquisition Corp.                                              | CUSIP: 33850F116<br>LEI: N/A                  | N/A              | DE               | CORP              | US        |       118 | NC      | $76.70        | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| Finnovate Acquisition Corp                                        | Finnovate Acquisition Corp. - Class A                                | CUSIP: G3R34K103<br>LEI: N/A                  | Long             | EC               | CORP              | KY        |      1060 | NS      | $10875.60     | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| FINNOVATE ACQUISITION CORP-A                                      | Finnovate Acquisition Corp.                                          | CUSIP: G3R34K111<br>LEI: N/A                  | N/A              | DE               | CORP              | US        |       795 | NC      | $12.00        | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| ForgeRock Inc                                                     | ForgeRock, Inc. - Class A                                            | CUSIP: 34631B101<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     11134 | NS      | $253521.18    | 0.04%             |  |  |  | No            | 1                  | On Loan: No      |
| FOXO TECHNOLOGIES INC                                             | FOXO Technologies, Inc.                                              | CUSIP: 351471115<br>LEI: N/A                  | N/A              | DE               | CORP              | US        |      1228 | NC      | $33.03        | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| Far Peak Acquisition Corp                                         | Far Peak Acquisition Corp. - Class A                                 | CUSIP: G3312L103<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      2109 | NS      | $21174.36     | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| FAR PEAK ACQUISITION CORP-A                                       | Far Peak Acquisition Corp.                                           | CUSIP: G3312L111<br>LEI: N/A                  | N/A              | DE               | CORP              | US        |       703 | NC      | $0.21         | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| Fusion Acquisition Corp II                                        | Fusion Acquisition Corp. II - Class A                                | CUSIP: 36118N102<br>LEI: N/A                  | Long             | EC               | CORP              | US        |       474 | NS      | $4758.96      | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| Fusion Acquisition Corp II                                        | Fusion Acquisition Corp. II                                          | CUSIP: 36118N201<br>LEI: N/A                  | Long             |  | CORP              | US        |     20001 | NS      | $200610.03    | 0.04%             |  |  |  | No            | 1                  | On Loan: No      |
| FUSION ACQUISITION CORP II-A                                      | Fusion Acquisition Corp. II                                          | CUSIP: 36118N110<br>LEI: N/A                  | N/A              | DE               | CORP              | US        |       158 | NC      | $0.13         | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| FinServ Acquisition Corp II                                       | FinServ Acquisition Corp. II - Class A                               | CUSIP: 31809Y103<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     20000 | NS      | $200600.00    | 0.04%             |  |  |  | No            | 1                  | On Loan: No      |
| Fintech Evolution Acquisition                                     | Fintech Evolution Acquisition Group - Class A                        | CUSIP: G3R19A104<br>LEI: N/A                  | Long             | EC               | CORP              | US        |        93 | NS      | $939.30       | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| FINTECH EVOLUTION ACQUISIT-A                                      | Fintech Evolution Acquisition Group                                  | CUSIP: G3R19A120<br>LEI: N/A                  | N/A              | DE               | CORP              | US        |        31 | NC      | $0.25         | 0.00%             |  |  |  | No            | 3                  | On Loan: No      |
| FTAC Parnassus Acquisition Cor                                    | FTAC Parnassus Acquisition Corp. - Class A                           | CUSIP: 30319B108<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     32591 | NS      | $326887.73    | 0.06%             |  |  |  | No            | 1                  | On Loan: No      |
| Financial Strategies Acquisiti                                    | Financial Strategies Acquisition Corp.                               | CUSIP: 31772T123<br>LEI: N/A                  | N/A              | DE               | CORP              | US        |      1765 | NC      | $112.96       | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| FINANCIAL STRATEGIES ACQ-CLA                                      | Financial Strategies Acquisition Corp.                               | CUSIP: 31772T115<br>LEI: N/A                  | N/A              | DE               | CORP              | US        |      1765 | NC      | $17.65        | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| FAST Acquisition Corp II                                          | FAST Acquisition Corp. II - Class A                                  | CUSIP: 311874101<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      1712 | NS      | $17137.12     | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| FAST ACQUISITION CORP II-A                                        | FAST Acquisition Corp. II                                            | CUSIP: 311874119<br>LEI: N/A                  | N/A              | DE               | CORP              | US        |       428 | NC      | $286.76       | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| Goldenbridge Acquisition Ltd                                      | Goldenbridge Acquisition Ltd.                                        | CUSIP: G3970D104<br>LEI: N/A                  | Long             | EC               | CORP              | HK        |      1582 | NS      | $16262.96     | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| Goldenbridge Acquisition Ltd                                      | Goldenbridge Acquisition Ltd.                                        | CUSIP: G3970D138<br>LEI: N/A                  | N/A              | DE               | CORP              | HK        |      1582 | NC      | $205.66       | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| GOLDENBRIDGE ACQUISITION LTD                                      | Goldenbridge Acquisition Ltd.                                        | CUSIP: G3970D120<br>LEI: N/A                  | N/A              | DE               | CORP              | US        |      1582 | NC      | $79.10        | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| Goldenstone Acquisition Ltd                                       | Goldenstone Acquisition Ltd.                                         | CUSIP: 38136Y201<br>LEI: N/A                  | Long             |  | CORP              | US        |     23908 | NS      | $242427.12    | 0.04%             |  |  |  | No            | 1                  | On Loan: No      |
| Games & Esports Experience Acq                                    | Games & Esports Experience Acquisition Corp.                         | CUSIP: G3731J101<br>LEI: N/A                  | Long             |  | CORP              | US        |      1652 | NS      | $16916.48     | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| GETAROUND INC                                                     | Getaround, Inc.                                                      | CUSIP: 37427G119<br>LEI: N/A                  | N/A              | DE               | CORP              | US        |        53 | NC      | $3.18         | 0.00%             |  |  |  | No            | 3                  | On Loan: No      |
| Growth For Good Acquisition Co                                    | Growth For Good Acquisition Corp.                                    | CUSIP: G41522122<br>LEI: N/A                  | Long             |  | CORP              | US        |      1765 | NS      | $17782.38     | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| Graf Acquisition Corp IV                                          | Graf Acquisition Corp. IV                                            | CUSIP: 384272100<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      2885 | NS      | $28705.75     | 0.01%             |  |  |  | No            | 1                  | On Loan: No      |
| Graf Acquisition Corp IV                                          | Graf Acquisition Corp. IV                                            | CUSIP: 384272209<br>LEI: N/A                  | Long             |  | CORP              | US        |         1 | NS      | $9.93         | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| GRAF ACQUISITION CORP IV                                          | Graf Acquisition Corp. IV                                            | CUSIP: 384272118<br>LEI: N/A                  | N/A              | DE               | CORP              | US        |       577 | NC      | $48.99        | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| GOLDEN FALCON ACQUISITI-CL A                                      | Golden Falcon Acquisition Corp.                                      | CUSIP: 38102H117<br>LEI: N/A                  | N/A              | DE               | CORP              | US        |        71 | NC      | $10.65        | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| Genesis Growth Tech Acquisitio                                    | Genesis Growth Tech Acquisition Corp. - Class A                      | CUSIP: G3R23D102<br>LEI: N/A                  | Long             | EC               | CORP              | CH        |      2354 | NS      | $24340.36     | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| GENESIS GROWTH TECH ACQUIS-A                                      | Genesis Growth Tech Acquisition Corp.                                | CUSIP: G3R23D128<br>LEI: N/A                  | N/A              | DE               | CORP              | US        |      1177 | NC      | $185.61       | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| Gores Holdings IX Inc                                             | Gores Holdings IX, Inc.                                              | CUSIP: 38287A200<br>LEI: N/A                  | Long             |  | CORP              | US        |     29037 | NS      | $289208.52    | 0.05%             |  |  |  | No            | 1                  | On Loan: No      |
| GLASS HOUSE BRANDS INC                                            | Glass House Brands, Inc.                                             | CUSIP: 377130117<br>LEI: 89450066YERGBSA3YL62 | N/A              | DE               | CORP              | CA        |    280000 | NC      | $117600.00    | 0.02%             |  |  |  | No            | 1                  | On Loan: No      |
| Globalink Investment Inc                                          | Globalink Investment, Inc.                                           | CUSIP: 37892F109<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      1763 | NS      | $17982.60     | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| Globalink Investment Inc                                          | Globalink Investment, Inc.                                           | CUSIP: 37892F117<br>LEI: N/A                  | N/A              | DE               | CORP              | US        |      1763 | NC      | $88.86        | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| GLOBALINK INVESTMENT INC                                          | Globalink Investment, Inc.                                           | CUSIP: 37892F125<br>LEI: N/A                  | N/A              | DE               | CORP              | US        |      1763 | NC      | $17.63        | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| Glenmede Secured Options Portf                                    | Glenmede Secured Options Portfolio - Class INST USD                  | CUSIP: 378690580<br>LEI: 549300QEJQNCSUC9L688 | Long             |  | RF                | US        |   1354102 | NS      | $16195058.07  | 2.83%             |  |  |  | No            | 1                  | On Loan: No      |
| GORILLA TECHNOLOGY GROUP INC                                      | Gorilla Technology Group, Inc.                                       | CUSIP: G4000K118<br>LEI: N/A                  | N/A              | DE               | CORP              | US        |      1266 | NC      | $265.99       | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| G Squared Ascend II Inc                                           | G Squared Ascend II, Inc. - Class A                                  | CUSIP: G42041106<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      1455 | NS      | $14753.70     | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| ACC Trust                                                         | ACC Trust 2022-1                                                     | CUSIP: 00091HAD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $472893.50    | 0.08%             | 2028-10-20      | Fixed         | 6.65%                 | Yes           | 2                  | On Loan: No      |
| Aqua Finance Trust                                                | Aqua Finance Trust 2019-A                                            | CUSIP: 038370AA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     34487 | PA      | $32504.83     | 0.01%             | 2040-07-16      | Fixed         | 3.14%                 | Yes           | 2                  | On Loan: No      |
| G SQUARED ASCEND II INC -A                                        | G Squared Ascend II, Inc.                                            | CUSIP: G42041122<br>LEI: N/A                  | N/A              | DE               | CORP              | US        |       485 | NC      | $12.17        | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| GSR II Meteora Acquisition Cor                                    | GSR II Meteora Acquisition Corp. - Class A                           | CUSIP: 36263W105<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     12288 | NS      | $124661.76    | 0.02%             |  |  |  | No            | 1                  | On Loan: No      |
| Arivo Acceptance Auto Loan Rec                                    | Arivo Acceptance Auto Loan Receivables Trust 2022-1                  | CUSIP: 04047EAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    100000 | PA      | $93105.20     | 0.02%             | 2029-09-17      | Fixed         | 7.38%                 | Yes           | 2                  | On Loan: No      |
| BFNS LLC                                                          | BFNS 2022-1                                                          | CUSIP: 05553FAA4<br>LEI: 54930067AXJA9VNQXN56 | Long             | ABS-CBDO         | CORP              | KY        |   4000000 | PA      | $3756860.80   | 0.66%             | 2035-07-10      | Floating      | 7.00%                 | Yes           | 2                  | On Loan: No      |
| GSR II Meteora Acquisition Cor                                    | GSR II Meteora Acquisition Corp.                                     | CUSIP: 36263W113<br>LEI: N/A                  | N/A              | DE               | CORP              | US        |       768 | NC      | $714.24       | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| GSR II METEORA ACQUISIT-CL A                                      | GSR II Meteora Acquisition Corp.                                     | CUSIP: 36263W121<br>LEI: N/A                  | N/A              | DE               | CORP              | US        |     12288 | NC      | $785.20       | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| BX Commercial Mortgage Trust 2                                    | BX Commercial Mortgage Trust 2019-XL                                 | CUSIP: 056054AL3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    212500 | PA      | $202882.03    | 0.04%             | 2036-10-15      | Floating      | 7.10%                 | Yes           | 2                  | On Loan: No      |
| BELLEMEADE RE LT                                                  | Bellemeade Re 2019-1 Ltd.                                            | CUSIP: 07876RAC0<br>LEI: 254900K56RF3Z7VQ3U81 | Long             | ABS-MBS          | CORP              | BM        |    350000 | PA      | $347623.50    | 0.06%             | 2029-03-25      | Floating      | 7.09%                 | Yes           | 2                  | On Loan: No      |
| Green Visor Financial Technolo                                    | Green Visor Financial Technology Acquisition Corp. I - Class A       | CUSIP: G4166K100<br>LEI: N/A                  | Long             | EC               | CORP              | US        |       782 | NS      | $8109.34      | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| GREEN VISOR FINANCIAL TECH-A                                      | Green Visor Financial Technology Acquisition Corp. I                 | CUSIP: G4166K126<br>LEI: N/A                  | N/A              | DE               | CORP              | US        |       391 | NC      | $3.91         | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| BELLEMEADE RE LT                                                  | Bellemeade Re 2022-1 Ltd.                                            | CUSIP: 078774AC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | BM        |   1000000 | PA      | $838383.00    | 0.15%             | 2032-01-26      | Floating      | 7.63%                 | Yes           | 2                  | On Loan: No      |
| BELLEMEADE RE LT                                                  | Bellemeade Re 2022-1 Ltd.                                            | CUSIP: 078774AD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | BM        |    500000 | PA      | $405598.00    | 0.07%             | 2032-01-26      | Floating      | 8.53%                 | Yes           | 2                  | On Loan: No      |
| Healthcare AI Acquisition Corp                                    | Healthcare AI Acquisition Corp.                                      | CUSIP: G4373K125<br>LEI: N/A                  | Long             |  | CORP              | KY        |      1348 | NS      | $13843.96     | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| Jaws Hurricane Acquisition Cor                                    | Jaws Hurricane Acquisition Corp.                                     | CUSIP: 47201B202<br>LEI: N/A                  | Long             |  | CORP              | US        |     42547 | NS      | $427171.88    | 0.07%             |  |  |  | No            | 1                  | On Loan: No      |
| BELLEMEADE RE LT                                                  | Bellemeade RE 2021-3 Ltd.                                            | CUSIP: 078777AE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2500000 | PA      | $2150440.00   | 0.38%             | 2031-09-25      | Floating      | 7.08%                 | Yes           | 2                  | On Loan: No      |
| BELLEMEADE RE LT                                                  | Bellemeade Re 2019-2 Ltd.                                            | CUSIP: 07877BAG5<br>LEI: 254900I4ZKD8IMM1O953 | Long             | ABS-MBS          | CORP              | BM        |    250000 | PA      | $242686.25    | 0.04%             | 2029-04-25      | Floating      | 7.49%                 | Yes           | 2                  | On Loan: No      |
| Hainan Manaslu Acquisition Cor                                    | Hainan Manaslu Acquisition Corp.                                     | CUSIP: G4233U123<br>LEI: N/A                  | Long             |  | CORP              | CN        |     19983 | NS      | $205824.90    | 0.04%             |  |  |  | No            | 1                  | On Loan: No      |
| MICROCLOUD HOLOGRAM INC                                           | MicroCloud Hologram, Inc.                                            | CUSIP: G55032125<br>LEI: N/A                  | N/A              | DE               | CORP              | US        |      2925 | NC      | $204.75       | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| Countrywide Home Loans                                            | CHL Mortgage Pass-Through Trust 2007-8                               | CUSIP: 12545AAM6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    198444 | PA      | $94560.56     | 0.02%             | 2038-01-25      | Fixed         | 5.88%                 | No            | 2                  | On Loan: No      |
| Credit Suisse Mortgage Trust                                      | CSMC 2021-NQM2                                                       | CUSIP: 12662EAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $594158.00    | 0.10%             | 2066-02-25      | Variable      | 3.44%                 | Yes           | 2                  | On Loan: No      |
| Horizon Space Acquisition I Co                                    | Horizon Space Acquisition I Corp.                                    | CUSIP: G4619M133<br>LEI: N/A                  | Long             |  | CORP              | US        |     19947 | NS      | $201464.70    | 0.04%             |  |  |  | No            | 1                  | On Loan: No      |
| Hudson Acquisition I Corp                                         | Hudson Acquisition I Corp.                                           | CUSIP: 44364H209<br>LEI: N/A                  | Long             |  | CORP              | US        |     14391 | NS      | $146644.29    | 0.03%             |  |  |  | No            | 1                  | On Loan: No      |
| HUDSON BAY FUND LP LP   /                                         | HUDSON BAY FUND LP LP   /                                            | CUSIP: 999999999<br>LEI: N/A                  | Long             | EC               | RF                | US        |         1 | NS      | $8927798.64   | 1.56%             |  |  |  | Yes           | N/A                | On Loan: No      |
| IG ACQUISITION CORP-CLASS A                                       | IG Acquisition Corp.                                                 | CUSIP: 449534114<br>LEI: N/A                  | N/A              | DE               | CORP              | US        |      1774 | NC      | $43.82        | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| Countrywide Home Loans                                            | CHL Mortgage Pass-Through Trust 2004-29                              | CUSIP: 12669GJA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    643990 | PA      | $1708.51      | 0.00%             | 2035-02-25      | Variable      | 0.00%                 | No            | 2                  | On Loan: No      |
| CAL Receivables LLC                                               | CAL Receivables 2022-1 LLC                                           | CUSIP: 12804BAB4<br>LEI: 549300GJW1JSYKS6S265 | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $1958358.00   | 0.34%             | 2026-10-15      | Floating      | 8.16%                 | Yes           | 2                  | On Loan: No      |
| INVESCO REAL ESTATE INCOME TRUST, Inc.   /                        | INVESCO REAL ESTATE INCOME TRUST, Inc.   /                           | CUSIP: 999999999<br>LEI: N/A                  | Long             | EC               | CORP              | US        |    626336 | NS      | $19353331.36  | 3.38%             |  |  |  | Yes           | N/A                | On Loan: No      |
| KLUDEIN I ACQUISITION CORP-A                                      | KludeIn I Acquisition Corp.                                          | CUSIP: 49878L117<br>LEI: N/A                  | N/A              | DE               | CORP              | US        |       239 | NC      | $19.12        | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| Carvana Auto Receivables Trust                                    | Carvana Auto Receivables Trust 2022-N1                               | CUSIP: 14686GAF3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    250000 | PA      | $226501.00    | 0.04%             | 2028-12-11      | Fixed         | 6.01%                 | Yes           | 2                  | On Loan: No      |
| Carvana Auto Receivables Trust                                    | Carvana Auto Receivables Trust 2022-P2                               | CUSIP: 14686JAG5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    200000 | PA      | $189246.20    | 0.03%             | 2029-05-10      | Fixed         | 6.28%                 | No            | 2                  | On Loan: No      |
| Innovative International Acqui                                    | Innovative International Acquisition Corp. - Class A                 | CUSIP: G4809M109<br>LEI: 549300U6QXNGB66F1K14 | Long             | EC               | CORP              | US        |       882 | NS      | $9084.60      | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| INNOVATIVE INTERNATIONAL A-A                                      | Innovative International Acquisition Corp.                           | CUSIP: G4809M125<br>LEI: 549300U6QXNGB66F1K14 | N/A              | DE               | CORP              | US        |       441 | NC      | $11.03        | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| Carvana Auto Receivables Trust                                    | Carvana Auto Receivables Trust 2021-N4                               | CUSIP: 14687HAF0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    250000 | PA      | $217350.75    | 0.04%             | 2028-09-11      | Fixed         | 4.53%                 | Yes           | 2                  | On Loan: No      |
| COLT Funding LLC                                                  | COLT 2022-2 Mortgage Loan Trust                                      | CUSIP: 19685EAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $400388.00    | 0.07%             | 2067-02-25      | Variable      | 4.00%                 | Yes           | 2                  | On Loan: No      |
| InterPrivate III Financial Par                                    | InterPrivate III Financial Partners, Inc. - Class A                  | CUSIP: 46064R106<br>LEI: N/A                  | Long             | EC               | CORP              | US        |       295 | NS      | $2979.50      | 0.00%             |  |  |  | No            | 3                  | On Loan: No      |
| MERCATO PARTNERS ACQUISITI-A                                      | Mercato Partners Acquisition Corp.                                   | CUSIP: 58759A116<br>LEI: N/A                  | N/A              | DE               | CORP              | US        |      1061 | NC      | $10.72        | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| COLT Funding LLC                                                  | COLT 2021-1 Mortgage Loan Trust                                      | CUSIP: 19688EAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $291944.00    | 0.05%             | 2066-06-25      | Variable      | 2.29%                 | Yes           | 2                  | On Loan: No      |
| EURO FORWARDVIREMAIN CONTRACT 10/18/2024   /                      | EURO FORWARDVIREMAIN CONTRACT 10/18/2024   /                         | CUSIP: 999999999<br>LEI: N/A                  | N/A              | DFE              |  | XX        |    -60000 | OU      | $-67038.17    | -0.01%            |  |  |  | No            | 1                  | On Loan: No      |
| EURO FORWARDVIREMAIN CONTRACT  01/17/2025   /                     | EURO FORWARDVIREMAIN CONTRACT  01/17/2025   /                        | CUSIP: 999999999<br>LEI: N/A                  | N/A              | DFE              |  | XX        |  -3528000 | OU      | $-3965859.04  | -0.69%            |  |  |  | No            | 1                  | On Loan: No      |
| Fannie Mae - CAS                                                  | Connecticut Avenue Securities Trust 2019-HRP1                        | CUSIP: 20754PAD2<br>LEI: 549300Z5THZ1JXIHVK60 | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $479995.00    | 0.08%             | 2039-11-25      | Floating      | 13.64%                | Yes           | 2                  | On Loan: No      |
| Fannie Mae - CAS                                                  | Connecticut Avenue Securities Trust 2020-R02                         | CUSIP: 20754WAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    250000 | PA      | $225394.75    | 0.04%             | 2040-01-25      | Floating      | 7.39%                 | Yes           | 2                  | On Loan: No      |
| Adjustable Rate Mortgage Trust                                    | Adjustable Rate Mortgage Trust 2006-1                                | CUSIP: 225470A94<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    175107 | PA      | $105420.47    | 0.02%             | 2036-03-25      | Variable      | 4.23%                 | No            | 2                  | On Loan: No      |
| DSLA Mortgage Loan Trust                                          | DSLA Mortgage Loan Trust 2006-AR2                                    | CUSIP: 23332QAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    106173 | PA      | $85192.95     | 0.01%             | 2036-10-19      | Floating      | 4.53%                 | No            | 2                  | On Loan: No      |
| DSLA Mortgage Loan Trust                                          | DSLA Mortgage Loan Trust 2004-AR2                                    | CUSIP: 23332UAU8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    369732 | PA      | $408.92       | 0.00%             | 2044-11-19      | Variable      | 0.01%                 | No            | 2                  | On Loan: No      |
| Deephaven Residential Mortgage                                    | Deephaven Residential Mortgage Trust 2021-2                          | CUSIP: 24381WAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    300000 | PA      | $189978.30    | 0.03%             | 2066-04-25      | Variable      | 3.17%                 | Yes           | 2                  | On Loan: No      |
| FIRST EAGLE ALTERNATIVE                                           | First Eagle Alternative Capital BDC, Inc.                            | CUSIP: 26943B407<br>LEI: ZPFGW6VV73M9CW4FN909 | Long             | EP               | CORP              | US        |     12181 | NS      | $280893.86    | 0.05%             |  |  |  | No            | 1                  | On Loan: No      |
| Eagle Re Ltd                                                      | Eagle RE 2021-2 Ltd.                                                 | CUSIP: 26982AAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | BM        |    500000 | PA      | $450497.00    | 0.08%             | 2034-04-25      | Floating      | 8.18%                 | Yes           | 2                  | On Loan: No      |
| Eagle Re Ltd                                                      | Eagle RE 2020-1 Ltd.                                                 | CUSIP: 26982LAD2<br>LEI: 254900SAV74IHXQ8XY35 | Long             | ABS-MBS          | CORP              | BM        |    750000 | PA      | $702293.25    | 0.12%             | 2030-01-25      | Floating      | 6.39%                 | Yes           | 2                  | On Loan: No      |
| Eagle Re Ltd                                                      | Eagle RE 2020-1 Ltd.                                                 | CUSIP: 26982LAH3<br>LEI: 254900SAV74IHXQ8XY35 | Long             | ABS-MBS          | CORP              | BM        |    550000 | PA      | $511106.75    | 0.09%             | 2030-01-25      | Floating      | 7.24%                 | Yes           | 2                  | On Loan: No      |
| Eagle Re Ltd                                                      | Eagle RE 2021-1 Ltd.                                                 | CUSIP: 26983BAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    300000 | PA      | $291378.60    | 0.05%             | 2033-10-25      | Floating      | 8.38%                 | Yes           | 2                  | On Loan: No      |
| EURO FORWARDVIREMAIN CONTRACT  01/20/2023   /                     | EURO FORWARDVIREMAIN CONTRACT  01/20/2023   /                        | CUSIP: 999999999<br>LEI: N/A                  | N/A              | DFE              |  | XX        |   -170000 | OU      | $-182253.84   | -0.03%            |  |  |  | No            | 1                  | On Loan: No      |
| EURO FORWARDVIREMAIN CONTRACT  01/22/2024   /                     | EURO FORWARDVIREMAIN CONTRACT  01/22/2024   /                        | CUSIP: 999999999<br>LEI: N/A                  | N/A              | DFE              |  | XX        |   -130000 | OU      | $-142685.85   | -0.02%            |  |  |  | No            | 1                  | On Loan: No      |
| EURO FORWARDVIREMAIN CONTRACT  04/21/2023   /                     | EURO FORWARDVIREMAIN CONTRACT  04/21/2023   /                        | CUSIP: 999999999<br>LEI: N/A                  | N/A              | DFE              |  | XX        |   -210000 | OU      | $-226407.83   | -0.04%            |  |  |  | No            | 1                  | On Loan: No      |
| EURO FORWARDVIREMAIN CONTRACT  04/22/2024   /                     | EURO FORWARDVIREMAIN CONTRACT  04/22/2024   /                        | CUSIP: 999999999<br>LEI: N/A                  | N/A              | DFE              |  | XX        |  -2730000 | OU      | $-3014333.36  | -0.53%            |  |  |  | No            | 1                  | On Loan: No      |
| EURO FORWARDVIREMAIN CONTRACT  07/21/2023   /                     | EURO FORWARDVIREMAIN CONTRACT  07/21/2023   /                        | CUSIP: 999999999<br>LEI: N/A                  | N/A              | DFE              |  | XX        |   -150000 | OU      | $-162670.36   | -0.03%            |  |  |  | No            | 1                  | On Loan: No      |
| EURO FORWARDVIREMAIN CONTRACT  07/22/2024   /                     | EURO FORWARDVIREMAIN CONTRACT  07/22/2024   /                        | CUSIP: 999999999<br>LEI: N/A                  | N/A              | DFE              |  | XX        |  -3210000 | OU      | $-3565663.00  | -0.62%            |  |  |  | No            | 1                  | On Loan: No      |
| EURO FORWARDVIREMAIN CONTRACT  10/20/2023   /                     | EURO FORWARDVIREMAIN CONTRACT  10/20/2023   /                        | CUSIP: 999999999<br>LEI: N/A                  | N/A              | DFE              |  | XX        |   -160000 | OU      | $-174540.88   | -0.03%            |  |  |  | No            | 1                  | On Loan: No      |
| EURO FORWARDVIREMAIN CONTRACT  11/08/2023   /                     | EURO FORWARDVIREMAIN CONTRACT  11/08/2023   /                        | CUSIP: 999999999<br>LEI: N/A                  | N/A              | DFE              |  | XX        |  -6825000 | OU      | $-7454461.34  | -1.30%            |  |  |  | No            | 1                  | On Loan: No      |
| Exeter Automobile Receivables                                     | Exeter Automobile Receivables Trust 2022-4                           | CUSIP: 30166BAG7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    300000 | PA      | $273231.00    | 0.05%             | 2030-03-15      | Fixed         | 8.23%                 | Yes           | 2                  | On Loan: No      |
| Freddie Mac - STACR                                               | Freddie Mac Structured Agency Credit Risk Debt Notes                 | CUSIP: 3137G1CW5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | CORP              | US        |    249154 | PA      | $179488.38    | 0.03%             | 2048-05-25      | Variable      | 3.84%                 | Yes           | 2                  | On Loan: No      |
| Freddie Mac - STACR                                               | Freddie Mac Structured Agency Credit Risk Debt Notes                 | CUSIP: 3137G1DF1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | CORP              | US        |    365056 | PA      | $272498.80    | 0.05%             | 2048-08-25      | Variable      | 4.16%                 | Yes           | 2                  | On Loan: No      |
| Freddie Mac - STACR                                               | Freddie Mac Structured Agency Credit Risk Debt Notes                 | CUSIP: 3137G1DQ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | CORP              | US        |    189983 | PA      | $132073.09    | 0.02%             | 2048-11-25      | Variable      | 4.51%                 | Yes           | 2                  | On Loan: No      |
| First Investors Auto Owner Tru                                    | First Investors Auto Owner Trust 2022-1                              | CUSIP: 32057KAE0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    250000 | PA      | $227049.25    | 0.04%             | 2029-06-15      | Fixed         | 5.41%                 | Yes           | 2                  | On Loan: No      |
| Foursight Capital Automobile R                                    | Foursight Capital Automobile Receivables Trust 2022-2                | CUSIP: 34660DAF8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    200000 | PA      | $192177.20    | 0.03%             | 2029-10-15      | Fixed         | 7.09%                 | Yes           | 2                  | On Loan: No      |
| Foursight Capital Automobile R                                    | Foursight Capital Automobile Receivables Trust 2020-1                | CUSIP: 35105FAH9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    200000 | PA      | $195440.80    | 0.03%             | 2027-06-15      | Fixed         | 4.62%                 | Yes           | 2                  | On Loan: No      |
| Freddie Mac - STACR                                               | Freddie Mac Structured Agency Credit Risk Debt Notes                 | CUSIP: 35564KDY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | CORP              | US        |    250000 | PA      | $213172.50    | 0.04%             | 2033-08-25      | Floating      | 9.93%                 | Yes           | 2                  | On Loan: No      |
| Freddie Mac - STACR                                               | Freddie Mac STACR REMIC Trust 2021-DNA6                              | CUSIP: 35564KLV9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $427675.50    | 0.07%             | 2041-10-25      | Floating      | 11.43%                | Yes           | 2                  | On Loan: No      |
| Freddie Mac - STACR                                               | Freddie Mac STACR REMIC Trust 2022-DNA2                              | CUSIP: 35564KSQ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $829293.00    | 0.14%             | 2042-02-25      | Floating      | 12.43%                | Yes           | 2                  | On Loan: No      |
| Freddie Mac - STACR                                               | Freddie Mac STACR REMIC Trust 2022-HQA1                              | CUSIP: 35564KUL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $450958.50    | 0.08%             | 2042-03-25      | Floating      | 14.93%                | Yes           | 2                  | On Loan: No      |
| Freddie Mac - STACR                                               | Freddie Mac Stacr Remic Trust 2020-DNA1                              | CUSIP: 35565HBE4<br>LEI: 5493003FQV7GR462GO02 | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $1729912.00   | 0.30%             | 2050-01-25      | Floating      | 9.64%                 | Yes           | 2                  | On Loan: No      |
| GCAT                                                              | GCAT 2021-NQM6 Trust                                                 | CUSIP: 36167KAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    250000 | PA      | $191104.00    | 0.03%             | 2066-08-25      | Variable      | 3.41%                 | Yes           | 2                  | On Loan: No      |
| GSR Mortgage Loan Trust                                           | GSR Mortgage Loan Trust 2007-AR1                                     | CUSIP: 362290AC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    139483 | PA      | $91552.17     | 0.02%             | 2047-03-25      | Variable      | 3.47%                 | No            | 2                  | On Loan: No      |
| GS Mortgage Securities Trust                                      | GS Mortgage Securities Corp. Trust 2018-TWR                          | CUSIP: 36251SAU2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    300000 | PA      | $240696.00    | 0.04%             | 2031-07-15      | Floating      | 8.49%                 | Yes           | 2                  | On Loan: No      |
| GS Mortgage-Backed Securities                                     | GS Mortgage-Backed Securities Corp. Trust 2020-PJ3                   | CUSIP: 36258WBR2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    419000 | PA      | $202505.63    | 0.04%             | 2050-10-25      | Variable      | 3.42%                 | Yes           | 2                  | On Loan: No      |
| EURO FORWARDVIREMAIN CONTRACT  01/20/2023   /                     | EURO FORWARDVIREMAIN CONTRACT  01/20/2023   /                        | CUSIP: 999999999<br>LEI: N/A                  | N/A              | DFE              |  | XX        |   -180000 | OU      | $-192974.65   | -0.03%            |  |  |  | No            | 1                  | On Loan: No      |
| EURO FORWARDVIREMAIN CONTRACT  01/22/2024   /                     | EURO FORWARDVIREMAIN CONTRACT  01/22/2024   /                        | CUSIP: 999999999<br>LEI: N/A                  | N/A              | DFE              |  | XX        |   -120000 | OU      | $-131710.02   | -0.02%            |  |  |  | No            | 1                  | On Loan: No      |
| EURO FORWARDVIREMAIN CONTRACT  04/21/2023   /                     | EURO FORWARDVIREMAIN CONTRACT  04/21/2023   /                        | CUSIP: 999999999<br>LEI: N/A                  | N/A              | DFE              |  | XX        |   -160000 | OU      | $-172501.20   | -0.03%            |  |  |  | No            | 1                  | On Loan: No      |
| EURO FORWARDVIREMAIN CONTRACT  04/22/2024   /                     | EURO FORWARDVIREMAIN CONTRACT  04/22/2024   /                        | CUSIP: 999999999<br>LEI: N/A                  | N/A              | DFE              |  | XX        |   -110000 | OU      | $-121456.66   | -0.02%            |  |  |  | No            | 1                  | On Loan: No      |
| EURO FORWARDVIREMAIN CONTRACT  07/21/2023   /                     | EURO FORWARDVIREMAIN CONTRACT  07/21/2023   /                        | CUSIP: 999999999<br>LEI: N/A                  | N/A              | DFE              |  | XX        |   -130000 | OU      | $-140980.98   | -0.02%            |  |  |  | No            | 1                  | On Loan: No      |
| EURO FORWARDVIREMAIN CONTRACT  07/19/2024   /                     | EURO FORWARDVIREMAIN CONTRACT  07/19/2024   /                        | CUSIP: 999999999<br>LEI: N/A                  | N/A              | DFE              |  | XX        |    -70000 | OU      | $-77740.46    | -0.01%            |  |  |  | No            | 1                  | On Loan: No      |
| EURO FORWARDVIREMAIN CONTRACT  10/20/2023   /                     | EURO FORWARDVIREMAIN CONTRACT  10/20/2023   /                        | CUSIP: 999999999<br>LEI: N/A                  | N/A              | DFE              |  | XX        |   -120000 | OU      | $-130905.66   | -0.02%            |  |  |  | No            | 1                  | On Loan: No      |
| Hertz Vehicle Financing LLC                                       | Hertz Vehicle Financing III LP                                       | CUSIP: 42806MAH2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $417991.00    | 0.07%             | 2027-12-27      | Fixed         | 4.34%                 | Yes           | 2                  | On Loan: No      |
| Home Re Ltd                                                       | Home RE 2021-1 Ltd.                                                  | CUSIP: 437307AD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | BM        |    500000 | PA      | $467099.00    | 0.08%             | 2033-07-25      | Floating      | 7.24%                 | Yes           | 2                  | On Loan: No      |
| Home Re Ltd                                                       | Home RE 2021-1 Ltd.                                                  | CUSIP: 437307AE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | BM        |    550000 | PA      | $498944.60    | 0.09%             | 2033-07-25      | Floating      | 8.04%                 | Yes           | 2                  | On Loan: No      |
| Home Re Ltd                                                       | Home RE 2022-1 Ltd.                                                  | CUSIP: 43730GAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    250000 | PA      | $234038.00    | 0.04%             | 2034-10-25      | Floating      | 9.43%                 | Yes           | 2                  | On Loan: No      |
| Home Re Ltd                                                       | Home RE 2021-2 Ltd.                                                  | CUSIP: 43730VAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | BM        |    200000 | PA      | $185625.60    | 0.03%             | 2034-01-25      | Floating      | 6.73%                 | Yes           | 2                  | On Loan: No      |
| Home Re Ltd                                                       | Home RE 2021-2 Ltd.                                                  | CUSIP: 43730VAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | BM        |    500000 | PA      | $429760.00    | 0.07%             | 2034-01-25      | Floating      | 7.18%                 | Yes           | 2                  | On Loan: No      |
| JP Morgan Mortgage Trust                                          | JP Morgan Mortgage Trust 2022-INV2                                   | CUSIP: 465975AX8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1410000 | PA      | $505260.81    | 0.09%             | 2052-07-25      | Variable      | 3.35%                 | Yes           | 2                  | On Loan: No      |
| JP Morgan Mortgage Trust                                          | J.P. Morgan Mortgage Trust 2022-1                                    | CUSIP: 46654WCL3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    489933 | PA      | $324491.61    | 0.06%             | 2052-07-25      | Variable      | 3.10%                 | Yes           | 2                  | On Loan: No      |
| EURO FORWARDVIREMAIN CONTRACT 01/19/2024   /                      | EURO FORWARDVIREMAIN CONTRACT 01/19/2024   /                         | CUSIP: 999999999<br>LEI: N/A                  | N/A              | DFE              |  | XX        |    -80000 | OU      | $-87789.46    | -0.02%            |  |  |  | No            | 1                  | On Loan: No      |
| EURO FORWARDVIREMAIN CONTRACT 04/19/2023   /                      | EURO FORWARDVIREMAIN CONTRACT 04/19/2023   /                         | CUSIP: 999999999<br>LEI: N/A                  | N/A              | DFE              |  | XX        |    -80000 | OU      | $-86239.53    | -0.02%            |  |  |  | No            | 1                  | On Loan: No      |
| EURO FORWARDVIREMAIN CONTRACT  04/19/2024   /                     | EURO FORWARDVIREMAIN CONTRACT  04/19/2024   /                        | CUSIP: 999999999<br>LEI: N/A                  | N/A              | DFE              |  | XX        |    -90000 | OU      | $-99354.03    | -0.02%            |  |  |  | No            | 1                  | On Loan: No      |
| EURO FORWARDVIREMAIN CONTRACT 07/19/2023   /                      | EURO FORWARDVIREMAIN CONTRACT 07/19/2023   /                         | CUSIP: 999999999<br>LEI: N/A                  | N/A              | DFE              |  | XX        |    -90000 | OU      | $-97589.61    | -0.02%            |  |  |  | No            | 1                  | On Loan: No      |
| EURO FORWARDVIREMAIN CONTRACT 10/19/2023   /                      | EURO FORWARDVIREMAIN CONTRACT 10/19/2023   /                         | CUSIP: 999999999<br>LEI: N/A                  | N/A              | DFE              |  | XX        |   -120000 | OU      | $-130897.16   | -0.02%            |  |  |  | No            | 1                  | On Loan: No      |
| LendingPoint Asset Securitizat                                    | Lendingpoint 2022-B Asset Securitization Trust                       | CUSIP: 52606WAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    100000 | PA      | $94955.50     | 0.02%             | 2029-10-15      | Fixed         | 8.45%                 | Yes           | 2                  | On Loan: No      |
| Magnetite CLO Ltd                                                 | Magnetite XVI Ltd.                                                   | CUSIP: 55953PAJ4<br>LEI: 549300Z3WHVYABE20I45 | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $217842.50    | 0.04%             | 2028-01-18      | Floating      | 10.69%                | Yes           | 2                  | On Loan: No      |
| MED Trust                                                         | Med Trust 2021-MDLN                                                  | CUSIP: 58403YAX4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    250000 | PA      | $231109.75    | 0.04%             | 2038-11-15      | Floating      | 8.32%                 | Yes           | 2                  | On Loan: No      |
| Saranac CLO LTD                                                   | Saranac Clo VIII Ltd.                                                | CUSIP: 80316RAA9<br>LEI: 5493002KTJG5M0SYTB50 | Long             | ABS-CBDO         | CORP              | JE        |    250000 | PA      | $206089.25    | 0.04%             | 2033-02-20      | Floating      | 12.80%                | Yes           | 2                  | On Loan: No      |
| Star Trust                                                        | STAR 2021-SFR1 Trust                                                 | CUSIP: 85521DAL6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    100000 | PA      | $92874.10     | 0.02%             | 2038-04-17      | Floating      | 6.74%                 | Yes           | 2                  | On Loan: No      |
| Genworth Mortgage Insurance Co                                    | Triangle Re 2021-2 Ltd.                                              | CUSIP: 89600GAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | BM        |    100000 | PA      | $99354.80     | 0.02%             | 2033-10-25      | Floating      | 6.99%                 | Yes           | 2                  | On Loan: No      |
| Genworth Mortgage Insurance Co                                    | Triangle Re 2021-3 Ltd.                                              | CUSIP: 89600HAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | BM        |   1030000 | PA      | $967940.44    | 0.17%             | 2034-02-25      | Floating      | 6.83%                 | Yes           | 2                  | On Loan: No      |
| Genworth Mortgage Insurance Co                                    | Triangle Re 2021-3 Ltd.                                              | CUSIP: 89600HAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | BM        |    500000 | PA      | $426997.00    | 0.07%             | 2034-02-25      | Floating      | 7.68%                 | Yes           | 2                  | On Loan: No      |
| Upstart Securitization Trust                                      | Upstart Securitization Trust 2021-5                                  | CUSIP: 91679JAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    200000 | PA      | $167121.40    | 0.03%             | 2031-11-20      | Fixed         | 4.15%                 | Yes           | 2                  | On Loan: No      |
| Upstart Securitization Trust                                      | Upstart Securitization Trust 2021-3                                  | CUSIP: 91679LAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    200000 | PA      | $172403.80    | 0.03%             | 2031-07-20      | Fixed         | 3.28%                 | Yes           | 2                  | On Loan: No      |
| Veros Auto Receivables Trust                                      | Veros Automobile Receivables Trust 2020-1                            | CUSIP: 92511FAD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     40000 | PA      | $39694.60     | 0.01%             | 2027-02-16      | Fixed         | 5.64%                 | Yes           | 2                  | On Loan: No      |
| Veros Auto Receivables Trust                                      | Veros Auto Receivables Trust 2022-1                                  | CUSIP: 92512VAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    100000 | PA      | $94620.80     | 0.02%             | 2029-07-16      | Fixed         | 7.23%                 | Yes           | 2                  | On Loan: No      |
| Verus Securitization Trust                                        | Verus Securitization Trust 2020-5                                    | CUSIP: 92538CAF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    900000 | PA      | $689866.20    | 0.12%             | 2065-05-25      | Variable      | 4.71%                 | Yes           | 2                  | On Loan: No      |
| Verus Securitization Trust                                        | Verus Securitization Trust 2021-8                                    | CUSIP: 92538GAF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    812000 | PA      | $502450.98    | 0.09%             | 2066-11-25      | Variable      | 4.33%                 | Yes           | 2                  | On Loan: No      |
| Verus Securitization Trust                                        | Verus Securitization Trust 2021-5                                    | CUSIP: 92538KAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    300000 | PA      | $219649.50    | 0.04%             | 2066-09-25      | Variable      | 2.33%                 | Yes           | 2                  | On Loan: No      |
| Verus Securitization Trust                                        | Verus Securitization Trust 2022-7                                    | CUSIP: 92539NAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    250000 | PA      | $218735.50    | 0.04%             | 2067-07-25      | Variable      | 5.41%                 | Yes           | 2                  | On Loan: No      |
| WAMU Mortgage Pass-Through Cer                                    | WaMu Mortgage Pass-Through Certificates Series 2006-AR18 Trust       | CUSIP: 933637AG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     23361 | PA      | $20229.85     | 0.00%             | 2037-01-25      | Variable      | 3.22%                 | No            | 2                  | On Loan: No      |
| Wells Fargo Mortgage Loan Trus                                    | Wells Fargo Mortgage Loan 2010-RR2 Trust                             | CUSIP: 94986XAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    166582 | PA      | $124810.99    | 0.02%             | 2035-09-27      | Variable      | 3.49%                 | Yes           | 2                  | On Loan: No      |
| Western Alliance Bank                                             | Western Mortgage Reference Notes Series 2021-CL2                     | CUSIP: 95763PER8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    440622 | PA      | $409361.58    | 0.07%             | 2059-07-25      | Floating      | 9.28%                 | Yes           | 2                  | On Loan: No      |
| Western Alliance Bank                                             | Western Mortgage Reference Notes Series 2021-CL2                     | CUSIP: 95763PES6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    448241 | PA      | $414933.26    | 0.07%             | 2059-07-25      | Floating      | 10.43%                | Yes           | 2                  | On Loan: No      |
| XCALI 2020-1 Mortgage Trust                                       | XCALI 2020-1 Mortgage Trust                                          | CUSIP: 98370AAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     81250 | PA      | $80807.19     | 0.01%             | 2023-01-22      | Floating      | 11.62%                | Yes           | 2                  | On Loan: No      |
| XAI OCTAGON FLT RT ALT                                            | XAI Octagon Floating Rate Alternative Income Term Trust              | CUSIP: 98400T205<br>LEI: 549300XT617P63BLW552 | Long             | EP               | CORP              | US        |      2134 | NS      | $53456.70     | 0.01%             |  |  |  | No            | 1                  | On Loan: No      |
| Ares Acquisition Corp                                             | Ares Acquisition Corp. - Class A                                     | CUSIP: G33032106<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     50000 | NS      | $503500.00    | 0.09%             |  |  |  | No            | 1                  | On Loan: No      |
| Ares Acquisition Corp                                             | Ares Acquisition Corp.                                               | CUSIP: G33032114<br>LEI: N/A                  | Long             |  | CORP              | US        |     36883 | NS      | $375100.11    | 0.07%             |  |  |  | No            | 1                  | On Loan: No      |
| ARES ACQUISITION CORP-A                                           | Ares Acquisition Corp.                                               | CUSIP: G33032122<br>LEI: N/A                  | N/A              | DE               | CORP              | US        |     10000 | NC      | $4663.00      | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| Atlas Air Worldwide Holdings I                                    | Atlas Air Worldwide Holdings, Inc.                                   | CUSIP: 049164205<br>LEI: 549300R0A2TUVCYZB465 | Long             | EC               | CORP              | US        |      1099 | NS      | $110779.20    | 0.02%             |  |  |  | No            | 1                  | On Loan: No      |
| ABG Acquisition Corp I                                            | ABG Acquisition Corp. I - Class A                                    | CUSIP: G00496102<br>LEI: N/A                  | Long             | EC               | CORP              | US        |        94 | NS      | $948.46       | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| ABIOMED, Inc. CONTINGENT VALUE RHT   /                            | ABIOMED, Inc. CONTINGENT VALUE RHT   /                               | CUSIP: 999999999<br>LEI: N/A                  | N/A              | DE               | CORP              | US        |       481 | NC      | $490.62       | 0.00%             |  |  |  | No            | 3                  | On Loan: No      |
| Fannie Mae - CAS                                                  | Connecticut Avenue Securities Trust 2019-R03                         | CUSIP: 20753MAF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6655 | PA      | $6639.77      | 0.00%             | 2031-09-25      | Floating      | 6.54%                 | Yes           | 2                  | On Loan: No      |
| Fannie Mae - CAS                                                  | Connecticut Avenue Securities Trust 2019-R01                         | CUSIP: 20754FAK8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     18497 | PA      | $18454.59     | 0.00%             | 2031-07-25      | Floating      | 6.84%                 | Yes           | 2                  | On Loan: No      |
| VIVEON HEALTH ACQUISITION CO                                      | Viveon Health Acquisition Corp.                                      | CUSIP: 92853V114<br>LEI: N/A                  | N/A              | DE               | CORP              | US        |      1805 | NC      | $90.25        | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| Vahanna Tech Edge Acquisition                                     | Vahanna Tech Edge Acquisition I Corp. - Class A                      | CUSIP: G9320Z109<br>LEI: N/A                  | Long             | EC               | CORP              | US        |       838 | NS      | $8623.02      | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| VAHANNA TECH EDGE ACQUISI-A                                       | Vahanna Tech Edge Acquisition I Corp.                                | CUSIP: G9320Z117<br>LEI: N/A                  | N/A              | DE               | CORP              | US        |       419 | NC      | $4.40         | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| 7GC & Co Holdings Inc                                             | 7GC & Co. Holdings, Inc. - Class A                                   | CUSIP: 81786A107<br>LEI: N/A                  | Long             | EC               | CORP              | US        |       136 | NS      | $1365.44      | 0.00%             |  |  |  | No            | 3                  | On Loan: No      |
| 7GC & CO HOLDINGS INC -CL A                                       | 7GC & Co. Holdings, Inc.                                             | CUSIP: 81786A115<br>LEI: N/A                  | N/A              | DE               | CORP              | US        |        68 | NC      | $4.76         | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| Meridian Bioscience Inc                                           | Meridian Bioscience, Inc.                                            | CUSIP: 589584101<br>LEI: 549300ELSRZEFFFRX195 | Long             | EC               | CORP              | US        |      6837 | NS      | $227056.77    | 0.04%             |  |  |  | No            | 1                  | On Loan: No      |
| WALLEYE OPPORTUNITIE LP   /                                       | WALLEYE OPPORTUNITIE LP   /                                          | CUSIP: 999999999<br>LEI: N/A                  | Long             | EC               | RF                | US        |         1 | NS      | $12774358.63  | 2.23%             |  |  |  | Yes           | N/A                | On Loan: No      |
| Integrated Wellness Acquisitio                                    | Integrated Wellness Acquisition Corp. - Class A                      | CUSIP: G4828B100<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      2354 | NS      | $24269.74     | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| INTEGRATED WELLNESS ACQ - A                                       | Integrated Wellness Acquisition Corp.                                | CUSIP: G4828B118<br>LEI: N/A                  | N/A              | DE               | CORP              | US        |      1177 | NC      | $58.85        | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| WELLBOURNE FIRST OUT TERM LOAN   /                                | WELLBOURNE FIRST OUT TERM LOAN   /                                   | CUSIP: 999999999<br>LEI: N/A                  | Long             | LON              | CORP              | US        |   1586711 | PA      | $1570844.05   | 0.27%             | 2024-12-31      | Variable      | 11.40%                | No            | 3                  | On Loan: No      |
| WELLBOURNE LAST OUT TERM LOAN   /                                 | WELLBOURNE LAST OUT TERM LOAN   /                                    | CUSIP: 999999999<br>LEI: N/A                  | Long             | LON              | CORP              | US        |   2015264 | PA      | $1985034.98   | 0.35%             | 2024-12-31      | Variable      | 14.83%                | No            | 3                  | On Loan: No      |
| WHITEHAWK GLASSHOUSE TERM LOAN   /                                | WHITEHAWK GLASSHOUSE TERM LOAN   /                                   | CUSIP: 999999999<br>LEI: N/A                  | Long             | LON              | CORP              | US        |   3500000 | PA      | $3202500.00   | 0.56%             | 2026-12-10      | Variable      | 16.50%                | No            | 3                  | On Loan: No      |
| WHITEHAWK CHERCO TERM LOAN   /                                    | WHITEHAWK CHERCO TERM LOAN   /                                       | CUSIP: 999999999<br>LEI: N/A                  | Long             | LON              | CORP              | US        |   7500000 | PA      | $7387500.00   | 1.29%             | 2025-09-01      | Variable      | 15.41%                | No            | 3                  | On Loan: No      |
| WHITEHAWK IFIT TERM LOAN   /                                      | WHITEHAWK IFIT TERM LOAN   /                                         | CUSIP: 999999999<br>LEI: N/A                  | Long             | LON              | CORP              | US        |   5506688 | PA      | $5341487.55   | 0.93%             | 2023-02-22      | Variable      | 17.76%                | No            | 3                  | On Loan: No      |
| WHITEHAWK IFIT WARRANTS   /                                       | WHITEHAWK IFIT WARRANTS   /                                          | CUSIP: 999999999<br>LEI: N/A                  | N/A              | DE               | CORP              | US        |   1235429 | NC      | $0.00         | 0.00%             |  |  |  | No            | 3                  | On Loan: No      |
| WHITEHAWK NOVA TERM LOAN   /                                      | WHITEHAWK NOVA TERM LOAN   /                                         | CUSIP: 999999999<br>LEI: N/A                  | Long             | LON              | CORP              | US        |   8674512 | PA      | $8761257.53   | 1.53%             | 2025-09-01      | None          | 11.63%                | No            | 3                  | On Loan: No      |
| WHITEHAWK PWCC TERM LOAN   /                                      | WHITEHAWK PWCC TERM LOAN   /                                         | CUSIP: 999999999<br>LEI: N/A                  | Long             | LON              | CORP              | US        |   8601977 | PA      | $8386927.30   | 1.46%             | 2025-09-06      | None          | 10.91%                | No            | 3                  | On Loan: No      |
| WHITEHAWK SHRYNE TERM LOAN   /                                    | WHITEHAWK SHRYNE TERM LOAN   /                                       | CUSIP: 999999999<br>LEI: N/A                  | Long             | LON              | CORP              | US        |  10250000 | PA      | $10045000.00  | 1.75%             | 2026-05-26      | None          | 14.75%                | No            | 3                  | On Loan: No      |
| WHITEHAWK STRONGHOLD TERM LOAN   /                                | WHITEHAWK STRONGHOLD TERM LOAN   /                                   | CUSIP: 999999999<br>LEI: N/A                  | Long             | LON              | CORP              | US        |   9479167 | PA      | $9289583.34   | 1.62%             | 2025-11-16      | Variable      | 3.80%                 | No            | 3                  | On Loan: No      |
| Welsbach Technology Metals Acq                                    | Welsbach Technology Metals Acquisition Corp.                         | CUSIP: 950415208<br>LEI: N/A                  | Long             |  | CORP              | US        |      3680 | NS      | $37425.60     | 0.01%             |  |  |  | No            | 1                  | On Loan: No      |
| Worldwide Webb Acquisition Cor                                    | Worldwide Webb Acquisition Corp. - Class A                           | CUSIP: G97775103<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      3044 | NS      | $30927.04     | 0.01%             |  |  |  | No            | 1                  | On Loan: No      |
| Worldwide Webb Acquisition Cor                                    | Worldwide Webb Acquisition Corp.                                     | CUSIP: G97775129<br>LEI: N/A                  | Long             |  | CORP              | US        |         1 | NS      | $9.90         | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| WORLDWIDE WEBB ACQUISITION-A                                      | Worldwide Webb Acquisition Corp.                                     | CUSIP: G97775111<br>LEI: N/A                  | N/A              | DE               | CORP              | US        |      1522 | NC      | $17.35        | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| Invesco Dynamic Credit Opportu                                    | Invesco Dynamic Credit Opportunity Fund - Class AX                   | CUSIP: 46091B207<br>LEI: UJGJ6DJQ6L11ZHIVZG65 | Long             |  | RF                | US        |     32823 | NS      | $367290.48    | 0.06%             |  |  |  | No            | 1                  | On Loan: No      |
| ExcelFin Acquisition Corp                                         | ExcelFin Acquisition Corp. - Class A                                 | CUSIP: 30069X102<br>LEI: N/A                  | Long             | EC               | CORP              | US        |       592 | NS      | $6038.40      | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| EXCELFIN ACQUISITION CORP-A                                       | ExcelFin Acquisition Corp.                                           | CUSIP: 30069X110<br>LEI: N/A                  | N/A              | DE               | CORP              | US        |       296 | NC      | $2.96         | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| Power & Digital Infrastructure                                    | Power & Digital Infrastructure Acquisition II Corp.                  | CUSIP: 73919C209<br>LEI: N/A                  | Long             |  | CORP              | US        |      3529 | NS      | $35501.74     | 0.01%             |  |  |  | No            | 1                  | On Loan: No      |
| Conversus Stepstone Private Ma                                    | Conversus Stepstone Private Markets - Class I USD                    | CUSIP: 21255V406<br>LEI: 5493006A54UB4YP8H777 | Long             |  | RF                | US        |    422519 | NS      | $18390447.08  | 3.21%             |  |  |  | Yes           | N/A                | On Loan: No      |
| TPG Pace Beneficial II Corp                                       | TPG Pace Beneficial II Corp. - Class A                               | CUSIP: G89826104<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     22243 | NS      | $218537.48    | 0.04%             |  |  |  | No            | 1                  | On Loan: No      |
| ZEROFOX HOLDINGS INC                                              | ZeroFox Holdings, Inc.                                               | CUSIP: 98955G111<br>LEI: N/A                  | N/A              | DE               | CORP              | US        |       519 | NC      | $78.63        | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| Jones Lang LaSalle Income Prop                                    | Jones Lang LaSalle Income Property Trust, Inc. - Class M-I           | CUSIP: 48021R401<br>LEI: 549300XETD49ZVNAAQ35 | Long             |  | RF                | US        |   1439175 | NS      | $20695336.51  | 3.61%             |  |  |  | No            | 1                  | On Loan: No      |
| ZYVERSA THERAPEUTICS INC                                          | ZyVersa Therapeutics, Inc.                                           | CUSIP: 98987D110<br>LEI: N/A                  | N/A              | DE               | CORP              | US        |      2673 | NC      | $187.11       | 0.00%             |  |  |  | No            | 3                  | On Loan: No      |
| Medicus Sciences Acquisition C                                    | Medicus Sciences Acquisition Corp. - Class A                         | CUSIP: G5960S108<br>LEI: N/A                  | Long             | EC               | CORP              | US        |       474 | NS      | $4754.22      | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| MEDICUS SCIENCES ACQUISITI-A                                      | Medicus Sciences Acquisition Corp.                                   | CUSIP: G5960S124<br>LEI: N/A                  | N/A              | DE               | CORP              | US        |        52 | NC      | $4.58         | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| MSD Acquisition Corp                                              | MSD Acquisition Corp. - Class A                                      | CUSIP: G5709C109<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     59983 | NS      | $605828.30    | 0.11%             |  |  |  | No            | 1                  | On Loan: No      |
| MSP RECOVERY INC                                                  | MSP Recovery, Inc.                                                   | CUSIP: 553745118<br>LEI: N/A                  | N/A              | DE               | CORP              | US        |       770 | NC      | $1131.90      | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| Metal Sky Star Acquisition Cor                                    | Metal Sky Star Acquisition Corp.                                     | CUSIP: G6053N139<br>LEI: N/A                  | Long             |  | CORP              | US        |     20035 | NS      | $198947.55    | 0.03%             |  |  |  | No            | 1                  | On Loan: No      |
| Monterey Bio Acquisition Corp                                     | Monterey Bio Acquisition Corp.                                       | CUSIP: 61240F108<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      2256 | NS      | $23281.92     | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| MONTEREY BIO ACQUISITION COR                                      | Monterey Bio Acquisition Corp.                                       | CUSIP: 61240F116<br>LEI: N/A                  | N/A              | DE               | CORP              | US        |      2256 | NC      | $45.12        | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| MSILF Government Portfolio                                        | MSILF Government Portfolio - Class Institutional USD INC             | CUSIP: 61747C707<br>LEI: 549300BI6Y5SI6BYPB26 | Long             | STIV             | RF                | US        |  56686664 | PA      | $56686664.44  | 9.89%             |  |  |  | No            | 1                  | On Loan: No      |
| Newbury Street Acquisition Cor                                    | Newbury Street Acquisition Corp.                                     | CUSIP: 65101L104<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     27670 | NS      | $276700.00    | 0.05%             |  |  |  | No            | 1                  | On Loan: No      |
| NEWBURY STREET ACQUISITION C                                      | Newbury Street Acquisition Corp.                                     | CUSIP: 65101L112<br>LEI: N/A                  | N/A              | DE               | CORP              | US        |      1335 | NC      | $93.45        | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| Newcourt Acquisition Corp                                         | Newcourt Acquisition Corp. - Class A                                 | CUSIP: G6448C103<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      1186 | NS      | $12180.22     | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| NEWCOURT ACQUISITION CORP-A                                       | Newcourt Acquisition Corp.                                           | CUSIP: G6448C129<br>LEI: N/A                  | N/A              | DE               | CORP              | US        |       593 | NC      | $6.11         | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| Nabors Energy Transition Corp                                     | Nabors Energy Transition Corp. - Class A                             | CUSIP: 629567108<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      1684 | NS      | $17294.68     | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| NABORS ENERGY TRANSITION - A                                      | Nabors Energy Transition Corp.                                       | CUSIP: 629567116<br>LEI: N/A                  | N/A              | DE               | CORP              | US        |       842 | NC      | $48.84        | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| Noble Rock Acquisition Corp                                       | Noble Rock Acquisition Corp. - Class A                               | CUSIP: G6546R101<br>LEI: N/A                  | Long             | EC               | CORP              | US        |       711 | NS      | $7181.10      | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| Noble Rock Acquisition Corp                                       | Noble Rock Acquisition Corp.                                         | CUSIP: G6546R127<br>LEI: N/A                  | Long             |  | CORP              | US        |         2 | NS      | $20.22        | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| NOBLE ROCK ACQUISITION COR-A                                      | Noble Rock Acquisition Corp.                                         | CUSIP: G6546R119<br>LEI: N/A                  | N/A              | DE               | CORP              | US        |       237 | NC      | $11.87        | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| NorthView Acquisition Corp                                        | NorthView Acquisition Corp.                                          | CUSIP: 66718N103<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      3780 | NS      | $38291.40     | 0.01%             |  |  |  | No            | 1                  | On Loan: No      |
| NorthView Acquisition Corp                                        | NorthView Acquisition Corp.                                          | CUSIP: 66718N129<br>LEI: N/A                  | N/A              | DE               | CORP              | US        |      3780 | NC      | $652.05       | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| NORTHVIEW ACQUISITION CORP                                        | NorthView Acquisition Corp.                                          | CUSIP: 66718N111<br>LEI: N/A                  | N/A              | DE               | CORP              | US        |      1890 | NC      | $67.10        | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| NUVEEN REAL ESTATE U.S. Cities Industr Fd   /                     | NUVEEN REAL ESTATE U.S. Cities Industr Fd   /                        | CUSIP: 999999999<br>LEI: N/A                  | Long             | EC               | RF                | US        |         1 | NS      | $5088022.67   | 0.89%             |  |  |  | Yes           | N/A                | On Loan: No      |
| NUVEEN REAL ESTATE U.S. CITIES MULTI LP   /                       | NUVEEN REAL ESTATE U.S. CITIES MULTI LP   /                          | CUSIP: 999999999<br>LEI: N/A                  | Long             | EC               | RF                | US        |         1 | NS      | $9992406.88   | 1.74%             |  |  |  | Yes           | N/A                | On Loan: No      |
| New Vista Acquisition Corp                                        | New Vista Acquisition Corp. - Class A                                | CUSIP: G6529L105<br>LEI: N/A                  | Long             | EC               | CORP              | US        |         9 | NS      | $90.72        | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| NEW VISTA ACQUISITION CORP-A                                      | New Vista Acquisition Corp.                                          | CUSIP: G6529L121<br>LEI: N/A                  | N/A              | DE               | CORP              | US        |         3 | NC      | $0.17         | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| New York Community Bancorp Inc                                    | New York Community Bancorp, Inc.                                     | CUSIP: 649445103<br>LEI: 529900HVXOTLY61GL030 | Long             | EC               | CORP              | US        |      7395 | NS      | $63597.00     | 0.01%             |  |  |  | No            | 1                  | On Loan: No      |
| New York Community Bancorp Inc                                    | New York Community Bancorp, Inc.                                     | CUSIP: 649445103<br>LEI: 529900HVXOTLY61GL030 | Short            | EC               | CORP              | US        |     -7403 | NS      | $-63665.80    | -0.01%            |  |  |  | No            | 1                  | On Loan: No      |
| OAK St (*** Please punctuate:  St. or State ***) REAL EST LP    / | OAK St (*** Please punctuate:  St. or State ***) REAL EST LP    /    | CUSIP: 999999999<br>LEI: N/A                  | Long             | EC               | RF                | US        |         1 | NS      | $14089727.00  | 2.46%             |  |  |  | Yes           | N/A                | On Loan: No      |
| OPY Acquisition Corp I                                            | OPY Acquisition Corp. I - Class A                                    | CUSIP: 671005106<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      3528 | NS      | $35915.04     | 0.01%             |  |  |  | No            | 3                  | On Loan: No      |
| OPY Acquisition Corp I                                            | OPY Acquisition Corp. I                                              | CUSIP: 671005205<br>LEI: N/A                  | Long             |  | CORP              | US        |         1 | NS      | $10.00        | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| OPY ACQUISITION CORP I - A                                        | OPY Acquisition Corp. I                                              | CUSIP: 671005114<br>LEI: N/A                  | N/A              | DE               | CORP              | US        |      1764 | NC      | $79.38        | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| OmniLit Acquisition Corp                                          | OmniLit Acquisition Corp. - Class A                                  | CUSIP: 68218C108<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      2288 | NS      | $22788.48     | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| OMNILIT ACQUISITION CORP-A                                        | OmniLit Acquisition Corp.                                            | CUSIP: 68218C116<br>LEI: N/A                  | N/A              | DE               | CORP              | US        |      1144 | NC      | $37.29        | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| 1Life Healthcare Inc                                              | 1Life Healthcare, Inc.                                               | CUSIP: 68269G107<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      9646 | NS      | $161184.66    | 0.03%             |  |  |  | No            | 1                  | On Loan: No      |
| Onyx Acquisition Co I                                             | Onyx Acquisition Co. I - Class A                                     | CUSIP: G6755Q109<br>LEI: N/A                  | Long             | EC               | CORP              | US        |       554 | NS      | $5706.20      | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| ONYX ACQUISITION CO I-CL A                                        | Onyx Acquisition Co. I                                               | CUSIP: G6755Q117<br>LEI: N/A                  | N/A              | DE               | CORP              | US        |       277 | NC      | $9.72         | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| Orion Biotech Opportunities Co                                    | Orion Biotech Opportunities Corp. - Class A                          | CUSIP: G6780C109<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      2500 | NS      | $25125.00     | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| Orion Biotech Opportunities Co                                    | Orion Biotech Opportunities Corp.                                    | CUSIP: G6780C125<br>LEI: N/A                  | Long             |  | CORP              | US        |         4 | NS      | $39.08        | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| ORION BIOTECH OPPORTUNITI-A                                       | Orion Biotech Opportunities Corp.                                    | CUSIP: G6780C117<br>LEI: N/A                  | N/A              | DE               | CORP              | US        |       500 | NC      | $81.70        | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| PROSOMNUS INC                                                     | ProSomnus, Inc.                                                      | CUSIP: 50535E116<br>LEI: N/A                  | N/A              | DE               | CORP              | US        |       873 | NC      | $68.44        | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| Osiris Acquisition Corp                                           | Osiris Acquisition Corp. - Class A                                   | CUSIP: 68829A103<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      2876 | NS      | $28990.08     | 0.01%             |  |  |  | No            | 3                  | On Loan: No      |
| OSIRIS ACQUISITION CORP-A                                         | Osiris Acquisition Corp.                                             | CUSIP: 68829A111<br>LEI: N/A                  | N/A              | DE               | CORP              | US        |      1438 | NC      | $64.71        | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| OceanTech Acquisitions I Corp                                     | OceanTech Acquisitions I Corp. - Class A                             | CUSIP: 675507107<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      2885 | NS      | $30407.90     | 0.01%             |  |  |  | No            | 1                  | On Loan: No      |
| OCEANTECH ACQUISITIONS- CL A                                      | OceanTech Acquisitions I Corp.                                       | CUSIP: 675507115<br>LEI: N/A                  | N/A              | DE               | CORP              | US        |      2885 | NC      | $112.52       | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| PROOF Acquisition Corp I                                          | PROOF Acquisition Corp. I                                            | CUSIP: 74349W203<br>LEI: N/A                  | Long             |  | CORP              | US        |      1833 | NS      | $18641.61     | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| Phoenix Biotech Acquisition Co                                    | Phoenix Biotech Acquisition Corp. - Class A                          | CUSIP: 71902K105<br>LEI: N/A                  | Long             | EC               | CORP              | US        |       646 | NS      | $6627.96      | 0.00%             |  |  |  | No            | 3                  | On Loan: No      |
| PHOENIX BIOTECH ACQUISI-CL A                                      | Phoenix Biotech Acquisition Corp.                                    | CUSIP: 71902K113<br>LEI: N/A                  | N/A              | DE               | CORP              | US        |       323 | NC      | $12.69        | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| Project Energy Reimagined Acqu                                    | Project Energy Reimagined Acquisition Corp.                          | CUSIP: G72556106<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      2346 | NS      | $23624.22     | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| Project Energy Reimagined Acqu                                    | Project Energy Reimagined Acquisition Corp.                          | CUSIP: G72556122<br>LEI: N/A                  | Long             |  | CORP              | US        |         1 | NS      | $10.01        | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| PROJECT ENERGY REIMAGINED AC                                      | Project Energy Reimagined Acquisition Corp.                          | CUSIP: G72556114<br>LEI: N/A                  | N/A              | DE               | CORP              | US        |      1173 | NC      | $13.25        | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| PENDER CAP ASSET BAS ED LENDING FUND I   /                        | PENDER CAP ASSET BAS ED LENDING FUND I   /                           | CUSIP: 999999999<br>LEI: N/A                  | Long             | EC               | RF                | US        |         1 | NS      | $28500000.00  | 4.97%             |  |  |  | Yes           | N/A                | On Loan: No      |
| PROGRESS ACQUISITION CORP-A                                       | Progress Acquisition Corp.                                           | CUSIP: 74327P113<br>LEI: N/A                  | N/A              | DE               | CORP              | US        |       235 | NC      | $14.73        | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| Pyrophyte Acquisition Corp                                        | Pyrophyte Acquisition Corp.                                          | CUSIP: G7308P119<br>LEI: N/A                  | Long             |  | CORP              | US        |       294 | NS      | $2972.34      | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| Pivotal Investment Corp III                                       | Pivotal Investment Corp. III - Class A                               | CUSIP: 72582M106<br>LEI: N/A                  | Long             | EC               | CORP              | US        |         5 | NS      | $50.45        | 0.00%             |  |  |  | No            | 3                  | On Loan: No      |
| PIVOTAL INVESTMENT CORPIII-A                                      | Pivotal Investment Corp. III                                         | CUSIP: 72582M114<br>LEI: N/A                  | N/A              | DE               | CORP              | US        |         1 | NC      | $0.05         | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| Plutonian Acquisition Corp                                        | Plutonian Acquisition Corp.                                          | CUSIP: 72942P203<br>LEI: N/A                  | Long             |  | CORP              | US        |     18409 | NS      | $185010.45    | 0.03%             |  |  |  | No            | 1                  | On Loan: No      |
| Priveterra Acquisition Corp                                       | Priveterra Acquisition Corp. - Class A                               | CUSIP: 74275N102<br>LEI: N/A                  | Long             | EC               | CORP              | US        |       375 | NS      | $3770.63      | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| Priveterra Acquisition Corp                                       | Priveterra Acquisition Corp.                                         | CUSIP: 74275N201<br>LEI: N/A                  | Long             |  | CORP              | US        |     44401 | NS      | $446230.05    | 0.08%             |  |  |  | No            | 1                  | On Loan: No      |
| PRIVETERRA ACQUISITION COR-A                                      | Priveterra Acquisition Corp.                                         | CUSIP: 74275N110<br>LEI: N/A                  | N/A              | DE               | CORP              | US        |       125 | NC      | $5.70         | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| POINT72 CAPITAL CL A LP   /                                       | POINT72 CAPITAL CL A LP   /                                          | CUSIP: 999999999<br>LEI: N/A                  | Long             | EC               | RF                | US        |         1 | NS      | $9849595.03   | 1.72%             |  |  |  | Yes           | N/A                | On Loan: No      |
| Property Solutions Acquisition                                    | Property Solutions Acquisition Corp. II                              | CUSIP: 74350A207<br>LEI: N/A                  | Long             | EC               | CORP              | US        |         2 | NS      | $20.20        | 0.00%             |  |  |  | No            | 3                  | On Loan: No      |
| Palmer Square Opportunistic In                                    | Palmer Square Opportunistic Income Fund                              | CUSIP: 611776105<br>LEI: 5493003AM16D4H7L6U80 | Long             |  | RF                | US        |    697900 | NS      | $11333889.07  | 1.98%             |  |  |  | No            | 1                  | On Loan: No      |
| Post Holdings Partnering Corp                                     | Post Holdings Partnering Corp. - Class A                             | CUSIP: 737465104<br>LEI: N/A                  | Long             | EC               | CORP              | US        |       720 | NS      | $7149.60      | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| POST HOLDINGS PARTNERING -A                                       | Post Holdings Partnering Corp.                                       | CUSIP: 737465112<br>LEI: N/A                  | N/A              | DE               | CORP              | US        |       240 | NC      | $19.20        | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| Qomolangma Acquisition Corp                                       | Qomolangma Acquisition Corp.                                         | CUSIP: 74738V204<br>LEI: N/A                  | Long             |  | CORP              | US        |     19479 | NS      | $196932.69    | 0.03%             |  |  |  | No            | 1                  | On Loan: No      |
| ARIES I ACQUISITION CORP -A                                       | Aries I Acquisition Corp.                                            | CUSIP: G0542N123<br>LEI: N/A                  | N/A              | DE               | CORP              | US        |       902 | NC      | $48.44        | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| RF Acquisition Corp                                               | RF Acquisition Corp.                                                 | CUSIP: 74954L203<br>LEI: N/A                  | Long             |  | CORP              | SG        |     19239 | NS      | $195853.02    | 0.03%             |  |  |  | No            | 1                  | On Loan: No      |
| Jackson Acquisition Co                                            | Jackson Acquisition Co.                                              | CUSIP: 46653C205<br>LEI: N/A                  | Long             |  | CORP              | US        |      1765 | NS      | $17914.75     | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| RIVERNORTH CAPITAL PARTNERS LP   /                                | RIVERNORTH CAPITAL PARTNERS LP   /                                   | CUSIP: 999999999<br>LEI: N/A                  | Long             | EC               | RF                | US        |         1 | NS      | $11807010.31  | 2.06%             |  |  |  | Yes           | N/A                | On Loan: No      |
| MOUNT RAINIER ACQUISITION CO                                      | Mount Rainier Acquisition Corp.                                      | CUSIP: 623006111<br>LEI: N/A                  | N/A              | DE               | CORP              | US        |      2696 | NC      | $485.28       | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| ROC Energy Acquisition Corp                                       | ROC Energy Acquisition Corp.                                         | CUSIP: 77118V207<br>LEI: N/A                  | Long             |  | CORP              | US        |      2478 | NS      | $25895.10     | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| Roth CH Acquisition V Co                                          | Roth CH Acquisition V Co.                                            | CUSIP: 77867R100<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      1666 | NS      | $16843.26     | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| ROTH CH ACQUISITION V CO                                          | Roth CH Acquisition V Co.                                            | CUSIP: 77867R118<br>LEI: N/A                  | N/A              | DE               | CORP              | US        |       833 | NC      | $31.57        | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| Redwoods Acquisition Corp                                         | Redwoods Acquisition Corp.                                           | CUSIP: 758083208<br>LEI: N/A                  | Long             |  | CORP              | US        |     20023 | NS      | $202232.30    | 0.04%             |  |  |  | No            | 1                  | On Loan: No      |
| ScION Tech Growth II                                              | ScION Tech Growth II - Class A                                       | CUSIP: G31070108<br>LEI: N/A                  | Long             | EC               | CORP              | GB        |      2424 | NS      | $24506.64     | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| SCION TECH GROWTH II-CLASS A                                      | ScION Tech Growth II                                                 | CUSIP: G31070116<br>LEI: N/A                  | N/A              | DE               | CORP              | US        |       808 | NC      | $2.91         | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| Screaming Eagle Acquisition Co                                    | Screaming Eagle Acquisition Corp.                                    | CUSIP: G79407113<br>LEI: N/A                  | Long             |  | CORP              | US        |     52328 | NS      | $524326.56    | 0.09%             |  |  |  | No            | 1                  | On Loan: No      |
| Sculptor Acquisition Corp I                                       | Sculptor Acquisition Corp. I                                         | CUSIP: G7T983129<br>LEI: N/A                  | Long             |  | CORP              | US        |      1764 | NS      | $18133.92     | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| Sustainable Development Acquis                                    | Sustainable Development Acquisition I Corp.                          | CUSIP: 86934L202<br>LEI: N/A                  | Long             |  | CORP              | US        |     62852 | NS      | $629777.04    | 0.11%             |  |  |  | No            | 1                  | On Loan: No      |
| SEER HOME XPRESS LP   /                                           | SEER HOME XPRESS LP   /                                              | CUSIP: 999999999<br>LEI: N/A                  | Long             | EC               | RF                | US        |         1 | NS      | $2700299.56   | 0.47%             |  |  |  | Yes           | N/A                | On Loan: No      |
| APPRECIATE HOLDINGS INC                                           | Appreciate Holdings, Inc.                                            | CUSIP: 03832J114<br>LEI: N/A                  | N/A              | DE               | CORP              | US        |       232 | NC      | $6.82         | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| Signify Health Inc                                                | Signify Health, Inc. - Class A                                       | CUSIP: 82671G100<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      1411 | NS      | $40439.26     | 0.01%             |  |  |  | No            | 1                  | On Loan: No      |
| Spree Acquisition Corp 1 Ltd                                      | Spree Acquisition Corp. 1 Ltd.                                       | CUSIP: G83745102<br>LEI: N/A                  | Long             | EC               | CORP              | IL        |      4204 | NS      | $42964.88     | 0.01%             |  |  |  | No            | 1                  | On Loan: No      |
| SPREE ACQUISITION CORP 1 LTD                                      | Spree Acquisition Corp. 1 Ltd.                                       | CUSIP: G83745128<br>LEI: N/A                  | N/A              | DE               | CORP              | US        |      2102 | NC      | $74.62        | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| SHUAA Partners Acquisition Cor                                    | SHUAA Partners Acquisition Corp. I                                   | CUSIP: G81173125<br>LEI: N/A                  | Long             |  | CORP              | KY        |     60000 | NS      | $616800.00    | 0.11%             |  |  |  | No            | 1                  | On Loan: No      |
| SILVER POINT LOAN NOTE LLC VIREMAIN   /                           | SILVER POINT LOAN NOTE LLC VIREMAIN   /                              | CUSIP: 999999999<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1426344 | PA      | $1425788.00   | 0.25%             | 2033-10-20      | None          | 0.00%                 | No            | 3                  | On Loan: No      |
| South Jersey Industries Inc                                       | South Jersey Industries, Inc.                                        | CUSIP: 838518108<br>LEI: 549300DJYWYT5VXLFA46 | Long             | EC               | CORP              | US        |       583 | NS      | $20713.99     | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| SportsMap Tech Acquisition Cor                                    | SportsMap Tech Acquisition Corp.                                     | CUSIP: 84921J108<br>LEI: N/A                  | Long             | EC               | CORP              | US        |       888 | NS      | $9075.36      | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| SPORTSMAP TECH ACQUISITION C                                      | SportsMap Tech Acquisition Corp.                                     | CUSIP: 84921J116<br>LEI: N/A                  | N/A              | DE               | CORP              | US        |       666 | NC      | $7.33         | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| SENIOR CONNECT ACQUISITION-A                                      | Senior Connect Acquisition Corp. I                                   | CUSIP: 81723H116<br>LEI: N/A                  | N/A              | DE               | CORP              | US        |     11426 | NC      | $686.70       | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| Opportunistic Credit Interval                                     | Opportunistic Credit Interval Fund - Class I                         | CUSIP: 68390R105<br>LEI: 549300NJWLK76QJGNF34 | Long             |  | RF                | US        |    191603 | NS      | $1904536.11   | 0.33%             |  |  |  | No            | 1                  | On Loan: No      |
| SOUNDHOUND AI INC-A                                               | SoundHound AI, Inc.                                                  | CUSIP: 836100115<br>LEI: N/A                  | N/A              | DE               | CORP              | US        |       747 | NC      | $112.05       | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| SPK Acquisition Corp                                              | SPK Acquisition Corp.                                                | CUSIP: 848651105<br>LEI: N/A                  | Long             | EC               | CORP              | CN        |      2738 | NS      | $28201.40     | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| Silver Spike Acquisition Corp                                     | Silver Spike Acquisition Corp. II - Class A                          | CUSIP: G8201H105<br>LEI: N/A                  | Long             | EC               | CORP              | US        |       372 | NS      | $3753.48      | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| SILVER SPIKE ACQUISITION-A                                        | Silver Spike Acquisition Corp. II                                    | CUSIP: G8201H113<br>LEI: N/A                  | N/A              | DE               | CORP              | US        |        93 | NC      | $2.77         | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| ST Energy Transition I Ltd                                        | ST Energy Transition I Ltd.                                          | CUSIP: G8465L123<br>LEI: N/A                  | Long             |  | CORP              | US        |      1649 | NS      | $16885.76     | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| STORE Capital Corp                                                | STORE Capital Corp. - REIT                                           | CUSIP: 862121100<br>LEI: 5493004EA6C9IHDZ7N66 | Long             |  | CORP              | US        |      7001 | NS      | $224452.06    | 0.04%             |  |  |  | No            | 1                  | On Loan: No      |
| Sitio Royalties Corp                                              | Sitio Royalties Corp. - Class A                                      | CUSIP: 82983N108<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      5902 | NS      | $170266.84    | 0.03%             |  |  |  | No            | 1                  | On Loan: No      |
| Sitio Royalties Corp                                              | Sitio Royalties Corp. - Class A                                      | CUSIP: 82983N108<br>LEI: N/A                  | Short            | EC               | CORP              | US        |     -5902 | NS      | $-170272.70   | -0.03%            |  |  |  | No            | 1                  | On Loan: No      |
| SVF Investment Corp                                               | SVF Investment Corp.                                                 | CUSIP: G8601L110<br>LEI: N/A                  | Long             |  | CORP              | US        |     50005 | NS      | $505050.50    | 0.09%             |  |  |  | No            | 1                  | On Loan: No      |
| SVF Investment Corp 2                                             | SVF Investment Corp. 2                                               | CUSIP: G8601M100<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     12497 | NS      | $125969.76    | 0.02%             |  |  |  | No            | 1                  | On Loan: No      |
| Sierra Wireless Inc                                               | Sierra Wireless, Inc.                                                | CUSIP: 826516106<br>LEI: 549300E33RZ5BJ726L53 | Long             | EC               | CORP              | CA        |      7340 | NS      | $212786.60    | 0.04%             |  |  |  | No            | 1                  | On Loan: No      |
| Sizzle Acquisition Corp                                           | Sizzle Acquisition Corp.                                             | CUSIP: 83014E109<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      2760 | NS      | $28207.20     | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| SIZZLE ACQUISITION CORP                                           | Sizzle Acquisition Corp.                                             | CUSIP: 83014E117<br>LEI: N/A                  | N/A              | DE               | CORP              | US        |      1380 | NC      | $414.00       | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| TenX Keane Acquisition                                            | TenX Keane Acquisition                                               | CUSIP: G8708L138<br>LEI: N/A                  | Long             |  | CORP              | US        |     15965 | NS      | $164918.45    | 0.03%             |  |  |  | No            | 1                  | On Loan: No      |
| Tech and Energy Transition Cor                                    | Tech and Energy Transition Corp. - Class A                           | CUSIP: 87823R102<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      1722 | NS      | $17271.66     | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| TECH AND ENERGY TRANSITION-A                                      | Tech and Energy Transition Corp.                                     | CUSIP: 87823R110<br>LEI: N/A                  | N/A              | DE               | CORP              | US        |       574 | NC      | $19.00        | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| TEGNA Inc                                                         | TEGNA, Inc.                                                          | CUSIP: 87901J105<br>LEI: 549300YC5EDBGX85AO10 | Long             | EC               | CORP              | US        |      6202 | NS      | $131420.38    | 0.02%             |  |  |  | No            | 1                  | On Loan: No      |
| TG Venture Acquisition Corp                                       | TG Venture Acquisition Corp.                                         | CUSIP: 87251T109<br>LEI: N/A                  | Long             | EC               | CORP              | US        |       852 | NS      | $8664.84      | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| TG VENTURE ACQUISITION CORP                                       | TG Venture Acquisition Corp.                                         | CUSIP: 87251T117<br>LEI: N/A                  | N/A              | DE               | CORP              | US        |       852 | NC      | $51.12        | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| Thrive Acquisition Corp                                           | Thrive Acquisition Corp. - Class A                                   | CUSIP: G7158C101<br>LEI: N/A                  | Long             | EC               | CORP              | US        |       592 | NS      | $6121.28      | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| THRIVE ACQUISITION CORP - A                                       | Thrive Acquisition Corp.                                             | CUSIP: G7158C119<br>LEI: N/A                  | N/A              | DE               | CORP              | US        |       296 | NC      | $1.42         | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| TLGY Acquisition Corp                                             | TLGY Acquisition Corp.                                               | CUSIP: G8656T117<br>LEI: N/A                  | Long             |  | CORP              | US        |       333 | NS      | $3369.96      | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| Tastemaker Acquisition Corp                                       | Tastemaker Acquisition Corp. - Class A                               | CUSIP: 876545104<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      1896 | NS      | $19225.44     | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| TASTEMAKER ACQUISITION COR-A                                      | Tastemaker Acquisition Corp.                                         | CUSIP: 876545112<br>LEI: N/A                  | N/A              | DE               | CORP              | US        |       948 | NC      | $142.20       | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| Trine II Acquisition Corp                                         | Trine II Acquisition Corp. - Class A                                 | CUSIP: G9059F100<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      2558 | NS      | $26360.19     | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| TRINE II ACQUISITION CORP -A                                      | Trine II Acquisition Corp.                                           | CUSIP: G9059F118<br>LEI: N/A                  | N/A              | DE               | CORP              | US        |      1279 | NC      | $102.19       | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| Tristar Acquisition I Corp                                        | Tristar Acquisition I Corp. - Class A                                | CUSIP: G9074V106<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      2396 | NS      | $24223.56     | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| TRISTAR ACQUISITION I CORP-A                                      | Tristar Acquisition I Corp.                                          | CUSIP: G9074V114<br>LEI: N/A                  | N/A              | DE               | CORP              | US        |      1198 | NC      | $30.31        | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| CORNER GROWTH ACQUISITION -A                                      | Corner Growth Acquisition Corp. 2                                    | CUSIP: G2426E120<br>LEI: N/A                  | N/A              | DE               | CORP              | US        |       935 | NC      | $9.35         | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| Twelve Seas Investment Co II                                      | Twelve Seas Investment Co. II - Class A                              | CUSIP: 90118T106<br>LEI: N/A                  | Long             | EC               | CORP              | US        |       378 | NS      | $3810.24      | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| Twelve Seas Investment Co II                                      | Twelve Seas Investment Co. II                                        | CUSIP: 90118T205<br>LEI: N/A                  | Long             |  | CORP              | US        |         2 | NS      | $20.10        | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| TWELVE SEAS INVTMNT CO II -A                                      | Twelve Seas Investment Co. II                                        | CUSIP: 90118T114<br>LEI: N/A                  | N/A              | DE               | CORP              | US        |       126 | NC      | $1.89         | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| Tailwind International Acquisi                                    | Tailwind International Acquisition Corp. - Class A                   | CUSIP: G8662F101<br>LEI: N/A                  | Long             | EC               | CORP              | US        |       186 | NS      | $1876.74      | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| Tailwind International Acquisi                                    | Tailwind International Acquisition Corp.                             | CUSIP: G8662F127<br>LEI: N/A                  | Long             |  | CORP              | US        |         1 | NS      | $10.09        | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| TAILWIND INTERNATIONAL ACQ-A                                      | Tailwind International Acquisition Corp.                             | CUSIP: G8662F119<br>LEI: N/A                  | N/A              | DE               | CORP              | US        |        62 | NC      | $0.25         | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| Umpqua Holdings Corp                                              | Umpqua Holdings Corp.                                                | CUSIP: 904214103<br>LEI: 5299002ENJ7CY215BW86 | Long             | EC               | CORP              | US        |      2461 | NS      | $43928.85     | 0.01%             |  |  |  | No            | 1                  | On Loan: No      |
| TKB Critical Technologies 1                                       | TKB Critical Technologies 1                                          | CUSIP: G88935104<br>LEI: N/A                  | Long             |  | CORP              | US        |       117 | NS      | $1202.76      | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| UTA Acquisition Corp                                              | UTA Acquisition Corp.                                                | CUSIP: G9473A125<br>LEI: N/A                  | Long             |  | CORP              | US        |      2479 | NS      | $24938.74     | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| MICROALGO INC                                                     | MicroAlgo, Inc.                                                      | CUSIP: G6077Y111<br>LEI: N/A                  | N/A              | DE               | CORP              | US        |       940 | NC      | $18.80        | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| Viveon Health Acquisition Corp                                    | Viveon Health Acquisition Corp.                                      | CUSIP: 92853V122<br>LEI: N/A                  | N/A              | DE               | CORP              | US        |      1805 | NC      | $235.37       | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |

### Signature

**Date Signed:** 2023-01-10

**Name of Applicant:** First Trust Alternative Opportunities Fund

**Signature:** /s/ Michael D. Peck

**Name of Signer:** Michael D. Peck

**Title:** President