# EDGAR Filing Document

**Accession Number:** 0001779306
**File Stem:** 0001752724-23-000123
**Filing Date:** 2023-1
**Character Count:** 45052
**Document Hash:** 13f93d23aff70bc48b7a2ea216626339
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-23-000123.hdr.sgml**: 20230104

**ACCESSION NUMBER**: 0001752724-23-000123

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20221130

**FILED AS OF DATE**: 20230104

**DATE AS OF CHANGE**: 20230104

**PERIOD START**: 20230531

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** AltShares Trust
- **CENTRAL INDEX KEY:** 0001779306
- **IRS NUMBER:** 000000000
- **STATE OF INCORPORATION:** DE
- **FISCAL YEAR END:** 0531

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-23475
- **FILM NUMBER:** 23505640

**BUSINESS ADDRESS:**
- **STREET 1:** 41 MADISON AVENUE
- **STREET 2:** 42ND FLOOR
- **CITY:** NEW YORK
- **STATE:** NY
- **ZIP:** 10010
- **BUSINESS PHONE:** 1-800-560-8210

**MAIL ADDRESS:**
- **STREET 1:** 41 MADISON AVENUE
- **STREET 2:** 42ND FLOOR
- **CITY:** NEW YORK
- **STATE:** NY
- **ZIP:** 10010

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

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

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** wicShares Trusts
- **DATE OF NAME CHANGE:** 20190926

## Series and Classes Contracts Data

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

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

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

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

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

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

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

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

  - **Street Address 1:** 41 Madison Avenue

  - **City:** New York

  - **State:** NY

  - **Foreign country:** US

  - **Zip / Postal Code:** 10010

  - **Telephone number:** 855-955-1607

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

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

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

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

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

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

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

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $93186397.13

**Total Liabilities:** $5639226.92

**Net Assets:** $87547170.21

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000216184 | -0.71%               | 2.37%                | -1.91%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $42637.38                | $-1530474.43                               |
| Month 2  | $82899.83                | $1941780.57                                |
| Month 3  | $-1625539.54             | $555801.45                                 |

**Designated Index Information**

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

- **Index Identifier:** WIMARBH

### Schedule of Portfolio Investments

| Name                             | Title                                                                                            | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |   Balance | Units   | Value (USD)   | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| Morgan Stanley & Co. LLC         | PURCHASED USD / SOLD EUR                                                                         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |         1 | NC      | $-2146.12     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| STORE Capital Corp               | STORE Capital Corp                                                                               | CUSIP: 862121100<br>LEI: 5493004EA6C9IHDZ7N66 | Long             | EC               |  | US        |    103130 | NS      | $3289847.00   | 3.76%             |  |  |  | No            |                  1 | On Loan: No      |
| AVEVA Group PLC                  | AVEVA Group PLC                                                                                  | CUSIP: 000000000<br>LEI: 213800XHATUM2LFMKG16 | Long             | EC               | CORP              | GB        |     77456 | NS      | $2969587.14   | 3.39%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC         | PURCHASED USD / SOLD EUR                                                                         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |         1 | NC      | $-18529.62    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Altra Industrial Motion Corp     | Altra Industrial Motion Corp                                                                     | CUSIP: 02208R106<br>LEI: NQ0NIXPGW4YKG4MWM571 | Long             | EC               | CORP              | US        |     54720 | NS      | $3207686.40   | 3.66%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC         | PURCHASED USD / SOLD SEK                                                                         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |         1 | NC      | $-1282.45     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC         | PURCHASED GBP / SOLD USD                                                                         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | GB        |         1 | NC      | $3702.42      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Spirit Airlines Inc              | Spirit Airlines Inc                                                                              | CUSIP: 848577102<br>LEI: 549300DCAFIXFNFR3304 | Long             | EC               | CORP              | US        |     65236 | NS      | $1416273.56   | 1.62%             |  |  |  | No            |                  1 | On Loan: No      |
| PBF Energy Inc                   | PBF Energy Inc                                                                                   | CUSIP: 69318G106<br>LEI: 2549003PBEDCSZMZIY02 | Short            | EC               | CORP              | US        |     -1429 | NS      | $-56831.33    | -0.06%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC         | PURCHASED GBP / SOLD USD                                                                         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | GB        |         1 | NC      | $42274.89     | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC         | PURCHASED SEK / SOLD USD                                                                         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | SE        |         1 | NC      | $633.20       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AVEO Pharmaceuticals Inc         | AVEO Pharmaceuticals Inc                                                                         | CUSIP: 053588307<br>LEI: 529900PLC55DUQO4CR76 | Long             | EC               | CORP              | US        |    135109 | NS      | $2019879.55   | 2.31%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC         | PURCHASED USD / SOLD EUR                                                                         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |         1 | NC      | $-5670.27     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC         | PURCHASED EUR / SOLD USD                                                                         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | XX        |         1 | NC      | $31817.90     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC         | PURCHASED USD / SOLD EUR                                                                         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |         1 | NC      | $-5256.60     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Archaea Energy Inc               | Archaea Energy Inc                                                                               | CUSIP: 03940F103<br>LEI: 549300ZBE567NNMH7V89 | Long             | EC               | CORP              | US        |    124326 | NS      | $3225016.44   | 3.68%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC         | PURCHASED USD / SOLD SEK                                                                         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |         1 | NC      | $-3227.10     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC         | PURCHASED USD / SOLD SEK                                                                         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |         1 | NC      | $-2419.62     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Micro Focus International PLC    | Micro Focus International PLC                                                                    | CUSIP: 000000000<br>LEI: 213800F8E4X648142844 | Long             | EC               | CORP              | GB        |    317459 | NS      | $1998029.29   | 2.28%             |  |  |  | No            |                  1 | On Loan: No      |
| State Street Global Advisors     | State Street Institutional US Government Money Market Fund                                       | CUSIP: 857492706<br>LEI: 549300BZ5TGIFZUZDZ37 | Long             | STIV             | RF                | US        |   4053220 | NS      | $4053219.54   | 4.63%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC         | PURCHASED USD / SOLD EUR                                                                         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |         1 | NC      | $-5948.66     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| First Horizon Corp               | First Horizon Corp                                                                               | CUSIP: 320517105<br>LEI: TF3RXI1ZB1TQ30H9JV10 | Long             | EC               | CORP              | US        |    128206 | NS      | $3185919.10   | 3.64%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC         | PURCHASED CAD / SOLD USD                                                                         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | CA        |         1 | NC      | $645.59       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RPS Group PLC                    | RPS Group PLC                                                                                    | CUSIP: 000000000<br>LEI: 213800BHEVF3ZB6NG750 | Long             | EC               | CORP              | GB        |    246313 | NS      | $650142.85    | 0.74%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC         | PURCHASED CAD / SOLD USD                                                                         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | CA        |         1 | NC      | $13158.06     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC         | PURCHASED USD / SOLD EUR                                                                         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |         1 | NC      | $-3852.67     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC         | PURCHASED USD / SOLD CAD                                                                         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |         1 | NC      | $-611.64      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC         | Long: SBCFMSS   TRS USD R V 01MFEDL FEDL01-40BPS / Short: SBCFMSS   TRS USD P E SBCF US PE       | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               |  | US        |    597302 | OU      | $-71457.48    | -0.08%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC         | PURCHASED USD / SOLD CAD                                                                         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |         1 | NC      | $-4770.58     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| KnowBe4 Inc                      | KnowBe4 Inc                                                                                      | CUSIP: 49926T104<br>LEI: N/A                  | Long             | EC               | CORP              | US        |    118391 | NS      | $2923073.79   | 3.34%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC         | PURCHASED USD / SOLD GBP                                                                         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |         1 | NC      | $-65111.24    | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| iRobot Corp                      | iRobot Corp                                                                                      | CUSIP: 462726100<br>LEI: 5493009PRNKOUKBAT390 | Long             | EC               | CORP              | US        |     32971 | NS      | $1717459.39   | 1.96%             |  |  |  | No            |                  1 | On Loan: No      |
| Atlas Corp                       | Atlas Corp                                                                                       | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | MH        |    194500 | NS      | $2989465.00   | 3.41%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC         | PURCHASED USD / SOLD EUR                                                                         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |         1 | NC      | $-18415.47    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC         | Morgan Stanley Institutional Liquidity Funds - Government Portfolio                              | CUSIP: 61747C707<br>LEI: 549300BI6Y5SI6BYPB26 | Long             | STIV             | RF                | US        |   4053220 | NS      | $4053219.63   | 4.63%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC         | PURCHASED USD / SOLD GBP                                                                         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |         1 | NC      | $-13150.43    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Sierra Wireless Inc              | Sierra Wireless Inc                                                                              | CUSIP: 826516106<br>LEI: 549300E33RZ5BJ726L53 | Long             | EC               | CORP              | CA        |     69810 | NS      | $2047527.30   | 2.34%             |  |  |  | No            |                  1 | On Loan: No      |
| PBF Logistics LP                 | PBF Logistics LP                                                                                 | CUSIP: 69318Q104<br>LEI: 529900XB9LDTN4488F04 | Long             | EC               | CORP              | US        |     30695 | NS      | $613528.59    | 0.70%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC         | PURCHASED EUR / SOLD USD                                                                         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | XX        |         1 | NC      | $1275.32      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Meridian Bioscience Inc          | Meridian Bioscience Inc                                                                          | CUSIP: 589584101<br>LEI: 549300ELSRZEFFFRX195 | Long             | EC               | CORP              | US        |     45490 | NS      | $1455680.00   | 1.66%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC         | PURCHASED USD / SOLD EUR                                                                         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |         1 | NC      | $-5625.26     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC         | PURCHASED USD / SOLD GBP                                                                         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |         1 | NC      | $-6967.07     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Orthofix Medical Inc             | Orthofix Medical Inc                                                                             | CUSIP: 68752M108<br>LEI: N/A                  | Short            | EC               | CORP              | US        |    -20240 | NS      | $-364117.60   | -0.42%            |  |  |  | No            |                  1 | On Loan: No      |
| Ritchie Bros Auctioneers Inc     | Ritchie Bros Auctioneers Inc                                                                     | CUSIP: 767744105<br>LEI: 5493002H8U24DJXQ4886 | Short            | EC               | CORP              | CA        |    -16060 | NS      | $-880891.00   | -1.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Myovant Sciences Ltd             | Myovant Sciences Ltd                                                                             | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | BM        |    117413 | NS      | $3153713.18   | 3.60%             |  |  |  | No            |                  1 | On Loan: No      |
| Caverion Oyj                     | Caverion Oyj                                                                                     | CUSIP: 000000000<br>LEI: 7437007ECQWVPCJIS695 | Long             | EC               | CORP              | FI        |     77334 | NS      | $560097.40    | 0.64%             |  |  |  | No            |                  1 | On Loan: No      |
| ContourGlobal PLC                | ContourGlobal PLC                                                                                | CUSIP: 000000000<br>LEI: 5493002I3A4J5TFOR115 | Long             | EC               | CORP              | GB        |     30835 | NS      | $92909.75     | 0.11%             |  |  |  | Yes           |                  1 | On Loan: No      |
| Activision Blizzard Inc          | Activision Blizzard Inc                                                                          | CUSIP: 00507V109<br>LEI: 549300TPQQDBP9GNOF40 | Long             | EC               | CORP              | US        |     19814 | NS      | $1465245.30   | 1.67%             |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY PRIME BROKER G    | MORGAN STANLEY PRIME BROKER G                                                                    | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | CORP              | GB        |      3483 | NS      | $4198.20      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| HomeServe PLC                    | HomeServe PLC                                                                                    | CUSIP: 000000000<br>LEI: 213800EKBJTGNMXEDF11 | Long             | EC               | CORP              | GB        |     38114 | NS      | $547108.71    | 0.62%             |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY CASH COLLATERAL   | MORGAN STANLEY CASH COLLATERAL                                                                   | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |        70 | NS      | $70.00        | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC         | PURCHASED USD / SOLD GBP                                                                         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |         1 | NC      | $-40542.24    | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC         | PURCHASED USD / SOLD CAD                                                                         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |         1 | NC      | $-178.36      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC         | PURCHASED USD / SOLD GBP                                                                         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |         1 | NC      | $-65922.90    | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC         | PURCHASED USD / SOLD GBP                                                                         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |         1 | NC      | $-25106.24    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC         | Long: PEBOMSS   TRS USD R V 01MFEDL FEDL01M-40BPS / Short: PEBOMSS   TRS USD P E PEBO US PE      | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               |  | US        |    215885 | OU      | $-4704.63     | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC         | Long: AVGOMSS   TRS USD R V 01MFEDL FEDL01 -40BPS / Short: AVGOMSS   TRS USD P V 01MFEDL         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               |  | US        |   1600930 | OU      | $-331531.71   | -0.38%            |  |  |  | No            |                  1 | On Loan: No      |
| Zendesk Inc                      | Zendesk Inc                                                                                      | CUSIP: 98936J101<br>LEI: 549300SLI6BN94BKKO36 | Long             | EC               | CORP              | US        |       226 | NS      | $17515.00     | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC         | PURCHASED GBP / SOLD USD                                                                         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | GB        |         1 | NC      | $9708.63      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC         | PURCHASED USD / SOLD SEK                                                                         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |         1 | NC      | $-3837.40     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ForgeRock Inc                    | ForgeRock Inc                                                                                    | CUSIP: 34631B101<br>LEI: N/A                  | Long             | EC               | CORP              | US        |    135778 | NS      | $2953171.50   | 3.37%             |  |  |  | No            |                  1 | On Loan: No      |
| Peoples Bancorp Inc/OH           | Peoples Bancorp Inc/OH                                                                           | CUSIP: 709789101<br>LEI: N/A                  | Short            | EC               | CORP              | US        |     -2733 | NS      | $-81990.00    | -0.09%            |  |  |  | No            |                  1 | On Loan: No      |
| IAA Inc                          | IAA Inc                                                                                          | CUSIP: 449253103<br>LEI: 549300PZCOPC5178W747 | Long             | EC               | CORP              | US        |     27706 | NS      | $1035373.22   | 1.18%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC         | PURCHASED GBP / SOLD USD                                                                         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | GB        |         1 | NC      | $13456.06     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| BAML CASH COLLATERAL             | BAML CASH COLLATERAL                                                                             | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |     63460 | NS      | $63459.73     | 0.07%             |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY PRIME BROKER EU   | MORGAN STANLEY PRIME BROKER EU                                                                   | CUSIP: 000000000<br>LEI: N/A                  | Short            |  | CORP              | EE        |        -1 | NS      | $-1.27        | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Benefitfocus Inc                 | Benefitfocus Inc                                                                                 | CUSIP: 08180D106<br>LEI: 254900W89KP1OS3RXO89 | Long             | EC               | CORP              | US        |    151802 | NS      | $1574186.74   | 1.80%             |  |  |  | No            |                  1 | On Loan: No      |
| Atlas Air Worldwide Holdings Inc | Atlas Air Worldwide Holdings Inc                                                                 | CUSIP: 049164205<br>LEI: 549300R0A2TUVCYZB465 | Long             | EC               | CORP              | US        |     28620 | NS      | $2884037.40   | 3.29%             |  |  |  | No            |                  1 | On Loan: No      |
| Home24 SE                        | Home24 SE                                                                                        | CUSIP: 000000000<br>LEI: 5299002T3WE6IWG0E854 | Long             | EC               | CORP              | DE        |     78440 | NS      | $611368.76    | 0.70%             |  |  |  | No            |                  1 | On Loan: No      |
| SLM Solutions Group AG           | SLM Solutions Group AG                                                                           | CUSIP: 000000000<br>LEI: 5299004VIBQF63906C97 | Long             | EC               | CORP              | DE        |     30701 | NS      | $635754.50    | 0.73%             |  |  |  | No            |                  1 | On Loan: No      |
| Cowen Inc                        | Cowen Inc                                                                                        | CUSIP: 223622606<br>LEI: 5493008QI0EFC5WBED75 | Long             | EC               | CORP              | US        |     51507 | NS      | $1991260.62   | 2.27%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC         | PURCHASED USD / SOLD EUR                                                                         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |         1 | NC      | $-1542.75     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| 1Life Healthcare Inc             | 1Life Healthcare Inc                                                                             | CUSIP: 68269G107<br>LEI: N/A                  | Long             | EC               | CORP              | US        |    169516 | NS      | $2880076.84   | 3.29%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC         | PURCHASED USD / SOLD EUR                                                                         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |         1 | NC      | $-1723.05     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Professional Holding Corp        | Professional Holding Corp                                                                        | CUSIP: 743139107<br>LEI: 549300MOIYR1NW3J2W56 | Long             | EC               | CORP              | US        |     21834 | NS      | $654364.98    | 0.75%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC         | PURCHASED GBP / SOLD USD                                                                         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | GB        |         1 | NC      | $21522.72     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LHC Group Inc                    | LHC Group Inc                                                                                    | CUSIP: 50187A107<br>LEI: 5299009NPLWAMRQYZX73 | Long             | EC               | CORP              | US        |     17724 | NS      | $2896278.84   | 3.31%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC         | PURCHASED USD / SOLD GBP                                                                         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |         1 | NC      | $-16806.30    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC         | Long: ERMMS     TRS GBP R E ERM LN / Short: ERMMS     TRS GBP P V 00MSONIO SONIO/N INDEX +100BPS | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               |  | GB        |    952895 | OU      | $14292.18     | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| SWAP BANK OF AMERICA COC         | SWAP BANK OF AMERICA COC                                                                         | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |     12000 | NS      | $12000.00     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| ABIOMED Inc                      | ABIOMED Inc                                                                                      | CUSIP: 003654100<br>LEI: 5493001EZN4ZTB4Z5887 | Long             | EC               | CORP              | US        |      8540 | NS      | $3226326.60   | 3.69%             |  |  |  | No            |                  1 | On Loan: No      |
| Evo Payments Inc                 | Evo Payments Inc                                                                                 | CUSIP: 26927E104<br>LEI: 549300Z5UL344C8KEC55 | Long             | EC               | CORP              | US        |     59687 | NS      | $2012048.77   | 2.30%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC         | PURCHASED SEK / SOLD USD                                                                         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | SE        |         1 | NC      | $32174.28     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC         | PURCHASED USD / SOLD EUR                                                                         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |         1 | NC      | $-1973.65     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC         | PURCHASED USD / SOLD GBP                                                                         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |         1 | NC      | $3176.82      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SeaSpine Holdings Corp           | SeaSpine Holdings Corp                                                                           | CUSIP: 81255T108<br>LEI: 5493006QNC6E00LJ7M10 | Long             | EC               | CORP              | US        |     48619 | NS      | $364156.31    | 0.42%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC         | PURCHASED USD / SOLD CAD                                                                         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |         1 | NC      | $48189.50     | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC         | PURCHASED USD / SOLD CAD                                                                         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |         1 | NC      | $23986.01     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Signify Health Inc               | Signify Health Inc                                                                               | CUSIP: 82671G100<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     98380 | NS      | $2815635.60   | 3.22%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC         | PURCHASED USD / SOLD GBP                                                                         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |         1 | NC      | $-18569.08    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC         | PURCHASED CAD / SOLD USD                                                                         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | CA        |         1 | NC      | $23521.58     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Limestone Bancorp Inc            | Limestone Bancorp Inc                                                                            | CUSIP: 53262L105<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     11206 | NS      | $289114.80    | 0.33%             |  |  |  | No            |                  1 | On Loan: No      |
| TEGNA Inc                        | TEGNA Inc                                                                                        | CUSIP: 87901J105<br>LEI: 549300YC5EDBGX85AO10 | Long             | EC               | CORP              | US        |     50269 | NS      | $992310.06    | 1.13%             |  |  |  | No            |                  1 | On Loan: No      |
| BTRS Holdings Inc                | BTRS Holdings Inc                                                                                | CUSIP: 11778X104<br>LEI: 549300K51KDPS5MBVB54 | Long             | EC               | CORP              | US        |    164971 | NS      | $1562275.37   | 1.78%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC         | PURCHASED USD / SOLD SEK                                                                         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |         1 | NC      | $-10680.78    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MoneyGram International Inc      | MoneyGram International Inc                                                                      | CUSIP: 60935Y208<br>LEI: 5299002DLX0Q04KC4156 | Long             | EC               | CORP              | US        |     62747 | NS      | $685197.24    | 0.78%             |  |  |  | No            |                  1 | On Loan: No      |
| South Jersey Industries Inc      | South Jersey Industries Inc                                                                      | CUSIP: 838518108<br>LEI: 549300DJYWYT5VXLFA46 | Long             | EC               | CORP              | US        |     59758 | NS      | $2073602.60   | 2.37%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC         | PURCHASED USD / SOLD EUR                                                                         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |         1 | NC      | $-6461.03     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| UserTesting Inc                  | UserTesting Inc                                                                                  | CUSIP: 91734E101<br>LEI: N/A                  | Long             | EC               | CORP              | US        |    205623 | NS      | $1525722.66   | 1.74%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC         | Long: HSVMS     TRS GBP R E HSV LN / Short: HSVMS     TRS GBP P V 00MSONIO SONIO/N+90BPS         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               |  | GB        |   1312970 | OU      | $9618.02      | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC         | PURCHASED USD / SOLD SEK                                                                         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |         1 | NC      | $-887.63      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC         | Long: PBFMSS    TRS USD R V 01MFEDL FEDL01M-40 BPS / Short: PBFMSS    TRS USD P E PBF US SWAP    | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               |  | US        |    318328 | OU      | $45545.73     | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| Poshmark Inc                     | Poshmark Inc                                                                                     | CUSIP: 73739W104<br>LEI: N/A                  | Long             | EC               | CORP              | US        |    113451 | NS      | $2022831.33   | 2.31%             |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY PRIME BROKER US   | MORGAN STANLEY PRIME BROKER US                                                                   | CUSIP: 000000000<br>LEI: N/A                  | Long             |  | CORP              | US        |   1260401 | NS      | $1260400.85   | 1.44%             |  |  |  | No            |                  1 | On Loan: No      |
| EMIS Group PLC                   | EMIS Group PLC                                                                                   | CUSIP: 000000000<br>LEI: 213800K474ZZK76NX913 | Long             | EC               | CORP              | GB        |     64014 | NS      | $1448931.63   | 1.66%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC         | PURCHASED USD / SOLD EUR                                                                         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |         1 | NC      | $-15006.09    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC         | PURCHASED CAD / SOLD USD                                                                         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | CA        |         1 | NC      | $24346.40     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC         | PURCHASED GBP / SOLD USD                                                                         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | GB        |         1 | NC      | $22955.53     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| VMware Inc                       | VMware Inc                                                                                       | CUSIP: 928563402<br>LEI: 549300BUDHS3LRWBE814 | Long             | EC               | CORP              | US        |     27832 | NS      | $3381309.68   | 3.86%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC         | Long: GLOMS     TRS GBP R E GLO LN / Short: GLOMS     TRS GBP P V 00MSONIO SONIO/N+90 BPS        | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               |  | GB        |    208297 | OU      | $-1852.49     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC         | PURCHASED USD / SOLD GBP                                                                         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |         1 | NC      | $-64284.64    | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |

### Signature

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

**Name of Applicant:** AltShares Trust

**Signature:** Jonathon Hickey

**Name of Signer:** Jonathon Hickey

**Title:** Chief Financial Officer