NPORT-EX 2 NPORT_WIX5_66174656_0224.htm

 

AltShares Merger Arbitrage ETF Portfolio of Investments
             February 29, 2024 (unaudited)

 

   Shares   Value 
COMMON STOCKS - 95.80%          
Aerospace & Defense - 2.56%          
Kaman Corp.   26,146   $1,197,748 
OHB SE(a)   7,783    366,757 
         1,564,505 
Airlines - 1.28%          
Hawaiian Holdings, Inc.(a)   55,561    783,966 
           
Apparel - 1.87%          
Capri Holdings Ltd.(a)   24,786    1,143,378 
           
Banks - 0.84%          
American National Bankshares, Inc.(b)   3,123    140,910 
Capstar Financial Holdings, Inc.(b)   19,695    369,281 
         510,191 
Biotechnology - 15.51%          
Ambrx Biopharma, Inc.(a)   42,594    1,190,076 
Cerevel Therapeutics Holdings, Inc.(a)   39,209    1,607,569 
Cymabay Therapeutics, Inc.(a)   67,733    2,180,325 
Karuna Therapeutics, Inc.(a)   6,743    2,117,100 
MorphoSys AG(a)   22,461    1,577,930 
Olink Holding AB, ADR(a)   35,654    797,580 
         9,470,580 
Commercial Services - 1.39%          
SP Plus Corp.(a)   16,485    847,494 
           
Computers & Computer Services - 1.33%          
Kin & Carta PLC(a)   226,694    366,852 
Societe pour l'Informatique Industrielle   5,853    442,814 
         809,666 
Construction Materials - 4.73%          
Masonite International Corp.(a)   12,621    1,643,759 
PGT Innovations, Inc.(a)   29,814    1,245,331 
         2,889,090 
Diversified Financial Services - 1.89%          
Discover Financial Services   9,558    1,153,651 
           
Electric - 0.65%          
Greenvolt-Energias Renovaveis SA(a)   45,257    396,690 
           
Electronics - 2.33%          
Smart Metering Systems PLC   118,944    1,421,854 
           
Energy - Alternate Sources - 0.53%          
Opdenergy Holdings SA(a)   50,882    321,710 
           
Food Service - 2.12%          
Sovos Brands, Inc.(a)(b)   56,816    1,294,837 
           
Healthcare - Products - 2.74%          
Axonics, Inc.(a)   24,621    1,672,751 

 

 

 

 

AltShares Merger Arbitrage ETF Portfolio of Investments (Continued)
             February 29, 2024 (unaudited)

 

   Shares   Value 
COMMON STOCKS - 95.80% (Continued)          
Healthcare - Services - 4.88%          
Amedisys, Inc.(a)(b)   8,927   $830,389 
Catalent, Inc.(a)(b)   37,444    2,147,039 
         2,977,428 
Home Builders - 3.97%                
MDC Holdings, Inc.   26,629    1,669,638 
Redrow PLC   93,459    755,619 
         2,425,257 
Home Furnishings - 2.00%          
Vizio Holding Corp., Class A(a)   110,911    1,221,130 
           
Insurance - 0.66%          
National Western Life Group, Inc., Class A(b)   835    405,459 
           
Internet - 1.69%          
Adevinta ASA(a)   96,463    1,029,903 
           
Iron/Steel - 3.22%          
Haynes International, Inc.(b)   14,308    850,325 
U.S. Steel Corp.(b)   23,489    1,111,969 
         1,962,294 
Machinery - Construction & Mining - 0.52%          
Transphorm, Inc.(a)(b)   66,301    318,908 
           
Oil & Gas - 11.11%          
Enerplus Corp.   70,267    1,245,834 
Hess Corp.(b)   14,927    2,175,610 
Pioneer Natural Resources Co.(b)   9,483    2,230,307 
Southwestern Energy Co.(a)   162,505    1,132,660 
         6,784,411 
Packaging & Containers - 0.99%          
Westrock Co.(b)   13,292    601,995 
           
Pharmaceuticals - 1.96%          
Harpoon Therapeutics, Inc.(a)   52,182    1,197,055 
           
Real Estate - 4.62%          
McGrath RentCorp   4,943    615,305 
Tricon Residential, Inc.   198,289    2,206,956 
         2,822,261 
Retail - 0.69%          
Carrols Restaurant Group, Inc.(b)   44,304    419,559 
           
Software - 13.16%          
Alteryx, Inc., Class A(a)   34,803    1,671,936 
ANSYS, Inc.(a)(b)   6,199    2,071,520 
Everbridge, Inc.(a)   44,944    1,270,567 
HireRight Holdings Corp.(a)   58,010    822,002 
Splunk, Inc.(a)(b)   14,085    2,200,358 
         8,036,383 

 

 

 

 

AltShares Merger Arbitrage ETF Portfolio of Investments (Continued)
             February 29, 2024 (unaudited)

 

   Shares   Value 
COMMON STOCKS - 95.80% (Continued)          
Storage/Warehousing - 1.86%          
Wincanton PLC   144,303   $1,136,638 
           
Telecommunications - 3.32%          
Consolidated Communications Holdings, Inc.(a)   91,671    395,102 
GCI Liberty, Inc.(a)(c)   2,728    — 
Juniper Networks, Inc.(b)   44,081    1,632,319 
         2,027,421 
Transportation - 1.38%          
Daseke, Inc.(a)   48,033    396,272 
Eagle Bulk Shipping, Inc.   7,253    444,392 
         840,664 
TOTAL COMMON STOCKS          
(Cost $57,774,763)        58,487,129 

 

   Yield   Shares   Value 
SHORT-TERM INVESTMENTS - 5.25%               
Money Market Funds               
Morgan Stanley Institutional Liquidity Fund - Government Portfolio   5.222%(d)   1,602,312   $1,602,312 
State Street Institutional U.S. Government Money Market Fund, Premier Class   5.387%(d)   1,602,311    1,602,311 
              3,204,623 
TOTAL SHORT-TERM INVESTMENTS               
(Cost $3,204,623)             3,204,623 
                
Total Investments - 101.05%               
(Cost $60,979,386)             61,691,752 
                
Liabilities in Excess of Other Assets - (1.05)%(e)             (639,095)
                
NET ASSETS - 100.00%            $61,052,657 

 

Portfolio Footnotes
(a) Non-income-producing security.
(b) Security, or a portion of security, is being held as collateral for swaps, short sales or forward foreign currency exchange contracts. At February 29, 2024, the aggregate fair market value of those securities was $13,125,727, representing 21.50% of net assets.
(c) Level 3 - significant unobservable inputs were used in determining the value of this portfolio security. Security fair valued using significant unobservable inputs and classified as a Level 3 security. As of February 29, 2024, the total fair market value of these securities was $0, representing 0.0% of net assets.
(d) Rate shown is the 7-day effective yield as of February 29, 2024.
(e) Includes cash held as collateral for short sales.

 

 

 

 

AltShares Merger Arbitrage ETF Portfolio of Investments (Continued)
             February 29, 2024 (unaudited)

 

SCHEDULE OF SECURITIES SOLD SHORT  Shares   Value 
SECURITIES SOLD SHORT - (6.44%)          
COMMON STOCKS SOLD SHORT - (6.44%)          
Banks - (0.13%)          
Old National Bancorp   (4,790)  $(78,700)
           
Diversified Financial Services - (2.19%)          
Capital One Financial Corp.   (9,742)   (1,340,596)
           
Forest Products & Paper - (0.93%)          
Smurfit Kappa Group PLC   (13,292)   (566,451)
           
Home Builders - (1.30%)          
Barratt Developments PLC   (134,581)   (792,497)
           
Oil & Gas - (1.89%)          
Chord Energy Corp.   (7,111)   (1,155,182)
           
TOTAL SECURITIES SOLD SHORT          
(Proceeds $3,743,240)       $(3,933,426)

 

EQUITY SWAP CONTRACTS

 

Swap
Counterparty/
Payment
Frequency		  Reference
Obligation		  Rate
Paid/Received
by the Fund		  Termination
Date		  Upfront
Payments
Made		   Upfront
Payments
Received		   Market
Value		   Notional
Amount		   Unrealized
Appreciation		 
Morgan Stanley & Co./ Upon Termination  WillScot Mobile Mini Holdings Corp.  Received 1 Month-Federal Rate Minus 40bps (4.930%)  02/08/2025  $—   $—   $1,429   USD267,779   $1,429 

 

 

 

 

AltShares Merger Arbitrage ETF Portfolio of Investments (Continued)
             February 29, 2024 (unaudited)

 

Swap
Counterparty/
Payment
Frequency		  Reference
Obligation		  Rate
Paid/Received
by the Fund		  Termination
Date		  Upfront
Payments
Made		   Upfront
Payments
Received		   Market
Value		   Notional
Amount		    Unrealized
Depreciation		 
Morgan Stanley & Co./ Upon Termination  Atlantic Union Bankshares Corp.  Received 1 Month-Federal Rate Minus 40bps (4.930%)  05/06/2024  $—   $—   $(17,551)  USD 122,673    $(17,551)
Morgan Stanley & Co./ Upon Termination  Chesapeake Energy Corp.  Received 1 Month-Federal Rate Minus 40bps (4.930%)  05/06/2024   —    —    (73,498)  USD 1,092,790     (73,498)
Morgan Stanley & Co./ Upon Termination  Chevron Corp.  Received 1 Month-Federal Rate Minus 40bps (4.930%)  05/06/2024   —    —    (114,772)  USD 2,210,981     (114,772)
Morgan Stanley & Co./ Upon Termination  Old National Bancorp  Received 1 Month-Federal Rate Minus 40bps (4.930%)  05/06/2024   —    —    (20,036)  USD 275,014     (20,036)
Morgan Stanley & Co./ Upon Termination  Star Bulk Carriers Corp.  Received 1 Month-Federal Rate Minus 78bps (4.550%)  05/06/2024   —    —    (52,362)  USD 401,454     (52,362)
Morgan Stanley & Co./ Upon Termination  Synopsys, Inc.  Received 1 Month-Federal Rate Minus 40bps (4.930%)  05/06/2024   —    —    (70,158)  USD 1,155,329     (70,158)
Morgan Stanley & Co./ Upon Termination  Exxon Mobil Corp.  Received 1 Month-Federal Rate Minus 40bps (4.930%)  05/06/2024   —    —    (63,912)  USD 2,238,977     (63,912)
                      $(412,289)         $(412,289)

 

 

 

 

AltShares Merger Arbitrage ETF Portfolio of Investments (Continued)
             February 29, 2024 (unaudited)

 

OUTSTANDING FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS
 
Currency Purchased   Currency Sold   Counterparty  Settlement
Date		  Unrealized
Appreciation		 
EUR 1,120,310   USD 1,204,794   Morgan Stanley & Co.  03/15/2024  $6,566 
USD 3,883,616   EUR 3,551,710   Morgan Stanley & Co.  03/15/2024   43,254 
GBP 40,000   USD 50,403   Morgan Stanley & Co.  03/15/2024   92 
USD 4,087,603   GBP 3,209,300   Morgan Stanley & Co.  03/15/2024   36,258 
USD 1,576,699   NOK 16,484,900   Morgan Stanley & Co.  03/15/2024   24,213 
                  $110,383 

 

Currency Purchased    Currency Sold    Counterparty  Settlement
Date		  Unrealized
Depreciation		 
CAD 1,639,270   USD 1,225,641   Morgan Stanley & Co.  03/15/2024  $(17,517)
USD 1,206,809   CAD 1,639,270   Morgan Stanley & Co.  03/15/2024   (1,316)
EUR 596,000   USD 647,748   Morgan Stanley & Co.  03/15/2024   (3,310)
USD 1,124,074   EUR 1,041,620   Morgan Stanley & Co.  03/15/2024   (2,200)
GBP 4,388,200   USD 5,577,335   Morgan Stanley & Co.  03/15/2024   (37,774)
USD 4,402,489   GBP 3,507,200   Morgan Stanley & Co.  03/15/2024   (24,918)
NOK 5,391,700   USD 520,859   Morgan Stanley & Co.  03/15/2024   (13,090)
                  $(100,125)

 

The following is a summary of investments classified by country exposure:

 

Country  % of Net Assets(a) 
United States   76.72%
Canada   8.34%
United Kingdom   6.03%
Germany   3.18%
British Virgin Islands   1.87%
Norway   1.69%
Sweden   1.31%
France   0.73%
Portugal   0.65%
Spain   0.53%
Liabilities in Excess of Other Assets   (1.05)%
    100.00%

 

(a) These percentages represent long positions only and are not net of short positions.

 

 

 

 

AltShares Merger Arbitrage ETF Portfolio of Investments(Continued)
             February 29, 2024 (unaudited)

 

Abbreviations:

 
AB - Aktiebolag is the Swedish term for a limited company.
ADR - American Depositary Receipt
AG - Aktiengesellschaft is a German term that refers to a corporation that is limited by shares, i.e., owned by shareholders.
ASA - Allmennaksjeselskap is the Norwegian term for public limited company.
bps - Basis Points. 100 Basis Points is equal to 1 percentage point.
CAD - Canadian dollar
EUR - Euro
GBP - British pound
Ltd. - Limited
NOK - Norwegian krone
PLC - Public Limited Company
SA - Generally designates corporations in various countries, mostly those employing civil law. This translates literally in all languages mentioned as anonymous company.
SE - SE Regulation. A European Company which can operate on a Europe-wide basis and be governed by Community law directly applicable in all Member States
USD - United States Dollar

 

 

 

 

AltShares Merger Arbitrage ETF Portfolio of Investments(Continued)
             February 29, 2024 (unaudited)

 

The following table summarizes AltShares Merger Arbitrage ETF’s investments and derivative financial instruments categorized in the fair value hierarchy as of February 29, 2024:

 

Investments in Securities at Fair Value  Level 1   Level 2   Level 3   Total 
Assets                    
Common Stocks                    
Aerospace & Defense  $1,564,505   $—   $—   $1,564,505 
Airlines   783,966    —    —    783,966 
Apparel   1,143,378    —    —    1,143,378 
Banks   510,191    —    —    510,191 
Biotechnology   9,470,580    —    —    9,470,580 
Commercial Services   847,494    —    —    847,494 
Computers & Computer Services   366,852    442,814    —    809,666 
Construction Materials   2,889,090    —    —    2,889,090 
Diversified Financial Services   1,153,651    —    —    1,153,651 
Electric   396,690    —    —    396,690 
Electronics   1,421,854    —    —    1,421,854 
Energy - Alternate Sources   321,710    —    —    321,710 
Food Service   1,294,837    —    —    1,294,837 
Healthcare - Products   1,672,751    —    —    1,672,751 
Healthcare - Services   2,977,428    —    —    2,977,428 
Home Builders   2,425,257    —    —    2,425,257 
Home Furnishings   1,221,130    —    —    1,221,130 
Insurance   405,459    —    —    405,459 
Internet   1,029,903    —    —    1,029,903 
Iron/Steel   1,962,294    —    —    1,962,294 
Machinery - Construction & Mining   318,908    —    —    318,908 
Oil & Gas   6,784,411    —    —    6,784,411 
Packaging & Containers   601,995    —    —    601,995 
Pharmaceuticals   1,197,055    —    —    1,197,055 
Real Estate   2,822,261    —    —    2,822,261 
Retail   419,559    —    —    419,559 
Software   8,036,383    —    —    8,036,383 
Storage/Warehousing   1,136,638    —    —    1,136,638 
Telecommunications   2,027,421    —    0    2,027,421 
Transportation   840,664    —    —    840,664 
Short-Term Investments   3,204,623    —    —    3,204,623 
TOTAL  $61,248,938   $442,814   $0   $61,691,752 
                     
Other Financial Instruments**                    
Assets                    
Forward Foreign Currency Exchange Contracts  $—   $110,383   $—   $110,383 
Equity Swaps   1,429    —    —    1,429 
Liabilities                    
Common Stocks*   (3,933,426)   —    —    (3,933,426)
Forward Foreign Currency Exchange Contracts   —    (100,125)   —    (100,125)
Equity Swaps   (412,289)   —    —    (412,289)
TOTAL  $(4,344,286)  $10,258   $—   $(4,334,028)

 

* Refer to Portfolio of Investments for sector information.
** Other financial instruments are instruments such as securities sold short, equity swaps and forward foreign currency exchange contracts.

 

 

 

 

AltShares Merger Arbitrage ETF Portfolio of Investments(Continued)
             February 29, 2024 (unaudited)

 

The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Fund’s assets and liabilities during the period ended February 29, 2024:

 

Investments in Securities  Balance as of
May 31, 2023		   Realized Gain
(Loss)		   Change in
Unrealized
Appreciation
(Depreciation)		   Purchases   Sales Proceeds   Transfers out of
Level 3		   Balance as of
February 29, 2024		   Net change in Unrealized
Appreciation (Depreciation)
from investments still held
as of February 29, 2024		 
Common Stock  $0   $-   $-   $-   $-   $-   $0   $- 
Total  $0   $-   $-   $-   $-   $-   $0   $- 

 

 

 

 

AltShares Event-Driven ETF Portfolio of Investments
             February 29, 2024 (unaudited)

 

   Shares   Value 
COMMON STOCKS - 84.64%          
Aerospace & Defense - 1.72%          
Boeing Co.(a)   350   $71,302 
           
Apparel - 3.07%          
Capri Holdings Ltd.(a)   1,086    50,097 
VF Corp.(b)   4,738    77,419 
         127,516 
Auto Manufacturers - 1.09%          
Rivian Automotive, Inc., Class A(a)(c)   4,000    45,280 
           
Banks - 2.27%          
Capstar Financial Holdings, Inc.   5,025    94,219 
           
Biotechnology - 9.80%          
Aura Biosciences, Inc.(a)(b)   5,000    45,350 
Cerevel Therapeutics Holdings, Inc.(a)   2,715    111,315 
Cymabay Therapeutics, Inc.(a)   1,959    63,060 
Olink Holding AB, ADR(a)   7,583    169,632 
Zai Lab Ltd., ADR(a)   850    17,833 
         407,190 
Commercial Services - 2.95%          
LiveRamp Holdings, Inc.(a)   1,250    43,725 
Network International Holdings PLC(a)(d)   16,268    78,649 
         122,374 
Construction Materials - 3.07%          
Masonite International Corp.(a)   324    42,198 
PGT Innovations, Inc.(a)   2,045    85,419 
         127,617 
Electric - 0.85%          
PNM Resources, Inc.   968    35,342 
           
Entertainment - 3.23%          
Caesars Entertainment, Inc.(a)(b)   1,203    52,294 
Cineplex, Inc.(a)   14,075    82,035 
         134,329 
Healthcare - Products - 3.46%          
Axonics, Inc.(a)   1,534    104,220 
Pacific Biosciences of California, Inc.(a)(b)   7,118    39,363 
         143,583 
Healthcare - Services - 2.46%          
Amedisys, Inc.(a)   669    62,230 
Catalent, Inc.(a)   697    39,966 
         102,196 
Home Builders - 2.51%          
MDC Holdings, Inc.   1,664    104,333 

 

 

 

 

AltShares Event-Driven ETF Portfolio of Investments (Continued)
             February 29, 2024 (unaudited)

 

   Shares   Value 
COMMON STOCKS - 84.64% (Continued)          
Home Furnishings - 0.73%          
Vizio Holding Corp., Class A(a)   2,767   $30,465 
           
Internet - 2.94%          
Adevinta ASA(a)   9,486    101,279 
Pinterest, Inc., Class A(a)   570    20,919 
         122,198 
Iron/Steel - 1.94%          
U.S. Steel Corp.(b)   1,705    80,715 
           
Machinery - Construction & Mining - 0.89%          
Bloom Energy Corp., Class A(a)(b)   4,220    37,009 
           
Media - 4.43%          
Walt Disney Co.   246    27,449 
TEGNA, Inc.   5,250    73,553 
Warner Bros Discovery, Inc.(a)   3,000    26,370 
Paramount Global, Class B(b)   5,110    56,414 
         183,786 
Mining - 1.94%          
Cameco Corp.   1,985    80,452 
           
Oil & Gas - 9.48%          
APA Corp.   295    8,788 
Hess Corp.(b)   1,336    194,722 
Pioneer Natural Resources Co.(b)   809    190,269 
         393,779 
Pharmaceuticals - 1.50%          
Bayer AG, ADR(b)   8,206    62,284 
           
Real Estate - 4.56%          
McGrath RentCorp   676    84,148 
Tricon Residential, Inc.   9,445    105,123 
         189,271 
Real Estate Investment Trusts - 1.79%          
Crown Castle, Inc.(b)(c)   676    74,319 
           
Semiconductors - 2.85%          
Intel Corp.(b)   795    34,225 
Silicon Motion Technology Corp., ADR   1,187    84,027 
         118,252 
Software - 11.44%          
Alteryx, Inc., Class A(a)   2,270    109,051 
ANSYS, Inc.(a)   371    123,977 
Everbridge, Inc.(a)   1,832    51,791 
Snowflake, Inc., Class A(a)(c)   100    18,828 
Splunk, Inc.(a)(b)   1,098    171,529 
         475,176 

 

 

 

 

AltShares Event-Driven ETF Portfolio of Investments (Continued)
             February 29, 2024 (unaudited)

 

   Shares   Value 
COMMON STOCKS - 84.64% (Continued)          
Telecommunications - 3.67%          
EchoStar Corp., Class A(a)   3,690   $48,376 
Juniper Networks, Inc.   2,815    104,239 
         152,615 
TOTAL COMMON STOCKS          
(Cost $3,647,577)        3,515,602 

 

   Maturity
Date		  Rate   Principal
Amount		   Value 
CORPORATE BONDS - 4.52%                  
Commercial Services - 0.67%                  
Valvoline, Inc.(d)  02/15/2030   4.250%  $28,000   $27,823 
                   
Oil & Gas - 2.46%                  
Callon Petroleum Co.(d)  08/01/2028   8.000%   53,000    55,360 
PDC Energy, Inc.  05/15/2026   5.750%   47,000    46,934 
                 102,294 
Oil & Gas Services - 0.55%                  
CSI Compressco LP/CSI Compressco Finance, Inc.(d)  04/01/2025   7.500%   23,000    23,023 
                   
Retail - 0.84%                  
Carrols Restaurant Group, Inc.(d)  07/01/2029   5.875%   34,000    34,700 
                   
TOTAL CORPORATE BONDS                  
(Cost $187,806)                187,840 
                   
CONVERTIBLE CORPORATE BONDS - 0.00%(e)                  
Auto Manufacturers - 0.00%(e)                  
Lightning eMotors, Inc.(d)(f)  05/15/2024   7.500%   365    18 
                   
TOTAL CONVERTIBLE CORPORATE BONDS                  
(Cost $365)                18 

 

   Shares   Value 
RIGHTS(a) - 0.11%          
Concert Pharmaceuticals, Inc. CVR, Expires 12/31/2029(g)(h)   2,000   $813 
Contra Abiomed, Inc. CVR, Expires 12/31/2030(g)   200    350 
Contra Albireo Pharma, Inc. CVR, Expires 12/31/2027(g)(h)   415    981 
Contra CinCor Pharma, Inc. CVR, Expires 12/31/2027(g)(h)   639    2,154 
           
TOTAL RIGHTS          
(Cost $3,792)        4,298 

 

 

 

 

AltShares Event-Driven ETF Portfolio of Investments (Continued)
             February 29, 2024 (unaudited)

 

   Yield   Shares   Value 
SHORT-TERM INVESTMENTS - 11.16%               
Money Market Funds               
Morgan Stanley Institutional Liquidity Funds - Government Portfolio   5.222%(i)  $231,764   $231,764 
State Street Institutional U.S. Government Money Market Fund, Premier Class   5.387%(i)   231,765    231,765 
              463,529 
TOTAL SHORT-TERM INVESTMENTS               
(Cost $463,529)             463,529 
                
Total Investments - 100.43%               
(Cost $4,303,069)             4,171,287 
                
Liabilities in Excess of Other Assets - (0.43)%(j)             (17,796)
                
NET ASSETS - 100.00%            $4,153,491 

 

Portfolio Footnotes
(a) Non-income-producing security.
(b) Security, or a portion of security, is being held as collateral for swaps, short sales or forward foreign currency exchange contracts. At February 29, 2024, the aggregate fair market value of those securities was $754,680, representing 18.17% of net assets.
(c) Underlying security for a written/purchased call/put option.
(d) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. As of February 29, 2024, these securities had a total value of $219,573 or 5.29% of net assets.
(e) Less than 0.005% of net assets.
(f) Security in default on interest payments.
(g) Restricted securities (including private placements) - The Fund may own investment securities that have other legal or contractual limitations. At the end of the period, the value of restricted securities (excluding 144A issues) amounted to $4,298 or 0.10% of net assets.

 

Restricted Security  Acquisition Date  Acquisition Cost 
Concert Pharmaceuticals, Inc. CVR, Expires 12/31/2029  03/07/2023  $740 
Contra Abiomed, Inc. CVR, Expires 12/31/2030  12/21/2022   204 
Contra Albireo Pharma, Inc. CVR, Expires 12/31/2027  01/09/2023   892 
Contra CinCor Pharma, Inc. CVR, Expires 12/31/2027  02/23/2023   1,956 
Total     $3,792 

 

(h) Security fair valued using significant unobservable inputs and classified as a Level 3 security.  As of February 29, 2024, the total fair market value of these securities was $3,948, representing 0.10% of net assets.
(i) Rate shown is the 7-day effective yield as of February 29, 2024.
(j) Includes cash held as collateral for short sales.

 

 

 

 

AltShares Event-Driven ETF Portfolio of Investments (Continued)
             February 29, 2024 (unaudited)

 

SCHEDULE OF SECURITIES SOLD SHORT  Shares   Value 
SECURITIES SOLD SHORT - (2.49%)          
COMMON STOCKS SOLD SHORT - (2.49%)          
Commercial Services - (0.77%)          
WillScot Mobile Mini Holdings Corp.   (673)  $(32,136)
           
Oil & Gas - (0.19%)          
Callon Petroleum Co.   (249)   (7,759)
           
Software - (1.53%)          
Synopsys, Inc.   (111)   (63,684)
           
TOTAL SECURITIES SOLD SHORT          
(Proceeds $95,727)       $(103,579)

 

WRITTEN OPTIONS  Expiration
Date		  Exercise
Price		   Notional
Amount		   Contracts   Value 
Written Call Options                       
Crown Castle, Inc.  03/2024  $110.00   $(32,982)   (3)  $(810)
Rivian Automotive, Inc.  03/2024   12.00    (22,640)   (20)   (960)
Snowflake, Inc.  03/2024   180.00    (18,828)   (1)   (1,200)
                        
TOTAL WRITTEN OPTIONS                       
(Premiums received $2,395)                    $(2,970)

 

EQUITY SWAP CONTRACTS

 

Swap
Counterparty/
Payment
Frequency		  Reference
Obligation		  Rate
Paid/Received
by the Fund		  Termination
Date		  Upfront
Payments
Made		   Upfront
Payments
Received		   Market
Value		   Notional
Amount		   Unrealized
Appreciation		 
Morgan Stanley & Co./ Upon Termination  Old National Bancorp  Received 1 Month-Federal Rate Minus 40bps (4.930%)  05/08/2024  $—   $—   $3,235    USD93,830   $3,235 
Morgan Stanley & Co./ Upon Termination  Exxon Mobil Corp.  Received 1 Month-Federal Rate Minus 40bps (4.930%)  07/25/2024   —    —    447   USD 197,885    447 
Morgan Stanley & Co./ Upon Termination  WillScot Mobile Mini Holdings Corp.  Received 1 Month-Federal Rate Minus 40bps (4.930%)  02/08/2025   —    —    225   USD 4,522    225 
                      $3,907        $3,907 

 

 

 

 

AltShares Event-Driven ETF Portfolio of Investments (Continued)
             February 29, 2024 (unaudited)

 
Swap
Counterparty/
Payment
Frequency		  Reference
Obligation		  Rate
Paid/Received
by the Fund		  Termination
Date		  Upfront
Payments
Made		   Upfront
Payments
Received		   Market
Value		   Notional
Amount		   Unrealized
Depreciation		 
Morgan Stanley & Co./ Upon Termination  Chevron Corp.  Received 1 Month-Federal Rate Minus 40bps (4.930%)  05/06/2024  $—   $—   $(3,787)  USD204,771   $(3,787)
Morgan Stanley & Co./ Upon Termination  Synopsys, Inc.  Received 1 Month-Federal Rate Minus 40bps (4.930%)  01/23/2025   —    —    (207)  USD8,399    (207)
                      $(3,994)       $(3,994)

 

 

 

 

AltShares Event-Driven ETF Portfolio of Investments (Continued)
             February 29, 2024 (unaudited)

 
OUTSTANDING FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS
 
Currency Purchased    Currency Sold    Counterparty  Settlement
Date		  Unrealized
Appreciation		 
CAD 2,580   USD 1,901   Morgan Stanley & Co.  03/15/2024  $1 
USD 55,588   CAD 74,530   Morgan Stanley & Co.  03/15/2024   662 
USD 81,042   GBP 63,400   Morgan Stanley & Co.  03/15/2024   1,007 
USD 27,443   NOK 285,900   Morgan Stanley & Co.  03/15/2024   517 
                  $2,187 

 
Currency Purchased    Currency Sold    Counterparty  Settlement
Date		  Unrealized
Depreciation		 
CAD 7,090   USD 5,292   Morgan Stanley & Co.  03/15/2024  $(67)
USD 34,417   CAD 46,750   Morgan Stanley & Co.  03/15/2024   (38)
GBP 37,300   USD 47,470   Morgan Stanley & Co.  03/15/2024   (383)
USD 48,987   GBP 39,000   Morgan Stanley & Co.  03/15/2024   (246)
USD 73,441   NOK 805,000   Morgan Stanley & Co.  03/15/2024   (2,371)
                  $(3,105)

 

The following is a summary of investments classified by country exposure:
 
Country  % of Net Assets(a) 
United States   79.40%
Canada   7.45%
Sweden   4.08%
Cayman Islands   2.45%
Norway   2.44%
United Kingdom   1.90%
Germany   1.50%
British Virgin Islands   1.21%
Liabilities in Excess of Other Assets   (0.43)%
    100.00%

 

(a) These percentages represent long positions only and are not net of short positions.

 

 

 

 

AltShares Event-Driven ETF Portfolio of Investments (Continued)
             February 29, 2024 (unaudited)

 

Abbreviations:

 
AB - Aktiebolag is the Swedish term for a limited company.
ADR - American Depositary Receipt
AG - Aktiengesellschaft is a German term that refers to a corporation that is limited by shares, i.e., owned by shareholders.
ASA - Allmennaksjeselskap is the Norwegian term for public limited company.
bps - Basis Points. 100 Basis Points is equal to 1 percentage point.
CAD - Canadian dollar
CVR - Contingent Value Rights
EUR - Euro
GBP - British pound
LP - Limited Partnership
Ltd. - Limited
NOK - Norwegian krone
PLC - Public Limited Company
USD - United States Dollar

 

 

 

  

AltShares Event-Driven ETF Portfolio of Investments (Continued)
             February 29, 2024 (unaudited)

 

The following table summarizes AltShares Event-Driven ETF’s investments and derivative financial instruments categorized in the fair value hierarchy as of February 29, 2024:

 

Investments in Securities at Fair Value

  Level 1   Level 2   Level 3   Total 
Assets                    
Common Stocks*  $3,515,602   $—   $—   $3,515,602 
Corporate Bonds*   —    187,840    —    187,840 
Convertible Corporate Bonds*   —    18    —    18 
Rights   —    350    3,948    4,298 
Short-Term Investments   463,529    —    —    463,529 
TOTAL  $3,979,131   $188,208   $3,948   $4,171,287 
                     
Other Financial Instruments**                    
Assets                    
Forward Foreign Currency Exchange Contracts  $—   $2,187   $—   $2,187 
Equity Swaps   3,907    —    —    3,907 
Liabilities                    
Common Stocks*   (103,579)   —    —    (103,579)
Written Options   (2,970)   —    —    (2,970)
Forward Foreign Currency Exchange Contracts   —    (3,105)   —    (3,105)
Equity Swaps   (3,994)   —    —    (3,994)
TOTAL  $(106,636)  $(918)  $—   $(107,554)

 

* Refer to Portfolio of Investments for sector information.
** Other financial instruments are instruments such as written options, securities sold short, equity swaps and forward foreign currency exchange contracts.

 

 

 

 

AltShares Event-Driven ETF Portfolio of Investments (Continued)
             February 29, 2024 (unaudited)

 

The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Fund’s assets and liabilities during the period ended February 29, 2024:

 

Investments in Securities  Balance as of
May 31, 2023		   Realized Gain
(Loss)		   Change in
Unrealized
Appreciation
(Depreciation)		   Purchases   Sales Proceeds   Transfers out of
Level 3		   Balance as of
February 29, 2024		   Net change in Unrealized
Appreciation (Depreciation)
from investments still held
as of February 29, 2024		 
Rights  $3,970   $3,260   $340   $-   $(3,622)  $-   $3,948   $272 
Private Investments   800    36    (386)   -    (450)   -   $-    - 
Total  $4,770   $3,296   $(46)  $-   $(4,072)  $-   $3,948   $272