X0404
  
    N-CEN
    
      LIVE
      
        
          0001779306
          XXXXXXXX
        
        811-23475
      
      
        false
        false
        false
      
      N-1A
    
    
      
        
          S000072757
          
            C000229260
          
        
        
          S000067196
          
            C000216184
          
        
      
    
  
  
    
    
      AltShares Trust
      811-23475
      0001779306
      549300MJC5CESCLT8M40
      41 Madison Avenue
      42nd Floor
      New York
      10010
      US-NY
      US
      855-955-1607
      
        
      
      
        
          State Street Bank and Trust Company
          1 Lincoln Street
          Boston
          
          02111
          617-786-3000
          Custody and Accounting records
        
      
      N
      N
      
      N-1A
      2
      Y
      
        
          Nancy M. Morris
          N/A
          N
          
            
            
          
        
        
          John S. Orrico
          N/A
          Y
          
            
          
        
        
          Francis X. Tracy
          N/A
          N
          
            
          
        
      
      
        
          Philip Channen
          004814848
          41 Madison Avenue
          42nd Floor
          New York
          
          10010
          XXXXXX
          N
          
            
          
        
      
      N
      N
      N
      N
      
      N
      N
      
        
          Foreside Financial Services, LLC
          8-68027
          000148477
          00000000000000000000
          
          N
        
      
      N
      
        
          Ernst & Young LLP
          42
          00000000000000000000
          
        
      
      N
      N
      N
      N
      N
      N
      N
    
    
      
        AltShares Event-Driven ETF
        S000072757
        549300W6I6KRV9NKQV40
        Y
        0
        0
        0
        
          
        
        
          Exchange-Traded Fund
        
        Y
        N
        Y
        N
        N/A
        N/A
        N/A
        
          Rule 12d1-1 (17 CFR 270.12d1-1)
          Rule 6c-11 (17 CFR 270.6c-11)
          Rule 32a-4 (17 CFR 270.32a-4)
          Rule 17a-8 (17 CFR 270.17a-8)
        
        Y
        Y
        N
        N
        
          
            Water Island Capital, LLC
            801-57341
            000113358
            IEUW0AW31PB5M40NL881
            
            N
          
        
        
          
            State Street Bank and Trust Company
            85-05003
            571474TGEMMWANRLN572
            
            N
            N
          
        
        N
        
          
            J.P. Morgan Securities LLC
            ZBUT11V806EZRVTWT807
            
            N
          
          
            Refinitiv US Holdings Inc.
            549300NF240HXJO7N016
            
            N
          
          
            Bloomberg L.P.
            549300B56MD0ZC402L06
            
            N
          
          
            Ice Data Services, Inc.
            13-3668779
            Tax ID
            
            N
          
          
            IHS Markit Ltd.
            549300HLPTRASHS0E726
            GB
            N
          
        
        N
        
          
            State Street Bank International GmbH
            ZMHGNT7ZPKZ3UFZ8EO46
            DE
            N
            Y
            Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
          
          
            Standard Chartered Bank (Johannesburg, Gauteng, ZA, Branch)
            RILFO74KP1CM8P6PCT96
            ZA
            N
            Y
            Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
          
          
            Clearstream Banking S.A.
            549300OL514RA0SXJJ44
            LU
            N
            Y
            Foreign securities depository - rule 17f-7 (17 CFR 270.17f-7)
          
          
            Skandinaviska Enskilda Banken A/S
            F3JS33DEI6XQ4ZBPTN86
            DK
            N
            Y
            Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
          
          
            Royal Bank of Canada
            ES7IP3U3RHIGC71XBU11
            CA
            N
            Y
            Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
          
          
            Skandinaviska Enskilda Banken AB
            F3JS33DEI6XQ4ZBPTN86
            SE
            N
            Y
            Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
          
          
            Citibank Europe Public Limited Company
            N1FBEDJ5J41VKZLO2475
            IE
            N
            Y
            Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
          
          
            State Street Bank and Trust Company
            571474TGEMMWANRLN572
            
            N
            N
            Bank - section 17(f)(1) (15 U.S.C. 80a-17(f)(1))
          
          
            The Hongkong and Shanghai Banking Corporation Limited (Auckland, Auckland, NZ, Branch)
            2HI3YI5320L3RW6NJ957
            NZ
            N
            Y
            Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
          
          
            Bank Hapoalim B.M.
            B6ARUI4946ST4S7WOU88
            IL
            N
            Y
            Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
          
          
            The Hongkong and Shanghai Banking Corporation Limited (Sydney, NSW, AU, Branch)
            2HI3YI5320L3RW6NJ957
            AU
            N
            Y
            Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
          
          
            Skandinaviska Enskilda Banken AB (Helsinki, Uusimaa, FI, Branch)
            F3JS33DEI6XQ4ZBPTN86
            FI
            N
            Y
            Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
          
          
            State Street Bank and Trust Company (Edinburgh, GB, Branch)
            571474TGEMMWANRLN572
            GB
            N
            Y
            Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
          
          
            Mizuho Bank, Ltd. (Minato ku, Tokyo, JP, Branch)
            RB0PEZSDGCO3JS6CEU02
            JP
            N
            Y
            Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
          
          
            UBS Switzerland AG
            549300WOIFUSNYH0FL22
            CH
            N
            Y
            Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
          
          
            Skandinaviska Enskilda Banken AB (Oslo, Oslo, NO, Branch)
            F3JS33DEI6XQ4ZBPTN86
            NO
            N
            Y
            Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
          
          
            Citibank, National Association (Singapore, SG, Branch)
            E57ODZWZ7FF32TWEFA76
            SG
            N
            Y
            Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
          
          
            Banco Nacional de Mexico, S.A., Integrante del Grupo Financiero Banamex
            2SFFM4FUIE05S37WFU55
            MX
            N
            Y
            Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
          
          
            BNP Paribas Securities Services
            549300WCGB70D06XZS54
            FR
            N
            Y
            Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
          
          
            State Street Trust Company Canada
            549300L71XG2CTQ2V827
            CA
            N
            Y
            Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
          
          
            The Hongkong and Shanghai Banking Corporation Limited
            2HI3YI5320L3RW6NJ957
            HK
            N
            Y
            Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
          
          
            Intesa Sanpaolo SpA
            2W8N8UU78PMDQKZENC08
            IT
            N
            Y
            Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
          
          
            UniCredit Bank Austria AG
            D1HEB8VEU6D9M8ZUXG17
            AT
            N
            Y
            Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
          
          
            Standard Chartered Bank (Makati City, Metro Manila, PH, Branch)
            RILFO74KP1CM8P6PCT96
            PH
            N
            Y
            Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
          
        
        N
        
          
            State Street Bank and Trust Company
            571474TGEMMWANRLN572
            
            N
            N
          
        
        N
        
          
            State Street Bank and Trust Company
            571474TGEMMWANRLN572
            
            N
            N
          
        
        N
        
          
            Credit Suisse Securities (USA) LLC
            8-422
            000000816
            1V8Y6QCX6YMJ2OELII46
            
            115.23000000
          
          
            Mischler Financial Group, Inc.
            8-48067
            000037818
            2549004IPXPSM9EJFC92
            
            1294.78000000
          
          
            Bloomberg Tradebook LLC
            8-49219
            000040881
            549300P0PVQNO43T7K36
            
            113.03000000
          
          
            BofA Securities, Inc.
            8-69787
            000283942
            549300HN4UKV1E2R3U73
            
            68.43000000
          
          
            Raymond James & Associates, Inc.
            8-10999
            000000705
            U4ONQX15J3RO8XCKE979
            
            88.92000000
          
          
            Morgan Stanley & Co. LLC
            8-15869
            000008209
            9R7GPTSO7KV3UQJZQ078
            
            1209.49000000
          
          
            Dash Financial Technologies LLC
            8-52503
            000104031
            549300VYG4AYVBIDN394
            
            521.40000000
          
          
            Cowen and Company, LLC
            8-22522
            000007616
            549300WR155U7DVMIW58
            
            183.03000000
          
          
            Jefferies LLC
            8-15074
            000002347
            58PU97L1C0WSRCWADL48
            
            84.02000000
          
          
            BTIG, LLC
            8-65473
            000122225
            549300GTG9PL6WO3EC51
            
            95.52000000
          
        
        4234.35000000
        
          
            Credit Suisse Securities (USA) LLC
            8-422
            000000816
            1V8Y6QCX6YMJ2OELII46
            
            43500.00000000
          
          
            Goldman Sachs & Co. LLC
            8-129
            000000361
            FOR8UP27PHTHYVLBNG30
            
            250469.40000000
          
          
            Robert W. Baird & Co. Incorporated
            8-497
            000008158
            549300772UJAHRD6LO53
            
            29217.50000000
          
          
            BofA Securities, Inc.
            8-69787
            000283942
            549300HN4UKV1E2R3U73
            
            123170.79000000
          
          
            State Street Bank and Trust Company
            N/A
            N/A
            571474TGEMMWANRLN572
            
            5011798.40000000
          
          
            Jefferies LLC
            8-15074
            000002347
            58PU97L1C0WSRCWADL48
            
            45429.84000000
          
          
            Bloomberg Tradebook LLC
            8-49219
            000040881
            549300P0PVQNO43T7K36
            
            49265.65000000
          
          
            MarketAxess Corporation
            8-50727
            000044542
            GPSMMRI21JE7ZCVYF972
            
            3906.00000000
          
          
            Morgan Stanley & Co. LLC
            8-15869
            000008209
            9R7GPTSO7KV3UQJZQ078
            
            30955590.30000000
          
        
        36771210.73000000
        Y
        3188508.92555555
        N
        N
        N
      
      
        AltShares Merger Arbitrage ETF
        S000067196
        549300253RKVXL6EB213
        N
        0
        0
        0
        
          
        
        
          Exchange-Traded Fund
          
            Y
            Y
            0.54000000
            -0.06000000
            0.99000000
            0.99000000
          
        
        Y
        N
        Y
        N
        N/A
        N/A
        N/A
        
          Rule 12d1-1 (17 CFR 270.12d1-1)
          Rule 32a-4 (17 CFR 270.32a-4)
          Rule 6c-11 (17 CFR 270.6c-11)
        
        Y
        Y
        N
        N
        
          
            Water Island Capital, LLC
            801-57341
            000113358
            IEUW0AW31PB5M40NL881
            
            N
          
        
        
          
            State Street Bank and Trust Company
            85-05003
            571474TGEMMWANRLN572
            
            N
            N
          
        
        N
        
          
            J.P. Morgan Securities LLC
            ZBUT11V806EZRVTWT807
            
            N
          
          
            Bloomberg L.P.
            549300B56MD0ZC402L06
            
            N
          
          
            IHS Markit Ltd.
            549300HLPTRASHS0E726
            GB
            N
          
          
            Ice Data Services, Inc.
            13-3668779
            Tax ID
            
            N
          
          
            Refinitiv US Holdings Inc.
            549300NF240HXJO7N016
            
            N
          
        
        N
        
          
            BNP Paribas Securities Services
            549300WCGB70D06XZS54
            FR
            N
            Y
            Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
          
          
            The Hongkong and Shanghai Banking Corporation Limited
            2HI3YI5320L3RW6NJ957
            HK
            N
            Y
            Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
          
          
            State Street Bank International GmbH
            ZMHGNT7ZPKZ3UFZ8EO46
            DE
            N
            Y
            Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
          
          
            The Hongkong and Shanghai Banking Corporation Limited (Auckland, Auckland, NZ, Branch)
            2HI3YI5320L3RW6NJ957
            NZ
            N
            Y
            Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
          
          
            State Street Bank and Trust Company
            571474TGEMMWANRLN572
            
            N
            N
            Bank - section 17(f)(1) (15 U.S.C. 80a-17(f)(1))
          
          
            The Hongkong and Shanghai Banking Corporation Limited (Sydney, NSW, AU, Branch)
            2HI3YI5320L3RW6NJ957
            AU
            N
            Y
            Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
          
          
            Skandinaviska Enskilda Banken A/S
            F3JS33DEI6XQ4ZBPTN86
            DK
            N
            Y
            Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
          
          
            Royal Bank of Canada
            ES7IP3U3RHIGC71XBU11
            CA
            N
            Y
            Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
          
          
            Intesa Sanpaolo SpA
            2W8N8UU78PMDQKZENC08
            IT
            N
            Y
            Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
          
          
            Skandinaviska Enskilda Banken AB (Oslo, Oslo, NO, Branch)
            F3JS33DEI6XQ4ZBPTN86
            NO
            N
            Y
            Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
          
          
            BNP Paribas Securities Services (Athens, Attica, GR, Branch)
            549300WCGB70D06XZS54
            GR
            N
            Y
            Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
          
          
            Banco Nacional de Mexico, S.A., Integrante del Grupo Financiero Banamex
            2SFFM4FUIE05S37WFU55
            MX
            N
            Y
            Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
          
          
            Skandinaviska Enskilda Banken AB
            F3JS33DEI6XQ4ZBPTN86
            SE
            N
            Y
            Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
          
          
            Skandinaviska Enskilda Banken AB (Helsinki, Uusimaa, FI, Branch)
            F3JS33DEI6XQ4ZBPTN86
            FI
            N
            Y
            Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
          
          
            The Hongkong and Shanghai Banking Corporation Limited (Chuo ku, Tokyo, JP, Branch)
            2HI3YI5320L3RW6NJ957
            JP
            N
            Y
            Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
          
          
            Euroclear Bank
            549300OZ46BRLZ8Y6F65
            BE
            N
            Y
            Foreign securities depository - rule 17f-7 (17 CFR 270.17f-7)
          
          
            State Street Trust Company Canada
            549300L71XG2CTQ2V827
            CA
            N
            Y
            Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
          
          
            State Street Bank and Trust Company (Edinburgh, GB, Branch)
            571474TGEMMWANRLN572
            GB
            N
            Y
            Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
          
          
            Citibank, National Association (Singapore, SG, Branch)
            E57ODZWZ7FF32TWEFA76
            SG
            N
            Y
            Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
          
          
            Citibank Europe Public Limited Company
            N1FBEDJ5J41VKZLO2475
            IE
            N
            Y
            Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
          
          
            Citibank Europe Public Limited Company (Budapest, HU, Branch)
            N1FBEDJ5J41VKZLO2475
            HU
            N
            Y
            Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
          
          
            UniCredit Bank Austria AG
            D1HEB8VEU6D9M8ZUXG17
            AT
            N
            Y
            Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
          
          
            Credit Suisse (Schweiz) AG
            549300CWR0W0BCS9Q144
            CH
            N
            Y
            Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
          
          
            Clearstream Banking S.A.
            549300OL514RA0SXJJ44
            LU
            N
            Y
            Foreign securities depository - rule 17f-7 (17 CFR 270.17f-7)
          
          
            FirstRand Bank Limited
            ZAYQDKTCATIXF9OQY690
            ZA
            N
            Y
            Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
          
        
        Y
        
          
            State Street Bank and Trust Company
            571474TGEMMWANRLN572
            
            N
            N
          
        
        N
        
          
            State Street Bank and Trust Company
            571474TGEMMWANRLN572
            
            N
            N
          
        
        N
        
          
            Dash Financial Technologies LLC
            8-52503
            000104031
            549300VYG4AYVBIDN394
            
            1991.87000000
          
          
            Berenberg Capital Markets LLC
            8-68821
            000156757
            5493007EG0CYRKKG9L11
            
            2602.49000000
          
          
            Bloomberg Tradebook LLC
            8-49219
            000040881
            549300P0PVQNO43T7K36
            
            5357.87000000
          
          
            Morgan Stanley & Co. LLC
            8-15869
            000008209
            9R7GPTSO7KV3UQJZQ078
            
            22718.77000000
          
          
            Goldman Sachs & Co. LLC
            8-129
            000000361
            FOR8UP27PHTHYVLBNG30
            
            479.04000000
          
          
            Mischler Financial Group, Inc.
            8-48067
            000037818
            2549004IPXPSM9EJFC92
            
            53809.07000000
          
          
            Virtu Americas LLC
            8-68193
            000149823
            549300RA02N3BNSWBV74
            
            371.18000000
          
          
            Investec Securities (US) LLC
            8-67162
            000138421
            00000000000000000000
            
            298.92000000
          
          
            Jefferies LLC
            8-15074
            000002347
            58PU97L1C0WSRCWADL48
            
            315.79000000
          
          
            Peel Hunt LLP
            8-68845
            000157321
            5493007DWN0R4YBM4C84
            GB
            1116.97000000
          
        
        89064.13000000
        
          
            BofA Securities, Inc.
            8-69787
            000283942
            549300HN4UKV1E2R3U73
            
            8972966.52000000
          
          
            Morgan Stanley & Co. LLC
            8-15869
            000008209
            9R7GPTSO7KV3UQJZQ078
            
            342325724.03000000
          
          
            State Street Bank and Trust Company
            N/A
            N/A
            571474TGEMMWANRLN572
            
            108329148.17000000
          
          
            Goldman Sachs & Co. LLC
            8-129
            000000361
            FOR8UP27PHTHYVLBNG30
            
            60655566.22000000
          
          
            Virtu Americas LLC
            8-68193
            000149823
            549300RA02N3BNSWBV74
            
            3015847.63000000
          
        
        535404682.95000000
        Y
        31235654.15230769
        N
        N
        N
      
    
    
      
        AltShares Event-Driven ETF
        S000072757
        
          
        
        
          
          
          
          
        
        Y
        10000.00000000
        100.00000000
        0.00000000
        0.00000000
        0.00000000
        43.51666666
        39.97066285
        56.48333333
        39.97066285
        0.00000000
        100.00000000
        0.00000000
        0.00000000
        100.00000000
        0.00000000
        0.00000000
        200.00000000
        0.00000000
        0.00000000
        200.00000000
        0.00000000
        N
      
      
        AltShares Merger Arbitrage ETF
        S000067196
        
          
        
        
          
          
          
          
        
        Y
        10000.00000000
        5.55285714
        4.52995967
        94.44714285
        4.52995967
        3.31000000
        3.33995009
        96.69000000
        3.33995009
        0.00000000
        250.00000000
        0.00000000
        0.00000000
        250.00000000
        0.00000000
        0.00000000
        250.00000000
        0.00000000
        0.00000000
        250.00000000
        0.00000000
        N
      
    
    
      true
altsharesn-cen.htm - Generated by SEC Publisher for SEC Filing

Report of Independent Registered Public Accounting Firm

 

To the Shareholders and

Board of Trustees of

AltShares Trust

In planning and performing our audit of the financial statements of AltShares Trust (“the Trust”) as of and for the year ended May 31, 2022, in accordance with the standards of the Public Company Accounting Oversight Board (PCAOB) (United States), we considered the Trust’s internal control over financial reporting, including controls over safeguarding securities, as a basis for designing our auditing procedures for the purpose of expressing our opinion on the financial statements and to comply with the requirements of Form N-CEN, but not for the purpose of expressing an opinion on the effectiveness of the Trust’s internal control over financial reporting. Accordingly, we express no such opinion.

The management of the Trust is responsible for establishing and maintaining effective internal control over financial reporting. In fulfilling this responsibility, estimates and judgments by management are required to assess the expected benefits and related costs of controls. A company’s internal control over financial reporting is a process designed to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with U.S. generally accepted accounting principles. A company’s internal control over financial reporting includes those policies and procedures that (1) pertain to the maintenance of records that, in reasonable detail, accurately and fairly reflect the transactions and dispositions of the assets of the company; (2) provide reasonable assurance that transactions are recorded as necessary to permit preparation of financial statements in accordance with U.S. generally accepted accounting principles, and that receipts and expenditures of the company are being made only in accordance with authorizations of management and directors of the company; and (3) provide reasonable assurance regarding prevention or timely detection of unauthorized acquisition, use or disposition of a company’s assets that could have a material effect on the financial statements.

Because of its inherent limitations, internal control over financial reporting may not prevent or detect misstatements. Also, projections of any evaluation of effectiveness to future periods are subject to the risk that controls may become inadequate because of changes in conditions, or that the degree of compliance with the policies or procedures may deteriorate.

A deficiency in internal control over financial reporting exists when the design or operation of a control does not allow management or employees, in the normal course of performing their assigned functions, to prevent or detect misstatements on a timely basis. A material weakness is a deficiency, or a combination of deficiencies, in internal control over financial reporting, such that there is a reasonable possibility that a material misstatement of the company’s annual or interim financial statements will not be prevented or detected on a timely basis.

Our consideration of the Trust’s internal control over financial reporting was for the limited purpose described in the first paragraph and would not necessarily disclose all deficiencies in internal control that might be material weaknesses under standards established by the PCAOB. However, we noted no deficiencies in the Trust’s internal control over financial reporting and its operation, including controls over safeguarding securities, that we consider to be a material weakness as defined above as of May 31, 2022.

1

 

 

This report is intended solely for the information and use of management and the Board of Trustees of AltShares Trust and the Securities and Exchange Commission and is not intended to be and should not be used by anyone other than these specified parties.

 

 

 

/s/ Ernst & Young, LLP

 

Minneapolis, MN

July 29, 2022

 

2