UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-22743
Blackstone Alternative Investment Funds
(Exact Name of Registrant as Specified in Charter)
345 Park Avenue
28th Floor
New York, NY 10154
(Address of Principal Executive Offices)
Registrant’s telephone number, including area code: (212) 583-5000
Peter Koffler, Esq.
c/o Blackstone Alternative Investment Advisors LLC
345 Park Avenue
28th Floor
New York, NY 10154
(Name and Address of Agent for Service)
With a copy to:
James E. Thomas, Esq.
Ropes & Gray LLP
Prudential Tower
800 Boylston Street
Boston, MA 02199-3600
Date of fiscal year end: March 31
Date of reporting period: September 30, 2017
Item 1. | Reports to Stockholders. |
The Report to Shareholders is attached hereto.
Blackstone
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Blackstone Alternative Multi-Strategy Fund
a series of Blackstone Alternative Investment Funds
Semi-Annual Report (Unaudited) For the Period Ended September 30, 2017
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TABLE OF CONTENTS
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4 | |||||
257 | |||||
259 | |||||
260 | |||||
262 | |||||
263 | |||||
266 | |||||
294 | |||||
295 |
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
September 30, 2017 (Unaudited)
Geographic Breakdown | Percentage of Total Net Assets | ||||
North America | 69.2 | % | |||
Asia | 4.9 | ||||
Europe | 3.4 | ||||
Middle East | 0.2 | ||||
South America | 0.9 | ||||
Africa | 0.0 | 1 | |||
Oceania | 0.0 | 1 | |||
Other2 | 21.3 | ||||
Securities Sold Short | (28.1 | ) | |||
Other Assets and Liabilities3 | 28.2 | ||||
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| ||||
Total | 100.0 | % | |||
|
|
1 | Represents less than 0.1%. |
2 | Includes Sovereign Debt, Exchange-Traded Funds, Short-Term Investment—Money Market Fund and Purchased Options. |
3 | Assets, other than investments in securities, net of other liabilities. See Consolidated Statement of Assets and Liabilities. A significant portion of the balance represents cash collateral for derivatives. |
Portfolio Composition | Percentage of Total Net Assets | ||||
Common Stock | 28.5 | % | |||
Mortgage-Backed Securities | 27.7 | ||||
Short-Term Investment—Money Market Fund | 13.7 | ||||
Investments in Investee Funds | 6.4 | ||||
Sovereign Debt | 5.7 | ||||
Asset-Backed Securities | 4.7 | ||||
Corporate Bonds & Notes | 3.5 | ||||
Preferred Stock | 3.4 | ||||
U.S. Treasury Obligations | 1.8 | ||||
Exchange-Traded Funds | 1.7 | ||||
Convertible Bonds | 1.5 | ||||
U.S. Government Sponsored Agency Securities | 0.6 | ||||
Bank Debt | 0.5 | ||||
Other1 | 0.2 | ||||
Securities Sold Short | (28.1 | ) | |||
Other Assets and Liabilities2 | 28.2 | ||||
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| ||||
Total | 100.0 | % | |||
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1 | Includes Purchased Options. |
2 | Assets, other than investments in securities, net of other liabilities. See Consolidated Statement of Assets and Liabilities. A significant portion of the balance represents cash collateral for derivatives. |
Credit Quality Allocation1 | Percentage of Total Investments in Securities | ||||
AAA/Aaa2 | 3.0 | % | |||
AA/Aa | 1.9 | ||||
A | 1.0 | ||||
BBB/Baa | 4.7 | ||||
BB/Ba | 6.3 | ||||
B | 5.6 | ||||
CCC/Caa | 0.5 | ||||
CC/Ca | — | ||||
D | 0.1 | ||||
Not Rated | 22.9 | ||||
Other3 | 54.0 | ||||
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Total Investments in Securities | 100.0 | % | |||
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1 | Using the higher of Standard & Poor’s (“S&P’s”) or Moody’s Investor Service (“Moody’s”) ratings. |
2 | Includes U.S. Government Sponsored Agency Securities and U.S. Treasury Obligations which are deemed AAA/Aaa by the Investment Adviser. |
3 | Includes Common Stock, Exchange-Traded Funds, Investments in Investee Funds, Short-Term Investment—Money Market Fund and Purchased Options. |
See Notes to Consolidated Financial Statements.
1
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Portfolio Information (Continued)
September 30, 2017 (Unaudited)
Industry | Percentage of Total Net Assets | ||||
Biotechnology & Pharmaceuticals | 3.8 | % | |||
Financial Services | 3.8 | ||||
Medical Equipment & Devices | 2.7 | ||||
Retail—Discretionary | 2.4 | ||||
Health Care Facilities & Services | 2.1 | ||||
Semiconductors | 2.1 | ||||
Software | 1.9 | ||||
Media | 1.4 | ||||
Pharmaceuticals | 1.2 | ||||
Retail—Consumer Staples | 1.2 | ||||
Chemicals | 1.1 | ||||
Hardware | 1.1 | ||||
Gaming, Lodging & Restaurants | 1.0 | ||||
Consumer Products | 0.9 | ||||
Banking | 0.8 | ||||
Integrated Oils | 0.8 | ||||
Real Estate | 0.6 | ||||
Specialty Finance | 0.6 | ||||
Aerospace & Defense | 0.5 | ||||
Diversified Banks | 0.5 | ||||
Oil, Gas & Coal | 0.5 | ||||
Publishing & Broadcasting | 0.5 | ||||
Transportation & Logistics | 0.5 | ||||
Software & Services | 0.4 | ||||
Technology Services | 0.4 | ||||
Apparel & Textile Products | 0.3 | ||||
Containers & Packaging | 0.3 | ||||
Electrical Equipment | 0.3 | ||||
Machinery | 0.3 | ||||
Metals & Mining | 0.3 | ||||
Automotive | 0.2 | ||||
Consumer Services | 0.2 | ||||
Home & Office Products | 0.2 | ||||
Insurance | 0.2 | ||||
Iron & Steel | 0.2 | ||||
Oil & Gas Services & Equipment | 0.2 | ||||
Retail—Consumer Discretionary | 0.2 | ||||
Asset Management | 0.1 | ||||
Commercial Services | 0.1 | ||||
Consumer Finance | 0.1 | ||||
Design, Manufacturing & Distribution | 0.1 | ||||
Distributors—Consumer Staples | 0.1 | ||||
Engineering & Construction Services | 0.1 | ||||
Industrial Other | 0.1 | ||||
Industrial Services | 0.1 |
See Notes to Consolidated Financial Statements.
2
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Portfolio Information (Continued)
September 30, 2017 (Unaudited)
Industry | Percentage of Total Net Assets | ||||
Medical Equipment & Devices Manufacturing | 0.1 | ||||
Passenger Transportation | 0.1 | ||||
Pipeline | 0.1 | ||||
Property & Casualty Insurance | 0.1 | ||||
Recreation Facilities & Services | 0.1 | ||||
Transportation Equipment | 0.1 | ||||
Utilities | 0.1 | ||||
Waste & Environmental Services & Equipment | 0.1 | ||||
Wireless Telecommunications Services | 0.1 | ||||
Advertising & Marketing | 0.0 | 1 | |||
Coal Operations | 0.0 | 1 | |||
Commercial Finance | 0.0 | 1 | |||
Construction Materials | 0.0 | 1 | |||
Distributors—Discretionary | 0.0 | 1 | |||
Entertainment Resources | 0.0 | 1 | |||
Exploration & Production | 0.0 | 1 | |||
Forest & Paper Products | 0.0 | 1 | |||
Homebuilders | 0.0 | 1 | |||
Institutional Financial Services | 0.0 | 1 | |||
Leisure Products | 0.0 | 1 | |||
Manufactured Goods | 0.0 | 1 | |||
Refining & Marketing | 0.0 | 1 | |||
Renewable Energy | 0.0 | 1 | |||
Supermarkets & Pharmacies | 0.0 | 1 | |||
Telecommunications | 0.0 | 1 | |||
Travel & Lodging | 0.0 | 1 | |||
Other2 | 62.5 | ||||
Securities Sold Short | (28.1 | ) | |||
Other Assets and Liabilities3 | 28.2 | ||||
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Total Investments | 100.0 | % | |||
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1 | Represents less than 0.1%. |
2 | Includes Asset-Backed Securities, Sovereign Debt, Mortgage-Backed Securities, U.S. Government Sponsored Agency Securities, U.S. Treasury Obligations, Exchange-Traded Funds, Investments in Investee Funds, Short-Term Investment—Money Market Fund and Purchased Options. |
3 | Assets, other than investments in securities, net of other liabilities. See Consolidated Statement of Assets and Liabilities. A significant portion of the balance represents cash collateral for derivatives. |
See Notes to Consolidated Financial Statements.
3
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments
September 30, 2017 (Unaudited)
Security Description | Shares | Value | ||||||||||
INVESTMENTS IN SECURITIES — 99.9% | ||||||||||||
COMMON STOCK — 28.5% | ||||||||||||
Africa — 0.0% | ||||||||||||
Metals & Mining — 0.0% | ||||||||||||
Gold Fields Ltd. ADR | 208,300 | $ | 897,773 | |||||||||
Harmony Gold Mining Co. Ltd. ADR | 19,900 | 36,417 | ||||||||||
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934,190 | ||||||||||||
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Specialty Finance — 0.0% | ||||||||||||
Net 1 UEPS Technologies, Inc. (a),(b) | 6,700 | 65,258 | ||||||||||
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| |||||||||||
Total Africa | 999,448 | |||||||||||
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| |||||||||||
Asia — 1.5% | ||||||||||||
Banking — 0.1% | ||||||||||||
Industrial & Commercial Bank of China Ltd. H Shares | 6,946,000 | 5,157,304 | ||||||||||
|
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Biotechnology & Pharmaceuticals — 0.0% | ||||||||||||
Sinovac Biotech Ltd. (a) | 700 | 4,928 | ||||||||||
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Chemicals — 0.0% | ||||||||||||
Origin Agritech Ltd. (a) | 100 | 164 | ||||||||||
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| |||||||||||
Consumer Products — 0.1% | ||||||||||||
Japan Tobacco, Inc. | 96,800 | 3,172,614 | ||||||||||
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Consumer Services — 0.2% | ||||||||||||
New Oriental Education & Technology Group, Inc. ADR | 55,000 | 4,854,300 | ||||||||||
TAL Education Group ADR | 143,200 | 4,827,272 | ||||||||||
Tarena International, Inc. ADR | 3,400 | 49,470 | ||||||||||
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9,731,042 | ||||||||||||
|
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Design, Manufacturing & Distribution — 0.0% | ||||||||||||
Fabrinet (a),(b) | 3,700 | 137,122 | ||||||||||
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Electrical Equipment — 0.1% | ||||||||||||
Keyence Corp. | 3,900 | 2,070,873 | ||||||||||
SMC Corp. | 8,400 | 2,962,862 | ||||||||||
|
| |||||||||||
5,033,735 | ||||||||||||
|
| |||||||||||
Gaming, Lodging & Restaurants — 0.1% | ||||||||||||
China Lodging Group Ltd. ADR (a) | 10,000 | 1,188,200 | ||||||||||
Melco Crown Entertainment Ltd. ADR | 171,800 | 4,143,816 | ||||||||||
|
| |||||||||||
5,332,016 | ||||||||||||
|
|
See Notes to Consolidated Financial Statements.
4
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2017 (Unaudited)
Security Description | Shares | Value | ||||||||
Hardware — 0.2% | ||||||||||
Alps Electric Co. Ltd. (c) | 55,000 | $ | 1,451,189 | |||||||
AU Optronics Corp. ADR | 29,300 | 118,372 | ||||||||
LG Display Co. Ltd. ADR | 4,300 | 57,706 | ||||||||
Samsung Electronics Co. Ltd. | 2,445 | 5,473,419 | ||||||||
Sony Corp. | 132,500 | 4,929,082 | ||||||||
Sony Corp. ADR | 29,100 | 1,086,594 | ||||||||
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13,116,362 | ||||||||||
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Health Care Facilities & Services — 0.0% | ||||||||||
China Cord Blood Corp. (a) | 3,500 | 38,920 | ||||||||
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Insurance — 0.0% | ||||||||||
Fanhua, Inc. (b) | 2,000 | 25,140 | ||||||||
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Machinery — 0.0% | ||||||||||
China Yuchai International Ltd. (b) | 4,045 | 90,042 | ||||||||
Hollysys Automation Technologies Ltd. (b) | 8,900 | 192,329 | ||||||||
|
| |||||||||
282,371 | ||||||||||
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| |||||||||
Media — 0.3% | ||||||||||
Autohome, Inc. ADR (a) | 9,600 | 576,768 | ||||||||
Baidu, Inc. ADR (a) | 17,900 | 4,433,651 | ||||||||
Leju Holdings Ltd. ADR (a) | 800 | 1,352 | ||||||||
Phoenix New Media Ltd. ADR (a) | 800 | 4,712 | ||||||||
SINA Corp. (a) | 35,700 | 4,093,005 | ||||||||
Sohu.com, Inc. (a),(b) | 11,200 | 609,840 | ||||||||
Weibo Corp. ADR (a) | 54,810 | 5,422,901 | ||||||||
Xunlei Ltd. ADR (a) | 4,300 | 18,275 | ||||||||
Yandex NV A Shares (a) | 31,400 | 1,034,630 | ||||||||
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16,195,134 | ||||||||||
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| |||||||||
Oil, Gas & Coal — 0.1% | ||||||||||
China Petroleum & Chemical Corp. ADR | 1,800 | 136,368 | ||||||||
JXTG Holdings, Inc. | 474,300 | 2,440,100 | ||||||||
|
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2,576,468 | ||||||||||
|
| |||||||||
Passenger Transportation — 0.0% | ||||||||||
China Southern Airlines Co. Ltd. ADR (b) | 600 | 20,622 | ||||||||
Guangshen Railway Co. Ltd. ADR (b) | 100 | 2,916 | ||||||||
|
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23,538 | ||||||||||
|
| |||||||||
Real Estate — 0.0% | ||||||||||
Xinyuan Real Estate Co. Ltd. ADR (b) | 7,700 | 43,736 | ||||||||
|
|
See Notes to Consolidated Financial Statements.
5
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2017 (Unaudited)
Security Description | Shares | Value | ||||||||||
Renewable Energy — 0.0% | ||||||||||||
Highpower International, Inc. (a) | 200 | $ | 910 | |||||||||
JA Solar Holdings Co. Ltd. ADR (a) | 23,700 | 180,594 | ||||||||||
|
| |||||||||||
181,504 | ||||||||||||
|
| |||||||||||
Retail—Discretionary — 0.2% | ||||||||||||
Alibaba Group Holding Ltd. ADR (a),(b),(c) | 11,536 | 1,992,383 | ||||||||||
JD.com, Inc. ADR (a) | 162,700 | 6,215,140 | ||||||||||
|
| |||||||||||
8,207,523 | ||||||||||||
|
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Semiconductors — 0.0% | ||||||||||||
Advanced Semiconductor Engineering, Inc. ADR | 4,300 | 26,574 | ||||||||||
ChipMOS Technologies, Inc. ADR | 700 | 13,524 | ||||||||||
Kulicke & Soffa Industries, Inc. (a),(b) | 23,300 | 502,581 | ||||||||||
Magnachip Semiconductor Corp. (a) | 15,400 | 174,790 | ||||||||||
Siliconware Precision Industries Co. Ltd. ADR | 20 | 158 | ||||||||||
Taiwan Semiconductor Manufacturing Co. Ltd. ADR | 300 | 11,265 | ||||||||||
United Microelectronics Corp. ADR | 36,100 | 90,250 | ||||||||||
|
| |||||||||||
819,142 | ||||||||||||
|
| |||||||||||
Software — 0.1% | ||||||||||||
Changyou.com Ltd. ADR (a),(b) | 8,600 | 340,646 | ||||||||||
DeNA Co. Ltd. (c) | 139,000 | 3,115,379 | ||||||||||
Momo, Inc. ADR (a) | 58,800 | �� | 1,842,792 | |||||||||
|
| |||||||||||
5,298,817 | ||||||||||||
|
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Technology Services — 0.0% | ||||||||||||
Infosys Ltd. ADR | 44,000 | 641,960 | ||||||||||
WNS Holdings Ltd. ADR (a) | 11,200 | 408,800 | ||||||||||
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1,050,760 | ||||||||||||
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Telecommunications — 0.0% | ||||||||||||
Aspire Holdings LLC Class A (d) | 1,502,082 | 2 | ||||||||||
China Telecom Corp. Ltd. ADR | 900 | 46,008 | ||||||||||
KT Corp. ADR | 700 | 9,709 | ||||||||||
NTT DOCOMO, Inc. ADR | 100 | 2,276 | ||||||||||
SK Telecom Co. Ltd. ADR | 3,500 | 86,065 | ||||||||||
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144,060 | ||||||||||||
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Total Asia | 76,572,400 | |||||||||||
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Europe — 1.2% | ||||||||||||
Automotive — 0.1% | ||||||||||||
Ferrari NV | 22,100 | 2,441,608 | ||||||||||
Fiat Chrysler Automobiles NV | 33,700 | 603,567 | ||||||||||
|
| |||||||||||
3,045,175 | ||||||||||||
|
|
See Notes to Consolidated Financial Statements.
6
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2017 (Unaudited)
Security Description | Shares | Value | ||||||||
Banking — 0.1% | ||||||||||
Banco Bilbao Vizcaya Argentaria SA ADR | 7,400 | $ | 66,008 | |||||||
CaixaBank SA | 219,344 | 1,099,189 | ||||||||
ING Groep NV ADR | 600 | 11,052 | ||||||||
UniCredit SpA | 151,733 | 3,231,586 | ||||||||
|
| |||||||||
4,407,835 | ||||||||||
|
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Biotechnology & Pharmaceuticals — 0.7% | ||||||||||
Amarin Corp. PLC ADR (a) | 36,500 | 127,750 | ||||||||
GlaxoSmithKline PLC ADR | 200 | 8,120 | ||||||||
Grifols SA ADR | 800 | 17,512 | ||||||||
Novartis AG (d) | 159,950 | 13,693,246 | ||||||||
Roche Holding AG (d) | 75,860 | 19,365,511 | ||||||||
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33,212,139 | ||||||||||
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Chemicals — 0.0% | ||||||||||
Orion Engineered Carbons SA (b) | 10,200 | 228,990 | ||||||||
|
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Commercial Services — 0.0% | ||||||||||
Cimpress NV (a) | 200 | 19,532 | ||||||||
|
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Consumer Products — 0.0% | ||||||||||
Unilever NV | 624 | 36,841 | ||||||||
|
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Insurance — 0.0% | ||||||||||
Aegon NV | 1,805 | 10,451 | ||||||||
|
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Iron & Steel — 0.0% | ||||||||||
Ternium SA ADR (b) | 20,600 | 637,158 | ||||||||
|
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Machinery — 0.0% | ||||||||||
Pentair PLC | 700 | 47,676 | ||||||||
|
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Media — 0.0% | ||||||||||
Trivago NV ADR (a) | 11,100 | 120,435 | ||||||||
WPP PLC ADR | 100 | 9,275 | ||||||||
|
| |||||||||
129,710 | ||||||||||
|
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Medical Equipment & Devices — 0.1% | ||||||||||
Koninklijke Philips NV | 200 | 8,242 | ||||||||
Lonza Group AG (d) | 28,220 | 7,402,158 | ||||||||
Trinity Biotech PLC ADR (a),(b) | 2,500 | 14,025 | ||||||||
|
| |||||||||
7,424,425 | ||||||||||
|
| |||||||||
Metals & Mining — 0.0% | ||||||||||
Constellium NV Class A (a) | 13,700 | 140,425 | ||||||||
|
|
See Notes to Consolidated Financial Statements.
7
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2017 (Unaudited)
Security Description | Shares | Value | ||||||||||
Oil, Gas & Coal — 0.0% | ||||||||||||
Statoil ASA ADR | 6,240 | $ | 125,362 | |||||||||
|
| |||||||||||
Passenger Transportation — 0.0% | ||||||||||||
Ryanair Holdings PLC ADR (a) | 4,175 | 440,128 | ||||||||||
|
| |||||||||||
Recreation Facilities & Services — 0.0% | ||||||||||||
Manchester United PLC Class A | 800 | 14,400 | ||||||||||
|
| |||||||||||
Semiconductors — 0.2% | ||||||||||||
NXP Semiconductor NV (a),(b),(d) | 80,707 | 9,127,155 | ||||||||||
STMicroelectronics NV | 500 | 9,664 | ||||||||||
|
| |||||||||||
9,136,819 | ||||||||||||
|
| |||||||||||
Software — 0.0% | ||||||||||||
InterXion Holding NV (a) | 18,100 | 921,833 | ||||||||||
|
| |||||||||||
Transportation & Logistics — 0.0% | ||||||||||||
Aegean Marine Petroleum Network, Inc. (b) | 7,100 | 35,145 | ||||||||||
Diana Shipping, Inc. (a) | 2,700 | 9,801 | ||||||||||
Navios Maritime Partners LP (a) | 4,300 | 8,815 | ||||||||||
Safe Bulkers, Inc. (a) | 21,900 | 60,006 | ||||||||||
Star Bulk Carriers Corp. (a) | 2,020 | 19,614 | ||||||||||
|
| |||||||||||
133,381 | ||||||||||||
|
| |||||||||||
Total Europe | 60,112,280 | |||||||||||
|
| |||||||||||
Middle East — 0.0% | ||||||||||||
Consumer Products — 0.0% | ||||||||||||
SodaStream International Ltd. (a) | 5,400 | 358,830 | ||||||||||
|
| |||||||||||
Electrical Equipment — 0.0% | ||||||||||||
Orbotech Ltd. (a),(b) | 16,900 | 713,349 | ||||||||||
|
| |||||||||||
Hardware — 0.0% | ||||||||||||
Ceragon Networks Ltd. (a) | 300 | 624 | ||||||||||
Radware Ltd. (a),(b) | 6,800 | 114,648 | ||||||||||
Silicom Ltd. | 200 | 11,702 | ||||||||||
|
| |||||||||||
126,974 | ||||||||||||
|
| |||||||||||
Home & Office Products — 0.0% | ||||||||||||
Caesarstone Sdot-Yam Ltd. (a) | 3,600 | 107,280 | ||||||||||
|
| |||||||||||
Oil, Gas & Coal — 0.0% | ||||||||||||
Ocean Rig UDW, Inc. (a) | 800 | 18,261 | ||||||||||
|
| |||||||||||
Semiconductors — 0.0% | ||||||||||||
Mellanox Technologies Ltd. (a) | 500 | 23,575 | ||||||||||
Tower Semiconductor Ltd. (a) | 5,800 | 178,350 | ||||||||||
|
| |||||||||||
201,925 | �� | |||||||||||
|
|
See Notes to Consolidated Financial Statements.
8
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2017 (Unaudited)
Security Description | Shares | Value | ||||||||||
Software — 0.0% | ||||||||||||
Attunity Ltd. (a) | 500 | $ | 3,380 | |||||||||
Sapiens International Corp. NV (a),(b) | 1,400 | 18,480 | ||||||||||
|
| |||||||||||
21,860 | ||||||||||||
|
| |||||||||||
Technology Services — 0.0% | ||||||||||||
Magic Software Enterprises Ltd. (b) | 600 | 5,250 | ||||||||||
|
| |||||||||||
Telecommunications — 0.0% | ||||||||||||
Allot Communications Ltd. (a) | 1,300 | 6,994 | ||||||||||
|
| |||||||||||
Total Middle East | 1,560,723 | |||||||||||
|
| |||||||||||
North America — 25.4% | ||||||||||||
Aerospace & Defense — 0.5% | ||||||||||||
AAR Corp. | 1,000 | 37,780 | ||||||||||
Aerojet Rocketdyne Holdings (a) | 12,600 | 441,126 | ||||||||||
Aerovironment, Inc. (a) | 2,100 | 113,652 | ||||||||||
Arconic, Inc. | 11,405 | 283,756 | ||||||||||
Boeing Co. | 76,900 | 19,548,749 | ||||||||||
Ducommun, Inc. (a),(b) | 2,200 | 70,510 | ||||||||||
Esterline Technologies Corp. (a) | 500 | 45,075 | ||||||||||
Harris Corp. | 17,582 | 2,315,198 | ||||||||||
Lockheed Martin Corp. | 9,900 | 3,071,871 | ||||||||||
Moog, Inc. Class A (a),(b) | 3,300 | 275,319 | ||||||||||
Orbital ATK, Inc. | 8 | 1,065 | ||||||||||
Spirit AeroSystems Holdings, Inc. Class A | 900 | 69,948 | ||||||||||
Textron, Inc. | 5,700 | 307,116 | ||||||||||
|
| |||||||||||
26,581,165 | ||||||||||||
|
| |||||||||||
Apparel & Textile Products — 0.3% | ||||||||||||
Crocs, Inc. (a) | 32,800 | 318,160 | ||||||||||
Culp, Inc. | 900 | 29,475 | ||||||||||
Fossil Group, Inc. (a) | 7,200 | 67,176 | ||||||||||
Michael Kors Holdings Ltd. (a) | 28,500 | 1,363,725 | ||||||||||
Movado Group, Inc. | 200 | 5,600 | ||||||||||
Nike, Inc. Class B | 149,800 | 7,767,130 | ||||||||||
Oxford Industries, Inc. | 1,100 | 69,894 | ||||||||||
Perry Ellis International, Inc. (a),(b) | 4,000 | 94,640 | ||||||||||
PVH Corp. | 100 | 12,591 | ||||||||||
Rocky Brands, Inc. | 300 | 4,020 | ||||||||||
Unifi, Inc. (a) | 700 | 24,941 | ||||||||||
VF Corp. | 59,100 | 3,756,987 | ||||||||||
Vince Holding Corp. (a),(b) | 7,369 | 4,422 | ||||||||||
Wolverine World Wide, Inc. | 700 | 20,195 | ||||||||||
|
| |||||||||||
13,538,956 | ||||||||||||
|
|
See Notes to Consolidated Financial Statements.
9
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2017 (Unaudited)
Security Description | Shares | Value | ||||||||
Asset Management — 0.1% | ||||||||||
Apollo Investment Corp. | 30,697 | $ | 187,559 | |||||||
Ares Capital Corp. | 7,200 | 118,008 | ||||||||
BlackRock Kelso Capital Corp. (b) | 14,300 | 107,250 | ||||||||
BlackRock, Inc. | 400 | 178,836 | ||||||||
Capital Southwest Corp. | 200 | 3,426 | ||||||||
Capitala Finance Corp. | 5,900 | 56,286 | ||||||||
Eaton Vance Corp. | 1,500 | 74,055 | ||||||||
Fidus Investment Corp. (b) | 4,600 | 73,968 | ||||||||
Fifth Street Finance Corp. | 20,400 | 111,588 | ||||||||
Fifth Street Senior Floating Rate Corp. | 3,800 | 33,440 | ||||||||
FS Investment Corp. | 100 | 845 | ||||||||
Garrison Capital, Inc. (b) | 2,600 | 21,918 | ||||||||
Gladstone Capital Corp. (b) | 6,300 | 59,850 | ||||||||
Gladstone Investment Corp. (b) | 7,100 | 67,379 | ||||||||
Hercules Technology Growth Capital, Inc. | 14,700 | 189,630 | ||||||||
Horizon Technology Finance Corp. (b) | 2,400 | 26,664 | ||||||||
KCAP Financial, Inc. (b) | 5,800 | 21,170 | ||||||||
Manning & Napier, Inc. | 1,600 | 6,320 | ||||||||
Medallion Financial Corp. (b) | 4,400 | 9,548 | ||||||||
Monroe Capital Corp. | 5,400 | 77,274 | ||||||||
MVC Capital, Inc. (b) | 1,800 | 18,018 | ||||||||
Newtek Business Services Corp. | 4,413 | 78,639 | ||||||||
OM Asset Management PLC | 9,100 | 135,772 | ||||||||
Oppenheimer Holdings, Inc. Class A (b) | 1,100 | 19,085 | ||||||||
PennantPark Floating Rate Capital Ltd. (b) | 7,462 | 108,050 | ||||||||
PennantPark Investment Corp. (b) | 15,500 | 116,405 | ||||||||
Safeguard Scientifics, Inc. (a) | 700 | 9,345 | ||||||||
Solar Capital Ltd. (b) | 4,800 | 103,872 | ||||||||
Solar Senior Capital Ltd. | 2,500 | 43,075 | ||||||||
Stellus Capital Investment Corp. (b) | 4,600 | 62,790 | ||||||||
TCP Capital Corp. | 10,200 | 168,198 | ||||||||
THL Credit, Inc. (b) | 5,600 | 52,248 | ||||||||
TICC Capital Corp. (b) | 13,500 | 92,475 | ||||||||
TPG Specialty Lending, Inc. (b) | 8,600 | 180,256 | ||||||||
TriplePoint Venture Growth BDC Corp. | 3,500 | 46,900 | ||||||||
WhiteHorse Finance, Inc. (b) | 5,100 | 75,225 | ||||||||
|
| |||||||||
2,735,367 | ||||||||||
|
| |||||||||
Automotive — 0.1% | ||||||||||
Adient PLC | 200 | 16,798 | ||||||||
Cooper-Standard Holding, Inc. (a) | 3,700 | 429,089 | ||||||||
Delphi Automotive PLC | 32,900 | 3,237,360 | ||||||||
General Motors Co. | 50,800 | 2,051,304 | ||||||||
Lear Corp. | 1,700 | 294,236 | ||||||||
Magna International, Inc. | 1,000 | 53,380 |
See Notes to Consolidated Financial Statements.
10
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2017 (Unaudited)
Security Description | Shares | Value | ||||||||
Miller Industries, Inc. | 100 | $ | 2,803 | |||||||
Modine Manufacturing Co. (a) | 11,500 | 221,375 | ||||||||
Superior Industries International, Inc. | 200 | 3,330 | ||||||||
Tenneco, Inc. | 1,400 | 84,938 | ||||||||
Tower International, Inc. (b) | 4,000 | 108,800 | ||||||||
Visteon Corp. (a),(b) | 8,600 | 1,064,422 | ||||||||
|
| |||||||||
7,567,835 | ||||||||||
|
| |||||||||
Banking — 0.5% | ||||||||||
Access National Corp. | 400 | 11,464 | ||||||||
Arrow Financial Corp. (b) | 659 | 22,637 | ||||||||
Astoria Financial Corp. | 100 | 2,168 | ||||||||
Atlantic Capital Bancshares, Inc. (a) | 3,200 | 58,080 | ||||||||
Bancorp, Inc. (a),(b) | 4,000 | 33,080 | ||||||||
Bank Mutual Corp. (b) | 3,400 | 34,510 | ||||||||
Bank of America Corp. | 219,581 | 5,564,183 | ||||||||
Bank of Marin Bancorp | 400 | 27,400 | ||||||||
Bank of NT Butterfield & Son Ltd. | 10,800 | 395,712 | ||||||||
Bank of the Ozarks, Inc. | 100 | 4,827 | ||||||||
BankFinancial Corp. | 1,555 | 24,709 | ||||||||
Beneficial Bancorp, Inc. | 7,582 | 125,861 | ||||||||
Bridge Bancorp, Inc. | 200 | 6,790 | ||||||||
Bryn Mawr Bank Corp. | 200 | 8,760 | ||||||||
Cathay General Bancorp | 100 | 4,027 | ||||||||
Centerstate Banks, Inc. (b) | 129 | 3,457 | ||||||||
Central Pacific Financial Corp. (b) | 5,000 | 160,900 | ||||||||
Charter Financial Corp. (b) | 1,700 | 31,501 | ||||||||
Citigroup, Inc. | 1,300 | 94,562 | ||||||||
Citizens Financial Group, Inc. | 7,000 | 265,090 | ||||||||
City Holding Co. (b) | 100 | 7,191 | ||||||||
Clifton Bancorp, Inc. | 600 | 10,032 | ||||||||
CoBiz Financial, Inc. | 700 | 13,748 | ||||||||
Comerica, Inc. | 26,400 | 2,013,264 | ||||||||
CU Bancorp (a) | 300 | 11,633 | ||||||||
East West Bancorp, Inc. | 3,400 | 203,252 | ||||||||
Enterprise Financial Services Corp. | 500 | 21,175 | ||||||||
Farmers Capital Bank Corp. (b) | 100 | 4,205 | ||||||||
FCB Financial Holdings, Inc. Class A (a) | 9,700 | 468,510 | ||||||||
Fidelity Southern Corp. (b) | 2,800 | 66,192 | ||||||||
Financial Institutions, Inc. (b) | 1,800 | 51,840 | ||||||||
First BanCorp (a),(b) | 56,800 | 290,816 | ||||||||
First Bancorp/Southern Pines | 3,200 | 110,112 | ||||||||
First Business Financial Services, Inc. | 600 | 13,650 | ||||||||
First Community Bancshares, Inc. (b) | 800 | 23,288 | ||||||||
First Defiance Financial Corp. | 1,100 | 57,739 | ||||||||
First Financial Corp. | 400 | 19,040 | ||||||||
First Financial Northwest, Inc. (b) | 1,100 | 18,689 |
See Notes to Consolidated Financial Statements.
11
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2017 (Unaudited)
Security Description | Shares | Value | ||||||||
First Interstate BancSystem, Inc. Class A (b) | 3,100 | $ | 118,575 | |||||||
Flushing Financial Corp. | 2,200 | 65,384 | ||||||||
Glacier Bancorp, Inc. | 200 | 7,597 | ||||||||
Green Bancorp, Inc. (a) | 800 | 18,920 | ||||||||
Guaranty Bancorp | 900 | 25,020 | ||||||||
Hanmi Financial Corp. | 100 | 3,093 | ||||||||
Heritage Commerce Corp. | 3,600 | 51,228 | ||||||||
Home BancShares, Inc. | 6,516 | 164,332 | ||||||||
HomeTrust Bancshares, Inc. (a) | 200 | 5,130 | ||||||||
Hope Bancorp, Inc. | 62 | 1,098 | ||||||||
Huntington Bancshares, Inc. | 607,735 | 8,483,981 | ||||||||
Independent Bank Corp. (b) | 2,800 | 63,420 | ||||||||
Independent Bank Group, Inc. (b) | 300 | 18,090 | ||||||||
Lakeland Bancorp, Inc. | 1,000 | 20,400 | ||||||||
Macatawa Bank Corp. | 100 | 1,026 | ||||||||
Mercantile Bank Corp. | 1,100 | 38,390 | ||||||||
Meridian Bancorp, Inc. | 600 | 11,190 | ||||||||
MidWestOne Financial Group, Inc. | 300 | 10,271 | ||||||||
National Bankshares, Inc. (b) | 100 | 4,495 | ||||||||
Northrim BanCorp, Inc. | 486 | 16,986 | ||||||||
OceanFirst Financial Corp. | 2,292 | 63,007 | ||||||||
Opus Bank | 1,500 | 36,000 | ||||||||
Oritani Financial Corp. | 9,100 | 152,880 | ||||||||
Pacific Premier Bancorp, Inc. (a) | 100 | 3,775 | ||||||||
Park Sterling Corp. | 300 | 3,736 | ||||||||
Peapack Gladstone Financial Corp. | 800 | 26,992 | ||||||||
Peoples Bancorp, Inc. | 500 | 16,795 | ||||||||
Popular, Inc. | 90 | 3,235 | ||||||||
Preferred Bank (b) | 800 | 48,280 | ||||||||
Prosperity Bancshares, Inc. | 4,500 | 295,785 | ||||||||
QCR Holdings, Inc. | 300 | 13,650 | ||||||||
Regions Financial Corp. (b) | 151,800 | 2,311,914 | ||||||||
Sandy Spring Bancorp, Inc. | 400 | 16,576 | ||||||||
Seacoast Banking Corp. of Florida (a) | 4,100 | 97,949 | ||||||||
ServisFirst Bancshares, Inc. | 300 | 11,655 | ||||||||
South State Corp. | 100 | 8,945 | ||||||||
Southside Bancshares, Inc. | 615 | 22,361 | ||||||||
Southwest Bancorp, Inc. (b) | 1,900 | 52,345 | ||||||||
Sun Bancorp, Inc. (b) | 120 | 2,982 | ||||||||
SVB Financial Group (a) | 3,500 | 654,815 | ||||||||
Synovus Financial Corp. | 3,000 | 138,180 | ||||||||
Trico Bancshares (b) | 1,800 | 73,350 | ||||||||
TriState Capital Holdings, Inc. (a),(b) | 2,900 | 66,410 | ||||||||
Triumph Bancorp, Inc. (a) | 2,700 | 87,075 | ||||||||
TrustCo Bank Corp. | 700 | 6,230 | ||||||||
US Bancorp | 16,000 | 857,440 | ||||||||
Washington Trust Bancorp, Inc. | 1,100 | 62,975 |
See Notes to Consolidated Financial Statements.
12
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2017 (Unaudited)
Security Description | Shares | Value | ||||||||
Waterstone Financial, Inc. | 900 | $ | 17,550 | |||||||
Wells Fargo & Co. | 48,258 | 2,661,429 | ||||||||
Western Alliance Bancorp (a) | 4,581 | 243,159 | ||||||||
Wintrust Financial Corp. | 2,100 | 164,451 | ||||||||
Zions BanCorp. | 3,300 | 155,694 | ||||||||
|
| |||||||||
27,790,340 | ||||||||||
|
| |||||||||
Biotechnology & Pharmaceuticals — 3.1% | ||||||||||
AbbVie, Inc. (d) | 143,210 | 12,725,641 | ||||||||
Aceto Corp. | 7,000 | 78,610 | ||||||||
Acorda Therapeutics, Inc. (a),(b) | 12,200 | 288,530 | ||||||||
Aevi Genomic Medicine, Inc. (a) | 3,100 | 3,906 | ||||||||
Aimmune Therapeutics, Inc. (a) | 100 | 2,500 | ||||||||
Akorn, Inc. (a),(b) | 233,499 | 7,749,832 | ||||||||
Allergan PLC (d) | 84,390 | 17,295,730 | ||||||||
Amgen, Inc. (b) | 61,900 | 11,541,255 | ||||||||
Anika Therapeutics, Inc. (a) | 3,500 | 203,000 | ||||||||
Antares Pharma, Inc. (a) | 500 | 1,625 | ||||||||
Array BioPharma, Inc. (a) | 42,800 | 526,440 | ||||||||
Athersys, Inc. (a) | 700 | 1,442 | ||||||||
BioSpecifics Technologies Corp. (a),(b) | 100 | 4,652 | ||||||||
Bristol-Myers Squibb Co. (b),(d) | 97,050 | 6,185,967 | ||||||||
Cambrex Corp. (a) | 500 | 27,500 | ||||||||
Celgene Corp. (a),(b),(d) | 114,220 | 16,655,560 | ||||||||
Corcept Therapeutics, Inc. (a) | 15,800 | 304,940 | ||||||||
Corium International, Inc. (a) | 700 | 7,756 | ||||||||
CytomX Therapeutics, Inc. (a) | 1,700 | 30,889 | ||||||||
Eiger BioPharmaceuticals, Inc. (a) | 20 | 220 | ||||||||
Exelixis, Inc. (a) | 142,800 | 3,460,044 | ||||||||
Gilead Sciences, Inc. (b) | 126,600 | 10,257,132 | ||||||||
Heska Corp. (a) | 900 | 79,281 | ||||||||
Ignyta, Inc. (a) | 300 | 3,705 | ||||||||
Immune Design Corp. (a) | 100 | 1,045 | ||||||||
Immunomedics, Inc. (a) | 4,800 | 67,104 | ||||||||
Impax Laboratories, Inc. (a) | 29,400 | 596,820 | ||||||||
Incyte Corp. (a),(d) | 83,790 | 9,781,645 | ||||||||
Johnson & Johnson (d) | 73,630 | 9,572,636 | ||||||||
KemPharm, Inc. (a) | 100 | 370 | ||||||||
Medicines Co. (a),(b),(c) | 249,718 | 9,249,555 | ||||||||
Merck & Co., Inc. (d) | 208,760 | 13,365,571 | ||||||||
Mirati Therapeutics, Inc. (a) | 900 | 10,530 | ||||||||
Omega Protein Corp. (b) | 7,500 | 124,875 | ||||||||
OncoMed Pharmaceuticals, Inc. (a) | 800 | 3,616 | ||||||||
Otonomy, Inc. (a) | 14,400 | 46,800 | ||||||||
PDL BioPharma, Inc. (a),(b) | 48,900 | 165,771 | ||||||||
Pfizer, Inc. | 200 | 7,140 | ||||||||
Phibro Animal Health Corp. Class A | 700 | 25,935 |
See Notes to Consolidated Financial Statements.
13
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2017 (Unaudited)
Security Description | Shares | Value | ||||||||
Proteostasis Therapeutics, Inc. (a) | 200 | $ | 420 | |||||||
Retrophin, Inc. (a) | 300 | 7,467 | ||||||||
SciClone Pharmaceuticals, Inc. (a),(b) | 14,447 | 161,806 | ||||||||
Selecta Biosciences, Inc. (a) | 300 | 5,475 | ||||||||
Spark Therapeutics, Inc. (a),(c) | 56,736 | 5,058,582 | ||||||||
Spectrum Pharmaceuticals, Inc. (a) | 5,200 | 73,164 | ||||||||
Sucampo Pharmaceuticals, Inc. Class A (a) | 100 | 1,180 | ||||||||
USANA Health Sciences, Inc. (a),(b) | 4,300 | 248,110 | ||||||||
Versartis, Inc. (a) | 12,400 | 30,380 | ||||||||
Vertex Pharmaceuticals, Inc. (a) | 17,400 | 2,645,496 | ||||||||
Veru, Inc. (a),(b) | 800 | 2,120 | ||||||||
Zoetis, Inc. (b),(d) | 270,850 | 17,269,396 | ||||||||
|
| |||||||||
155,959,166 | ||||||||||
|
| |||||||||
Chemicals — 1.1% | ||||||||||
A Schulman, Inc. | 900 | 30,735 | ||||||||
AdvanSix, Inc. (a) | 2,800 | 111,300 | ||||||||
Agrium, Inc. | 700 | 75,047 | ||||||||
AgroFresh Solutions, Inc. (a) | 1,200 | 8,436 | ||||||||
Air Products & Chemicals, Inc. | 25,100 | 3,795,622 | ||||||||
Albemarle Corp. | 25 | 3,408 | ||||||||
Cabot Corp. | 400 | 22,320 | ||||||||
Chemours Co. | 92,400 | 4,676,364 | ||||||||
CSW Industrials, Inc. (a) | 300 | 13,305 | ||||||||
DowDuPont, Inc. (b) | 265,557 | 18,384,511 | ||||||||
FMC Corp. | 3,900 | 348,309 | ||||||||
FutureFuel Corp. | 3,700 | 58,238 | ||||||||
HB Fuller Co. | 200 | 11,612 | ||||||||
Huntsman Corp. | 88,800 | 2,434,896 | ||||||||
Ingevity Corp. (a) | 600 | 37,482 | ||||||||
Innophos Holdings, Inc. | 500 | 24,595 | ||||||||
KMG Chemicals, Inc. | 2,600 | 142,688 | ||||||||
Koppers Holdings, Inc. (a) | 3,200 | 147,680 | ||||||||
Kronos Worldwide, Inc. | 5,800 | 132,414 | ||||||||
Landec Corp. (a) | 200 | 2,590 | ||||||||
Lydall, Inc. (a) | 2,000 | 114,600 | ||||||||
LyondellBasell Industries NV Class A (b) | 75,700 | 7,498,085 | ||||||||
Methanex Corp. | 16,300 | 819,890 | ||||||||
Monsanto Co. (b) | 103,980 | 12,458,884 | ||||||||
Mosaic Co. | 600 | 12,954 | ||||||||
OMNOVA Solutions, Inc. (a) | 5,200 | 56,940 | ||||||||
Potash Corp. of Saskatchewan, Inc. | 2,100 | 40,404 | ||||||||
PPG Industries, Inc. | 2,300 | 249,918 | ||||||||
Sherwin-Williams Co. | 1,800 | 644,472 | ||||||||
Stepan Co. (b) | 2,300 | 192,418 | ||||||||
Univar, Inc. (a) | 9,600 | 277,728 | ||||||||
Versum Materials, Inc. | 13,400 | 520,188 |
See Notes to Consolidated Financial Statements.
14
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2017 (Unaudited)
Security Description | Shares | Value | ||||||||
Westlake Chemical Corp. | 100 | $ | 8,317 | |||||||
WR Grace & Co. | 300 | 21,687 | ||||||||
|
| |||||||||
53,378,037 | ||||||||||
|
| |||||||||
Commercial Services — 0.1% | ||||||||||
Acacia Research Corp. (a) | 2,600 | 11,830 | ||||||||
Alarm.com Holdings, Inc. (a) | 4,500 | 203,310 | ||||||||
ARC Document Solutions, Inc. (a),(b) | 4,200 | 17,178 | ||||||||
Brady Corp. Class A | 3,800 | 144,210 | ||||||||
Care.com, Inc. (a) | 8,100 | 128,709 | ||||||||
CBIZ, Inc. (a),(b) | 4,200 | 68,250 | ||||||||
Collectors Universe, Inc. (b) | 700 | 16,779 | ||||||||
CorVel Corp. (a) | 900 | 48,960 | ||||||||
CRA International, Inc. (b) | 1,700 | 69,785 | ||||||||
Cross Country Healthcare, Inc. (a) | 3,500 | 49,805 | ||||||||
Ennis, Inc. (b) | 3,200 | 62,880 | ||||||||
GP Strategies Corp. (a),(b) | 100 | 3,085 | ||||||||
Hackett Group, Inc. (b) | 6,200 | 94,178 | ||||||||
Heidrick & Struggles International, Inc. (b) | 600 | 12,690 | ||||||||
Hill International, Inc. (a) | 300 | 1,425 | ||||||||
Huron Consulting Group, Inc. (a) | 4,400 | 150,920 | ||||||||
Information Services Group, Inc. (a) | 1,500 | 6,030 | ||||||||
Insperity, Inc. (b) | 1,800 | 158,400 | ||||||||
KAR Auction Services, Inc. | 30,400 | 1,451,296 | ||||||||
Kelly Services, Inc. Class A | 3,200 | 80,288 | ||||||||
Korn/Ferry International | 300 | 11,829 | ||||||||
Navigant Consulting, Inc. (a),(b) | 12,000 | 203,040 | ||||||||
Resources Connection, Inc. (b) | 600 | 8,340 | ||||||||
RPX Corp. (a),(b) | 10,200 | 135,456 | ||||||||
SP Plus Corp. (a) | 4,700 | 185,650 | ||||||||
TriNet Group, Inc. (a) | 6,500 | 218,530 | ||||||||
TrueBlue, Inc. (a) | 2,600 | 58,370 | ||||||||
UniFirst Corp. | 100 | 15,150 | ||||||||
Vectrus, Inc. (a) | 1,100 | 33,924 | ||||||||
Viad Corp. | 3,300 | 200,970 | ||||||||
|
| |||||||||
3,851,267 | ||||||||||
|
| |||||||||
Construction Materials — 0.0% | ||||||||||
Boise Cascade Co. (a) | 4,500 | 157,050 | ||||||||
Carlisle Cos., Inc. | 1,600 | 160,464 | ||||||||
Continental Building Products, Inc. (a),(b) | 17,600 | 457,600 | ||||||||
Forterra, Inc. (a) | 1,000 | 4,500 | ||||||||
Ply Gem Holdings, Inc. (a) | 300 | 5,115 | ||||||||
Universal Forest Products, Inc. | 3,400 | 333,744 | ||||||||
|
| |||||||||
1,118,473 | ||||||||||
|
|
See Notes to Consolidated Financial Statements.
15
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2017 (Unaudited)
Security Description | Shares | Value | ||||||||
Consumer Products — 0.8% | ||||||||||
Altria Group, Inc. (b) | 28,000 | $ | 1,775,760 | |||||||
Archer-Daniels-Midland Co. | 91,900 | 3,906,669 | ||||||||
Bob Evans Farms, Inc. | 9,400 | 728,594 | ||||||||
Boston Beer Co., Inc. Class A (a) | 3,000 | 468,600 | ||||||||
Campbell Soup Co. | 16,000 | 749,120 | ||||||||
Central Garden and Pet Co. Class A (a),(b) | 7,600 | 282,644 | ||||||||
Clearwater Paper Corp. (a) | 3,200 | 157,600 | ||||||||
Clorox Co. (The) | 11,000 | 1,451,010 | ||||||||
ConAgra Foods, Inc. | 20,300 | 684,922 | ||||||||
Craft Brew Alliance, Inc. (a) | 200 | 3,510 | ||||||||
DavidsTea, Inc. (a) | 400 | 1,720 | ||||||||
Edgewell Personal Care Co. (a) | 100 | 7,269 | ||||||||
Estee Lauder Cos., Inc. (The) Class A | 21,600 | 2,329,344 | ||||||||
Hershey Co. | 21,702 | 2,369,207 | ||||||||
Ingredion, Inc. | 5,400 | 651,456 | ||||||||
Inventure Foods, Inc. (a) | 100 | 469 | ||||||||
John B. Sanfilippo & Son, Inc. (b) | 2,600 | 175,006 | ||||||||
Mondelez International, Inc. Class A | 257,700 | 10,478,082 | ||||||||
Monster Beverage Corp. (a) | 2,400 | 132,600 | ||||||||
Philip Morris International, Inc. | 99,600 | 11,056,596 | ||||||||
Pilgrim’s Pride Corp. (a),(b) | 14,800 | 420,468 | ||||||||
Pinnacle Foods, Inc. | 10,500 | 600,285 | ||||||||
Primo Water Corp. (a) | 6,800 | 80,580 | ||||||||
Procter & Gamble Co. | 500 | 45,490 | ||||||||
Sanderson Farms, Inc. | 8,300 | 1,340,616 | ||||||||
Senomyx, Inc. (a) | 5,100 | 3,091 | ||||||||
Tootsie Roll Industries, Inc. | 25 | 950 | ||||||||
Vector Group Ltd. (b) | 19,822 | 405,756 | ||||||||
|
| |||||||||
40,307,414 | ||||||||||
|
| |||||||||
Consumer Services — 0.0% | ||||||||||
Adtalem Global Education, Inc. | 3,900 | 139,815 | ||||||||
American Public Education, Inc. (a),(b) | 1,800 | 37,890 | ||||||||
Bridgepoint Education, Inc. (a),(b) | 5,600 | 53,760 | ||||||||
Capella Education Co. | 1,800 | 126,270 | ||||||||
Carriage Services, Inc. | 3,700 | 94,720 | ||||||||
K12, Inc. (a),(b) | 7,100 | 126,664 | ||||||||
Regis Corp. (a) | 6,200 | 88,474 | ||||||||
Service Corp. International/US | 5,000 | 172,500 | ||||||||
Universal Technical Institute, Inc. (a),(b) | 1,400 | 4,858 | ||||||||
Weight Watchers International, Inc. (a) | 900 | 39,195 | ||||||||
|
| |||||||||
884,146 | ||||||||||
|
| |||||||||
Containers & Packaging — 0.2% | ||||||||||
Berry Plastics Group, Inc. (a),(b) | 123,334 | 6,986,871 | ||||||||
Graphic Packaging Holding Co. | 120,500 | 1,680,975 |
See Notes to Consolidated Financial Statements.
16
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2017 (Unaudited)
Security Description | Shares | Value | ||||||||
Myers Industries, Inc. | 400 | $ | 8,380 | |||||||
WestRock Co. | 6,300 | 357,399 | ||||||||
|
| |||||||||
9,033,625 | ||||||||||
|
| |||||||||
Design, Manufacturing & Distribution — 0.1% | ||||||||||
Avnet, Inc. | 19,300 | 758,490 | ||||||||
Benchmark Electronics, Inc. (a) | 600 | 20,490 | ||||||||
Celestica, Inc. (a) | 20,000 | 247,600 | ||||||||
Flextronics International Ltd. (a),(b) | 173,500 | 2,874,895 | ||||||||
Jabil Circuit, Inc. | 37,800 | 1,079,190 | ||||||||
Plexus Corp. (a) | 1,500 | 84,120 | ||||||||
Sanmina Corp. (a),(b) | 14,800 | 549,820 | ||||||||
SYNNEX Corp. | 1,000 | 126,510 | ||||||||
|
| |||||||||
5,741,115 | ||||||||||
|
| |||||||||
Distributors—Consumer Staples — 0.1% | ||||||||||
Andersons, Inc. (b) | 1,100 | 37,675 | ||||||||
Bunge Ltd. (b) | 29,400 | 2,042,124 | ||||||||
Chefs’ Warehouse, Inc. (a) | 100 | 1,930 | ||||||||
Performance Food Group Co. (a) | 11,800 | 333,350 | ||||||||
Sysco Corp. | 6,100 | 329,095 | ||||||||
US Foods Holding Corp. (a) | 77,400 | 2,066,580 | ||||||||
|
| |||||||||
4,810,754 | ||||||||||
|
| |||||||||
Distributors—Discretionary — 0.0% | ||||||||||
ePlus, Inc. (a) | 100 | 9,395 | ||||||||
Essendant, Inc. | 7,600 | 100,092 | ||||||||
FTD Cos., Inc. (a) | 300 | 3,912 | ||||||||
Insight Enterprises, Inc. (a),(b) | 3,200 | 146,944 | ||||||||
PCM, Inc. (a) | 2,600 | 36,400 | ||||||||
ScanSource, Inc. (a),(b) | 1,100 | 48,015 | ||||||||
|
| |||||||||
344,758 | ||||||||||
|
| |||||||||
Electrical Equipment — 0.2% | ||||||||||
Argan, Inc. | 100 | 6,696 | ||||||||
Bel Fuse, Inc. Class B | 100 | 3,120 | ||||||||
BWX Technologies, Inc. | 11,100 | 621,822 | ||||||||
Cognex Corp. | 100 | 11,028 | ||||||||
Cree, Inc. (a) | 26,400 | 744,216 | ||||||||
Eaton Corp. PLC | 1,500 | 115,185 | ||||||||
FARO Technologies, Inc. (a) | 2,900 | 110,925 | ||||||||
Fortive Corp. | 7,100 | 502,609 | ||||||||
Generac Holdings, Inc. (a) | 4,000 | 183,720 | ||||||||
General Electric Co. | 9,200 | 222,456 | ||||||||
Honeywell International, Inc. | 27,900 | 3,954,546 | ||||||||
Houston Wire & Cable Co. (b) | 1,200 | 6,300 |
See Notes to Consolidated Financial Statements.
17
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2017 (Unaudited)
Security Description | Shares | Value | ||||||||
Ingersoll-Rand PLC | 18,600 | $ | 1,658,562 | |||||||
Kimball Electronics, Inc. (a) | 100 | 2,165 | ||||||||
Littelfuse, Inc. | 200 | 39,176 | ||||||||
LSI Industries, Inc. | 3,200 | 21,152 | ||||||||
Powell Industries, Inc. | 500 | 14,995 | ||||||||
Rockwell Automation, Inc. | 800 | 142,568 | ||||||||
SPX Corp. (a) | 1,700 | 49,878 | ||||||||
Stoneridge, Inc. (a) | 2,300 | 45,563 | ||||||||
TE Connectivity Ltd. | 30,600 | 2,541,636 | ||||||||
|
| |||||||||
10,998,318 | ||||||||||
|
| |||||||||
Engineering & Construction Services — 0.1% | ||||||||||
Comfort Systems USA, Inc. (b) | 7,300 | 260,610 | ||||||||
Fluor Corp. | 50,400 | 2,121,840 | ||||||||
Great Lakes Dredge & Dock Corp. (a) | 2,300 | 11,155 | ||||||||
Jacobs Engineering Group, Inc. | 12,500 | 728,375 | ||||||||
Layne Christensen Co. (a) | 6,800 | 85,340 | ||||||||
Mistras Group, Inc. (a) | 2,900 | 59,450 | ||||||||
MYR Group, Inc. (a),(b) | 3,200 | 93,248 | ||||||||
Orion Marine Group, Inc. (a),(b) | 4,400 | 28,864 | ||||||||
Primoris Services Corp. | 1,000 | 29,420 | ||||||||
Quanta Services, Inc. (a) | 13,700 | 511,969 | ||||||||
Sterling Construction Co., Inc. (a) | 7,300 | 111,179 | ||||||||
TopBuild Corp. (a) | 3,555 | 231,679 | ||||||||
|
| |||||||||
4,273,129 | ||||||||||
|
| |||||||||
Forest & Paper Products — 0.0% | ||||||||||
Mercer International, Inc. (b) | 7,400 | 87,690 | ||||||||
Resolute Forest Products, Inc. (a) | 2,200 | 11,110 | ||||||||
|
| |||||||||
98,800 | ||||||||||
|
| |||||||||
Gaming, Lodging & Restaurants — 0.9% | ||||||||||
BJ’s Restaurants, Inc. (a) | 2,500 | 76,125 | ||||||||
Bloomin’ Brands, Inc. | 46,700 | 821,920 | ||||||||
Bojangles’, Inc. (a) | 11,300 | 152,550 | ||||||||
Boyd Gaming Corp. | 2,600 | 67,730 | ||||||||
Bravo Brio Restaurant Group, Inc. (a),(b) | 1,800 | 4,095 | ||||||||
Caesars Acquisition Co. Class A (a),(b) | 2,500 | 53,625 | ||||||||
Caesars Entertainment Corp. (a) | 34,800 | 464,580 | ||||||||
Carrols Restaurant Group, Inc. (a) | 12,198 | 132,958 | ||||||||
Cracker Barrel Old Country Store, Inc. | 4,500 | 682,290 | ||||||||
Del Frisco’s Restaurant Group, Inc. (a),(b) | 8,200 | 119,310 | ||||||||
Del Taco Restaurants, Inc. (a) | 1,200 | 18,408 | ||||||||
Denny’s Corp. (a) | 4,400 | 54,780 | ||||||||
Domino’s Pizza, Inc. (b) | 24,100 | 4,785,055 | ||||||||
Dunkin’ Brands Group, Inc. | 15,399 | 817,379 | ||||||||
El Pollo Loco Holdings, Inc. (a) | 4,100 | 49,815 |
See Notes to Consolidated Financial Statements.
18
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2017 (Unaudited)
Security Description | Shares | Value | ||||||||
Eldorado Resorts, Inc. (a) | 32,965 | $ | 845,552 | |||||||
Famous Dave’s of America, Inc. (a) | 900 | 3,645 | ||||||||
Fogo De Chao, Inc. (a) | 100 | 1,240 | ||||||||
Hyatt Hotels Corp. Class A (a) | 22,100 | 1,365,559 | ||||||||
J Alexander’s Holdings, Inc. (a) | 1,100 | 12,760 | ||||||||
Kona Grill, Inc. (a) | 1,200 | 4,560 | ||||||||
McDonald’s Corp. (b) | 117,800 | 18,456,904 | ||||||||
Monarch Casino & Resort, Inc. (a) | 1,300 | 51,389 | ||||||||
Papa John’s International, Inc. | 6,900 | 504,183 | ||||||||
Penn National Gaming, Inc. (a) | 13,800 | 322,782 | ||||||||
Pinnacle Entertainment, Inc. (a) | 25,000 | 532,750 | ||||||||
Playa Hotels & Resorts NV (a) | 4,500 | 46,935 | ||||||||
Potbelly Corp. (a) | 6,900 | 85,560 | ||||||||
Restaurant Brands International | 621 | 39,670 | ||||||||
Ruth’s Hospitality Group, Inc. | 5,600 | 117,320 | ||||||||
Scientific Games Corp. Class A (a) | 7,100 | 325,535 | ||||||||
Sonic Corp. | 13,200 | 335,940 | ||||||||
Wendy’s Co. | 110,700 | 1,719,171 | ||||||||
Wingstop, Inc. | 12,400 | 412,300 | ||||||||
Wyndham Worldwide Corp. | 14,700 | 1,549,527 | ||||||||
Yum China Holdings, Inc. (a) | 88,800 | 3,549,336 | ||||||||
Yum! Brands, Inc. | 66,000 | 4,858,260 | ||||||||
|
| |||||||||
43,441,498 | ||||||||||
|
| |||||||||
Hardware — 0.8% | ||||||||||
A10 Networks, Inc. (a) | 16,100 | 121,716 | ||||||||
Apple, Inc. | 17,330 | 2,670,900 | ||||||||
Arista Networks, Inc. (a),(b) | 4,500 | 853,245 | ||||||||
Brocade Communications Systems, Inc. | 25 | 299 | ||||||||
CalAmp Corp. (a) | 700 | 15,940 | ||||||||
Cisco Systems, Inc. | 266,300 | 8,955,669 | ||||||||
Clearfield, Inc. (a) | 1,100 | 14,960 | ||||||||
Comtech Telecommunications Corp. (b) | 7,400 | 151,922 | ||||||||
Cray, Inc. (a),(b) | 2,000 | 38,900 | ||||||||
Daktronics, Inc. (b) | 3,600 | 38,052 | ||||||||
Dolby Laboratories, Inc. Class A (b) | 16,500 | 949,080 | ||||||||
Eastman Kodak Co. (a) | 4,200 | 30,870 | ||||||||
Electronics For Imaging, Inc. (a) | 9,100 | 388,388 | ||||||||
Emcore Corp. (a) | 13,000 | 106,600 | ||||||||
Extreme Networks (a) | 55,000 | 653,950 | ||||||||
F5 Networks, Inc. (a) | 20,300 | 2,447,368 | ||||||||
Finisar Corp. (a) | 54,200 | 1,201,614 | ||||||||
Fitbit, Inc. (a) | 61,600 | 428,736 | ||||||||
Garmin Ltd. | 18,402 | 993,156 | ||||||||
Harmonic, Inc. (a) | 4,600 | 14,030 | ||||||||
Hewlett Packard Enterprise Co. | 161,600 | 2,377,136 | ||||||||
HP, Inc. (b) | 462,300 | 9,227,508 |
See Notes to Consolidated Financial Statements.
19
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2017 (Unaudited)
Security Description | Shares | Value | ||||||||
InterDigital, Inc. | 700 | $ | 51,625 | |||||||
Juniper Networks, Inc. | 4,300 | 119,669 | ||||||||
Knowles Corp. (a) | 313 | 4,779 | ||||||||
KVH Industries, Inc. (a) | 700 | 8,365 | ||||||||
Mitel Networks Corp. (a) | 1,322 | 11,092 | ||||||||
NetApp, Inc. | 53,600 | 2,345,536 | ||||||||
Pure Storage, Inc. Class A (a) | 23,000 | 367,770 | ||||||||
Radisys Corp. (a) | 3,400 | 4,658 | ||||||||
Seagate Technology PLC | 143,900 | 4,773,163 | ||||||||
Sierra Wireless, Inc. (a) | 2,900 | 62,350 | ||||||||
Sonus Networks, Inc. (a) | 8,700 | 66,555 | ||||||||
Stratasys Ltd. (a) | 3,171 | 73,313 | ||||||||
Telenav, Inc. (a),(b) | 2,600 | 16,510 | ||||||||
TTM Technologies, Inc. (a),(b) | 2,600 | 39,962 | ||||||||
VeriFone Systems, Inc. (a) | 600 | 12,168 | ||||||||
Viavi Solutions, Inc. (a),(b) | 60,000 | 567,600 | ||||||||
Vicor Corp. (a),(b) | 500 | 11,800 | ||||||||
Vishay Precision Group, Inc. (a),(b) | 1,300 | 31,720 | ||||||||
Vocera Communications, Inc. (a) | 7,300 | 229,001 | ||||||||
VOXX International Corp. (a),(b) | 4,800 | 41,040 | ||||||||
Western Digital Corp. | 900 | 77,760 | ||||||||
Xerox Corp. | 67,725 | 2,254,565 | ||||||||
ZAGG, Inc. (a) | 300 | 4,725 | ||||||||
Zebra Technologies Corp. Class A (a) | 500 | 54,290 | ||||||||
|
| |||||||||
42,910,055 | ||||||||||
|
| |||||||||
Health Care Facilities & Services — 2.1% | ||||||||||
Addus HomeCare Corp. (a),(b) | 1,500 | 52,950 | ||||||||
Aetna, Inc. (b),(d) | 142,408 | 22,644,296 | ||||||||
Amedisys, Inc. (a) | 900 | 50,364 | ||||||||
BioScrip, Inc. (a) | 200 | 545 | ||||||||
Centene Corp. (a) | 13,715 | 1,327,200 | ||||||||
Charles River Laboratories International, Inc. (a) | 900 | 97,218 | ||||||||
Civitas Solutions, Inc. (a) | 1,400 | 25,830 | ||||||||
Community Health Systems, Inc. (a) | 48,900 | 375,552 | ||||||||
Digirad Corp. (b) | 1,900 | 6,555 | ||||||||
Enzo Biochem, Inc. (a) | 9,000 | 94,230 | ||||||||
Express Scripts Holding Co. (a) | 100 | 6,332 | ||||||||
Five Star Quality Care, Inc. (a) | 2,178 | 3,376 | ||||||||
Henry Schein, Inc. (a) | 16,900 | 1,385,631 | ||||||||
Humana, Inc. (d) | 79,990 | 19,487,964 | ||||||||
ICON PLC (a) | 1,000 | 113,880 | ||||||||
Laboratory Corp. of America Holdings (a),(b),(d) | 187,247 | 28,268,680 | ||||||||
LHC Group, Inc. (a) | 3,000 | 212,760 | ||||||||
Magellan Health, Inc. (a) | 5,200 | 448,760 | ||||||||
MEDNAX, Inc. (a) | 2,200 | 94,864 | ||||||||
Medpace Holdings, Inc. (a) | 200 | 6,380 |
See Notes to Consolidated Financial Statements.
20
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2017 (Unaudited)
Security Description | Shares | Value | ||||||||
PAREXEL International Corp. (a) | 39,857 | $ | 3,510,605 | |||||||
PharMerica Corp. (a) | 100 | 2,930 | ||||||||
PRA Health Sciences, Inc. (a) | 12,200 | 929,274 | ||||||||
Providence Service Corp. (a) | 500 | 27,040 | ||||||||
Quintiles Transnational Holdings, Inc. (a),(b) | 80,302 | 7,634,311 | ||||||||
RadNet, Inc. (a),(b) | 7,900 | 91,245 | ||||||||
Tivity Health, Inc. (a),(b) | 15,000 | 612,000 | ||||||||
Triple-S Management Corp. B Shares (a),(b) | 4,700 | 111,296 | ||||||||
UnitedHealth Group, Inc. (b),(d) | 81,910 | 16,042,073 | ||||||||
WellCare Health Plans, Inc. (a) | 7,600 | 1,305,224 | ||||||||
|
| |||||||||
104,969,365 | ||||||||||
|
| |||||||||
Home & Office Products — 0.2% | ||||||||||
ACCO Brands Corp. (a) | 4,500 | 53,550 | ||||||||
American Woodmark Corp. (a),(b) | 1,600 | 154,000 | ||||||||
Armstrong Flooring, Inc. (a) | 2,500 | 39,375 | ||||||||
Herman Miller, Inc. | 1,000 | 35,900 | ||||||||
Hooker Furniture Corp. (b) | 1,300 | 62,075 | ||||||||
JELD-WEN Holding, Inc. (a) | 100 | 3,552 | ||||||||
Kimball International, Inc. Class B (b) | 3,600 | 71,172 | ||||||||
Knoll, Inc. | 5,900 | 118,000 | ||||||||
Libbey, Inc. (b) | 2,700 | 25,002 | ||||||||
Masco Corp. (b) | 110,900 | 4,326,209 | ||||||||
Masonite International Corp. (a) | 2,600 | 179,920 | ||||||||
New Home Co., Inc. (a) | 800 | 8,928 | ||||||||
PGT, Inc. (a) | 100 | 1,495 | ||||||||
PICO Holdings, Inc. (a) | 300 | 5,010 | ||||||||
Quanex Building Products Corp. | 3,000 | 68,850 | ||||||||
Snap-on, Inc. | 5,700 | 849,357 | ||||||||
Steelcase, Inc. Class A | 6,600 | 101,640 | ||||||||
Tupperware Brands Corp. | 4,800 | 296,736 | ||||||||
Whirlpool Corp. (b) | 25,400 | 4,684,776 | ||||||||
|
| |||||||||
11,085,547 | ||||||||||
|
| |||||||||
Industrial Services — 0.1% | ||||||||||
CAI International, Inc. (a) | 4,900 | 148,568 | ||||||||
H&E Equipment Services, Inc. | 6,000 | 175,200 | ||||||||
McGrath RentCorp | 1,300 | 56,875 | ||||||||
MSC Industrial Direct Co., Inc. | 800 | 60,456 | ||||||||
Neff Corp. Class A (a) | 900 | 22,500 | ||||||||
SiteOne Landscape Supply, Inc. (a) | 1,800 | 104,580 | ||||||||
Textainer Group Holdings Ltd. (a) | 100 | 1,743 | ||||||||
Titan Machinery, Inc. (a) | 4,900 | 76,097 | ||||||||
Triton International Ltd. | 10,500 | 349,440 | ||||||||
United Rentals, Inc. (a) | 5,300 | 735,322 | ||||||||
WESCO International, Inc. (a),(b) | 15,200 | 885,400 | ||||||||
WW Grainger, Inc. | 1,100 | 197,725 | ||||||||
|
| |||||||||
2,813,906 | ||||||||||
|
|
See Notes to Consolidated Financial Statements.
21
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2017 (Unaudited)
Security Description | Shares | Value | ||||||||
Institutional Financial Services — 0.0% | ||||||||||
Bank of New York Mellon Corp. | 300 | $ | 15,906 | |||||||
Cowen Group, Inc. Class A (a) | 3,225 | 57,405 | ||||||||
Houlihan Lokey, Inc. | 8,400 | 328,692 | ||||||||
INTL. FCStone, Inc. (a),(b) | 600 | 22,992 | ||||||||
LPL Financial Holdings, Inc. | 6,400 | 330,048 | ||||||||
Moelis & Co. Class A | 1,000 | 43,050 | ||||||||
|
| |||||||||
798,093 | ||||||||||
|
| |||||||||
Insurance — 0.2% | ||||||||||
American Equity Investment Life Holding Co. | 16,500 | 479,820 | ||||||||
American Financial Group, Inc. | 2,900 | 300,005 | ||||||||
AMERISAFE, Inc. | 1,600 | 93,120 | ||||||||
Aspen Insurance Holdings Ltd. | 2,600 | 105,040 | ||||||||
Assured Guaranty Ltd. | 3,000 | 113,250 | ||||||||
Athene Holding Ltd. Class A (a),(b) | 31,000 | 1,669,040 | ||||||||
Atlas Financial Holdings, Inc. (a) | 300 | 5,670 | ||||||||
Baldwin & Lyons, Inc. Class B | 800 | 18,040 | ||||||||
Citizens, Inc. (a) | 200 | 1,470 | ||||||||
Crawford & Co. Class B | 100 | 1,196 | ||||||||
eHealth, Inc. (a) | 6,300 | 150,507 | ||||||||
Employers Holdings, Inc. (b) | 3,200 | 145,440 | ||||||||
Federated National Holding Co. | 200 | 3,122 | ||||||||
Genworth Financial, Inc. Class A (a) | 4,600 | 17,710 | ||||||||
Greenlight Capital Re Ltd. A Shares (a) | 4,500 | 97,425 | ||||||||
Hanover Insurance Group, Inc. | 6,100 | 591,273 | ||||||||
Heritage Insurance Holdings, Inc. (b) | 3,500 | 46,235 | ||||||||
Kinsale Capital Group, Inc. | 1,800 | 77,706 | ||||||||
Lincoln National Corp. (b) | 56,200 | 4,129,576 | ||||||||
Maiden Holdings Ltd. (b) | 20,100 | 159,795 | ||||||||
Manulife Financial Corp. | 700 | 14,156 | ||||||||
NMI Holdings, Inc. Class A (a) | 200 | 2,483 | ||||||||
Principal Financial Group, Inc. | 9,700 | 624,098 | ||||||||
Prudential Financial, Inc. | 100 | 10,614 | ||||||||
Safety Insurance Group, Inc. | 900 | 68,670 | ||||||||
State Auto Financial Corp. (b) | 82 | 2,151 | ||||||||
State National Cos., Inc. | 100 | 2,099 | ||||||||
Trupanion, Inc. (a) | 5,500 | 145,255 | ||||||||
Universal Insurance Holdings, Inc. | 2,600 | 59,800 | ||||||||
Validus Holdings Ltd. | 12,900 | 634,809 | ||||||||
Voya Financial, Inc. | 48,000 | 1,914,720 | ||||||||
Willis Towers Watson PLC | 888 | 136,956 | ||||||||
|
| |||||||||
11,821,251 | ||||||||||
|
| |||||||||
Iron & Steel — 0.0% | ||||||||||
Haynes International, Inc. | 600 | 21,546 | ||||||||
Northwest Pipe Co. (a) | 1,200 | 22,824 |
See Notes to Consolidated Financial Statements.
22
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2017 (Unaudited)
Security Description | Shares | Value | ||||||||
Ryerson Holding Corp. (a) | 9,000 | $ | 97,650 | |||||||
SunCoke Energy, Inc. (a),(b) | 8,700 | 79,518 | ||||||||
|
| |||||||||
221,538 | ||||||||||
|
| |||||||||
Leisure Products — 0.0% | ||||||||||
Brunswick Corp. | 3,500 | 195,895 | ||||||||
Callaway Golf Co. | 300 | 4,329 | ||||||||
Camping World Holdings, Inc. Class A | 400 | 16,362 | ||||||||
Clarus Corp. (a) | 3,600 | 27,000 | ||||||||
JAKKS Pacific, Inc. (a) | 4,300 | 12,900 | ||||||||
Malibu Boats, Inc. (a) | 3,000 | 94,920 | ||||||||
MCBC Holdings, Inc. (a) | 4,900 | 99,862 | ||||||||
|
| |||||||||
451,268 | ||||||||||
|
| |||||||||
Machinery — 0.2% | ||||||||||
AGCO Corp. | 2,700 | 199,179 | ||||||||
Astec Industries, Inc. | 100 | 5,601 | ||||||||
Briggs & Stratton Corp. | 3,700 | 86,950 | ||||||||
Caterpillar, Inc. | 57,600 | 7,183,296 | ||||||||
Colfax Corp. (a) | 8,200 | 341,448 | ||||||||
Columbus McKinnon Corp. | 1,600 | 60,592 | ||||||||
Deere & Co. | 100 | 12,528 | ||||||||
Dover Corp. | 11,900 | 1,087,541 | ||||||||
Federal Signal Corp. | 100 | 2,132 | ||||||||
Gardner Denver Holdings, Inc. (a) | 1,000 | 27,520 | ||||||||
Graham Corp. (b) | 1,400 | 29,162 | ||||||||
Hillenbrand, Inc. | 900 | 34,965 | ||||||||
Hyster-Yale Materials Handling, Inc. (b) | 400 | 30,576 | ||||||||
Ichor Holdings Ltd. (a) | 2,200 | 58,960 | ||||||||
Kadant, Inc. (b) | 1,700 | 167,535 | ||||||||
Lincoln Electric Holdings | 4,800 | 440,064 | ||||||||
Milacron Holdings Corp. (a) | 100 | 1,695 | ||||||||
MSA Safety, Inc. | 1,500 | 119,265 | ||||||||
MTS Systems Corp. | 2,500 | 133,625 | ||||||||
Oshkosh Corp. | 6,100 | 503,494 | ||||||||
Parker-Hannifin Corp. | 6,200 | 1,085,124 | ||||||||
Rexnord Corp. (a) | 4,800 | 121,968 | ||||||||
SPX FLOW, Inc. (a) | 5,100 | 196,656 | ||||||||
Toro Co. | 1,000 | 62,060 | ||||||||
Xerium Technologies, Inc. (a),(b) | 1,500 | 7,170 | ||||||||
|
| |||||||||
11,999,106 | ||||||||||
|
| |||||||||
Manufactured Goods — 0.0% | ||||||||||
Aegion Corp. (a),(b) | 3,600 | 83,808 | ||||||||
Atkore International Group, Inc. (a) | 2,600 | 50,726 | ||||||||
Chart Industries, Inc. (a),(b) | 7,200 | 282,456 | ||||||||
Core Molding Technologies, Inc. | 400 | 8,776 |
See Notes to Consolidated Financial Statements.
23
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2017 (Unaudited)
Security Description | Shares | Value | ||||||||
EnPro Industries, Inc. | 200 | $ | 16,243 | |||||||
Gibraltar Industries, Inc. (a),(b) | 5,800 | 180,670 | ||||||||
Global Brass & Copper Holdings, Inc. | 3,300 | 111,540 | ||||||||
Insteel Industries, Inc. | 1,400 | 36,554 | ||||||||
LB Foster Co. Class A | 2,300 | 52,325 | ||||||||
NCI Building Systems, Inc. (a) | 1,500 | 23,400 | ||||||||
Rogers Corp. (a) | 3,000 | 399,840 | ||||||||
Valmont Industries, Inc. | 3,300 | 521,730 | ||||||||
|
| |||||||||
1,768,068 | ||||||||||
|
| |||||||||
Media — 1.1% | ||||||||||
Alphabet, Inc. Class A (a),(b) | 620 | 603,706 | ||||||||
Alphabet, Inc. Class C (a),(b) | 408 | 391,317 | ||||||||
Bankrate, Inc. (a) | 19,500 | 272,025 | ||||||||
Blucora, Inc. (a) | 1,000 | 25,300 | ||||||||
Boingo Wireless, Inc. (a),(b) | 15,700 | 335,509 | ||||||||
Central European Media Enterprises Ltd. A Shares (a) | 5,200 | 21,060 | ||||||||
Charter Communications, Inc. Class A (a) | 10,740 | 3,903,131 | ||||||||
Clear Channel Outdoor Holdings, Inc. Class A (b) | 6,300 | 29,295 | ||||||||
Comcast Corp. Class A | 116,800 | 4,494,464 | ||||||||
DHI Group, Inc. (a) | 14,300 | 37,180 | ||||||||
Expedia, Inc. | 16 | 2,303 | ||||||||
Facebook, Inc. Class A (a),(b) | 4,021 | 687,068 | ||||||||
Gannett Co., Inc. | 200 | 1,800 | ||||||||
GoDaddy, Inc. Class A (a) | 41,700 | 1,814,367 | ||||||||
Harte-Hanks, Inc. (a),(b) | 3,900 | 4,173 | ||||||||
Lee Enterprises, Inc. (a) | 300 | 660 | ||||||||
Liberty Broadband Corp. Class A (a),(b),(d) | 5,333 | 502,262 | ||||||||
Liberty Broadband Corp. Class C (a),(b),(d) | 13,265 | 1,264,154 | ||||||||
Liberty SiriusXM Group Class A (a),(b),(d) | 36,575 | 1,532,492 | ||||||||
Liberty SiriusXM Group Class C (a),(b),(d) | 32,973 | 1,380,580 | ||||||||
Liberty TripAdvisor Holdings, Inc. Class A (a) | 20,200 | 249,470 | ||||||||
Lions Gate Entertainment Corp. Class A (a) | 2,800 | 93,660 | ||||||||
Marchex, Inc. Class B (a) | 3,300 | 10,197 | ||||||||
Marin Software, Inc. (a) | 3,100 | 5,425 | ||||||||
Match Group, Inc. (a) | 19,700 | 456,843 | ||||||||
McClatchy Co. Class A (a) | 90 | 665 | ||||||||
MDC Partners, Inc. Class A | 1,100 | 12,100 | ||||||||
National CineMedia, Inc. (b) | 17,500 | 122,150 | ||||||||
Netflix, Inc. (a) | 46,800 | 8,487,180 | ||||||||
News Corp. Class A (b) | 80,900 | 1,072,734 | ||||||||
Omnicom Group, Inc. | 12,825 | 949,948 | ||||||||
Points International Ltd. (a),(b) | 100 | 1,140 | ||||||||
Postmedia Network Canada Corp. (a),(b),(d),(j) | 1,061,559 | 467,928 | ||||||||
Priceline Group, Inc. (a) | 6,101 | 11,169,833 | ||||||||
Rubicon Project, Inc. (a) | 22,100 | 85,969 |
See Notes to Consolidated Financial Statements.
24
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2017 (Unaudited)
Security Description | Shares | Value | ||||||||
Scholastic Corp. | 500 | $ | 18,600 | |||||||
Scripps Networks Interactive, Inc. Class A | 4,900 | 420,861 | ||||||||
Shopify, Inc. Class A (a) | 2,400 | 279,576 | ||||||||
TechTarget, Inc. (a),(b) | 1,100 | 13,134 | ||||||||
Time Warner, Inc. (b),(d) | 96,832 | 9,920,438 | ||||||||
TiVo Corp. | 27,282 | 541,548 | ||||||||
Townsquare Media, Inc. Class A (a) | 200 | 2,000 | ||||||||
Trade Desk, Inc. Class A (a) | 4,670 | 287,252 | ||||||||
Travelzoo, Inc. (a) | 100 | 860 | ||||||||
TrueCar, Inc. (a) | 32,000 | 505,280 | ||||||||
Twenty-First Century Fox, Inc. Class A | 1,800 | 47,484 | ||||||||
VeriSign, Inc. (a),(b) | 28,200 | 3,000,198 | ||||||||
Web.com Group, Inc. (a) | 700 | 17,500 | ||||||||
XO Group, Inc. (a),(b) | 3,600 | 70,812 | ||||||||
YuMe, Inc. | 2,900 | 13,427 | ||||||||
|
| |||||||||
55,627,058 | ||||||||||
|
| |||||||||
Medical Equipment & Devices — 2.6% | ||||||||||
Abaxis, Inc. | 100 | 4,465 | ||||||||
Accuray, Inc. (a) | 3,700 | 14,800 | ||||||||
Agilent Technologies, Inc. (b) | 20,100 | 1,290,420 | ||||||||
Analogic Corp. | 2,400 | 201,000 | ||||||||
AngioDynamics, Inc. (a),(b) | 8,700 | 148,683 | ||||||||
AtriCure, Inc. (a) | 400 | 8,948 | ||||||||
AxoGen, Inc. (a) | 2,300 | 44,505 | ||||||||
Baxter International, Inc. (b) | 97,133 | 6,095,096 | ||||||||
Becton Dickinson and Co. | 200 | 39,190 | ||||||||
Boston Scientific Corp. (a),(b),(d) | 479,457 | 13,985,761 | ||||||||
Bruker Corp. | 200 | 5,936 | ||||||||
Cardiovascular Systems, Inc. (a) | 9,500 | 267,425 | ||||||||
Catalent, Inc. (a) | 21,300 | 850,296 | ||||||||
ConforMIS, Inc. (a) | 1,500 | 5,280 | ||||||||
Cooper Cos., Inc. (The) | 4,600 | 1,090,706 | ||||||||
CryoLife, Inc. (a),(b) | 4,400 | 99,880 | ||||||||
Cutera, Inc. (a) | 4,100 | 169,535 | ||||||||
Danaher Corp. (b),(d) | 312,840 | 26,835,415 | ||||||||
Dentsply Sirona, Inc. | 136,623 | 8,171,422 | ||||||||
Edwards Lifesciences Corp. (a),(b),(d) | 85,330 | 9,327,422 | ||||||||
Exactech, Inc. (a),(b) | 1,300 | 42,835 | ||||||||
Fluidigm Corp. (a) | 900 | 4,536 | ||||||||
FONAR Corp. (a) | 400 | 12,200 | ||||||||
Genomic Health, Inc. (a),(b) | 4,100 | 131,569 | ||||||||
Harvard Bioscience, Inc. (a),(b) | 500 | 1,875 | ||||||||
Hologic, Inc. (a) | 95,000 | 3,485,550 | ||||||||
IDEXX Laboratories, Inc. (a) | 21,800 | 3,389,682 | ||||||||
Inogen, Inc. (a) | 1,400 | 133,140 | ||||||||
Insulet Corp. (a) | 13,000 | 716,040 |
See Notes to Consolidated Financial Statements.
25
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2017 (Unaudited)
Security Description | Shares | Value | ||||||||
Intuitive Surgical, Inc. (a),(d) | 16,910 | $ | 17,685,831 | |||||||
Lantheus Holdings, Inc. (a) | 7,800 | 138,840 | ||||||||
LeMaitre Vascular, Inc. | 5,100 | 190,842 | ||||||||
LivaNova PLC (a) | 1,000 | 70,060 | ||||||||
Luminex Corp. (b) | 2,000 | 40,660 | ||||||||
Masimo Corp. (a) | 16,400 | 1,419,584 | ||||||||
Medtronic PLC (d) | 52,337 | 4,070,248 | ||||||||
Meridian Bioscience, Inc. | 7,700 | 110,110 | ||||||||
Merit Medical Systems, Inc. (a),(b) | 11,000 | 465,850 | ||||||||
Mettler-Toledo International, Inc. (a) | 2,200 | 1,377,552 | ||||||||
MiMedx Group, Inc. (a) | 29,400 | 349,272 | ||||||||
Myriad Genetics, Inc. (a) | 33,300 | 1,204,794 | ||||||||
NxStage Medical, Inc. (a) | 6,800 | 187,680 | ||||||||
OraSure Technologies, Inc. (a),(b) | 26,100 | 587,250 | ||||||||
Orthofix International NV (a) | 4,100 | 193,725 | ||||||||
Oxford Immunotec Global PLC (a) | 800 | 13,440 | ||||||||
QIAGEN NV | 28,076 | 884,394 | ||||||||
Quidel Corp. (a) | 2,900 | 127,194 | ||||||||
RTI Surgical, Inc. (a) | 7,400 | 33,670 | ||||||||
SeaSpine Holdings Corp. (a) | 200 | 2,244 | ||||||||
STAAR Surgical Co. (a) | 1,200 | 14,940 | ||||||||
SurModics, Inc. (a),(b) | 1,500 | 46,500 | ||||||||
Tactile Systems Technology, Inc. (a) | 100 | 3,095 | ||||||||
Thermo Fisher Scientific, Inc. | 400 | 75,680 | ||||||||
Waters Corp. (a) | 100 | 17,952 | ||||||||
West Pharmaceutical Services, Inc. | 400 | 38,504 | ||||||||
Wright Medical Group NV (a) | 4,399 | 113,802 | ||||||||
Zimmer Holdings, Inc. (d) | 199,640 | 23,375,847 | ||||||||
|
| |||||||||
129,413,172 | ||||||||||
|
| |||||||||
Metals & Mining — 0.1% | ||||||||||
Alcoa Corp. (b) | 92,101 | 4,293,749 | ||||||||
Century Aluminum Co. (a) | 5,500 | 91,190 | ||||||||
Dominion Diamond Corp. (b) | 7,300 | 103,514 | ||||||||
Encore Wire Corp. (b) | 700 | 31,342 | ||||||||
Golden Star Resources Ltd. (a) | 4,100 | 3,149 | ||||||||
Harsco Corp. (a) | 11,700 | 244,530 | ||||||||
HudBay Minerals, Inc. | 1,200 | 8,940 | ||||||||
IAMGOLD Corp. (a) | 10,900 | 66,490 | ||||||||
Kinross Gold Corp. (a) | 29,900 | 126,776 | ||||||||
New Gold, Inc. (a) | 114,800 | 425,908 | ||||||||
Newmont Mining Corp. | 17,500 | 656,425 | ||||||||
Royal Gold, Inc. | 4,400 | 378,576 | ||||||||
Taseko Mines Ltd. (a) | 1,000 | 1,850 | ||||||||
Teck Resources Ltd. B Shares | 38,600 | 814,074 | ||||||||
|
| |||||||||
7,246,513 | ||||||||||
|
|
See Notes to Consolidated Financial Statements.
26
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2017 (Unaudited)
Security Description | Shares | Value | ||||||||
Oil, Gas & Coal — 0.4% | ||||||||||
Abraxas Petroleum Corp. (a) | 26,800 | $ | 50,384 | |||||||
Advantage Oil & Gas Ltd. (a),(b) | 4,200 | 26,460 | ||||||||
Baker Hughes a GE Co. | 36,500 | 1,336,630 | ||||||||
Bellatrix Exploration Ltd. (a) | 60 | 170 | ||||||||
Cabot Oil & Gas Corp. | 22,200 | 593,850 | ||||||||
Chevron Corp. | 47,500 | 5,581,250 | ||||||||
Cimarex Energy Co. | 18,100 | 2,057,427 | ||||||||
Civeo Corp. (a) | 19,200 | 54,720 | ||||||||
Concho Resources, Inc. (a) | 1,200 | 158,064 | ||||||||
CONSOL Energy, Inc. (a) | 92,000 | 1,558,480 | ||||||||
Dawson Geophysical Co. (a),(b) | 840 | 3,805 | ||||||||
Devon Energy Corp. | 900 | 33,039 | ||||||||
Diamond Offshore Drilling, Inc. (a) | 16,200 | 234,900 | ||||||||
EOG Resources, Inc. | 5,700 | 551,418 | ||||||||
Era Group, Inc. (a) | 600 | 6,714 | ||||||||
Evolution Petroleum Corp. (b) | 2,500 | 18,000 | ||||||||
Exterran Corp. (a) | 3,100 | 97,991 | ||||||||
Exxon Mobil Corp. | 22,800 | 1,869,144 | ||||||||
Geospace Technologies Corp. (a) | 100 | 1,782 | ||||||||
Gulf Island Fabrication, Inc. (b) | 2,600 | 33,020 | ||||||||
Hallador Energy Co. | 600 | 3,432 | ||||||||
Halliburton Co. | 11,400 | 524,742 | ||||||||
Helix Energy Solutions Group, Inc. (a),(b) | 2,100 | 15,519 | ||||||||
Independence Contract Drilling, Inc. (a) | 7,600 | 28,880 | ||||||||
ION Geophysical Corp. (a) | 186 | 1,769 | ||||||||
Marathon Oil Corp. | 3,800 | 51,528 | ||||||||
Marathon Petroleum Corp. | 7,000 | 392,560 | ||||||||
Matrix Service Co. (a),(b) | 13,300 | 202,160 | ||||||||
NACCO Industries, Inc. Class A | 100 | 8,580 | ||||||||
Natural Gas Services Group, Inc. (a) | 1,200 | 34,080 | ||||||||
Newpark Resources, Inc. (a),(b) | 8,600 | 86,000 | ||||||||
Obsidian Energy Ltd. (a) | 4,500 | 4,725 | ||||||||
Par Petroleum Corp. (a) | 500 | 10,400 | ||||||||
Parker Drilling Co. (a) | 4,900 | 5,390 | ||||||||
Peabody Energy Corp. (a) | 200 | 5,802 | ||||||||
Penn Virginia Corp. (a) | 100 | 4,003 | ||||||||
PHI, Inc. (a) | 1,200 | 14,112 | ||||||||
Phillips 66 | 6,900 | 632,109 | ||||||||
Pioneer Energy Services Corp. (a) | 14,100 | 35,955 | ||||||||
SandRidge Energy, Inc. (a) | 300 | 6,027 | ||||||||
Tesco Corp. (a),(b) | 4,200 | 22,890 | ||||||||
Thermon Group Holdings, Inc. (a) | 100 | 1,782 | ||||||||
TransGlobe Energy Corp. (a),(b) | 800 | 1,152 | ||||||||
Transocean Ltd. (a) | 194,300 | 2,090,668 | ||||||||
TravelCenters of America LLC (a) | 4,700 | 19,975 | ||||||||
VAALCO Energy, Inc. (a) | 3,200 | 2,624 | ||||||||
|
| |||||||||
18,474,112 | ||||||||||
|
|
See Notes to Consolidated Financial Statements.
27
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2017 (Unaudited)
Security Description | Shares | Value | ||||||||
Passenger Transportation — 0.1% | ||||||||||
Alaska Air Group, Inc. | 6,200 | $ | 472,874 | |||||||
Copa Holdings SA Class A | 7,100 | 884,163 | ||||||||
Hawaiian Holdings, Inc. (a),(b) | 11,000 | 413,050 | ||||||||
JetBlue Airways Corp. (a) | 46,600 | 863,498 | ||||||||
Spirit Airlines, Inc. (a),(b) | 2,700 | 90,207 | ||||||||
Student Transportation, Inc. (b) | 4,100 | 24,518 | ||||||||
|
| |||||||||
2,748,310 | ||||||||||
|
| |||||||||
Real Estate — 0.5% | ||||||||||
Alexander & Baldwin, Inc. | 400 | 18,532 | ||||||||
American Tower Corp. (b) | 46,301 | 6,328,421 | ||||||||
AvalonBay Communities, Inc. (b),(d) | 2,480 | 442,482 | ||||||||
Boston Properties, Inc. (b),(d) | 2,576 | 316,539 | ||||||||
CatchMark Timber Trust, Inc. Class A | 600 | 7,566 | ||||||||
CBRE Group, Inc. (a) | 26,300 | 996,244 | ||||||||
City Office REIT, Inc. | 100 | 1,378 | ||||||||
Colliers International Group, Inc. | 1,100 | 54,670 | ||||||||
CoreCivic, Inc. | 13,300 | 356,041 | ||||||||
Digital Realty Trust, Inc. | 16 | 1,893 | ||||||||
Equinix, Inc. (b),(d) | 2,203 | 983,199 | ||||||||
Equity Residential (b),(d) | 6,949 | 458,147 | ||||||||
Federal Realty Investment Trust | 600 | 74,526 | ||||||||
FirstService Corp. | 1,500 | 98,715 | ||||||||
Forestar Group, Inc. (a) | 12,600 | 184,947 | ||||||||
Gaming and Leisure Properties, Inc. | 1,145 | 42,239 | ||||||||
Getty Realty Corp. | 7,200 | 205,992 | ||||||||
Gladstone Commercial Corp. (b) | 9,100 | 202,657 | ||||||||
HCP, Inc. | 5,100 | 141,933 | ||||||||
InfraREIT, Inc. | 8,200 | 183,434 | ||||||||
JBG SMITH Properties (a),(b),(d) | 73,733 | 2,522,406 | ||||||||
Jones Lang LaSalle, Inc. (b) | 7,900 | 975,650 | ||||||||
Lexington Realty Trust | 200 | 2,045 | ||||||||
LTC Properties, Inc. | 18 | 846 | ||||||||
Marcus & Millichap, Inc. (a) | 700 | 18,893 | ||||||||
MedEquities Realty Trust, Inc. | 900 | 10,575 | ||||||||
MGM Growth Properties LLC Class A | 18,901 | 570,999 | ||||||||
Monmouth Real Estate Investment Corp. Class A (b) | 1,700 | 27,523 | ||||||||
One Liberty Properties, Inc. | 1,600 | 38,976 | ||||||||
Potlatch Corp. | 300 | 15,300 | ||||||||
Preferred Apartment Communities, Inc. Class A | 12,600 | 237,888 | ||||||||
Prologis, Inc. (b),(d) | 10,154 | 644,373 | ||||||||
Public Storage (b),(d) | 2,713 | 580,555 | ||||||||
Quality Care Properties, Inc. (a) | 18,500 | 286,750 | ||||||||
RE/MAX Holdings, Inc. Class A | 23 | 1,462 | ||||||||
Realogy Holdings Corp. (b) | 28,500 | 939,075 |
See Notes to Consolidated Financial Statements.
28
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2017 (Unaudited)
Security Description | Shares | Value | ||||||||
Saul Centers, Inc. | 100 | $ | 6,191 | |||||||
SBA Communications Corp. (a) | 24,500 | 3,529,225 | ||||||||
Simon Property Group, Inc. (b),(d) | 5,671 | 913,088 | ||||||||
UDR, Inc. | 3,500 | 133,105 | ||||||||
UMH Properties, Inc. | 2,200 | 34,210 | ||||||||
Urstadt Biddle Properties, Inc. Class A (b) | 3,500 | 75,950 | ||||||||
Ventas, Inc. (b),(d) | 6,470 | 421,391 | ||||||||
Vornado Realty Trust (b),(d) | 2,962 | 227,718 | ||||||||
Welltower, Inc. (b),(d) | 6,619 | 465,183 | ||||||||
Xenia Hotels & Resorts, Inc. | 300 | 6,315 | ||||||||
|
| |||||||||
23,785,247 | ||||||||||
|
| |||||||||
Recreation Facilities & Services — 0.1% | ||||||||||
Drive Shack, Inc. | 4,733 | 17,086 | ||||||||
Live Nation Entertainment, Inc. (a) | 58,400 | 2,543,320 | ||||||||
Madison Square Garden Co. (The) (a) | 1,500 | 321,150 | ||||||||
Marcus Corp. | 2,300 | 63,710 | ||||||||
Speedway Motorsports, Inc. (b) | 1,300 | 27,690 | ||||||||
|
| |||||||||
2,972,956 | ||||||||||
|
| |||||||||
Renewable Energy — 0.0% | ||||||||||
Advanced Energy Industries, Inc. (a) | 8,000 | 646,080 | ||||||||
Ameresco, Inc. Class A (a),(b) | 2,800 | 21,840 | ||||||||
EnerSys | 100 | 6,917 | ||||||||
Pacific Ethanol, Inc. (a) | 700 | 3,885 | ||||||||
Renewable Energy Group, Inc. (a),(b) | 17,800 | 216,270 | ||||||||
SolarEdge Technologies, Inc. (a) | 200 | 5,710 | ||||||||
|
| |||||||||
900,702 | ||||||||||
|
| |||||||||
Retail—Consumer Staples — 1.2% | ||||||||||
Big Lots, Inc. | 21,200 | 1,135,684 | ||||||||
CVS Health Corp. (b) | 44,200 | 3,594,344 | ||||||||
Dollar General Corp. (b) | 120,900 | 9,798,945 | ||||||||
Dollar Tree, Inc. (a) | 63,800 | 5,539,116 | ||||||||
Five Below, Inc. (a) | 5,400 | 296,352 | ||||||||
Ingles Markets, Inc. Class A | 4,100 | 105,370 | ||||||||
Kroger Co. | 444,700 | 8,920,682 | ||||||||
Natural Grocers by Vitamin Cottage, Inc. (a) | 1,600 | 8,928 | ||||||||
Ollie’s Bargain Outlet Holdings, Inc. (a) | 400 | 18,560 | ||||||||
Smart & Final Stores, Inc. (a) | 6,000 | 47,100 | ||||||||
Target Corp. | 229,200 | 13,525,092 | ||||||||
Village Super Market, Inc. Class A | 1,200 | 29,688 | ||||||||
Wal-Mart Stores, Inc. | 203,600 | 15,909,304 | ||||||||
Walgreens Boots Alliance, Inc. | 3,100 | 239,382 | ||||||||
|
| |||||||||
59,168,547 | ||||||||||
|
|
See Notes to Consolidated Financial Statements.
29
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2017 (Unaudited)
Security Description | Shares | Value | ||||||||
Retail—Discretionary — 2.1% | ||||||||||
1-800-Flowers.com, Inc. Class A (a) | 2,400 | $ | 23,640 | |||||||
Advance Auto Parts, Inc. | 12,700 | 1,259,840 | ||||||||
Amazon.com, Inc. (a),(b) | 3,501 | 3,365,687 | ||||||||
AutoZone, Inc. (a) | 3,300 | 1,963,863 | ||||||||
Barnes & Noble Education, Inc. (a) | 8,600 | 55,986 | ||||||||
Bassett Furniture Industries, Inc. (b) | 900 | 33,930 | ||||||||
Best Buy Co., Inc. | 149,500 | 8,515,520 | ||||||||
Big 5 Sporting Goods Corp. (b) | 10,800 | 82,620 | ||||||||
Burlington Stores, Inc. (a) | 34,400 | 3,283,824 | ||||||||
CarMax, Inc. (a) | 8,500 | 644,385 | ||||||||
Children’s Place, Inc. | 100 | 11,835 | ||||||||
Christopher & Banks Corp. (a) | 100 | 136 | ||||||||
Citi Trends, Inc. (b) | 2,800 | 55,636 | ||||||||
Container Store Group, Inc. (a) | 5,100 | 21,471 | ||||||||
Copart, Inc. (a) | 200 | 6,874 | ||||||||
Destination Maternity Corp. (a) | 500 | 835 | ||||||||
Destination XL Group, Inc. (a) | 2,499 | 4,748 | ||||||||
Dick’s Sporting Goods, Inc. | 40,500 | 1,093,905 | ||||||||
eBay, Inc. (a) | 17,300 | 665,358 | ||||||||
Etsy, Inc. (a) | 100 | 1,692 | ||||||||
EVINE Live, Inc. (a),(b) | 1,700 | 1,768 | ||||||||
Express, Inc. (a) | 36,100 | 244,036 | ||||||||
Ezcorp, Inc. Class A (a) | 6,900 | 65,550 | ||||||||
Foot Locker, Inc. | 39,100 | 1,377,102 | ||||||||
GameStop Corp. Class A | 50,600 | 1,045,396 | ||||||||
Gap, Inc. | 40,400 | 1,193,012 | ||||||||
Genesco, Inc. (a) | 9,900 | 263,340 | ||||||||
GMS, Inc. (a) | 5,500 | 194,700 | ||||||||
Haverty Furniture Cos., Inc. | 2,700 | 70,605 | ||||||||
Hibbett Sports, Inc. (a) | 10,200 | 145,350 | ||||||||
Home Depot, Inc. (b) | 121,600 | 19,888,896 | ||||||||
HSN, Inc. | 10,200 | 398,310 | ||||||||
Kirkland’s, Inc. (a),(b) | 7,400 | 84,582 | ||||||||
Kohl’s Corp. | 84,200 | 3,843,730 | ||||||||
La-Z-Boy, Inc. | 500 | 13,450 | ||||||||
Liberty Interactive Corp. Class A (a),(b) | 86,904 | 2,048,327 | ||||||||
Liquidity Services, Inc. (a),(b) | 4,300 | 25,370 | ||||||||
Lowe’s Cos., Inc. (b) | 236,700 | 18,921,798 | ||||||||
Michaels Cos., Inc. (a) | 2,100 | 45,087 | ||||||||
Nordstrom, Inc. | 25,500 | 1,202,325 | ||||||||
Ross Stores, Inc. (b) | 146,600 | 9,465,962 | ||||||||
Rush Enterprises, Inc. Class A (a) | 2,800 | 129,612 | ||||||||
Sears Hometown and Outlet Stores, Inc. (a) | 100 | 255 | ||||||||
Shoe Carnival, Inc. | 4,400 | 98,472 | ||||||||
Stein Mart, Inc. (b) | 4,800 | 6,240 | ||||||||
Tiffany & Co. | 600 | 55,277 |
See Notes to Consolidated Financial Statements.
30
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2017 (Unaudited)
Security Description | Shares | Value | ||||||||
Tile Shop Holdings, Inc. | 8,000 | $ | 101,600 | |||||||
Tilly’s, Inc. Class A | 6,800 | 81,532 | ||||||||
TJX Cos., Inc. | 133,500 | 9,842,955 | ||||||||
Tractor Supply Co. | 61,100 | 3,867,019 | ||||||||
Tuesday Morning Corp. (a) | 500 | 1,600 | ||||||||
Ulta Salon Cosmetics & Fragrance, Inc. (a),(b) | 29,700 | 6,713,982 | ||||||||
Urban Outfitters, Inc. (a) | 9,900 | 236,610 | ||||||||
Vera Bradley, Inc. (a) | 13,000 | 114,530 | ||||||||
Vitamin Shoppe, Inc. (a) | 3,900 | 20,865 | ||||||||
Williams-Sonoma, Inc. | 28,600 | 1,425,996 | ||||||||
|
| |||||||||
104,327,026 | ||||||||||
|
| |||||||||
Semiconductors — 1.9% | ||||||||||
Alpha & Omega Semiconductor Ltd. (a),(b) | 4,600 | 75,854 | ||||||||
Amkor Technology, Inc. (a),(b) | 60,000 | 633,000 | ||||||||
Applied Materials, Inc. (b) | 163,800 | 8,532,342 | ||||||||
Axcelis Technologies, Inc. (a) | 8,050 | 220,167 | ||||||||
Broadcom Ltd. (b) | 60,100 | 14,576,654 | ||||||||
Brooks Automation, Inc. | 700 | 21,252 | ||||||||
Cabot Microelectronics Corp. | 4,500 | 359,685 | ||||||||
CEVA, Inc. (a),(b) | 3,500 | 149,800 | ||||||||
Cohu, Inc. (b) | 10,300 | 245,552 | ||||||||
Diodes, Inc. (a) | 1,300 | 38,909 | ||||||||
DSP Group, Inc. (a),(b) | 2,600 | 33,800 | ||||||||
Electro Scientific Industries, Inc. (a) | 13,200 | 183,744 | ||||||||
Entegris, Inc. (a) | 10,000 | 288,500 | ||||||||
FormFactor, Inc. (a) | 3,461 | 58,318 | ||||||||
II-VI, Inc. (a) | 1,300 | 53,495 | ||||||||
Intel Corp. | 110,519 | 4,208,564 | ||||||||
IXYS Corp. (a) | 10,300 | 244,110 | ||||||||
Kemet Corp. (a),(b) | 23,900 | 505,007 | ||||||||
KLA-Tencor Corp. (b) | 45,800 | 4,854,800 | ||||||||
Lam Research Corp. (b) | 73,500 | 13,600,440 | ||||||||
Lattice Semiconductor Corp. (a) | 100 | 517 | ||||||||
Marvell Technology Group Ltd. | 158,700 | 2,840,730 | ||||||||
Maxim Integrated Products, Inc. | 71,700 | 3,420,807 | ||||||||
Maxwell Technologies, Inc. (a) | 1,300 | 6,669 | ||||||||
Microchip Technology, Inc. | 2,724 | 244,561 | ||||||||
Micron Technology, Inc. (a) | 515,700 | 20,282,481 | ||||||||
Nanometrics, Inc. (a) | 5,100 | 146,880 | ||||||||
ON Semiconductor Corp. (a),(b) | 89,700 | 1,656,759 | ||||||||
Park Electrochemical Corp. | 1,900 | 35,150 | ||||||||
Photronics, Inc. (a),(b) | 23,100 | 204,435 | ||||||||
Pixelworks, Inc. (a) | 7,100 | 33,441 | ||||||||
Qorvo, Inc. (a),(c) | 144,234 | 10,194,459 | ||||||||
Qualcomm, Inc. | 5,300 | 274,752 | ||||||||
Rambus, Inc. (a) | 28,000 | 373,800 |
See Notes to Consolidated Financial Statements.
31
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2017 (Unaudited)
Security Description | Shares | Value | ||||||||
Rudolph Technologies, Inc. (a),(b) | 10,200 | $ | 268,260 | |||||||
Semtech Corp. (a) | 3,300 | 123,915 | ||||||||
Sigma Designs, Inc. (a) | 2,600 | 16,380 | ||||||||
SMART Global Holdings, Inc. (a) | 500 | 12,598 | ||||||||
Synaptics, Inc. (a) | 3,100 | 121,458 | ||||||||
Teradyne, Inc. | 81,600 | 3,042,864 | ||||||||
Texas Instruments, Inc. | 14,700 | 1,317,708 | ||||||||
Ultra Clean Holdings, Inc. (a) | 12,100 | 370,502 | ||||||||
Universal Display Corp. | 2,400 | 309,240 | ||||||||
Veeco Instruments, Inc. (a) | 3,230 | 69,122 | ||||||||
Vishay Intertechnology, Inc. | 1,400 | 26,320 | ||||||||
Xperi Corp. | 100 | 2,511 | ||||||||
|
| |||||||||
94,280,312 | ||||||||||
|
| |||||||||
Software — 1.8% | ||||||||||
Actua Corp. (a) | 600 | 9,180 | ||||||||
Adobe Systems, Inc. (a) | 40,756 | 6,079,980 | ||||||||
Agilysys, Inc. (a),(b) | 700 | 8,365 | ||||||||
Akamai Technologies, Inc. (a),(b) | 50,700 | 2,470,104 | ||||||||
Allscripts Healthcare Solutions, Inc. (a) | 16,900 | 240,487 | ||||||||
Amber Road, Inc. (a) | 3,700 | 28,416 | ||||||||
Appfolio, Inc. (a) | 5,600 | 268,520 | ||||||||
Aspen Technology, Inc. (a) | 11,000 | 690,910 | ||||||||
Autodesk, Inc. (a),(b) | 63,972 | 7,181,497 | ||||||||
Avid Technology, Inc. (a) | 800 | 3,632 | ||||||||
Bazaarvoice, Inc. (a) | 13,200 | 65,340 | ||||||||
Black Knight Financial Services, Inc. Class A (a) | 1,100 | 47,355 | ||||||||
Brightcove, Inc. (a) | 8,100 | 58,320 | ||||||||
Cadence Design Systems, Inc. (a) | 18,500 | 730,195 | ||||||||
Calix, Inc. (a),(b) | 4,200 | 21,210 | ||||||||
Carbonite, Inc. (a),(b) | 1,700 | 37,400 | ||||||||
CDK Global, Inc. | 18,401 | 1,160,919 | ||||||||
ChannelAdvisor Corp. (a) | 3,400 | 39,100 | ||||||||
Citrix Systems, Inc. (a) | 30,300 | 2,327,646 | ||||||||
CommerceHub, Inc. (a) | 2,500 | 53,375 | ||||||||
CommVault Systems, Inc. (a),(b) | 5,800 | 352,640 | ||||||||
Coupa Software, Inc. (a) | 5,000 | 155,750 | ||||||||
Descartes Systems Group, Inc. (a) | 100 | 2,710 | ||||||||
Digi International, Inc. (a),(b) | 3,000 | 31,800 | ||||||||
Electronic Arts, Inc. (a) | 52,400 | 6,186,344 | ||||||||
Everbridge, Inc. (a) | 200 | 5,284 | ||||||||
Exa Corp. (a) | 300 | 7,254 | ||||||||
FireEye, Inc. (a) | 800 | 13,504 | ||||||||
Five9, Inc. (a) | 22,700 | 542,530 | ||||||||
Fortinet, Inc. (a) | 5,700 | 204,288 | ||||||||
Guidewire Software, Inc. (a) | 3,100 | 241,366 | ||||||||
HubSpot, Inc. (a) | 6,800 | 571,540 |
See Notes to Consolidated Financial Statements.
32
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2017 (Unaudited)
Security Description | Shares | Value | ||||||||
Imperva, Inc. (a) | 4,700 | $ | 203,980 | |||||||
InnerWorkings, Inc. (a),(b) | 5,900 | 66,375 | ||||||||
Instructure, Inc. (a) | 300 | 9,945 | ||||||||
Intuit, Inc. | 40,800 | 5,799,312 | ||||||||
Limelight Networks, Inc. (a),(b) | 15,000 | 59,550 | ||||||||
LivePerson, Inc. (a) | 6,200 | 84,010 | ||||||||
Microsoft Corp. (b) | 138,976 | 10,352,323 | ||||||||
MicroStrategy, Inc. Class A (a),(b) | 2,700 | 344,817 | ||||||||
Mimecast Ltd. (a) | 2,900 | 82,418 | ||||||||
MINDBODY, Inc. Class A (a) | 17,800 | 460,130 | ||||||||
Mitek Systems, Inc. (a) | 100 | 960 | ||||||||
Model N, Inc. (a),(b) | 800 | 11,960 | ||||||||
Monotype Imaging Holdings, Inc. (b) | 4,400 | 84,700 | ||||||||
New Relic, Inc. (a) | 14,600 | 727,080 | ||||||||
Nuance Communications, Inc. (a) | 67,800 | 1,065,816 | ||||||||
Palo Alto Networks, Inc. (a) | 6,400 | 922,240 | ||||||||
PDF Solutions, Inc. (a),(b) | 1,100 | 17,039 | ||||||||
Pegasystems, Inc. | 2,000 | 115,300 | ||||||||
Progress Software Corp. | 13,500 | 515,295 | ||||||||
Proofpoint, Inc. (a) | 19,900 | 1,735,678 | ||||||||
PROS Holdings, Inc. (a) | 300 | 7,239 | ||||||||
PTC, Inc. (a),(b) | 98,529 | 5,545,212 | ||||||||
QAD, Inc. Class A (b) | 1,500 | 51,525 | ||||||||
Quality Systems, Inc. (a) | 8,500 | 133,705 | ||||||||
Qualys, Inc. (a) | 500 | 25,900 | ||||||||
Rapid7, Inc. (a) | 1,100 | 19,360 | ||||||||
Red Hat, Inc. (a) | 40,300 | 4,467,658 | ||||||||
Rosetta Stone, Inc. (a) | 3,800 | 38,798 | ||||||||
salesforce.com, Inc. (a) | 2,800 | 261,576 | ||||||||
Seachange International, Inc. (a) | 2,600 | 7,124 | ||||||||
ServiceNow, Inc. (a) | 32,900 | 3,866,737 | ||||||||
Splunk, Inc. (a) | 1,600 | 106,288 | ||||||||
SPS Commerce, Inc. (a) | 200 | 11,342 | ||||||||
Symantec Corp. | 13,700 | 449,497 | ||||||||
Synchronoss Technologies, Inc. (a) | 20,400 | 190,332 | ||||||||
Synopsys, Inc. (a) | 24,600 | 1,981,038 | ||||||||
Tableau Software, Inc. Class A (a) | 19,500 | 1,460,355 | ||||||||
Take-Two Interactive Software, Inc. (a) | 51,000 | 5,213,730 | ||||||||
Varonis Systems, Inc. (a) | 11,200 | 469,280 | ||||||||
VASCO Data Security International, Inc. (a) | 700 | 8,435 | ||||||||
Veeva Systems, Inc. Class A (a) | 3,800 | 214,358 | ||||||||
Verint Systems, Inc. (a) | 400 | 16,740 | ||||||||
VMware, Inc. Class A (a),(b) | 54,400 | 5,939,936 | ||||||||
Workday, Inc. Class A (a) | 41,100 | 4,331,529 | ||||||||
Workiva, Inc. (a) | 4,900 | 102,165 | ||||||||
Zynga, Inc. Class A (a) | 388,300 | 1,467,774 | ||||||||
|
| |||||||||
88,883,522 | ||||||||||
|
|
See Notes to Consolidated Financial Statements.
33
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2017 (Unaudited)
Security Description | Shares | Value | ||||||||
Software & Services — 0.1% | ||||||||||
AutoWeb, Inc. (b) | 3,500 | $ | 24,115 | |||||||
iPayment Holdings, Inc. (d),(j),(p) | 5,515,208 | 2,757,604 | ||||||||
|
| |||||||||
2,781,719 | ||||||||||
|
| |||||||||
Specialty Finance — 0.6% | ||||||||||
AG Mortgage Investment Trust, Inc. | 7,100 | 136,604 | ||||||||
AGNC Investment Corp. (b) | 155,638 | 3,374,232 | ||||||||
Aircastle Ltd. | 300 | 6,729 | ||||||||
Annaly Capital Management, Inc. | 76,500 | 932,535 | ||||||||
Anworth Mortgage Asset Corp. | 19,600 | 117,796 | ||||||||
Arbor Realty Trust, Inc. (b) | 15,800 | 129,560 | ||||||||
Cardtronics PLC (a) | 15,200 | 349,752 | ||||||||
Consumer Portfolio Services, Inc. (a),(b) | 1,400 | 6,384 | ||||||||
Discover Financial Services | 10,700 | 689,936 | ||||||||
Dynex Capital, Inc. | 17,200 | 125,044 | ||||||||
Ellington Residential Mortgage REIT (b) | 2,200 | 31,944 | ||||||||
Euronet Worldwide, Inc. (a) | 5,000 | 473,950 | ||||||||
Everi Holdings, Inc. (a) | 33,300 | 252,747 | ||||||||
First American Financial Corp. | 2,500 | 124,925 | ||||||||
First Data Corp. Class A (a) | 178,300 | 3,216,532 | ||||||||
Global Payments, Inc. | 3,166 | 300,865 | ||||||||
Great Ajax Corp. | 400 | 5,636 | ||||||||
Green Dot Corp. Class A (a) | 13,600 | 674,288 | ||||||||
Invesco Mortgage Capital, Inc. | 8,733 | 149,596 | ||||||||
Ladder Capital Corp. | 1,155 | 15,916 | ||||||||
LendingTree, Inc. (a) | 3,800 | 928,910 | ||||||||
Liberty Tax, Inc. | 300 | 4,320 | ||||||||
MasterCard, Inc. Class A | 90,300 | 12,750,360 | ||||||||
Meta Financial Group, Inc. (b) | 1,600 | 125,440 | ||||||||
MFA Financial, Inc. | 35,700 | 312,732 | ||||||||
MTGE Investment Corp. | 12,600 | 244,440 | ||||||||
NewStar Financial, Inc. | 1,100 | 12,914 | ||||||||
PayPal Holdings, Inc. (a) | 9,900 | 633,897 | ||||||||
PennyMac Mortgage Investment Trust | 4,100 | 71,299 | ||||||||
PHH Corp. (a) | 600 | 8,358 | ||||||||
Planet Payment, Inc. (a) | 1,500 | 6,435 | ||||||||
Redwood Trust, Inc. | 3,400 | 55,386 | ||||||||
Square, Inc. (a) | 90,500 | 2,607,305 | ||||||||
Starwood Property Trust, Inc. | 10,300 | 223,716 | ||||||||
Sutherland Asset Management Corp. | 155 | 2,434 | ||||||||
Synchrony Financial | 700 | 21,735 | ||||||||
Total System Services, Inc. | 200 | 13,100 | ||||||||
Visa, Inc. A Shares | 23,100 | 2,431,044 | ||||||||
Western Union Co. | 10,100 | 193,920 | ||||||||
World Acceptance Corp. (a) | 400 | 33,156 | ||||||||
|
| |||||||||
31,795,872 | ||||||||||
|
|
See Notes to Consolidated Financial Statements.
34
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2017 (Unaudited)
Security Description | Shares | Value | ||||||||
Technology Services — 0.4% | ||||||||||
Black Box Corp. | 4,100 | $ | 13,325 | |||||||
Bottomline Technologies, Inc. (a) | 1,700 | 54,111 | ||||||||
CACI International, Inc. Class A (a) | 100 | 14,053 | ||||||||
Cognizant Technology Solutions Corp. Class A | 104,800 | 7,602,192 | ||||||||
Conduent, Inc. (a) | 46,000 | 720,820 | ||||||||
Convergys Corp. | 13,500 | 349,515 | ||||||||
CoreLogic, Inc. (a) | 400 | 18,635 | ||||||||
CPI Card Group, Inc. | 1,600 | 1,888 | ||||||||
Dell Technologies, Inc.—VMware, Inc. Class V (a),(b),(d) | 84,147 | 6,496,990 | ||||||||
DMC Global, Inc. (b) | 1,300 | 21,970 | ||||||||
DST Systems, Inc. | 400 | 21,952 | ||||||||
DXC Technology Co. | 2,801 | 240,550 | ||||||||
Engility Holdings, Inc. (a) | 1,200 | 41,616 | ||||||||
Equifax, Inc. | 16,100 | 1,706,439 | ||||||||
Evertec, Inc. | 12,300 | 194,955 | ||||||||
ExlService Holdings, Inc. (a) | 100 | 5,832 | ||||||||
FactSet Research Systems, Inc. | 381 | 68,717 | ||||||||
Forrester Research, Inc. | 200 | 8,370 | ||||||||
Genpact Ltd. (b) | 2,600 | 74,750 | ||||||||
ICF International, Inc. (a) | 1,300 | 70,135 | ||||||||
Luxoft Holding, Inc. (a) | 2,000 | 95,600 | ||||||||
ManTech International Corp. Class A | 2,400 | 105,960 | ||||||||
MSCI, Inc. | 5,900 | 689,710 | ||||||||
NIC, Inc. | 4,500 | 77,175 | ||||||||
Perficient, Inc. (a) | 1,700 | 33,439 | ||||||||
PFSweb, Inc. (a) | 2,100 | 17,535 | ||||||||
Sabre Corp. (b) | 119,800 | 2,168,380 | ||||||||
ServiceSource International, Inc. (a) | 9,200 | 31,832 | ||||||||
Sykes Enterprises, Inc. (a) | 200 | 5,832 | ||||||||
Syntel, Inc. | 6,400 | 125,760 | ||||||||
TeleTech Holdings, Inc. | 600 | 25,050 | ||||||||
Travelport Worldwide Ltd. | 49,500 | 777,150 | ||||||||
|
| |||||||||
21,880,238 | ||||||||||
|
| |||||||||
Telecommunications — 0.0% | ||||||||||
Consolidated Communications Holdings, Inc. | 4,224 | 80,594 | ||||||||
EchoStar Corp. Class A (a) | 2,200 | 125,906 | ||||||||
General Communication, Inc. Class A (a),(b) | 3,900 | 159,081 | ||||||||
Gogo, Inc. (a) | 5,900 | 69,679 | ||||||||
Hawaiian Telcom Holdco, Inc. (a),(b) | 700 | 20,874 | ||||||||
IDT Corp. Class B (b) | 6,000 | 84,480 | ||||||||
Internap Network Services Corp. (a),(b) | 38,400 | 167,040 | ||||||||
Level 3 Communications, Inc. (a) | 20 | 1,066 | ||||||||
RigNet, Inc. (a) | 600 | 10,320 |
See Notes to Consolidated Financial Statements.
35
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2017 (Unaudited)
Security Description | Shares | Value | ||||||||
RingCentral, Inc. Class A (a) | 28,000 | $ | 1,169,000 | |||||||
Spok Holdings, Inc. (b) | 3,200 | 49,120 | ||||||||
Zix Corp. (a),(b) | 10,400 | 50,856 | ||||||||
|
| |||||||||
1,988,016 | ||||||||||
|
| |||||||||
Transportation & Logistics — 0.4% | ||||||||||
Air Transport Services Group, Inc. (a),(b) | 16,400 | 399,176 | ||||||||
ArcBest Corp. | 7,400 | 247,530 | ||||||||
Atlas Air Worldwide Holdings, Inc. (a) | 500 | 32,900 | ||||||||
Covenant Transportation Group, Inc. Class A (a) | 1,000 | 28,980 | ||||||||
FedEx Corp. (b) | 40,600 | 9,158,548 | ||||||||
Hub Group, Inc. Class A (a) | 1,900 | 81,605 | ||||||||
International Seaways, Inc. (a) | 4,100 | 80,770 | ||||||||
JB Hunt Transport Services, Inc. | 3,900 | 433,212 | ||||||||
Kansas City Southern | 36,100 | 3,923,348 | ||||||||
Marten Transport Ltd. | 7,033 | 144,528 | ||||||||
ModusLink Global Solutions, Inc. (a),(b) | 2,100 | 3,948 | ||||||||
Navios Maritime Acquisition Corp. (b) | 6,500 | 7,930 | ||||||||
Roadrunner Transportation Systems, Inc. (a) | 4,400 | 41,932 | ||||||||
Ryder System, Inc. (b) | 22,400 | 1,893,920 | ||||||||
Saia, Inc. (a),(b) | 6,100 | 382,165 | ||||||||
Schneider National, Inc.—Class B | 2,100 | 53,130 | ||||||||
TOP Ships, Inc. (a) | 3,372 | 1,029 | ||||||||
Union Pacific Corp. | 1,100 | 127,567 | ||||||||
United Parcel Service, Inc. Class B | 10,100 | 1,212,909 | ||||||||
USA Truck, Inc. (a),(b) | 2,200 | 30,910 | ||||||||
|
| |||||||||
18,286,037 | ||||||||||
|
| |||||||||
Transportation Equipment — 0.1% | ||||||||||
Allison Transmission Holdings, Inc. | 6,700 | 251,451 | ||||||||
American Railcar Industries, Inc. | 1,100 | 42,460 | ||||||||
Blue Bird Corp. (a) | 700 | 14,420 | ||||||||
Commercial Vehicle Group, Inc. (a) | 13,900 | 102,165 | ||||||||
Cummins, Inc. | 17,300 | 2,906,919 | ||||||||
Meritor, Inc. (a) | 25,200 | 655,452 | ||||||||
PACCAR, Inc. | 800 | 57,872 | ||||||||
Spartan Motors, Inc. | 700 | 7,735 | ||||||||
WABCO Holdings, Inc. (a) | 2,700 | 399,600 | ||||||||
|
| |||||||||
4,438,074 | ||||||||||
|
| |||||||||
Utilities — 0.0% | ||||||||||
Ameren Corp. | 2,000 | 115,680 | ||||||||
CenterPoint Energy, Inc. | 2,800 | 81,788 | ||||||||
Consolidated Water Co. Ltd. | 1,600 | 20,480 | ||||||||
Edison International | 100 | 7,717 | ||||||||
Great Plains Energy, Inc. | 2,100 | 63,630 | ||||||||
Just Energy Group, Inc. | 5,400 | 31,374 | ||||||||
NorthWestern Corp. | 1,300 | 74,022 |
See Notes to Consolidated Financial Statements.
36
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2017 (Unaudited)
Security Description | Shares | Value | ||||||||||
NRG Energy, Inc. | 65,900 | $ | 1,686,381 | |||||||||
UGI Corp. | 100 | 4,708 | ||||||||||
|
| |||||||||||
2,085,780 | ||||||||||||
|
| |||||||||||
Waste & Environmental Services & Equipment — 0.1% |
| |||||||||||
Advanced Disposal Services, Inc. (a) | 13,300 | 335,027 | ||||||||||
Advanced Emissions Solutions, Inc. | 100 | 1,090 | ||||||||||
Casella Waste Systems, Inc. Class A (a),(b) | 12,600 | 236,880 | ||||||||||
Ceco Environmental Corp. | 900 | 7,614 | ||||||||||
Heritage-Crystal Clean, Inc. (a) | 1,000 | 21,750 | ||||||||||
Republic Services, Inc. | 22,500 | 1,486,350 | ||||||||||
Stericycle, Inc. (a) | 13,900 | 995,518 | ||||||||||
Waste Connections, Inc. | 2,634 | 184,275 | ||||||||||
Waste Management, Inc. | 23,300 | 1,823,691 | ||||||||||
|
| |||||||||||
5,092,195 | ||||||||||||
|
| |||||||||||
Total North America | 1,277,467,768 | |||||||||||
|
| |||||||||||
Oceania — 0.0% | ||||||||||||
Media — 0.0% | ||||||||||||
Zhaopin Ltd. ADR (a),(b) | 1,440 | 26,208 | ||||||||||
|
| |||||||||||
Software — 0.0% | ||||||||||||
Atlassian Corp. PLC Class A (a) | 21,000 | 738,150 | ||||||||||
|
| |||||||||||
Total Oceania | 764,358 | |||||||||||
|
| |||||||||||
South America — 0.4% | ||||||||||||
Aerospace & Defense — 0.0% | ||||||||||||
Embraer SA ADR | 3,100 | 70,091 | ||||||||||
|
| |||||||||||
Banking — 0.1% | ||||||||||||
Banco Bradesco SA ADR | 18,903 | 209,256 | ||||||||||
Banco Santander Brasil SA ADR | 21,700 | 189,658 | ||||||||||
Credicorp Ltd. | 11,300 | 2,316,726 | ||||||||||
Itau Unibanco Holding SA ADR | 57,360 | 785,832 | ||||||||||
|
| |||||||||||
3,501,472 | ||||||||||||
|
| |||||||||||
Chemicals — 0.0% | ||||||||||||
Braskem SA ADR | 17,800 | 475,972 | ||||||||||
Sociedad Quimica y Minera de Chile SA ADR | 23,500 | 1,308,010 | ||||||||||
|
| |||||||||||
1,783,982 | ||||||||||||
|
| |||||||||||
Consumer Products — 0.0% | ||||||||||||
Adecoagro SA (a) | 36,400 | 393,120 | ||||||||||
|
| |||||||||||
Forest & Paper Products — 0.0% | ||||||||||||
Fibria Celulose SA ADR | 1,100 | 14,894 | ||||||||||
|
|
See Notes to Consolidated Financial Statements.
37
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2017 (Unaudited)
Security Description | Shares | Value | ||||||||||
Gaming, Lodging & Restaurants — 0.0% | ||||||||||||
Arcos Dorados Holdings, Inc. A Shares (a) | 28,000 | $ | 281,400 | |||||||||
|
| |||||||||||
Iron & Steel — 0.2% | ||||||||||||
Gerdau SA ADR | 1,600 | 5,488 | ||||||||||
Vale SA ADR | 831,100 | 8,369,177 | ||||||||||
|
| |||||||||||
8,374,665 | ||||||||||||
|
| |||||||||||
Passenger Transportation — 0.0% | ||||||||||||
Avianca Holdings SA ADR | 4,000 | 31,040 | ||||||||||
|
| |||||||||||
Retail—Consumer Staples — 0.0% | ||||||||||||
Cia Brasileira de Distribuicao ADR (a) | 6,000 | 142,020 | ||||||||||
|
| |||||||||||
Retail—Discretionary — 0.1% | ||||||||||||
MercadoLibre, Inc. | 10,200 | 2,641,086 | ||||||||||
|
| |||||||||||
Utilities — 0.0% | ||||||||||||
Cia de Saneamento Basico do Estado de Sao Paulo ADR | 1,400 | 14,644 | ||||||||||
Cia Energetica de Minas Gerais ADR (b) | 39,400 | 97,712 | ||||||||||
Cia Paranaense de Energia ADR | 600 | 5,316 | ||||||||||
Empresa Nacional de Electricidad SA ADR | 1,500 | 39,540 | ||||||||||
|
| |||||||||||
157,212 | ||||||||||||
|
| |||||||||||
Total South America | 17,390,982 | |||||||||||
|
| |||||||||||
TOTAL COMMON STOCK | 1,434,867,959 | |||||||||||
|
| |||||||||||
PREFERRED STOCK — 3.4% | ||||||||||||
Asia — 3.3% | ||||||||||||
Financial Services — 3.2% | ||||||||||||
Mandatory Exchangeable Trust | 844,016 | 165,528,418 | ||||||||||
|
| |||||||||||
Hardware — 0.1% | ||||||||||||
Samsung Electronics Co. Ltd. Preference Shares (r) | 1,980 | 3,564,640 | ||||||||||
|
| |||||||||||
Total Asia | 169,093,058 | |||||||||||
|
| |||||||||||
North America — 0.1% | ||||||||||||
Software & Services — 0.1% | ||||||||||||
iPayment Holdings, Inc. (d),(j),(p),(r) | 35,320 | 3,532,000 | ||||||||||
|
| |||||||||||
Total North America | 3,532,000 | |||||||||||
|
| |||||||||||
TOTAL PREFERRED STOCK | 172,625,058 | |||||||||||
|
|
See Notes to Consolidated Financial Statements.
38
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2017 (Unaudited)
Security Description | Principal Amount | Value | ||||||||||
ASSET-BACKED SECURITIES — 4.7% | ||||||||||||
North America — 4.7% | ||||||||||||
Adams Mill CLO Ltd., Series 2014-1A, Class D1, 3 mo. USD LIBOR + 3.50%, 4.66%, 07/15/26 (d),(e),(f) | $ | 4,500,000 | $ | 4,534,780 | ||||||||
Allegro CLO Ltd., Series 2013-1A, Class C, 3 mo. USD LIBOR + 3.45%, 4.76%, 01/30/26 (d),(e),(f) | 5,000,000 | 5,018,255 | ||||||||||
Allegro Ltd., 3 mo. USD LIBOR + 3.85%, 5.16%, 01/21/27 (d),(e),(f) | 1,900,000 | 1,895,917 | ||||||||||
ALM Loan Funding, Series 2013-7RA, Class CR, 3 mo. USD LIBOR + 4.04%, 5.34%, 10/15/28 (d),(e),(f) | 1,000,000 | 1,012,817 | ||||||||||
ALM XIV Ltd., Series 2014-14A, Class D, 3 mo. USD LIBOR + 4.85%, 6.16%, 07/28/26 (d),(e),(f) | 1,000,000 | 984,955 | ||||||||||
Apidos CLO, Series 2014-18A, Class D, 3 mo. USD LIBOR + 5.20%, 6.51%, 07/22/26 (d),(e),(f) | 2,000,000 | 2,001,996 | ||||||||||
ARES CLO Ltd., | ||||||||||||
Series 2013-1A, Class D, 3 mo. USD LIBOR + 3.75%, 5.05%, 04/15/25 (d),(e),(f) | 2,350,000 | 2,361,012 | ||||||||||
Series 2013-1A, Class E, 3 mo. USD LIBOR + 5.00%, 6.30%, 04/15/25 (d),(e),(f) | 1,925,000 | 1,918,001 | ||||||||||
Avery Point CLO Ltd., Series 2014-5A, Class DR, 4.40%, 07/17/26 (d),(e),(f) | 1,000,000 | 1,004,326 | ||||||||||
Babson CLO Ltd., | ||||||||||||
Series 2013-IA, Class D, 3 mo. USD LIBOR + 3.50%, 4.81%, 04/20/25 (d),(e),(f) | 3,200,000 | 3,230,182 | ||||||||||
Series 2015-2A, Class E, 3 mo. USD LIBOR + 5.55%, 6.86%, 07/20/27 (d),(e),(f) | 1,500,000 | 1,492,500 | ||||||||||
Bear Stearns Asset-Backed Securities Trust, | ||||||||||||
Series 2007-1, Class A2, 1 mo. USD LIBOR + .28%, 1.52%, 01/25/37 (d),(f) | 1,690,372 | 1,635,788 | ||||||||||
Series 2007-2, Class A2, 1 mo. USD LIBOR + .32%, 1.56%, 01/25/47 (d),(f) | 2,762,582 | 2,707,745 | ||||||||||
Benefit Street Partners CLO Ltd., Series 2012-IA, Class DR, 3 mo. USD LIBOR + 6.50%, 7.80%, 10/15/25 (d),(e),(f) | 2,000,000 | 1,991,082 | ||||||||||
Carlyle Global Market Strategies CLO Ltd., | ||||||||||||
Series 2014-2A, Class D, 3 mo. USD LIBOR + 3.50%, 4.82%, 05/15/25 (d),(e),(f) | 1,900,000 | 1,901,292 | ||||||||||
Series 2014-4A, Class E, 3 mo. USD LIBOR + 5.20%, 6.50%, 10/15/26 (d),(e),(f) | 1,500,000 | 1,513,755 |
See Notes to Consolidated Financial Statements.
39
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2017 (Unaudited)
Security Description | Principal Amount | Value | ||||||||
Carlyle Global Market Strategies Ltd., | ||||||||||
Series 2014-1A, Class D, 3 mo. USD LIBOR + 3.45%, 4.75%, 04/17/25 (d),(e),(f) | $ | 1,700,000 | $ | 1,697,766 | ||||||
Carrington Mortgage Loan Trust, Series 2006-NC3, Class A2, 1 mo. USD LIBOR + .10%, 1.34%, 08/25/36 (d),(f) | 208,345 | 207,377 | ||||||||
Catamaran CLO Ltd., | ||||||||||
Series 2014-1A, Class C, 3 mo. USD LIBOR + 3.25%, 4.56%, 04/20/26 (d),(e),(f) | 3,100,000 | 3,069,468 | ||||||||
Series 2015-1A, Class D, 3 mo. USD LIBOR + 3.65%, 4.96%, 04/22/27 (d),(e),(f) | 1,000,000 | 1,005,373 | ||||||||
Cathedral Lake Ltd., Series 2013-1A, Class C, 3 mo. USD LIBOR + 3.65%, 4.95%, 01/15/26 (d),(e),(f) | 1,000,000 | 1,004,683 | ||||||||
CIFC Funding Ltd., | ||||||||||
Series 2012-3A, Class B1R, 3 mo. USD LIBOR + 4.00%, | 1,500,000 | 1,497,789 | ||||||||
Series 2014-4A, Class D, 3 mo. USD LIBOR + 3.40%, 4.70%, 10/17/26 (d),(e),(f) | 1,200,000 | 1,197,184 | ||||||||
Series 2015-4A, Class D, 3 mo. USD LIBOR + 5.50%, 6.81%, 10/20/27 (d),(e),(f) | 1,000,000 | 981,672 | ||||||||
Covenant Credit Partners CLO Ltd., | ||||||||||
Series 2014-2A, Class D, 3 mo. USD LIBOR + 3.65%, 4.95%, 10/17/26 (d),(e),(f) | 6,000,000 | 6,006,228 | ||||||||
Series 2017-1A, Class D, 5.13%, 10/15/29 (d),(e),(f) | 2,000,000 | 1,953,152 | ||||||||
Credit Suisse Mortgage Trust, | ||||||||||
Series 2015-RPL3, Class A1, 3.75%, 12/25/56 (d),(e),(g) | 5,853,659 | 5,906,717 | ||||||||
Series 2015-RPL5, Class A1, 3.42%, 11/26/55 (b),(d),(e) | 30,455,218 | 30,514,514 | ||||||||
Denali Capital CLO Ltd., | ||||||||||
Series 2013-1A, Class B2LR, 1.00%, 10/26/27 (d),(e),(f) | 1,000,000 | 914,300 | ||||||||
Series 2013-1A, Class B2L, 3 mo. USD LIBOR + 4.75%, | 1,000,000 | 1,000,000 | ||||||||
Drive Auto Receivables Trust, | ||||||||||
Series 2015-AA, Class D, 4.12%, 07/15/22 (b),(d),(e) | 5,300,000 | 5,446,142 | ||||||||
Series 2015-DA, Class C, 3.38%, 11/15/21 (d),(e) | 4,934,421 | 4,979,719 | ||||||||
Series 2015-DA, Class D, 4.59%, 01/17/23 (d),(e) | 2,500,000 | 2,583,382 | ||||||||
Dryden Senior Loan Fund, Series 2014-36A, Class DR, 3 mo. USD LIBOR + 4.24%, 5.54%, 01/15/28 (d),(e),(f) | 5,000,000 | 5,054,765 |
See Notes to Consolidated Financial Statements.
40
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2017 (Unaudited)
Security Description | Principal Amount | Value | ||||||||
DT Auto Owner Trust, | ||||||||||
Series 2015-1A, Class D, 4.26%, 02/15/22 (d),(e) | $ | 1,000,000 | $ | 1,012,988 | ||||||
Series 2016-1A, Class D, 4.66%, 12/15/22 (d),(e) | 3,000,000 | 3,069,987 | ||||||||
Exeter Automobile Receivables Trust, | ||||||||||
Series 2014-1A, Class D, 5.53%, 02/16/21 (b),(d),(e) | 3,000,000 | 3,067,599 | ||||||||
Series 2014-2A, Class D, 4.93%, 12/15/20 (d),(e) | 2,700,000 | 2,762,637 | ||||||||
Series 2014-3A, Class C, 4.17%, 06/15/20 (b),(d),(e) | 1,900,000 | 1,927,837 | ||||||||
Series 2016-3A, Class C, 4.22%, 06/15/22 (d),(e) | 2,000,000 | 2,041,094 | ||||||||
Flagship Credit Auto Trust, Series 2015-2, Class C, 4.08%, 12/15/21 (d),(e) | 1,800,000 | 1,828,150 | ||||||||
Flatiron CLO Ltd., Series 2007-1A, Class E, 3 mo. USD LIBOR + 5.00%, 6.30%, 10/15/21 (d),(e),(f) | 1,500,000 | 1,491,268 | ||||||||
Gallatin Loan Management, 1.00%, 07/15/27 (d),(f) | 2,000,000 | 1,985,000 | ||||||||
Garrison Funding Ltd., Series 2015-1A, Class CR, 1.00%, 09/21/29 (d),(e),(f) | 2,000,000 | 2,006,390 | ||||||||
Golub Capital Partners CLO Ltd., Series 2015-22A, Class C, 3 mo. USD LIBOR + 4.15%, 5.47%, 02/20/27 (d),(e),(f) | 1,200,000 | 1,212,193 | ||||||||
Greywolf CLO Ltd., | ||||||||||
Series 2014-1A, Class CR, 3 mo. USD LIBOR + 3.20%, | 1,000,000 | 1,009,243 | ||||||||
Series 2014-1A, Class D, 3 mo. USD LIBOR + 5.10%, 6.41%, 04/22/26 (d),(e),(f) | 6,300,000 | 6,358,395 | ||||||||
Halcyon Loan Advisors Funding Ltd., Series 2014-2A, Class C, 3 mo. USD LIBOR + 3.50%, 4.81%, 04/28/25 (b),(d),(e),(f) | 1,800,000 | 1,760,386 | ||||||||
Jamestown CLO Ltd., | ||||||||||
Series 2015-7A, Class C, 3 mo. USD LIBOR + 3.75%, 5.06%, 07/25/27 (d),(e),(f) | 4,600,000 | 4,590,073 | ||||||||
Series 2015-7A, Class D, 3 mo. USD LIBOR + 5.50%, 6.81%, 07/25/27 (d),(e),(f) | 1,100,000 | 1,058,870 | ||||||||
Madison Park Funding Ltd., | ||||||||||
Series 2012-10A, Class DR, 3 mo. USD LIBOR + 4.20%, | 1,000,000 | 1,014,117 | ||||||||
Series 2014-14A, Class DR, 3 mo. USD LIBOR + 3.25%, | 1,000,000 | 998,351 | ||||||||
Nationstar HECM Loan Trust, | ||||||||||
Series 2016-2A, Class M2, 6.54%, 06/25/26 (d),(e),(f) | 1,693,000 | 1,705,623 |
See Notes to Consolidated Financial Statements.
41
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2017 (Unaudited)
Security Description | Principal Amount | Value | ||||||||
Series 2016-3A, Class M2, 5.68%, 08/25/26 (d),(e) | $ | 1,217,000 | $ | 1,237,901 | ||||||
Series 2017-1A, Class M2, 4.70%, 05/25/27 (d),(e) | 1,480,000 | 1,496,982 | ||||||||
Series 2017-2A, Class M2, 3.97%, 09/25/27 (d),(e),(f) | 4,070,000 | 4,069,996 | ||||||||
Nationstar Home Equity Loan Trust, Series 2007-C, Class 2AV2, 1 mo. USD LIBOR + .13%, 1.37%, 06/25/37 (b),(d),(f) | 37,204 | 37,204 | ||||||||
Nelder Grove CLO Ltd., Series 2014-1A, Class D1R, 3 mo. USD LIBOR + 4.10%, 5.41%, 08/28/26 (d),(e),(f) | 3,000,000 | 2,995,212 | ||||||||
Neuberger Berman CLO Ltd., Series 2014-16A, Class D, 3 mo. USD LIBOR + 3.35%, 4.65%, 04/15/26 (d),(e),(f) | 1,000,000 | 999,960 | ||||||||
Northwoods Capital Ltd., Series 2014-12A, Class DR, 3 mo. USD LIBOR + 3.60%, 4.92%, 09/15/25 (d),(e),(f) | 3,000,000 | 3,031,770 | ||||||||
NYMT Residential LLC, Series 2016-RP1A, Class A, 4.00%, 03/25/21 (d),(e) | 3,781,253 | 3,797,833 | ||||||||
Ocean Trails CLO, | ||||||||||
Series 2014-5A, Class DR, 3 mo. USD LIBOR + 3.60%, | 1,250,000 | 1,259,598 | ||||||||
Series 2014-5A, Class E, 3 mo. USD LIBOR + 5.35%, | 2,000,000 | 1,994,970 | ||||||||
Octagon Investment Partners Ltd., | ||||||||||
Series 2013-1A, Class CR, 3 mo. USD LIBOR + 3.48%, | 1,000,000 | 1,000,463 | ||||||||
Series 2014-1A, Class E1, 3 mo. USD LIBOR + 5.25%, | 800,000 | 793,048 | ||||||||
Series 2014-1A, Class D, 3 mo. USD LIBOR + 6.60%, 7.91%, 11/14/26 (d),(e),(f) | 2,000,000 | 2,020,682 | ||||||||
OFSI Fund Ltd., Series 2013-5A, Class B2L, 3 mo. USD LIBOR + 5.25%, 6.55%, 04/17/25 (d),(e),(f) | 1,900,000 | 1,896,960 | ||||||||
OFSI Fund VII Ltd., Series 2014-7A, Class DR, 1.00%, 10/18/26 (d),(e),(f) | 2,000,000 | 2,000,000 | ||||||||
OHA Credit Partners Ltd., Series 2013-9A, Class E, 3 mo. USD LIBOR + 5.00%, 6.31%, 10/20/25 (d),(e),(f) | 1,000,000 | 1,002,959 | ||||||||
OneMain Financial Issuance Trust, | ||||||||||
Series 2015-1A, Class D, 6.63%, 03/18/26 (d),(e) | 1,500,000 | 1,535,469 | ||||||||
Series 2017-1A, Class D, 4.52%, 09/14/32 (d),(e) | 3,500,000 | 3,477,652 |
See Notes to Consolidated Financial Statements.
42
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2017 (Unaudited)
Security Description | Principal Amount | Value | ||||||||
OZLM Funding Ltd., | ||||||||||
Series 2012-2A, Class CR, 3 mo. USD LIBOR + 4.00%, | $ | 1,500,000 | $ | 1,520,634 | ||||||
Series 2013-5A, Class D, 3 mo. USD LIBOR + 4.75%, | 2,050,000 | 2,054,785 | ||||||||
OZLM Ltd., | ||||||||||
Series 2015-12A, Class C, 3 mo. USD LIBOR + 3.70%, | 1,500,000 | 1,508,976 | ||||||||
Series 2015-13A, Class D, 3 mo. USD LIBOR + 5.45%, | 1,100,000 | 1,054,693 | ||||||||
Preston Ridge Partners Mortgage LP, Series 2016-1A, Class A1, | 5,219,001 | 5,219,027 | ||||||||
Sound Harbor Loan Fund Ltd., Series 2014-1A, Class CR, 3 mo. USD LIBOR + 3.90%, 5.21%, 10/30/26 (d),(e),(f) | 7,000,000 | 7,088,004 | ||||||||
Sound Point CLO Ltd., | ||||||||||
Series 2014-1A, Class D, 3 mo. USD LIBOR + 3.40%, 4.70%, 04/18/26 (d),(e),(f) | 1,200,000 | 1,197,244 | ||||||||
Series 2015-2A, Class D, 3 mo. USD LIBOR + 3.55%, 4.86%, 07/20/27 (d),(e),(f) | 2,300,000 | 2,302,937 | ||||||||
TICP CLO Ltd., Series 2016-6A, Class D, 3 mo. USD LIBOR + 4.20%, 5.50%, 01/15/29 (d),(e),(f) | 1,000,000 | 1,014,777 | ||||||||
Venture CDO Ltd., | ||||||||||
Series 2014-16A, Class B1L, 3 mo. USD LIBOR + 3.45%, | 4,000,000 | 4,025,428 | ||||||||
Series 2014-18A, Class D, 3 mo. USD | 1,000,000 | 997,655 | ||||||||
Series 2014-19A, Class D, 3 mo. USD | 2,500,000 | 2,530,740 | ||||||||
Venture CLO Ltd., Series 2013-14A, Class DR, 5.32%, 08/28/29 (d),(e),(f) | 4,000,000 | 4,012,908 | ||||||||
Vericrest Opportunity Loan Trust, | ||||||||||
Series 2015-NP12, Class A1, 3.88%, 09/25/45 (d),(e) | 2,341,063 | 2,348,074 | ||||||||
Series 2015-NPL4, Class A1, 3.50%, 02/25/55 (b),(d),(e) | 621,401 | 623,231 | ||||||||
Series 2017-NPL4, Class A1, 3.38%, 04/25/47 (d),(e) | 1,499,460 | 1,506,499 | ||||||||
Series 2017-NPL6 SEQ, Class A1, 3.25%, 05/25/47 (d),(e) | 898,341 | 903,029 | ||||||||
Series 2017-NPL7 SEQ, Class A1, 3.25%, 04/25/59 (d),(e) | 1,208,845 | 1,213,714 | ||||||||
Series 2017-NPL9 SEQ, Class A1, 3.13%, 09/25/47 (d),(e) | 2,000,000 | 2,000,000 |
See Notes to Consolidated Financial Statements.
43
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2017 (Unaudited)
Security Description | Principal Amount | Value | ||||||||||
Vibrant CLO Ltd., Series 2015-3A, Class C, 3 mo. USD LIBOR + 3.65%, 4.96%, 04/20/26 (d),(e),(f) | $ | 3,000,000 | $ | 3,008,160 | ||||||||
Voya CLO Ltd., | ||||||||||||
Series 2013-1A, Class C, 3 mo. USD LIBOR + 3.50%, | 1,900,000 | 1,895,474 | ||||||||||
Series 2013-1A, Class D, 3 mo. USD LIBOR + 5.00%, 6.30%, 04/15/24 (d),(e),(f) | 1,000,000 | 1,002,558 | ||||||||||
West CLO Ltd., Series 2012-1A, Class D, 3 mo. USD LIBOR + 6.50%, 7.81%, 10/30/23 (d),(e),(f) | 1,000,000 | 999,518 | ||||||||||
|
| |||||||||||
TOTAL ASSET-BACKED SECURITIES | 235,801,559 | |||||||||||
|
| |||||||||||
CONVERTIBLE BONDS — 1.5% | ||||||||||||
Europe — 1.3% | ||||||||||||
Oil & Gas Services & Equipment — 0.0% | ||||||||||||
CGG SA REG S, 1.75%, 01/01/20 | 18,793,800 | EUR | 466,460 | |||||||||
|
| |||||||||||
Pharmaceuticals — 1.2% | ||||||||||||
Bayer Capital Corp. BV, 5.63%, 11/22/19 (b),(d),(e) | 23,000,000 | EUR | 33,419,652 | |||||||||
Bayer Capital Corp. BV REG S, 5.63%, 11/22/19 | 17,300,000 | EUR | 25,137,390 | |||||||||
|
| |||||||||||
58,557,042 | ||||||||||||
|
| |||||||||||
Real Estate — 0.1% | ||||||||||||
Deutsche Wohnen AG REG S, 0.33%, 07/26/24 | 3,800,000 | EUR | 4,601,256 | |||||||||
|
| |||||||||||
Total Europe | 63,624,758 | |||||||||||
|
| |||||||||||
Middle East — 0.2% | ||||||||||||
Financial Services — 0.2% | ||||||||||||
Volcan Holdings PLC REG S, 4.13%, 04/11/20 | 2,700,000 | GBP | 3,835,078 | |||||||||
Volcan Holdings II PLC, 3.88%, 10/10/20 | 6,900,000 | GBP | 9,234,439 | |||||||||
|
| |||||||||||
Total Middle East | 13,069,517 | |||||||||||
|
| |||||||||||
TOTAL CONVERTIBLE BONDS | 76,694,275 | |||||||||||
|
| |||||||||||
BANK DEBT — 0.5% | ||||||||||||
Europe — 0.0% | ||||||||||||
Exploration & Production — 0.0% | ||||||||||||
Endeavour International Holding BV, 0.00%, 01/02/18 (d),(j),(m),(p) | $ | 1,563,903 | 46,917 | |||||||||
|
| |||||||||||
Oil, Gas & Coal — 0.0% | ||||||||||||
W3 Co., 1 mo. LIBOR + 6.00%, 7.23%, 03/08/22 (d),(j) | 1,113,758 | 1,111,898 | ||||||||||
|
| |||||||||||
Total Europe | 1,158,815 | |||||||||||
|
|
See Notes to Consolidated Financial Statements.
44
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2017 (Unaudited)
Security Description | Principal Amount | Value | ||||||||||
North America — 0.5% | ||||||||||||
Advertising & Marketing — 0.0% | ||||||||||||
Checkout Holdings Corp., 1 mo. LIBOR + 3.500%, 4.74%, 04/09/21 (d),(j) | $ | 28,975 | $ | 24,254 | ||||||||
|
| |||||||||||
Chemicals — 0.0% | ||||||||||||
LyondellBasell Industries NV, | ||||||||||||
0.00%, 08/15/49 (d),(i),(j),(m),(p) | 11,000,000 | 41,800 | ||||||||||
0.00%, 08/15/15 (d),(i),(j),(m),(p) | 882,886 | EUR | 7,826 | |||||||||
|
| |||||||||||
49,626 | ||||||||||||
|
| |||||||||||
Coal Operations — 0.0% | ||||||||||||
Blackhawk Mining LLC, 2 mo. LIBOR + 9.500%, 10.78%, 02/14/22 (d),(j) | $ | 1,822,287 | 1,668,049 | |||||||||
|
| |||||||||||
Consumer Finance — 0.0% | ||||||||||||
Ocwen LN Servicing LLC, 1 mo. LIBOR + 5.000%, 6.23%, 12/05/20 (d),(j) | 520,125 | 518,336 | ||||||||||
|
| |||||||||||
Consumer Products — 0.0% | ||||||||||||
KIK Custom Products, Inc., 1 mo. LIBOR + 4.500%, 5.74%, 08/26/22 (d) | 1,305,661 | 1,317,359 | ||||||||||
|
| |||||||||||
Containers & Packaging — 0.1% | ||||||||||||
BWAY Holding Co., 1 mo. LIBOR + 3.250%, 4.48%, 04/03/24 (d),(j) | 1,775,711 | 1,779,831 | ||||||||||
Consolidated Container Co., 1 mo. LIBOR + 3.500%, 4.74%, 05/22/24 (d),(j) | 93,897 | 94,406 | ||||||||||
|
| |||||||||||
1,874,237 | ||||||||||||
|
| |||||||||||
Financial Services — 0.0% | ||||||||||||
UFC Holdings LLC, 1 mo. LIBOR + 3.250%, 4.49%, 08/18/23 (d),(j) | 1,214,488 | 1,218,848 | ||||||||||
|
| |||||||||||
Hardware — 0.0% | ||||||||||||
Western Digital Corp., 1 mo. LIBOR + 2.750%, 3.99%, 04/29/23 (d) | 651,535 | 654,955 | ||||||||||
|
| |||||||||||
Machinery — 0.1% | ||||||||||||
Engineered Machinery Holdings, Inc., | ||||||||||||
3 mo. LIBOR + 3.250%, 4.28%, 07/19/24 (d),(j),(p) | 22,929 | 22,929 | ||||||||||
2 mo. LIBOR + 3.250%, 4.56%, 07/19/24 (d),(j),(p) | 229,284 | 229,284 | ||||||||||
UNFND + 7.250%, 7.41%, 07/18/25 (d),(j),(p) | 4,961 | 4,980 | ||||||||||
3 mo. LIBOR + 7.250%, 8.56%, 07/18/25 (d),(j),(p) | 347,291 | 348,594 |
See Notes to Consolidated Financial Statements.
45
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2017 (Unaudited)
Security Description | Principal Amount | Value | ||||||||||
Gardner Denver, Inc., | ||||||||||||
EURIBOR + 3.000%, 3.00%, 07/30/24 (d),(j) | 793,379 | EUR | $ | 934,178 | ||||||||
3 mo. LIBOR + 2.750%, 4.08%, 07/30/24 (d),(j) | $ | 2,618,149 | 2,620,453 | |||||||||
|
| |||||||||||
4,160,418 | ||||||||||||
|
| |||||||||||
Medical Equipment & Devices Manufacturing — 0.1% |
| |||||||||||
Ortho Clinical Diagnostics SA, 3 mo. LIBOR + 3.750%, 5.08%, 06/30/21 (d),(j),(p) | 2,199,273 | 2,204,551 | ||||||||||
|
| |||||||||||
Metals & Mining — 0.0% | ||||||||||||
Offshore Group Investment Ltd., 1 Week LIBOR + 6.500%, | 602,958 | 604,466 | ||||||||||
|
| |||||||||||
Real Estate — 0.0% | ||||||||||||
Quality Care Properties, 1 mo. LIBOR + 5.250%, 6.49%, 10/31/22 (d),(j) | 258,656 | 259,517 | ||||||||||
|
| |||||||||||
Retail—Consumer Staples — 0.0% | ||||||||||||
Pinnacle Operating Corp., 1 mo. LIBOR + 5.500%, 4.24%, 11/15/21 (d),(j),(p) | 309,280 | 286,471 | ||||||||||
|
| |||||||||||
Retail—Discretionary — 0.0% | ||||||||||||
AI Aqua Merger Sub, Inc., 1 mo. LIBOR + 3.250%, 4.74%, 12/13/23 (d),(j),(p) | 901,030 | 904,409 | ||||||||||
|
| |||||||||||
Software & Services — 0.1% | ||||||||||||
BlackBoard, Inc., 3 mo. LIBOR + 5.000%, 6.30%, 06/30/21 (d),(j),(p) | 957,874 | 919,559 | ||||||||||
Syniverse Holdings, Inc., | ||||||||||||
3 mo. LIBOR + 3.000%, 4.31%, 04/23/19 (d),(j) | 653,025 | 630,985 | ||||||||||
3 mo. LIBOR + 3.000%, 4.33%, 04/23/19 (d),(j) | 164,487 | 158,936 | ||||||||||
|
| |||||||||||
1,709,480 | ||||||||||||
|
| |||||||||||
Transportation & Logistics — 0.0% | ||||||||||||
Hanjin International Corp., 2017 Term Loan B, 0.00%, 09/20/20 (d),(j),(m),(p) | 483,006 | 483,006 | ||||||||||
Utility One Source LP, 1 mo. LIBOR + 5.500%, 6.74%, 04/07/23 (d),(j),(p) | 122,901 | 125,666 | ||||||||||
|
| |||||||||||
608,672 | ||||||||||||
|
| |||||||||||
Wireless Telecommunications Services — 0.1% | ||||||||||||
Ligado Networks LLC, PIK, 9.85% (1.00% cash & 3 mo. LIBOR + 8.75% PIK), 12/07/20 (d),(j) | 5,197,831 | 4,862,571 | ||||||||||
|
| |||||||||||
Total North America | 22,926,219 | |||||||||||
|
| |||||||||||
TOTAL BANK DEBT | 24,085,034 | |||||||||||
|
|
See Notes to Consolidated Financial Statements.
46
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2017 (Unaudited)
Security Description | Principal Amount | Value | ||||||||||
CORPORATE BONDS & NOTES — 3.5% | ||||||||||||
Asia — 0.1% | ||||||||||||
Utilities — 0.1% | ||||||||||||
1MDB Energy Ltd. REG S, 5.99%, 05/11/22 | $ | 2,500,000 | $ | 2,725,850 | ||||||||
|
| |||||||||||
Total Asia | 2,725,850 | |||||||||||
|
| |||||||||||
Europe — 0.9% | ||||||||||||
Diversified Banks — 0.5% | ||||||||||||
Deutsche Bank AG, | ||||||||||||
MTN, 0.00%, 01/18/18 - 02/15/18 | 421,260,000 | EGP | 22,578,897 | |||||||||
MTN, 0.01%, 11/30/17 | 83,260,000 | EGP | 4,589,272 | |||||||||
|
| |||||||||||
27,168,169 | ||||||||||||
|
| |||||||||||
Oil & Gas Services & Equipment — 0.2% | ||||||||||||
CGG SA, | ||||||||||||
6.50%, 06/01/21 | $ | 10,900,000 | 5,772,640 | |||||||||
6.88%, 01/15/22 | 3,000,000 | 1,578,780 | ||||||||||
|
| |||||||||||
7,351,420 | ||||||||||||
|
| |||||||||||
Property & Casualty Insurance — 0.1% | ||||||||||||
Groupama SA, 6.00%, 01/23/27 | 200,000 | 291,639 | ||||||||||
Groupama SA REG S, 3 mo. EURIBOR + 5.77%, 6.38%, 05/29/49 (f),(k) | 2,100,000 | 2,875,635 | ||||||||||
|
| |||||||||||
3,167,274 | ||||||||||||
|
| |||||||||||
Transportation & Logistics — 0.1% | ||||||||||||
Algeco Scotsman Global Finance PLC, | ||||||||||||
8.50%, 10/15/18 (d),(e) | 3,185,000 | 3,041,675 | ||||||||||
9.00%, 10/15/18 (d) | 200,000 | EUR | 225,171 | |||||||||
10.75%, 10/15/19 (d),(e) | $ | 456,000 | 367,080 | |||||||||
CEVA Group PLC, PIK, 9.00% (6.00% cash & 3.00% PIK), 09/01/20 (d),(e) | 334,203 | 338,798 | ||||||||||
|
| |||||||||||
3,972,724 | ||||||||||||
|
| |||||||||||
Wireless Telecommunications Services — 0.0% | ||||||||||||
GTH Finance BV, 6.25%, 04/26/20 | 1,160,000 | 1,228,951 | ||||||||||
Intelsat Jackson Holdings SA, 9.75%, 07/15/25 (d),(e) | 931,000 | 940,310 | ||||||||||
|
| |||||||||||
2,169,261 | ||||||||||||
|
| |||||||||||
Total Europe | 43,828,848 | |||||||||||
|
| |||||||||||
North America — 2.0% | ||||||||||||
Advertising & Marketing — 0.0% | ||||||||||||
Aimia, Inc., MTN, 5.60%, 05/17/19 (d),(h) | 1,139,000 | 905,997 | ||||||||||
|
|
See Notes to Consolidated Financial Statements.
47
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2017 (Unaudited)
Security Description | Principal Amount | Value | ||||||||
Chemicals — 0.0% | ||||||||||
CF Industries, Inc., 3.40%, 12/01/21 (d),(e) | $ | 230,000 | $ | 234,409 | ||||||
|
| |||||||||
Commercial Finance — 0.0% | ||||||||||
Fortress Transportation & Infrastructure Investors LLC, 6.75%, 03/15/22 (d),(e) | 1,607,000 | 1,671,280 | ||||||||
|
| |||||||||
Consumer Finance — 0.1% | ||||||||||
DFC Finance Corp., | ||||||||||
10.50%, 06/15/20 (d),(e) | 96,000 | 53,280 | ||||||||
PIK, 12.00% (1.00% cash & 11.00% PIK), 06/16/20 (d),(e) | 8,563,102 | 5,116,453 | ||||||||
|
| |||||||||
5,169,733 | ||||||||||
|
| |||||||||
Consumer Services — 0.0% | ||||||||||
Corporate Risk Holdings LLC, 9.50%, 07/01/19 (d),(e) | 1,883,000 | 2,000,687 | ||||||||
|
| |||||||||
Entertainment Resources — 0.0% | ||||||||||
Production Resource Group, | 30,200 | 30,200 | ||||||||
|
| |||||||||
Financial Services — 0.4% | ||||||||||
Citigroup Global Markets Co. REG S, 0.01%, 03/15/18 | 69,298,664 | EGP | 3,630,700 | |||||||
Citigroup Global Markets Holdings, Inc., | ||||||||||
MTN, 0.00%, 10/12/17 - 12/21/17 (p) | 163,129,516 | EGP | 9,041,670 | |||||||
MTN, 0.01%, 03/01/18 (p) | 33,925,000 | EGP | 1,786,548 | |||||||
REG S, 0.01%, 10/26/17 (p) | 71,968,329 | EGP | 4,027,596 | |||||||
MF Global Holdings Ltd., | ||||||||||
3.38%, 08/01/18 (a),(d),(i),(j) | $ | 4,770,000 | 1,347,525 | |||||||
6.25%, 08/08/16 (a),(d),(i),(j) | 1,847,000 | 521,778 | ||||||||
Och-Ziff Finance Co. LLC, 4.50%, 11/20/19 (d),(e) | 480,000 | 465,600 | ||||||||
|
| |||||||||
20,821,417 | ||||||||||
|
| |||||||||
Health Care Facilities & Services — 0.0% | ||||||||||
Universal Hospital Services, Inc., 7.63%, 08/15/20 (d) | 1,225,000 | 1,240,313 | ||||||||
|
| |||||||||
Homebuilders — 0.0% | ||||||||||
Beazer Homes USA, Inc., 5.88%, 10/15/27 (d),(e) | 32,000 | 32,000 | ||||||||
|
| |||||||||
Industrial Other — 0.1% | ||||||||||
Michael Baker International LLC / CDL Acquisition Co., Inc., | 2,547,000 | 2,550,184 | ||||||||
|
|
See Notes to Consolidated Financial Statements.
48
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2017 (Unaudited)
Security Description | Principal Amount | Value | ||||||||
Integrated Oils — 0.3% | ||||||||||
Petroleos Mexicanos, | ||||||||||
4.25%, 01/15/25 | $ | 2,129,000 | $ | 2,116,652 | ||||||
6.38%, 02/04/21 | 3,197,000 | 3,502,345 | ||||||||
6.88%, 08/04/26 | 2,214,000 | 2,518,425 | ||||||||
Petroleos Mexicanos REG S, | ||||||||||
MTN, 1.88%, 04/21/22 | 3,821,000 | EUR | 4,579,447 | |||||||
MTN, 3.75%, 02/21/24 | 2,616,000 | EUR | 3,288,017 | |||||||
|
| |||||||||
16,004,886 | ||||||||||
|
| |||||||||
Medical Equipment & Devices Manufacturing — 0.0% |
| |||||||||
Crimson Merger Sub, Inc., 6.63%, 05/15/22 (d),(e) | $ | 1,354,000 | 1,326,920 | |||||||
|
| |||||||||
Metals & Mining — 0.2% | ||||||||||
Allegheny Technologies, Inc., 9.38%, 06/01/19 (b),(d) | 5,937,000 | 6,486,173 | ||||||||
Freeport-McMoRan, Inc., 5.45%, 03/15/43 (d) | 849,000 | 793,284 | ||||||||
|
| |||||||||
7,279,457 | ||||||||||
|
| |||||||||
Oil & Gas Services & Equipment — 0.0% | ||||||||||
CSI Compressco LP / Compressco Finance, Inc., 7.25%, 08/15/22 (b),(d) | 821,000 | 759,425 | ||||||||
|
| |||||||||
Pipeline — 0.1% | ||||||||||
American Midstream Partners LP / American Midstream Finance Corp., 8.50%, 12/15/21 (d),(e) | 1,351,000 | 1,394,907 | ||||||||
Martin Midstream Partners LP / Martin Midstream Finance Corp., 7.25%, 02/15/21 (d) | 649,000 | 663,603 | ||||||||
|
| |||||||||
2,058,510 | ||||||||||
|
| |||||||||
Publishing & Broadcasting — 0.5% | ||||||||||
American Media, Inc., 0.00%, 03/01/22 (d),(e),(j) | 17,687,317 | 15,675,385 | ||||||||
LBI Media, Inc., | ||||||||||
10.00%, 04/15/19 (d),(e),(h) | 4,201,000 | 4,179,995 | ||||||||
PIK, 13.50% (4.25% cash & 9.25% PIK), 04/15/20 (d),(e),(i) | 3,761,821 | 1,843,292 | ||||||||
TV Azteca SAB de CV, 8.25%, 08/09/24 | 643,000 | 681,901 | ||||||||
|
| |||||||||
22,380,573 | ||||||||||
|
| |||||||||
Renewable Energy — 0.0% | ||||||||||
Ultra Resources, 4.98%, 12/31/49 (d),(j),(p) | 371,174 | 26,910 | ||||||||
|
| |||||||||
Retail—Consumer Discretionary — 0.2% | ||||||||||
DriveTime Automotive Group, Inc. / DT Acceptance Corp., | 10,101,000 | 10,164,131 | ||||||||
|
|
See Notes to Consolidated Financial Statements.
49
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2017 (Unaudited)
Security Description | Principal Amount | Value | ||||||||||
Software & Services — 0.1% | ||||||||||||
Blackboard, Inc., 9.75%, 10/15/21 (d),(e) | $ | 1,222,000 | $ | 1,090,635 | ||||||||
CURO Financial Technologies Corp., 12.00%, 03/01/22 (d),(e) | 2,138,000 | 2,298,350 | ||||||||||
Syniverse Foreign Holdings Corp., | 1,496,000 | 1,522,180 | ||||||||||
Syniverse Holdings, Inc., 9.13%, 01/15/19 (d) | 211,000 | 209,417 | ||||||||||
|
| |||||||||||
5,120,582 | ||||||||||||
|
| |||||||||||
Supermarkets & Pharmacies — 0.0% | ||||||||||||
Rite Aid Corp., | ||||||||||||
6.13%, 04/01/23 (d),(e) | 159,000 | 154,628 | ||||||||||
9.25%, 03/15/20 (d) | 318,000 | 327,937 | ||||||||||
|
| |||||||||||
482,565 | ||||||||||||
|
| |||||||||||
Travel & Lodging — 0.0% | ||||||||||||
River Cree Enterprises LP, 11.00%, 01/20/21 (d),(e) | 1,404,000 | 1,164,608 | ||||||||||
|
| |||||||||||
Utilities — 0.0% | ||||||||||||
NGL Energy Partners LP / NGL Energy Finance Corp., 5.13%, 07/15/19 (d) | 320,000 | 320,000 | ||||||||||
|
| |||||||||||
Wireless Telecommunications Services — 0.0% | ||||||||||||
Sprint Communications, Inc., 9.00%, 11/15/18 (d),(e) | 1,650,000 | 1,771,688 | ||||||||||
|
| |||||||||||
Total North America | 103,516,475 | |||||||||||
|
| |||||||||||
South America — 0.5% | ||||||||||||
Integrated Oils — 0.5% | ||||||||||||
Petrobras Global Finance BV, | ||||||||||||
5.38%, 01/27/21 | 3,823,000 | 4,035,941 | ||||||||||
6.13%, 01/17/22 | 7,106,000 | 7,638,950 | ||||||||||
6.25%, 03/17/24 | 4,013,000 | 4,287,891 | ||||||||||
8.38%, 05/23/21 | 8,060,000 | 9,322,397 | ||||||||||
|
| |||||||||||
25,285,179 | ||||||||||||
|
| |||||||||||
Refining & Marketing — 0.0% | ||||||||||||
EP PetroEcuador via Noble Sovereign Funding I Ltd., 3 mo. USD LIBOR + 5.63%, 6.96%, 09/24/19 (f) | 1,830,737 | 1,839,891 | ||||||||||
|
| |||||||||||
Transportation & Logistics — 0.0% | ||||||||||||
Rumo Luxembourg Sarl REG S, 7.38%, 02/09/24 | 600,000 | 649,500 | ||||||||||
|
| |||||||||||
Total South America | 27,774,570 | |||||||||||
|
| |||||||||||
TOTAL CORPORATE BONDS & NOTES (COST $164,505,774) | 177,845,743 | |||||||||||
|
|
See Notes to Consolidated Financial Statements.
50
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2017 (Unaudited)
Security Description | Principal Amount | Value | ||||||||||
SOVEREIGN DEBT — 5.7% | ||||||||||||
Africa Finance Corp., 3.88%, 04/13/24 | $ | 3,944,000 | $ | 3,973,896 | ||||||||
Argentina Bonar Bonds, BADLARPP + 3.00%, 23.66%, 10/09/17 | 137,945,886 | ARS | 8,387,040 | |||||||||
Argentine Bonos del Tesoro, 21.20%, 09/19/18 | 47,921,319 | ARS | 2,748,418 | |||||||||
Argentine Republic Government International Bond, | ||||||||||||
2.26%, 12/31/38 (h) | 10,718,403 | EUR | 8,597,698 | |||||||||
3.88%, 01/15/22 | 4,213,000 | EUR | 5,073,954 | |||||||||
5.63%, 01/26/22 | $ | 4,023,000 | 4,220,127 | |||||||||
7.82%, 12/31/33 | 11,919,810 | EUR | 15,585,388 | |||||||||
Deutsche Bundesrepublik Inflation Linked Bond REG S, 0.10%, | 17,893,629 | EUR | 23,245,550 | |||||||||
Eastern and Southern African Trade and Development Bank, MTN, | $ | 4,068,000 | 4,185,134 | |||||||||
Ecuador Government International Bond, 10.75%, 03/28/22 | 1,316,000 | 1,470,630 | ||||||||||
Egypt Government International Bond, 6.13%, 01/31/22 | 5,498,000 | 5,689,825 | ||||||||||
France Government Bond OAT REG S, 0.10%, 03/01/25 (b),(d) | 25,449,911 | EUR | 32,284,190 | |||||||||
Hellenic Republic Government Bond REG S, 4.75%, 04/17/19 (e) | 5,683,000 | EUR | 6,876,451 | |||||||||
Honduras Government International Bond, 8.75%, 12/16/20 | $ | 655,000 | 746,431 | |||||||||
Iraq International Bond, 6.75%, 03/09/23 | 2,068,000 | 2,053,532 | ||||||||||
Japan Treasury Discount Bill, 0.00%, 12/25/17 (d),(m) | 3,000,000,000 | JPY | 26,670,340 | |||||||||
Mexican Bonos, | ||||||||||||
6.50%, 06/09/22 | 135,900,000 | MXN | 7,398,453 | |||||||||
10.00%, 12/05/24 (b),(d) | 315,050,000 | MXN | 20,485,170 | |||||||||
6.50%, 06/10/21 | 198,370,000 | MXN | 10,825,817 | |||||||||
National Highways Authority of India, 7.30%, 05/18/22 | 240,000,000 | INR | 3,702,011 | |||||||||
Pakistan Government International Bond REG S, 6.75%, 12/03/19 | $ | 2,835,000 | 2,966,572 | |||||||||
Paraguay Government International Bond, | ||||||||||||
4.63%, 01/25/23 | 3,779,000 | 3,978,531 | ||||||||||
4.70%, 03/27/27 | 559,000 | 582,758 | ||||||||||
Republic of South Africa Government Bond, | ||||||||||||
7.00%, 02/28/31 | 29,953,001 | ZAR | 1,843,023 | |||||||||
10.50%, 12/21/26 | 99,352,000 | ZAR | 8,235,089 | |||||||||
Russian Foreign Bond—Eurobond, 4.50%, 04/04/22 | $ | 200,000 | 213,500 |
See Notes to Consolidated Financial Statements.
51
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2017 (Unaudited)
Security Description | Principal Amount | Value | ||||||||||
Russian Government Bond, 7.40%, 12/07/22 | 351,200,000 | RUB | $ | 6,080,714 | ||||||||
Sweden Government Bond, 1.00%, 11/12/26 (b),(d) | 177,000,000 | SEK | 22,321,528 | |||||||||
Ukraine Government International Bond, 7.75%, 09/01/21 | $ | 2,131,000 | 2,261,758 | |||||||||
United Kingdom Gilt Inflation Linked Bond REG S, | 26,793,975 | GBP | 41,843,632 | |||||||||
|
| |||||||||||
TOTAL SOVEREIGN DEBT (COST $279,340,199) | 284,547,160 | |||||||||||
|
| |||||||||||
MORTGAGE-BACKED SECURITIES — 27.7% | ||||||||||||
North America — 27.7% | ||||||||||||
Collateralized Mortgage Obligation (Residential) — 18.9% |
| |||||||||||
Bellemeade Re Ltd., Series 2015-1A, Class M2, 1 mo. USD LIBOR + 4.30%, 5.54%, 07/25/25 (d),(e),(f) | 1,874,829 | 1,902,931 | ||||||||||
Chase Mortgage Finance Corp., Series 2007-A2, Class 3A2, 3.61%, 07/25/37 (d),(f) | 177,429 | 174,244 | ||||||||||
ChaseFlex Trust, Series 2007-2, Class A2, 1 mo. USD LIBOR + .34%, 1.58%, 05/25/37 (d),(f) | 952,380 | 876,466 | ||||||||||
Citicorp Mortgage Securities Trust, Series 2006-3, Class 1A10, 6.25%, 06/25/36 (d) | 433,579 | 434,741 | ||||||||||
Connecticut Avenue Securities, | ||||||||||||
Series 2014-C02, Class 1M2, 1 mo. USD LIBOR + 2.60%, | 22,246,625 | 23,171,684 | ||||||||||
Series 2014-C03, Class 1M2, 1 mo. USD LIBOR + 3.00%, | 10,101,153 | 10,628,282 | ||||||||||
Series 2015-C02, Class 1M2, 1 mo. USD LIBOR + 4.00%, | 24,119,667 | 25,639,736 | ||||||||||
Series 2015-C03, Class 1M2, 1 mo. USD LIBOR + 5.00%, | 4,129,910 | 4,543,418 | ||||||||||
Series 2015-C04, Class 2M2, 1 mo. USD LIBOR + 5.55%, | 8,594,973 | 9,510,432 | ||||||||||
Series 2015-C04, Class 1M2, 1 mo. USD LIBOR + 5.70%, | 7,759,000 | 8,716,693 | ||||||||||
Series 2016-C01, Class 1M2, 1 mo. USD LIBOR + 6.75%, | 12,291,000 | 14,548,365 | ||||||||||
Series 2016-C01, Class 2M2, 1 mo. USD LIBOR + 6.95%, | 9,668,624 | 11,419,999 | ||||||||||
Series 2016-C02, Class 1M2, 1 mo. USD LIBOR + 6.00%, | 26,712,000 | 30,681,136 | ||||||||||
Series 2016-C03, Class 2M2, 1 mo. USD LIBOR + 5.90%, | 4,336,000 | 4,957,071 |
See Notes to Consolidated Financial Statements.
52
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2017 (Unaudited)
Security Description | Principal Amount | Value | ||||||||
Series 2016-C05, Class 2M2, 1 mo. USD LIBOR + 4.45%, | $ | 4,514,000 | $ | 4,939,806 | ||||||
Countrywide Alternative Loan Trust, | ||||||||||
Series 2004-28CB SEQ, Class 3A1, 6.00%, 01/25/35 (d) | 848,223 | 845,672 | ||||||||
Series 2005-21CB, Class A17, 6.00%, 06/25/35 (b),(d) | 1,069,923 | 1,069,290 | ||||||||
Countrywide Asset-Backed Certificates, | ||||||||||
Series 2005-15, Class 1AF6, 4.00%, 04/25/36 (d),(f) | 12,827 | 12,955 | ||||||||
Series 2006-BC4, Class 2A2, 1 mo. USD LIBOR + .16%, 1.40%, 11/25/36 (d),(f) | 152,943 | 152,813 | ||||||||
Federal Home Loan Mortgage Corp., | ||||||||||
Series 2015-SC02, Class M3, 3.69%, 09/25/45 (d),(f) | 866,000 | 795,826 | ||||||||
Series 2016-DNA3, Class M3, 1 mo. USD LIBOR + 5.00%, | 1,784,000 | 2,040,896 | ||||||||
Series 2016-DNA4, Class M3, 1 mo. USD LIBOR + 3.80%, | 1,500,000 | 1,617,792 | ||||||||
Series 2016-HQA3, Class M3, 1 mo. USD LIBOR + 3.85%, | 4,582,000 | 4,953,078 | ||||||||
Series 2016-HQA4, Class M3, 1 mo. USD LIBOR + 3.90%, | 17,027,000 | 18,421,341 | ||||||||
Series 2017-DNA3, Class M2, | 3,305,000 | 3,330,835 | ||||||||
Series 2017-HQA1, Class M2, 1 mo. USD LIBOR + 3.55%, | 11,293,000 | 11,888,559 | ||||||||
Series 2017-HQA2, Class M2, 1 mo. USD LIBOR + 2.65%, | 18,336,000 | 18,387,707 | ||||||||
Federal National Mortgage Association, | ||||||||||
3.50%, 11/01/47 (d) | 104,000,000 | 107,022,448 | ||||||||
4.00%, 11/01/47 (d),(l) | 101,500,000 | 106,705,833 | ||||||||
4.50%, 11/01/47 (d),(l) | 57,500,000 | 61,659,780 | ||||||||
Series 2016-C06, Class 1M2, 1 mo. USD LIBOR + 4.25%, | 37,197,000 | 40,841,004 | ||||||||
Series 2016-C07, Class 2M2, 1 mo. USD LIBOR + 4.35%, | 29,355,000 | 31,872,778 | ||||||||
Series 2017-C01, Class 1M2, 1 mo. USD LIBOR + 3.55%, | 20,447,000 | 21,595,079 | ||||||||
Series 2017-C02, Class 2M2, 1 mo. USD LIBOR + 3.65%, | 21,037,000 | 22,242,105 | ||||||||
Series 2017-C03, Class 1M2, 1 mo. USD LIBOR + 3.00%, | 17,324,000 | 17,827,920 | ||||||||
Series 2017-C04, Class 2M2, 1 mo. USD LIBOR + 2.85%, | 32,773,000 | 33,150,250 |
See Notes to Consolidated Financial Statements.
53
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2017 (Unaudited)
Security Description | Principal Amount | Value | ||||||||
Series 2017-C05, Class 1M2, 1 mo. USD LIBOR + 2.20%, | $ | 34,086,000 | $ | 33,676,150 | ||||||
Series 2017-C06, Class 1M2, 3.89%, 02/25/30 (d),(f) | 20,331,000 | 20,518,248 | ||||||||
Series 2017-C06, Class 2M2, 4.04%, 02/25/30 (d),(f) | 34,089,000 | 34,498,988 | ||||||||
GNR 2017 156 SB L+6.2 20470620, 1.00%, 08/20/47 (d) | 8,530,472 | 1,993,998 | ||||||||
Government National Mortgage Association, 4.00%, 10/01/47 (d),(l) | 85,000,000 | 89,489,020 | ||||||||
JP Morgan Alternative Loan Trust, Series 2005-A2, Class 1A1, 1 mo. USD LIBOR + .52%, 1.76%, 01/25/36 (b),(d),(f) | 528,335 | 510,370 | ||||||||
LSTAR Securities Investment Ltd., Series 2017-2, Class A1, 1 mo. USD LIBOR + 2.00%, 3.24%, 02/01/22 (d),(e),(f) | 4,328,827 | 4,316,958 | ||||||||
Oaktown RE Ltd., Series 2017-1A, Class M2, 1 mo. USD LIBOR + 4.00%, 5.24%, 04/25/27 (d),(e),(f),(g) | 8,686,000 | 8,904,896 | ||||||||
Structured Agency Credit Risk, | ||||||||||
Series 2015-DNA3, Class M3, 1 mo. USD LIBOR + 4.70%, | 5,300,088 | 6,090,559 | ||||||||
Series 2015-HQA1, Class M3, 1 mo. USD LIBOR + 4.70%, | 4,242,000 | 4,787,097 | ||||||||
Series 2015-HQA1, Class B, 1 mo. USD LIBOR + 8.80%, | 5,387,131 | 6,148,348 | ||||||||
Series 2015-HQA2, Class M3, 1 mo. USD LIBOR + 4.80%, | 5,130,000 | 5,866,155 | ||||||||
Series 2016-DNA1, Class M3, 1 mo. USD LIBOR + 5.55%, | 36,678,000 | 42,949,938 | ||||||||
Series 2016-DNA2, Class M3, 1 mo. USD LIBOR + 4.65%, | 9,840,000 | 11,035,560 | ||||||||
Series 2016-HQA1, Class M3, 1 mo. USD LIBOR + 6.35%, | 4,562,000 | 5,497,210 | ||||||||
Series 2016-HQA2, Class M3, 1 mo. USD LIBOR + 5.15%, | 14,088,000 | 16,076,521 | ||||||||
Wells Fargo Mortgage-Backed Securities Trust, Series 2007-14, Class 1A1, 6.00%, 10/25/37 (b),(d) | 316,720 | 312,961 | ||||||||
|
| |||||||||
951,251,942 | ||||||||||
|
| |||||||||
Commercial Mortgage-Backed Securities — 8.2% | ||||||||||
280 Park Avenue Mortgage Trust, Series 2017-280P, Class F, | 4,000,000 | 3,929,784 | ||||||||
BAMLL Commercial Mortgage Securities Trust, | ||||||||||
Series 2013-DSNY, Class F, 1 mo. USD LIBOR + 3.50%, | 1,000,000 | 1,002,821 |
See Notes to Consolidated Financial Statements.
54
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2017 (Unaudited)
Security Description | Principal Amount | Value | ||||||||
Series 2014-ICTS, Class D, 1 mo. USD LIBOR + 1.90%, | $ | 2,300,000 | $ | 2,288,500 | ||||||
Series 2014-ICTS, Class E, 1 mo. USD LIBOR + 2.95%, | 3,150,000 | 3,179,500 | ||||||||
Series 2015-ASMB, Class MZB, 1 mo. USD LIBOR + 8.92%, 10.15%, 01/09/20 (b),(d),(e),(f),(j) | 19,075,000 | 19,080,188 | ||||||||
Series 2016-ASHF, Class E, 1 mo. USD LIBOR + 6.75%, | 1,000,000 | 1,011,153 | ||||||||
Series 2016-ASMZ, Class MZA, 1 mo. USD LIBOR + 9.25%, 10.48%, 12/15/17 (d),(e),(f),(j) | 34,800,000 | 34,822,794 | ||||||||
Banc of America Commercial Mortgage Trust, | ||||||||||
Series 2006-4, Class AJ, 5.70%, 07/10/46 (b),(f) | 5,552,101 | 5,565,981 | ||||||||
BBCMS Trust, | ||||||||||
Series 2014-BXO, Class E, 1 mo. USD LIBOR + 3.75%, | 1,000,000 | 1,002,619 | ||||||||
Series 2014-BXO, Class D, 1 mo. USD LIBOR + 3.00%, | 2,084,912 | 2,118,033 | ||||||||
Bear Stearns Commercial Mortgage Securities Trust, | ||||||||||
Series 2006-T24, Class AJ, 5.60%, 10/12/41 (b),(f) | 21,457 | 21,564 | ||||||||
Series 2007-PW15, Class AM, 5.36%, 02/11/44 (b) | 383,132 | 384,282 | ||||||||
Series 2007-PW15, Class AMFX, 5.36%, 02/11/44 (b),(e) | 181,067 | 181,610 | ||||||||
Series 2007-PW17, Class AJ, 6.22%, 06/11/50 (f),(g) | 1,380,647 | 1,386,860 | ||||||||
BX Trust, | ||||||||||
Series 2017-SLCT, Class E, 1 mo. USD LIBOR + 3.15%, | 4,000,000 | 4,003,452 | ||||||||
Series 2017-SLCT, Class F, 1 mo. USD LIBOR + 4.25%, | 4,000,000 | 4,022,400 | ||||||||
BXHTL Mortgage Trust, Series 2015-JWRZ, | 3,000,000 | 3,007,014 | ||||||||
CFCRE Commercial Mortgage Trust, | ||||||||||
Series 2011-C1, Class D, 6.28%, 04/15/44 (d),(e),(f) | 2,900,000 | 3,105,943 | ||||||||
Series 2016-C6, Class D, 4.37%, 11/10/49 (d),(e),(f) | 3,266,000 | 2,636,276 | ||||||||
Series 2016-C7, Class D, 4.44%, 12/10/54 (d),(e) | 1,605,000 | 1,295,335 |
See Notes to Consolidated Financial Statements.
55
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2017 (Unaudited)
Security Description | Principal Amount | Value | ||||||||
Citigroup Commercial Mortgage Trust, | ||||||||||
Series 2006-C4, Class C, 6.25%, 03/15/49 (b),(f) | $ | 1,594,396 | $ | 1,590,410 | ||||||
Series 2006-C5, Class AJ, 5.48%, 10/15/49 (b) | 5,904,074 | 5,836,177 | ||||||||
Series 2015-GC29, Class D, 3.11%, 04/10/48 (d),(e),(g) | 4,286,000 | 3,137,395 | ||||||||
Series 2015-GC31, Class D, 4.20%, 06/10/48 (d),(f) | 1,850,000 | 1,452,006 | ||||||||
Series 2015-P1, Class D, 3.23%, 09/15/48 (d),(e) | 1,193,000 | 961,572 | ||||||||
Series 2016-C3, Class D, 3.00%, 11/15/49 (d),(e) | 1,826,000 | 1,334,675 | ||||||||
Series 2016-P6, Class D, 3.25%, 12/10/49 (d),(e) | 1,030,000 | 774,662 | ||||||||
Series 2016-SMPL, Class E, 4.51%, 09/10/31 (d),(e) | 2,000,000 | 2,042,006 | ||||||||
COBALT CMBS Commercial Mortgage Trust, Series 2007-C2, Class AJFX, | 5,201,699 | 5,230,308 | ||||||||
Commercial Mortgage Trust, | ||||||||||
Series 2006-C8 SEQ, Class AJ, 5.38%, 12/10/46 (b),(g) | 11,292,711 | 11,354,821 | ||||||||
Series 2014-PAT, Class E, 1 mo. USD LIBOR + 3.15%, | 2,400,000 | 2,410,846 | ||||||||
Series 2014-TWC, Class E, 1 mo. USD LIBOR + 3.25%, | 2,300,000 | 2,314,789 | ||||||||
Series 2015-CR23, Class D, 4.40%, 05/10/48 (b),(d),(f) | 1,745,000 | 1,436,732 | ||||||||
Credit Suisse Commercial Mortgage Trust, | ||||||||||
Series 2007-C1, Class AMFX, | 1,228,667 | 1,240,954 | ||||||||
Series 2007-C1, Class AM, 5.42%, 02/15/40 (b),(g) | 5,262,091 | 5,314,712 | ||||||||
Series 2007-C2, Class AJ, 5.75%, 01/15/49 (f) | 1,930,337 | 1,958,906 | ||||||||
Series 2007-C4, Class A1AJ, 6.27%, 09/15/39 (b),(f) | 27,622 | 27,622 | ||||||||
Credit Suisse Mortgage Trust, | ||||||||||
Series 2006-C4, Class AJ, 5.54%, 09/15/39 (b),(f) | 10,939,000 | 11,075,737 | ||||||||
Series 2015-DEAL, Class D, 1 mo. USD LIBOR + 3.10%, | 3,025,000 | 3,038,213 | ||||||||
Series 2015-DEAL, Class E, 1 mo. USD LIBOR + 4.00%, | 3,900,000 | 3,913,482 |
See Notes to Consolidated Financial Statements.
56
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2017 (Unaudited)
Security Description | Principal Amount | Value | ||||||||
CSAIL Commercial Mortgage Trust, | ||||||||||
Series 2015-C2, Class D, 4.35%, 06/15/57 (d),(f) | $ | 1,282,000 | $ | 952,295 | ||||||
Series 2015-C3, Class D, 3.50%, 08/15/48 (d),(f),(g) | 6,532,000 | 4,961,864 | ||||||||
DLJ Commercial Mortgage Corp., Series 1999-CG2, Class B6, 6.11%, 06/10/32 | 1,067,029 | 1,080,367 | ||||||||
GE Commercial Mortgage Corp., Series 2007-C1, Class AM, 5.61%, 12/10/49 (b),(f),(g) | 15,191,389 | 15,396,473 | ||||||||
GE Commercial Mortgage Corp. Trust, | 24,291 | 24,765 | ||||||||
GS Mortgage Securities Trust, | ||||||||||
Series 2007-GG10, Class AM, | 5,897,798 | 5,995,111 | ||||||||
Series 2013-GC12, Class D, 4.58%, 06/10/46 (d),(e),(f) | 4,000,000 | 3,464,908 | ||||||||
Hilton USA Trust, Series 2014-ORL, Class E, 1 mo. USD LIBOR + 3.25%, 3.23%, 07/15/29 (b),(d),(e),(f) | 280,000 | 280,574 | ||||||||
JP Morgan Chase Commercial Mortgage Securities Trust, | ||||||||||
Series 2005-CB13, Class AJ, 5.67%, 01/12/43 (f) | 2,121,320 | 2,148,897 | ||||||||
Series 2006-CB14, Class AJ, 5.90%, 12/12/44 (b),(f) | 3,541,838 | 3,564,860 | ||||||||
Series 2006-CB15, Class AM, 5.86%, 06/12/43 (b),(f) | 11,258,388 | 11,314,680 | ||||||||
Series 2007-CB18, Class AM, 5.47%, 06/12/47 (f) | 161,265 | 162,717 | ||||||||
Series 2007-CB20, Class AJ, 6.46%, 02/12/51 (b),(f),(g) | 716,872 | 716,872 | ||||||||
Series 2007-LD11, Class AM, 6.17%, 06/15/49 (f) | 1,919,395 | 1,964,885 | ||||||||
Series 2013-C10, Class D, 4.29%, 12/15/47 (d),(f) | 5,200,000 | 4,859,618 | ||||||||
Series 2014-BXH, Class E, 1 mo. USD LIBOR + 3.75%, 4.98%, 04/15/27 (d),(e),(f) | 1,413,798 | 1,374,880 | ||||||||
Series 2014-C20, Class D, 4.72%, 07/15/47 (b),(d),(e),(f) | 7,763,000 | 6,296,057 | ||||||||
Series 2014-CBM, Class E, 1 mo. USD LIBOR + 3.85%, | 7,100,000 | 7,100,000 | ||||||||
Series 2014-FL5, Class D, 1 mo. USD LIBOR + 3.50%, | 5,625,000 | 5,543,319 |
See Notes to Consolidated Financial Statements.
57
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2017 (Unaudited)
Security Description | Principal Amount | Value | ||||||||
Series 2016-WPT, Class D, 1 mo. USD LIBOR + 3.75%, | $ | 1,500,000 | $ | 1,513,922 | ||||||
Series 2016-WPT, Class E, 1 mo. USD LIBOR + 5.00%, | 2,600,000 | 2,630,316 | ||||||||
JPMBB Commercial Mortgage Securities Trust, | ||||||||||
Series 2015-C28, Class D, 3.88%, 10/15/48 (d),(e),(f) | 5,074,000 | 3,846,868 | ||||||||
Series 2015-C30, Class D, 3.95%, 07/15/48 (d),(f) | 1,694,000 | 1,314,749 | ||||||||
Series 2015-C30, Class C, 4.45%, 07/15/48 (d),(f),(g) | 11,768,000 | 11,370,665 | ||||||||
LB Commercial Mortgage Trust, Series 2007-C3, Class AJFL, 1 mo. USD LIBOR + .35%, 1.58%, 07/15/44 (e),(f) | 771,305 | 760,121 | ||||||||
LB-UBS Commercial Mortgage Trust, | ||||||||||
Series 2007-C6, Class AJ, 6.45%, 07/15/40 (b),(f),(g) | 14,801,627 | 15,031,052 | ||||||||
Series 2007-C7, Class AJ, 6.39%, 09/15/45 (b),(f) | 742,545 | 749,970 | ||||||||
Lone Star Portfolio Trust, Series 2015-LSP, | 7,081,748 | 7,202,860 | ||||||||
LSTAR Commercial Mortgage Trust, Series 2015-3, Class D, | 3,194,000 | 2,359,012 | ||||||||
Merrill Lynch Mortgage Trust, | ||||||||||
Series 2006-C1, Class AJ, 5.75%, 05/12/39 (b),(f) | 2,385,919 | 2,393,077 | ||||||||
Series 2007-C1, Class AM, 6.01%, 06/12/50 (b),(f),(g) | 15,084,523 | 15,227,826 | ||||||||
ML-CFC Commercial Mortgage Trust, | ||||||||||
Series 2007-6, Class AM, 5.53%, 03/12/51 (f) | 4,814,612 | 4,838,685 | ||||||||
Series 2007-7, Class AM, 5.90%, 06/12/50 (b),(f),(g) | 2,075,112 | 2,080,300 | ||||||||
Series 2007-8, Class AMA, 5.97%, 08/12/49 (b),(f),(g) | 15,671,394 | 15,710,572 | ||||||||
Series 2007-9, Class AM, 5.86%, 09/12/49 (f) | 175,852 | 176,291 | ||||||||
Morgan Stanley Bank of America | ||||||||||
Series 2014-C19, Class D, 3.25%, 12/15/47 (d),(e) | 3,660,000 | 2,832,251 | ||||||||
Series 2015-C21, Class D, 4.30%, 03/15/48 (d),(e),(f) | 4,754,000 | 3,831,106 | ||||||||
Series 2015-C23, Class D, 4.27%, 07/15/50 (d),(e),(f) | 2,195,000 | 1,865,930 | ||||||||
Series 2015-C27, Class D, 3.24%, 12/15/47 (d),(e),(f) | 1,466,500 | 1,080,715 |
See Notes to Consolidated Financial Statements.
58
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2017 (Unaudited)
Security Description | Principal Amount | Value | ||||||||
Series 2016-C29, Class D, 3.00%, 05/15/49 (d),(e) | $ | 2,517,000 | $ | 1,922,316 | ||||||
Series 2016-C30, Class D, 3.00%, 09/15/49 (d),(e),(f) | 1,323,000 | 997,653 | ||||||||
Series 2016-C32, Class D, 3.40%, 12/15/49 (d),(e),(f) | 991,000 | 751,617 | ||||||||
Morgan Stanley Capital I Trust, | ||||||||||
Series 2006-HQ10, Class AJ, 5.39%, 11/12/41 (b),(f),(g) | 6,245,091 | 6,260,704 | ||||||||
Series 2007-T25, Class AJ, 5.57%, 11/12/49 (f) | 5,871,990 | 5,918,966 | ||||||||
Series 2015-UBS8, Class D, 3.18%, 12/15/48 (d),(e) | 1,523,000 | 1,299,570 | ||||||||
Series 2016-UB12, Class D, 3.31%, 12/15/49 (d),(e) | 1,761,000 | 1,309,261 | ||||||||
Morgan Stanley Capital Trust, Series 2007-IQ15, Class AJ, 6.16%, 06/11/49 (f) | 2,397,691 | 2,427,662 | ||||||||
Palisades Center Trust, Series 2016-PLSD, Class D, 4.74%, 04/13/33 (d),(e) | 1,000,000 | 1,009,549 | ||||||||
PFP Ltd., Series 2017-3, Class D, 1 mo. USD LIBOR + 3.50%, | 1,000,000 | 1,004,336 | ||||||||
Resource Capital Corp. Ltd., Series 2015-CRE3, Class D, 1 mo. USD LIBOR + 4.00%, 5.23%, 03/15/32 (d),(e),(f) | 1,500,000 | 1,501,878 | ||||||||
Wachovia Bank Commercial Mortgage Trust, | ||||||||||
Series 2006-C26, Class AM, 6.20%, 06/15/45 (b),(f) | 1,746,256 | 1,760,226 | ||||||||
Series 2006-C27, Class AJ, 5.83%, 07/15/45 (b),(f) | 4,977,535 | 5,034,777 | ||||||||
Series 2007-C30, Class AJ, 5.41%, 12/15/43 (f),(g) | 5,585,309 | 5,680,259 | ||||||||
Series 2007-C32, Class AJ, 5.98%, 06/15/49 (f) | 5,245,922 | 5,301,004 | ||||||||
Series 2007-C33, Class AJ, 6.22%, 02/15/51 (f),(g) | 5,473,627 | 5,610,468 | ||||||||
Waldorf Astoria Boca Raton Trust, Series 2016-BOCA, Class E, 1 mo. USD LIBOR + 4.35%, 5.58%, 06/15/29 (d),(e),(f) | 3,000,000 | 3,027,672 | ||||||||
Wells Fargo Commercial Mortgage Trust, | ||||||||||
Series 2015-C27, Class D, 3.77%, 02/15/48 (d),(e) | 6,903,000 | 5,253,459 | ||||||||
Series 2015-C31, Class D, 3.85%, 11/15/48 (d) | 3,546,000 | 2,717,456 | ||||||||
Series 2015-LC20, Class D, 4.51%, 04/15/50 (d),(e),(f),(g) | 5,292,000 | 4,316,150 | ||||||||
Series 2015-NXS2, Class C, 4.39%, 07/15/58 (d),(f) | 9,532,000 | 9,427,310 |
See Notes to Consolidated Financial Statements.
59
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2017 (Unaudited)
Security Description | Principal Amount | Value | ||||||||
Series 2015-NXS4, Class E, 3.75%, 12/15/48 (d),(e),(f) | $ | 2,629,000 | $ | 1,950,842 | ||||||
Series 2016-C34, Class D, 5.20%, 06/15/49 (d),(e),(f) | 2,764,000 | 2,270,151 | ||||||||
|
| |||||||||
411,264,850 | ||||||||||
|
| |||||||||
Interest Only Commercial Mortgage-Backed Securities — 0.5% |
| |||||||||
CFCRE Commercial Mortgage Trust, Series 2016-C3, Class XB, | 33,288,517 | 283,252 | ||||||||
Citigroup Commercial Mortgage Trust, | 14,311,656 | 858,399 | ||||||||
Commercial Mortgage Trust, | ||||||||||
Series 2014-UBS4, Class XA, 1.39%, 08/10/47 (d),(f) | 20,594,292 | 1,146,196 | ||||||||
Series 2014-UBS5, Class XA, 1.19%, 09/10/47 (b),(d),(f) | 3,988,418 | 173,648 | ||||||||
Series 2015-CR23, Class XA, 1.13%, 05/10/48 (b),(d),(f) | 12,290,278 | 609,057 | ||||||||
CSAIL Commercial Mortgage Trust, | ||||||||||
Series 2015-C2, Class XA, 1.00%, 06/15/57 (b),(d),(f) | 40,630,099 | 1,906,202 | ||||||||
Series 2015-C3, Class XA, 1.01%, 08/15/48 (d),(f) | 34,464,597 | 1,543,256 | ||||||||
GS Mortgage Securities Trust, | ||||||||||
Series 2014-GC24, Class XA, 0.98%, 09/10/47 (b),(d),(f) | 13,912,506 | 579,247 | ||||||||
Series 2015-GC32, Class XA, 1.01%, 07/10/48 (d),(f),(g) | 23,882,995 | 1,148,270 | ||||||||
JPMBB Commercial Mortgage Securities Trust, Series 2015-C30, Class XA, 0.83%, 07/15/48 (d),(f) | 52,681,115 | 1,760,023 | ||||||||
Morgan Stanley Bank of America | ||||||||||
Series 2014-C17, Class XA, 1.40%, 08/15/47 (b),(d),(f) | 25,291,257 | 1,252,904 | ||||||||
Series 2015-C22, Class XA, 1.29%, 04/15/48 (d),(f) | 19,263,315 | 1,149,981 | ||||||||
Series 2015-C23, Class XA, 0.87%, 07/15/50 (d),(f),(g) | 56,758,388 | 2,007,885 | ||||||||
Series 2015-C25, Class XA, 1.29%, 10/15/48 (d),(f) | 36,254,159 | 2,439,724 | ||||||||
Wells Fargo Commercial Mortgage Trust, | ||||||||||
Series 2015-C29, Class XA, 0.88%, 06/15/48 (d),(f),(g) | 122,240,198 | 5,068,934 |
See Notes to Consolidated Financial Statements.
60
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2017 (Unaudited)
Security Description | Principal Amount | Value | ||||||||||
Series 2016-C32, Class XA, 1.51%, 01/15/59 (d),(f) | $ | 35,006,723 | $ | 2,835,334 | ||||||||
WFRBS Commercial Mortgage Trust, Series 2014-C22, Class XA, | 1,836,085 | 84,041 | ||||||||||
|
| |||||||||||
24,846,353 | ||||||||||||
|
| |||||||||||
Inverse Interest Only Collateralized Mortgage Obligations — 0.1% |
| |||||||||||
Federal National Mortgage Association, | ||||||||||||
Series 2014-28, Class SB, 1 mo. USD LIBOR + 6.05%, | 26,127,774 | 4,712,849 | ||||||||||
Series 2015-13, Class ST, 1 mo. USD LIBOR + 5.60%, | 15,100,608 | 2,602,439 | ||||||||||
|
| |||||||||||
7,315,288 | ||||||||||||
|
| |||||||||||
TOTAL MORTGAGE-BACKED SECURITIES | 1,394,678,433 | |||||||||||
|
| |||||||||||
U.S. GOVERNMENT SPONSORED AGENCY SECURITIES — 0.6% |
| |||||||||||
North America — 0.6% | ||||||||||||
Inverse Interest Only Collateralized Mortgage Obligations — 0.6% |
| |||||||||||
Government National Mortgage Association, | ||||||||||||
Series 2009-106, Class SL, 1 mo. USD LIBOR + 6.10%, | 10,786,783 | 1,639,699 | ||||||||||
Series 2011-157, Class LS, 1 mo. USD LIBOR + 6.63%, | 6,997,896 | 1,544,282 | ||||||||||
Series 2012-96, Class SA, 1 mo. USD LIBOR + 6.10%, | 7,278,973 | 1,393,778 | ||||||||||
Series 2013-188, Class SA, 1 mo. USD LIBOR + 6.15%, | 7,167,448 | 1,088,534 | ||||||||||
Series 2014-116, Class SC, 1 mo. USD LIBOR + 5.60%, | 5,013,467 | 804,962 | ||||||||||
Series 2015-148, Class SL, 1 mo. USD LIBOR + 5.68%, | 19,919,042 | 3,208,280 | ||||||||||
Series 2015-151, Class SC, 1 mo. USD LIBOR + 6.15%, | 12,159,121 | 2,217,422 | ||||||||||
Series 2015-161, Class AS, 1 mo. USD LIBOR + 6.20%, | 9,930,344 | 2,223,722 | ||||||||||
Series 2015-162, Class LS, 1 mo. USD LIBOR + 6.20%, | 13,964,682 | 2,910,030 | ||||||||||
Series 2016-5, Class QS, 1 mo. USD LIBOR + 6.20%, | 15,991,995 | 3,059,205 | ||||||||||
Series 2017-114, Class SP, 1 mo. USD LIBOR + 6.20%, | 9,521,007 | 1,930,832 |
See Notes to Consolidated Financial Statements.
61
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2017 (Unaudited)
Security Description | Principal Amount | Value | ||||||||||
Series 2017-73, Class SM, 1 mo. USD LIBOR + 6.20%, | $ | 9,630,927 | $ | 2,110,791 | ||||||||
Series 2017-78, Class CS, 1 mo. USD LIBOR + 6.20%, | 19,044,308 | 4,146,441 | ||||||||||
|
| |||||||||||
TOTAL U.S. GOVERNMENT SPONSORED AGENCY SECURITIES | 28,277,978 | |||||||||||
|
| |||||||||||
U.S. TREASURY OBLIGATIONS — 1.8% | ||||||||||||
North America — 1.8% | ||||||||||||
U.S. Treasury Inflation Indexed Notes, | ||||||||||||
0.13%, 07/15/26 (b),(d) | 30,637,800 | 29,774,093 | ||||||||||
0.38%, 07/15/25 (b),(d) | 7,225,890 | 7,222,156 | ||||||||||
0.63%, 01/15/26 (b),(d) | 49,451,520 | 50,089,247 | ||||||||||
|
| |||||||||||
TOTAL U.S. TREASURY OBLIGATIONS | 87,085,496 | |||||||||||
|
| |||||||||||
Security Description | Shares | Value | ||||||||||
EXCHANGE-TRADED FUNDS — 1.7% | ||||||||||||
iShares Core MSCI Emerging Markets ETF (b),(d) | 218,413 | 11,798,670 | ||||||||||
iShares JP Morgan USD Emerging Markets Bond ETF (b),(d) | 106,100 | 12,352,162 | ||||||||||
PowerShares Emerging Markets Sovereign Debt Portfolio (b),(d) | 18,000 | 535,860 | ||||||||||
SPDR Dow Jones International Real Estate ETF (b),(d) | 283,600 | 10,884,568 | ||||||||||
Vanguard Emerging Markets Government Bond ETF (b),(d) | 5,000 | 405,750 | ||||||||||
Vanguard FTSE Emerging Markets ETF (b),(d) | 289,844 | 12,628,503 | ||||||||||
Vanguard Global ex-U.S. Real Estate ETF (b),(d) | 289,757 | 17,214,463 | ||||||||||
Vanguard REIT ETF (b),(d) | 247,138 | 20,534,697 | ||||||||||
|
| |||||||||||
TOTAL EXCHANGE-TRADED FUNDS | 86,354,673 | |||||||||||
|
| |||||||||||
INVESTMENTS IN INVESTEE FUNDS — 6.4% | ||||||||||||
North America — 6.4% | ||||||||||||
GCM Equity Partners LP (cost $ 91,734,684) (j),(n) | 124,886,688 | |||||||||||
GCM Offshore Equity Partners LP (cost $ 30,211,561) (j),(n) | 40,926,263 | |||||||||||
Glenview Capital Partners (Cayman), Ltd. (cost $ 125,000,000) (j),(n) | 125,000 | 156,933,750 | ||||||||||
|
| |||||||||||
TOTAL INVESTMENTS IN INVESTEE FUNDS | 322,746,701 | |||||||||||
|
|
See Notes to Consolidated Financial Statements.
62
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2017 (Unaudited)
Strike | Expiration Date | Contracts | Notional Amount | Premium Paid | Market Value | Unrealized Appreciation (Depreciation) | ||||||||||||||||||||||||
PURCHASED OPTIONS — 0.2% |
| |||||||||||||||||||||||||||||
Exchange-Traded Call Options — 0.2% |
| |||||||||||||||||||||||||||||
Accor SA | 41.00 | EUR | 10/20/17 | 285 | 1,422,150 | $ | 20,236 | $ | 48,505 | $ | 28,269 | |||||||||||||||||||
Adobe Systems, Inc. | 146.00 | USD | 10/20/17 | 211 | 3,147,698 | 60,415 | 93,473 | 33,058 | ||||||||||||||||||||||
Airbus SE | 80.00 | EUR | 12/15/17 | 285 | 2,291,685 | 87,014 | 118,063 | 31,049 | ||||||||||||||||||||||
Airbus SE | 76.00 | EUR | 10/20/17 | 285 | 2,291,685 | 48,012 | 152,252 | 104,240 | ||||||||||||||||||||||
Barclays PLC | 2.00 | GBP | 11/17/17 | 1,426 | 275,717,100 | 75,538 | 66,879 | (8,659 | ) | |||||||||||||||||||||
BASF SE | 86.00 | EUR | 10/20/17 | 143 | 1,283,282 | 14,086 | 71,830 | 57,744 | ||||||||||||||||||||||
Bayer AG | 110.00 | EUR | 10/20/17 | 71 | 976,250 | 16,306 | 46,992 | 30,686 | ||||||||||||||||||||||
Bayer AG | 115.00 | EUR | 11/17/17 | 71 | 976,250 | 10,382 | 46,992 | 36,610 | ||||||||||||||||||||||
Carrefour SA | 17.50 | EUR | 11/17/17 | 998 | 2,013,525 | 55,266 | 57,797 | 2,531 | ||||||||||||||||||||||
Carrefour SA | 18.00 | EUR | 11/17/17 | 713 | 1,218,874 | 33,936 | 29,073 | (4,863 | ) | |||||||||||||||||||||
Cie de Saint-Gobain | 48.00 | EUR | 11/17/17 | 285 | 1,436,970 | 45,735 | 103,410 | 57,675 | ||||||||||||||||||||||
Cie de Saint-Gobain | 50.00 | EUR | 11/17/17 | 285 | 1,436,970 | 47,753 | 59,621 | 11,868 | ||||||||||||||||||||||
Cie de Saint-Gobain | 48.00 | EUR | 10/20/17 | 285 | 1,436,970 | 25,729 | 79,832 | 54,103 | ||||||||||||||||||||||
Cie de Saint-Gobain | 50.00 | EUR | 10/20/17 | 285 | 1,436,970 | 25,043 | 35,705 | 10,662 | ||||||||||||||||||||||
Cisco Systems, Inc. | 40.00 | USD | 01/17/20 | 853 | 2,868,639 | 107,475 | 120,273 | 12,798 | ||||||||||||||||||||||
Danone SA | 68.00 | EUR | 11/17/17 | 285 | 1,891,545 | 43,728 | 36,884 | (6,844 | ) | |||||||||||||||||||||
Dentsply Sirona, Inc. | 65.00 | USD | 10/20/17 | 505 | 3,020,405 | 77,318 | 3,788 | (73,530 | ) | |||||||||||||||||||||
Deutsche Telekom AG | 16.00 | EUR | 11/17/17 | 2,012 | 3,166,888 | 81,588 | 68,962 | (12,626 | ) | |||||||||||||||||||||
E.On SE | 9.50 | EUR | 11/17/17 | 2,139 | 2,042,745 | 68,837 | 83,427 | 14,590 | ||||||||||||||||||||||
Enel SpA | 5.20 | EUR | 10/19/17 | 570 | 2,904,150 | 59,639 | 21,558 | (38,081 | ) | |||||||||||||||||||||
Engie | 14.50 | EUR | 10/20/17 | 1,588 | 2,281,956 | 42,293 | 18,769 | (23,524 | ) | |||||||||||||||||||||
Euro Stoxx 50 Index | 3,600.00 | EUR | 12/15/17 | 356 | 12,797,666 | 180,796 | 271,388 | 90,592 | ||||||||||||||||||||||
Euro Stoxx 50 Index | 3,750.00 | EUR | 12/15/17 | 102 | 3,666,747 | 19,293 | 15,310 | (3,983 | ) | |||||||||||||||||||||
Euro Stoxx 50 Index | 3,525.00 | EUR | 11/17/17 | 464 | 16,680,104 | 197,659 | 506,175 | 308,516 | ||||||||||||||||||||||
Euro Stoxx 50 Index | 3,600.00 | EUR | 11/17/17 | 1,076 | 38,680,586 | 385,022 | 563,374 | 178,352 | ||||||||||||||||||||||
Euro Stoxx 50 Index | 3,450.00 | EUR | 10/20/17 | 1,343 | 48,278,836 | 587,372 | 2,049,194 | 1,461,822 | ||||||||||||||||||||||
Euro Stoxx 50 Index | 3,500.00 | EUR | 10/20/17 | 393 | 14,127,761 | 116,114 | 441,263 | 325,149 | ||||||||||||||||||||||
Euro Stoxx 50 Index | 3,525.00 | EUR | 10/20/17 | 152 | 5,464,172 | 73,474 | 125,754 | 52,280 | ||||||||||||||||||||||
Euro Stoxx 50 Index | 3,675.00 | EUR | 10/20/17 | 50 | 1,797,425 | 5,703 | 1,950 | (3,753 | ) | |||||||||||||||||||||
Euro Stoxx Banks Index | 135.00 | EUR | 12/15/17 | 1,345 | 9,306,055 | 498,529 | 508,690 | 10,161 | ||||||||||||||||||||||
Euro Stoxx Banks Index | 140.00 | EUR | 12/15/17 | 1,057 | 7,313,383 | 320,977 | 206,129 | (114,848 | ) | |||||||||||||||||||||
Euro Stoxx Banks Index | 135.00 | EUR | 11/17/17 | 1,003 | 6,939,757 | 136,697 | 312,661 | 175,964 | ||||||||||||||||||||||
Fresenius SE & Co. KGaA | 72.00 | EUR | 10/20/17 | 143 | 975,975 | 20,587 | 2,704 | (17,883 | ) | |||||||||||||||||||||
Fresenius SE & Co. KGaA | 72.00 | EUR | 12/15/17 | 143 | 975,718 | 18,374 | 15,127 | (3,247 | ) | |||||||||||||||||||||
Fresenius SE & Co. KGaA | 72.00 | EUR | 11/17/17 | 286 | 1,951,435 | 41,851 | 18,591 | (23,260 | ) | |||||||||||||||||||||
iShares Nasdaq Biotechnology ETF | 340.00 | USD | 10/20/17 | 125 | 4,169,875 | 60,230 | 31,875 | (28,355 | ) | |||||||||||||||||||||
Lloyds Banking Group PLC | 0.68 | GBP | 11/17/17 | 4,211 | 289,774,406 | 73,685 | 143,326 | 69,641 | ||||||||||||||||||||||
Orange SA | 14.00 | EUR | 10/20/17 | 1,426 | 1,976,436 | 43,573 | 26,966 | (16,607 | ) |
See Notes to Consolidated Financial Statements.
63
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2017 (Unaudited)
Strike | Expiration Date | Contracts | Notional Amount | Premium Paid | Market Value | Unrealized Appreciation (Depreciation) | ||||||||||||||||||||||||
Orange SA | 14.50 | EUR | 10/20/17 | 1,426 | 1,976,436 | $ | 34,014 | $ | 6,742 | $ | (27,272 | ) | ||||||||||||||||||
Publicis Groupe SA | 60.00 | EUR | 10/20/17 | 238 | 1,406,342 | 52,151 | 33,755 | (18,396 | ) | |||||||||||||||||||||
Qorvo, Inc. | 80.00 | USD | 01/18/19 | 867 | 6,127,956 | 890,138 | 832,320 | (57,818 | ) | |||||||||||||||||||||
Renault SA | 84.00 | EUR | 11/17/17 | 143 | 1,188,473 | 36,145 | 42,507 | 6,362 | ||||||||||||||||||||||
Renault SA | 82.00 | EUR | 10/20/17 | 143 | 1,188,473 | 32,529 | 40,985 | 8,456 | ||||||||||||||||||||||
RWE AG | 21.50 | EUR | 11/17/17 | 713 | 1,370,386 | 55,716 | 12,640 | (43,076 | ) | |||||||||||||||||||||
Siemens AG | 120.00 | EUR | 11/17/17 | 285 | 3,405,750 | 56,993 | 87,242 | 30,249 | ||||||||||||||||||||||
STMicroelectronics NV | 15.50 | EUR | 10/20/17 | 713 | 1,167,181 | 41,295 | 91,854 | 50,559 | ||||||||||||||||||||||
STMicroelectronics NV | 17.00 | EUR | 11/17/17 | 713 | 1,167,181 | 57,852 | 48,034 | (9,818 | ) | |||||||||||||||||||||
Vivendi SA | 22.00 | EUR | 11/17/17 | 713 | 1,527,246 | 35,303 | 37,921 | 2,618 | ||||||||||||||||||||||
Vivendi SA | 22.00 | EUR | 10/20/17 | 713 | 1,527,246 | 14,102 | 12,219 | (1,883 | ) | |||||||||||||||||||||
Volkswagen AG | 145.00 | EUR | 11/17/17 | 71 | 976,605 | 26,867 | 11,916 | (14,951 | ) | |||||||||||||||||||||
Volkswagen AG | 150.00 | EUR | 11/17/17 | 71 | 976,605 | 17,322 | 6,042 | (11,280 | ) | |||||||||||||||||||||
WPP PLC | 1,450.00 | GBP | 11/17/17 | 71 | 1,303,347 | 36,844 | 97,043 | 60,199 | ||||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||
$ | 5,213,536 | $ | 7,965,782 | $ | 2,752,246 | |||||||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||
Exchange-Traded Put Options — 0.0% |
| |||||||||||||||||||||||||||||
Bank of America Corp. | 23.00 | USD | 11/17/17 | 2,068 | 5,240,312 | $ | 96,909 | $ | 37,224 | $ | (59,685 | ) | ||||||||||||||||||
Bank of America Corp. | 23.00 | USD | 10/20/17 | 1,297 | 3,286,598 | 29,717 | 3,891 | (25,826 | ) | |||||||||||||||||||||
Bayer AG | 76.00 | EUR | 06/15/18 | 471 | 6,476,250 | 210,898 | 28,390 | (182,507 | ) | |||||||||||||||||||||
Broadcom Ltd. | 232.50 | USD | 10/06/17 | 533 | 12,927,382 | 43,338 | 26,650 | (16,688 | ) | |||||||||||||||||||||
Carrefour SA | 19.00 | EUR | 10/20/17 | 794 | 1,601,943 | 65,269 | 182,994 | 117,725 | ||||||||||||||||||||||
DAX Index | 11,800.00 | EUR | 10/20/17 | 40 | 2,565,772 | 55,345 | 1,655 | (53,690 | ) | |||||||||||||||||||||
Deutsche Telekom AG | 14.50 | EUR | 10/20/17 | 2,610 | 4,878,090 | 64,860 | 6,170 | (58,690 | ) | |||||||||||||||||||||
Euro Stoxx 50 Index | 3,400.00 | EUR | 10/20/17 | 78 | 2,803,983 | 54,103 | 4,148 | (49,955 | ) | |||||||||||||||||||||
Euro Stoxx 50 Index | 3,500.00 | EUR | 10/20/17 | 142 | 5,104,687 | 71,211 | 19,636 | (51,575 | ) | |||||||||||||||||||||
Euro Stoxx Banks Index | 125.00 | EUR | 12/15/17 | 800 | 5,535,200 | 219,746 | 59,095 | (160,651 | ) | |||||||||||||||||||||
Koninklijke KPN NV | 2.80 | EUR | 11/17/17 | 5,704 | 1,657,012 | 49,387 | 33,708 | (15,679 | ) | |||||||||||||||||||||
Microsoft Corp. | 55.00 | USD | 01/19/18 | 415 | 3,091,335 | 326,154 | 8,300 | (317,854 | ) | |||||||||||||||||||||
Omnicom Group, Inc. | 77.50 | USD | 10/20/17 | 318 | 2,355,426 | 76,703 | 130,380 | 53,677 | ||||||||||||||||||||||
Omnicom Group, Inc. | 72.50 | USD | 10/20/17 | 285 | 2,110,995 | 46,028 | 34,200 | (11,828 | ) | |||||||||||||||||||||
Orange SA | 13.50 | EUR | 10/20/17 | 1,426 | 1,976,436 | 27,334 | 20,225 | (7,109 | ) | |||||||||||||||||||||
Powershares QQQ Trust Series 1 | 145.00 | USD | 10/20/17 | 710 | 10,326,950 | 151,969 | 102,240 | (49,729 | ) | |||||||||||||||||||||
Powershares QQQ Trust Series 1 | 146.00 | USD | 10/20/17 | 310 | 4,508,950 | 75,033 | 54,870 | (20,163 | ) | |||||||||||||||||||||
Publicis Groupe SA | 56.00 | EUR | 10/20/17 | 238 | 1,406,342 | 48,284 | 15,190 | (33,094 | ) | |||||||||||||||||||||
S&P 500 Index | 2,300.00 | USD | 10/20/17 | 425 | 107,072,800 | 1,361,293 | 38,250 | (1,323,043 | ) | |||||||||||||||||||||
S&P 500 Index | 2,460.00 | USD | 11/17/17 | 7 | 1,763,552 | 38,644 | 10,892 | (27,752 | ) | |||||||||||||||||||||
S&P 500 Index | 2,200.00 | USD | 10/31/17 | 45 | 11,337,120 | 30,600 | 4,050 | (26,550 | ) | |||||||||||||||||||||
S&P 500 Index | 2,500.00 | USD | 11/17/17 | 41 | 10,329,376 | 169,660 | 100,040 | (69,620 | ) | |||||||||||||||||||||
S&P 500 Index | 2,490.00 | USD | 10/13/17 | 94 | 23,681,984 | 124,366 | 46,812 | (77,554 | ) | |||||||||||||||||||||
Technology Select Sector SPDR | 55.00 | USD | 12/15/17 | 1,014 | 5,992,740 | 243,679 | 48,672 | (195,007 | ) | |||||||||||||||||||||
U.S. 5-Year Future | 116.75 | USD | 11/24/17 | 45 | 5,287,500 | 5,977 | 7,031 | 1,054 |
See Notes to Consolidated Financial Statements.
64
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2017 (Unaudited)
Strike | Expiration Date | Contracts | Notional Amount | Premium Paid | Market Value | Unrealized Appreciation (Depreciation) | ||||||||||||||||||||||
U.S. 5-Year Future | 117.00 | USD | 11/24/17 | 45 | 5,287,500 | $ | 9,656 | $ | 10,195 | $ | 539 | |||||||||||||||||
U.S. Bond Future | 146.00 | USD | 11/24/17 | 30 | 4,584,375 | 12,187 | 5,156 | (7,031 | ) | |||||||||||||||||||
Vivendi SA | 18.50 | EUR | 10/20/17 | 1,588 | 3,977,940 | 102,194 | 3,754 | (98,440 | ) | |||||||||||||||||||
Vodafone Group PLC | 2.05 | GBP | 11/17/17 | 1,141 | 238,240,800 | 80,298 | 57,335 | (22,963 | ) | |||||||||||||||||||
Vodafone Group PLC | 2.10 | GBP | 10/20/17 | 1,426 | 297,748,800 | 63,377 | 81,211 | 17,834 | ||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||
$ | 3,954,219 | $ | 1,182,364 | $ | (2,771,855 | ) | ||||||||||||||||||||||
|
|
|
|
|
|
Counterparty | Strike | Expiration Date | Contracts | Notional Amount | Premium Paid | Market Value | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||||||||
FX OTC Call Options — 0.0% |
| |||||||||||||||||||||||||||||||||
USD/MXN Currency | Deutsche Bank AG | 18.50 | USD | 10/27/17 | — | 2,200,000 | $ | 24,244 | $ | 14,352 | $ | (9,892 | ) | |||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||||||
FX OTC Put Options — 0.0% |
| |||||||||||||||||||||||||||||||||
USD/CAD Currency | Morgan Stanley & Co. International plc | 1.10 | USD | 04/26/18 | — | 200,000 | $ | 7,000 | $ | 4,112 | $ | (2,888 | ) | |||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||||||
OTC Call Options — 0.0% |
| |||||||||||||||||||||||||||||||||
Microsoft Corp. | Morgan Stanley & Co. International plc | 80.00 | USD | 01/18/19 | 217,400 | 16,194,126 | $ | 902,210 | $ | 947,033 | $ | 44,823 | ||||||||||||||||||||||
Wells Fargo & Co. | UBS AG | 55.00 | USD | 10/20/17 | 132,700 | 7,318,405 | 302,556 | 145,038 | (157,518 | ) | ||||||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||||||
$ | 1,204,766 | $ | 1,092,071 | $ | (112,695 | ) | ||||||||||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||||||
OTC Put Options — 0.0% |
| |||||||||||||||||||||||||||||||||
Qorvo, Inc. | Bank of America, N.A. | 100.00 | USD | 01/18/19 | 21,200 | 1,498,416 | $ | 608,864 | $ | 687,935 | $ | 79,071 | ||||||||||||||||||||||
Vaneck Vectors Semiconductor ETF | Bank of America, N.A. | 67.50 | USD | 01/19/18 | 175,000 | 16,331,000 | 731,500 | 49,343 | (682,157 | ) | ||||||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||||||
$ | 1,340,364 | $ | 737,278 | $ | (603,086 | ) | ||||||||||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||||||
Total Purchased Options Outstanding |
| $ | 11,744,129 | $ | 10,995,959 | $ | (748,170 | ) | ||||||||||||||||||||||||||
|
|
|
|
|
|
See Notes to Consolidated Financial Statements.
65
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2017 (Unaudited)
Security Description | Shares | Value | ||||||||||
SHORT-TERM INVESTMENT — MONEY MARKET FUND — 13.7% |
| |||||||||||
State Street Institutional U.S. Government Money Market Fund, Premier Class, 0.92% (o) | 691,265,276 | $ | 691,265,276 | |||||||||
|
| |||||||||||
TOTAL SHORT-TERM INVESTMENT — MONEY MARKET FUND |
| 691,265,276 | ||||||||||
|
| |||||||||||
TOTAL INVESTMENTS IN SECURITIES — 99.9% |
| 5,027,871,304 | ||||||||||
|
| |||||||||||
TOTAL SECURITIES SOLD SHORT — (28.1)% | (1,416,362,407 | ) | ||||||||||
|
| |||||||||||
Other Assets (q) — 28.2% | 1,422,600,020 | |||||||||||
|
| |||||||||||
Net Assets — 100.0% | $ | 5,034,108,917 | ||||||||||
|
| |||||||||||
SECURITIES SOLD SHORT — (28.1)% | ||||||||||||
COMMON STOCK — (23.6)% | ||||||||||||
Africa — (0.0)% | ||||||||||||
Metals & Mining — (0.0)% | ||||||||||||
AngloGold Ashanti Ltd. ADR | 24,600 | (228,534 | ) | |||||||||
|
| |||||||||||
Oil, Gas & Coal — (0.0)% | ||||||||||||
Kosmos Energy Ltd. | 65,700 | (522,972 | ) | |||||||||
Sasol Ltd. ADR | 4,100 | (112,873 | ) | |||||||||
|
| |||||||||||
(635,845 | ) | |||||||||||
|
| |||||||||||
Total Africa | (864,379 | ) | ||||||||||
|
| |||||||||||
Asia — (1.1)% | ||||||||||||
Automotive — (0.0)% | ||||||||||||
Kandi Technologies Group, Inc. | 7,700 | (44,275 | ) | |||||||||
SORL Auto Parts, Inc. | 2,700 | (10,314 | ) | |||||||||
Tata Motors Ltd. ADR | 3,800 | (118,826 | ) | |||||||||
Toyota Motor Corp. ADR | 5,500 | (655,435 | ) | |||||||||
|
| |||||||||||
(828,850 | ) | |||||||||||
|
| |||||||||||
Banking — (0.1)% | ||||||||||||
China Minsheng Banking Corp. Ltd. H Shares | 3,528,000 | (3,233,714 | ) | |||||||||
HDFC Bank Ltd. ADR | 1,600 | (154,192 | ) | |||||||||
KB Financial Group, Inc. ADR | 4,400 | (215,732 | ) | |||||||||
Mitsubishi UFJ Financial Group, Inc. ADR | 39,500 | (254,380 | ) | |||||||||
Mizuho Financial Group, Inc. ADR | 400 | (1,420 | ) | |||||||||
Shinhan Financial Group Co. Ltd. ADR | 400 | (17,720 | ) | |||||||||
Sumitomo Mitsui Financial Group, Inc. ADR | 8,400 | (64,764 | ) | |||||||||
|
| |||||||||||
(3,941,922 | ) | |||||||||||
|
|
See Notes to Consolidated Financial Statements.
66
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2017 (Unaudited)
Security Description | Shares | Value | ||||||||
Biotechnology & Pharmaceuticals — (0.0)% | ||||||||||
China Biologic Products Holdings, Inc. | 100 | $ | (9,246 | ) | ||||||
Dr Reddy’s Laboratories Ltd. ADR | 3,700 | (132,016 | ) | |||||||
|
| |||||||||
(141,262 | ) | |||||||||
|
| |||||||||
Consumer Products — (0.0)% | ||||||||||
Future FinTech Group, Inc. | 200 | (374 | ) | |||||||
|
| |||||||||
Gaming, Lodging & Restaurants — (0.0)% | ||||||||||
500.com Ltd. Class A ADR | 8,400 | (92,400 | ) | |||||||
|
| |||||||||
Institutional Financial Services — (0.0)% | ||||||||||
Nomura Holdings, Inc. ADR | 1,900 | (10,583 | ) | |||||||
|
| |||||||||
Insurance — (0.0)% | ||||||||||
China Life Insurance Co. Ltd. ADR | 900 | (13,545 | ) | |||||||
|
| |||||||||
Iron & Steel — (0.0)% | ||||||||||
POSCO ADR | 900 | (62,460 | ) | |||||||
|
| |||||||||
Media — (0.2)% | ||||||||||
China Rapid Finance Ltd. ADR | 1,343 | (8,850 | ) | |||||||
Ctrip.com International Ltd. ADR | 100,600 | (5,305,644 | ) | |||||||
Eros International PLC | 900 | (12,870 | ) | |||||||
Fang Holdings Ltd. ADR | 126,900 | (513,945 | ) | |||||||
LINE Corp. ADR | 4,700 | (170,140 | ) | |||||||
MakeMyTrip Ltd. | 15,300 | (439,875 | ) | |||||||
Renren, Inc. ADR | 1,440 | (12,903 | ) | |||||||
|
| |||||||||
(6,464,227 | ) | |||||||||
|
| |||||||||
Renewable Energy — (0.0)% | ||||||||||
JinkoSolar Holding Co. Ltd. ADR | 17,600 | (439,120 | ) | |||||||
Yingli Green Energy Holding ADR | 2,640 | (6,046 | ) | |||||||
|
| |||||||||
(445,166 | ) | |||||||||
|
| |||||||||
Retail – Discretionary — (0.8)% | ||||||||||
Alibaba Group Holding Ltd. ADR (d) | 223,090 | (38,529,874 | ) | |||||||
Jumei International Holding Ltd. ADR | 7,000 | (20,300 | ) | |||||||
LightInTheBox Holding Co. Ltd. ADR | 600 | (1,476 | ) | |||||||
|
| |||||||||
(38,551,650 | ) | |||||||||
|
| |||||||||
Semiconductors — (0.0)% | ||||||||||
Himax Technologies, Inc. ADR | 120,400 | (1,315,972 | ) | |||||||
Silicon Motion Technology Corp. ADR | 1,400 | (67,242 | ) | |||||||
|
| |||||||||
(1,383,214 | ) | |||||||||
|
|
See Notes to Consolidated Financial Statements.
67
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2017 (Unaudited)
Security Description | Shares | Value | ||||||||||
Software — (0.0)% | ||||||||||||
LiNiu Technology Group | 116 | $ | (127 | ) | ||||||||
NQ Mobile, Inc. ADR | 18,100 | (63,350 | ) | |||||||||
|
| |||||||||||
(63,477 | ) | |||||||||||
|
| |||||||||||
Specialty Finance — (0.0)% | ||||||||||||
ORIX Corp. ADR | 100 | (8,066 | ) | |||||||||
|
| |||||||||||
Technology Services — (0.0)% | ||||||||||||
Baozun, Inc. ADR | 34,200 | (1,120,392 | ) | |||||||||
China Information Technology, Inc. | 100 | (114 | ) | |||||||||
Wipro Ltd. ADR | 11,500 | (65,320 | ) | |||||||||
|
| |||||||||||
(1,185,826 | ) | |||||||||||
|
| |||||||||||
Telecommunications — (0.0)% | ||||||||||||
21Vianet Group, Inc. ADR | 18,100 | (102,989 | ) | |||||||||
China Unicom Hong Kong Ltd. ADR | 9,800 | (137,494 | ) | |||||||||
Chunghwa Telecom Co. Ltd. ADR | 300 | (10,233 | ) | |||||||||
GDS Holdings Ltd. ADR | 400 | (4,504 | ) | |||||||||
PLDT, Inc. ADR | 100 | (3,221 | ) | |||||||||
PT Telekomunikasi Indonesia Persero Tbk ADR | 1,500 | (51,450 | ) | |||||||||
|
| |||||||||||
(309,891 | ) | |||||||||||
|
| |||||||||||
Transportation & Logistics — (0.0)% | ||||||||||||
Seaspan Corp. | 20,700 | (146,763 | ) | |||||||||
ZTO Express Cayman, Inc. ADR | 18,900 | (265,356 | ) | |||||||||
|
| |||||||||||
(412,119 | ) | |||||||||||
|
| |||||||||||
Utilities — (0.0)% | ||||||||||||
Huaneng Power International, Inc. ADR | 2,180 | (53,235 | ) | |||||||||
Korea Electric Power Corp. ADR | 10,463 | (175,360 | ) | |||||||||
|
| |||||||||||
(228,595 | ) | |||||||||||
|
| |||||||||||
Total Asia | (54,143,627 | ) | ||||||||||
|
| |||||||||||
Europe — (1.3)% | ||||||||||||
Asset Management — (0.0)% | ||||||||||||
Janus Henderson Group PLC | 1,000 | (34,840 | ) | |||||||||
|
| |||||||||||
Banking — (0.1)% | ||||||||||||
Banco Santander SA | 62,285 | (432,422 | ) | |||||||||
Banco Santander SA ADR | 313,899 | (2,178,459 | ) | |||||||||
Barclays PLC ADR | 141,204 | (1,461,461 | ) | |||||||||
Commerzbank AG | 43,711 | (594,630 | ) | |||||||||
Deutsche Bank AG | 17,700 | (305,856 | ) | |||||||||
Deutsche Bank AG | 51,366 | (888,180 | ) | |||||||||
HSBC Holdings PLC ADR | 3,994 | (197,344 | ) |
See Notes to Consolidated Financial Statements.
68
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2017 (Unaudited)
Security Description | Shares | Value | ||||||||
Royal Bank of Scotland Group PLC ADR | 41,200 | $ | (299,936 | ) | ||||||
|
| |||||||||
(6,358,288 | ) | |||||||||
|
| |||||||||
Biotechnology & Pharmaceuticals — (0.8)% | ||||||||||
AC Immune SA | 1,795 | (20,283 | ) | |||||||
Affimed NV | 4,400 | (9,900 | ) | |||||||
AstraZeneca PLC ADR | 400 | (13,552 | ) | |||||||
Bayer AG (d) | 171,045 | (23,308,835 | ) | |||||||
Cellectis SA ADR | 1,300 | (36,985 | ) | |||||||
Novo Nordisk A/S B Shares (d) | 175,650 | (8,397,165 | ) | |||||||
Prothena Corp. PLC | 3,000 | (194,310 | ) | |||||||
uniQure NV | 4,300 | (41,280 | ) | |||||||
Vifor Pharma AG (d) | 66,340 | (7,809,945 | ) | |||||||
|
| |||||||||
(39,832,255 | ) | |||||||||
|
| |||||||||
Construction Materials — (0.0)% | ||||||||||
CRH PLC ADR | 8,400 | (318,024 | ) | |||||||
|
| |||||||||
Consumer Products — (0.1)% | ||||||||||
Anheuser-Busch InBev NV ADR | 51,900 | (6,191,670 | ) | |||||||
Avon Products, Inc. | 95,000 | (221,350 | ) | |||||||
British American Tobacco PLC ADR | 200 | (12,490 | ) | |||||||
Diageo PLC ADR | 100 | (13,193 | ) | |||||||
Unilever PLC ADR | 2,700 | (156,492 | ) | |||||||
|
| |||||||||
(6,595,195 | ) | |||||||||
|
| |||||||||
Electrical Equipment — (0.0)% | ||||||||||
ABB Ltd. ADR | 2,900 | (71,775 | ) | |||||||
|
| |||||||||
Gaming, Lodging & Restaurants — (0.0)% | ||||||||||
Belmond Ltd. Class A | 9,300 | (126,945 | ) | |||||||
InterContinental Hotels Group PLC ADR | 200 | (10,578 | ) | |||||||
|
| |||||||||
(137,523 | ) | |||||||||
|
| |||||||||
Hardware — (0.0)% | ||||||||||
Logitech International SA | 200 | (7,292 | ) | |||||||
Nokia Oyj ADR | 263,200 | (1,573,936 | ) | |||||||
Telefonaktiebolaget LM Ericsson ADR | 3,800 | (21,850 | ) | |||||||
voxeljet AG ADR | 3,100 | (16,740 | ) | |||||||
|
| |||||||||
(1,619,818 | ) | |||||||||
|
| |||||||||
Industrial Services — (0.1)% | ||||||||||
AerCap Holdings NV | 46,500 | (2,376,615 | ) | |||||||
|
| |||||||||
Institutional Financial Services — (0.0)% | ||||||||||
Credit Suisse Group AG ADR | 19,249 | (304,134 | ) | |||||||
|
|
See Notes to Consolidated Financial Statements.
69
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2017 (Unaudited)
Security Description | Shares | Value | ||||||||
Insurance — (0.1)% | ||||||||||
Assicurazioni Generali SpA | 72,143 | $ | (1,343,789 | ) | ||||||
Prudential PLC ADR | 1,063 | (50,928 | ) | |||||||
Zurich Insurance Group AG | 3,558 | (1,085,386 | ) | |||||||
|
| |||||||||
(2,480,103 | ) | |||||||||
|
| |||||||||
Iron & Steel — (0.0)% | ||||||||||
ArcelorMittal | 9,097 | (234,339 | ) | |||||||
Rio Tinto PLC ADR | 1,000 | (47,190 | ) | |||||||
|
| |||||||||
(281,529 | ) | |||||||||
|
| |||||||||
Media — (0.1)% | ||||||||||
Liberty Global PLC A Shares | 65,900 | (2,234,669 | ) | |||||||
Pearson PLC ADR | 12,900 | (105,006 | ) | |||||||
|
| |||||||||
(2,339,675 | ) | |||||||||
|
| |||||||||
Medical Equipment & Devices — (0.0)% | ||||||||||
Auris Medical Holding AG | 1,600 | (1,312 | ) | |||||||
Coloplast A/S B Shares (d) | 25,810 | (2,094,725 | ) | |||||||
InspireMD, Inc. | 3,200 | (1,283 | ) | |||||||
|
| |||||||||
(2,097,320 | ) | |||||||||
|
| |||||||||
Metals & Mining — (0.0)% | ||||||||||
Ferroglobe PLC (j) | 400 | 0 | ||||||||
|
| |||||||||
Oil, Gas & Coal — (0.0)% | ||||||||||
BP PLC ADR | 35 | (1,345 | ) | |||||||
Royal Dutch Shell PLC ADR | 24 | (1,454 | ) | |||||||
TechnipFMC PLC | 1,100 | (30,712 | ) | |||||||
|
| |||||||||
(33,511 | ) | |||||||||
|
| |||||||||
Retail – Consumer Staples — (0.0)% | ||||||||||
Koninklijke Ahold Delhaize NV | 43,865 | (820,173 | ) | |||||||
|
| |||||||||
Semiconductors — (0.0)% | ||||||||||
ASML Holding NV New York Shares | 400 | (68,480 | ) | |||||||
|
| |||||||||
Software — (0.0)% | ||||||||||
SAP SE ADR | 1,900 | (208,335 | ) | |||||||
|
| |||||||||
Specialty Finance — (0.0)% | ||||||||||
Fly Leasing Ltd. ADR | 1,300 | (18,226 | ) | |||||||
|
| |||||||||
Technology Services — (0.0)% | ||||||||||
RELX NV ADR | 1,100 | (23,463 | ) | |||||||
RELX PLC ADR | 900 | (20,115 | ) | |||||||
|
| |||||||||
(43,578 | ) | |||||||||
|
|
See Notes to Consolidated Financial Statements.
70
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2017 (Unaudited)
Security Description | Shares | Value | ||||||||||
Telecommunications — (0.0)% | ||||||||||||
Telefonica SA ADR | 401 | $ | (4,327 | ) | ||||||||
Vodafone Group PLC ADR | 6,400 | (182,144 | ) | |||||||||
|
| |||||||||||
(186,471 | ) | |||||||||||
|
| |||||||||||
Transportation & Logistics — (0.0)% | ||||||||||||
Ardmore Shipping Corp. | 7,800 | (64,350 | ) | |||||||||
Costamare, Inc. | 1,800 | (11,124 | ) | |||||||||
Diana Containerships, Inc. | 3 | (2 | ) | |||||||||
DryShips, Inc. | 39,510 | (97,195 | ) | |||||||||
Euronav SA | 1,200 | (9,720 | ) | |||||||||
Frontline Ltd. | 37,040 | (223,722 | ) | |||||||||
GasLog Ltd. | 20,600 | (359,470 | ) | |||||||||
Globus Maritime Ltd. | 1,232 | (1,133 | ) | |||||||||
Golden Ocean Group Ltd. | 80 | (627 | ) | |||||||||
Navigator Holdings Ltd. | 5,100 | (56,610 | ) | |||||||||
Navios Maritime Holdings, Inc. | 19,900 | (33,233 | ) | |||||||||
Nordic American Offshore Ltd. | 4,822 | (6,799 | ) | |||||||||
Scorpio Tankers, Inc. | 184,600 | (633,178 | ) | |||||||||
Ship Finance International Ltd. | 2,300 | (33,350 | ) | |||||||||
Tsakos Energy Navigation Ltd. | 11,300 | (50,737 | ) | |||||||||
|
| |||||||||||
(1,581,250 | ) | |||||||||||
|
| |||||||||||
Utilities — (0.0)% | ||||||||||||
Abengoa Yield PLC | 4,718 | (92,945 | ) | |||||||||
National Grid PLC ADR | 1,492 | (93,563 | ) | |||||||||
|
| |||||||||||
(186,508 | ) | |||||||||||
|
| |||||||||||
Total Europe | (67,993,626 | ) | ||||||||||
|
| |||||||||||
Middle East — (0.1)% | ||||||||||||
Biotechnology & Pharmaceuticals — (0.1)% | ||||||||||||
Alcobra Ltd. | 4,700 | (4,747 | ) | |||||||||
Foamix Pharmaceuticals Ltd. | 2,000 | (11,100 | ) | |||||||||
Neuroderm Ltd. | 1,400 | (54,460 | ) | |||||||||
Oramed Pharmaceuticals, Inc. | 1,500 | (14,820 | ) | |||||||||
Teva Pharmaceutical Industries Ltd. ADR | 186,200 | (3,277,120 | ) | |||||||||
UroGen Pharma Ltd. | 100 | (3,254 | ) | |||||||||
Vascular Biogenics Ltd. | 4,800 | (29,280 | ) | |||||||||
|
| |||||||||||
(3,394,781 | ) | |||||||||||
|
| |||||||||||
Chemicals — (0.0)% | ||||||||||||
Israel Chemicals Ltd. | 600 | (2,664 | ) | |||||||||
|
| |||||||||||
Consumer Products — (0.0)% | ||||||||||||
Amira Nature Foods Ltd. | 100 | (602 | ) | |||||||||
|
|
See Notes to Consolidated Financial Statements.
71
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2017 (Unaudited)
Security Description | Shares | Value | ||||||||||
Hardware — (0.0)% | ||||||||||||
Kornit Digital Ltd. | 3,900 | $ | (59,670 | ) | ||||||||
SuperCom Ltd. | 200 | (700 | ) | |||||||||
|
| |||||||||||
(60,370 | ) | |||||||||||
|
| |||||||||||
Medical Equipment & Devices — (0.0)% | ||||||||||||
ReWalk Robotics Ltd. | 8,300 | (12,243 | ) | |||||||||
|
| |||||||||||
Software — (0.0)% | ||||||||||||
Check Point Software Technologies Ltd. | 2,500 | (285,050 | ) | |||||||||
CyberArk Software Ltd. | 1,500 | (61,500 | ) | |||||||||
|
| |||||||||||
(346,550 | ) | |||||||||||
|
| |||||||||||
Telecommunications — (0.0)% | ||||||||||||
magicJack VocalTec Ltd. | 500 | (3,575 | ) | |||||||||
Turkcell Iletisim Hizmetleri AS ADR | 100 | (882 | ) | |||||||||
|
| |||||||||||
(4,457 | ) | |||||||||||
|
| |||||||||||
Total Middle East | (3,821,667 | ) | ||||||||||
|
| |||||||||||
North America — (21.0)% | ||||||||||||
Aerospace & Defense — (0.4)% | ||||||||||||
American Outdoor Brands Corp. | 34,400 | (524,600 | ) | |||||||||
Axon Enterprise, Inc. | 25,700 | (582,620 | ) | |||||||||
KLX, Inc. | 500 | (26,465 | ) | |||||||||
Raytheon Co. | 600 | (111,948 | ) | |||||||||
Rockwell Collins, Inc. | 20,202 | (2,640,603 | ) | |||||||||
Sturm Ruger & Co., Inc. | 11,000 | (568,700 | ) | |||||||||
TransDigm Group, Inc. | 9,300 | (2,377,545 | ) | |||||||||
Triumph Group, Inc. | 8,700 | (258,825 | ) | |||||||||
United Technologies Corp. | 118,200 | (13,720,656 | ) | |||||||||
|
| |||||||||||
(20,811,962 | ) | |||||||||||
|
| |||||||||||
Apparel & Textile Products — (0.2)% | ||||||||||||
Canada Goose Holdings, Inc. | 17,700 | (363,735 | ) | |||||||||
Carter’s, Inc. | 16,100 | (1,589,875 | ) | |||||||||
Columbia Sportswear Co. | 400 | (24,632 | ) | |||||||||
Gildan Activewear, Inc. | 500 | (15,640 | ) | |||||||||
Hanesbrands, Inc. | 120,000 | (2,956,800 | ) | |||||||||
Iconix Brand Group, Inc. | 24,500 | (139,405 | ) | |||||||||
Lakeland Industries, Inc. | 1,200 | (16,920 | ) | |||||||||
Naked Brand Group, Inc. | 694 | (930 | ) | |||||||||
Ralph Lauren Corp. | 2,100 | (185,409 | ) | |||||||||
Sequential Brands Group, Inc. | 11,500 | (34,385 | ) | |||||||||
Skechers U.S.A., Inc. Class A | 8,400 | (210,756 | ) | |||||||||
Steven Madden Ltd. | 13,000 | (562,900 | ) |
See Notes to Consolidated Financial Statements.
72
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2017 (Unaudited)
Security Description | Shares | Value | ||||||||
Under Armour, Inc. Class A | 129,400 | $ | (2,132,512 | ) | ||||||
|
| |||||||||
(8,233,899 | ) | |||||||||
|
| |||||||||
Asset Management — (0.1)% | ||||||||||
Affiliated Managers Group, Inc. | 1,800 | (341,694 | ) | |||||||
Altisource Asset Management Corp. | 100 | (8,020 | ) | |||||||
Ameriprise Financial, Inc. | 300 | (44,553 | ) | |||||||
Artisan Partners Asset Management, Inc. Class A | 16,700 | (544,420 | ) | |||||||
Brookfield Asset Management, Inc. Class A | 1,350 | (55,755 | ) | |||||||
Charles Schwab Corp. | 40,458 | (1,769,633 | ) | |||||||
E*TRADE Financial Corp. | 1,700 | (74,137 | ) | |||||||
Federated Investors, Inc. Class B | 4,900 | (145,530 | ) | |||||||
Fifth Street Asset Management, Inc. | 1,800 | (7,020 | ) | |||||||
Form Holdings Corp. | 4,150 | (5,769 | ) | |||||||
Franklin Resources, Inc. | 10,700 | (476,257 | ) | |||||||
GSV Capital Corp. | 100 | (541 | ) | |||||||
Invesco Ltd. | 1,100 | (38,544 | ) | |||||||
Kennedy-Wilson Holdings, Inc. | 10,600 | (196,630 | ) | |||||||
Ladenburg Thalmann Financial Services, Inc. | 100 | (288 | ) | |||||||
Legg Mason, Inc. | 200 | (7,862 | ) | |||||||
Leucadia National Corp. | 12,400 | (313,100 | ) | |||||||
Medley Capital Corp. | 11,200 | (66,864 | ) | |||||||
Real Industry, Inc. | 300 | (540 | ) | |||||||
T Rowe Price Group, Inc. | 9,416 | (853,540 | ) | |||||||
Triangle Capital Corp. | 500 | (7,140 | ) | |||||||
Waddell & Reed Financial, Inc. Class A | 23,700 | (475,659 | ) | |||||||
WisdomTree Investments, Inc. | 60,500 | (615,890 | ) | |||||||
ZAIS Group Holdings, Inc. | 773 | (2,821 | ) | |||||||
|
| |||||||||
(6,052,207 | ) | |||||||||
|
| |||||||||
Automotive — (0.7)% | ||||||||||
American Axle & Manufacturing Holdings, Inc. | 2,700 | (47,466 | ) | |||||||
BorgWarner, Inc. | 6,900 | (353,487 | ) | |||||||
Cooper Tire & Rubber Co. | 25,000 | (935,000 | ) | |||||||
Dana Holding Corp. | 100 | (2,796 | ) | |||||||
Dorman Products, Inc. | 2,300 | (164,726 | ) | |||||||
Ford Motor Co. | 902,300 | (10,800,531 | ) | |||||||
Gentherm, Inc. | 3,500 | (130,025 | ) | |||||||
Goodyear Tire & Rubber Co. | 40,700 | (1,353,275 | ) | |||||||
Harley-Davidson, Inc. | 47,000 | (2,265,870 | ) | |||||||
Horizon Global Corp. | 6,900 | (121,716 | ) | |||||||
Tesla Motors, Inc. | 53,500 | (18,248,850 | ) | |||||||
Westport Innovations, Inc. | 29,000 | (94,830 | ) | |||||||
|
| |||||||||
(34,518,572 | ) | |||||||||
|
|
See Notes to Consolidated Financial Statements.
73
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2017 (Unaudited)
Security Description | Shares | Value | ||||||||||
Banking — (0.2)% | ||||||||||||
Banc of California, Inc. | 35,000 | $ | (726,250 | ) | ||||||||
Bank of America Corp. | 184,000 | (4,662,560 | ) | |||||||||
Bank of Nova Scotia | 900 | (57,825 | ) | |||||||||
BB&T Corp. | 1,200 | (56,328 | ) | |||||||||
BofI Holding, Inc. | 3,300 | (93,951 | ) | |||||||||
Canadian Imperial Bank of Commerce | 2,000 | (175,040 | ) | |||||||||
Chemical Financial Corp. | 493 | (25,764 | ) | |||||||||
CIT Group, Inc. | 32,600 | (1,599,030 | ) | |||||||||
Commerce Bancshares, Inc. | 80 | (4,622 | ) | |||||||||
ConnectOne Bancorp, Inc. | 23 | (566 | ) | |||||||||
CVB Financial Corp. | 100 | (2,412 | ) | |||||||||
FB Financial Corp. | 600 | (22,632 | ) | |||||||||
Fifth Third Bancorp | 6,500 | (181,870 | ) | |||||||||
First Busey Corp. | 34 | (1,066 | ) | |||||||||
Flagstar Bancorp, Inc. | 4,600 | (163,208 | ) | |||||||||
FNB Corp. | 65,055 | (912,722 | ) | |||||||||
Fulton Financial Corp. | 100 | (1,875 | ) | |||||||||
Great Western Bancorp, Inc. | 700 | (28,896 | ) | |||||||||
Hancock Holding Co. | 6,300 | (305,235 | ) | |||||||||
HomeStreet, Inc. | 6,200 | (167,400 | ) | |||||||||
IBERIABANK Corp. | 4,200 | (345,030 | ) | |||||||||
Independent Bank Corp. | 300 | (22,395 | ) | |||||||||
KeyCorp | 14,904 | (280,493 | ) | |||||||||
LegacyTexas Financial Group, Inc. | 200 | (7,984 | ) | |||||||||
MB Financial, Inc. | 1,536 | (69,151 | ) | |||||||||
New York Community Bancorp, Inc. | 22,600 | (291,314 | ) | |||||||||
Northwest Bancshares, Inc. | 300 | (5,181 | ) | |||||||||
Old National Bancorp | 9 | (165 | ) | |||||||||
PacWest Bancorp | 1 | (50 | ) | |||||||||
People’s United Financial, Inc. | 21,364 | (387,543 | ) | |||||||||
Pinnacle Financial Partners, Inc. | 100 | (6,695 | ) | |||||||||
Signature Bank | 800 | (102,432 | ) | |||||||||
Sterling Bancorp | 8 | (197 | ) | |||||||||
Texas Capital Bancshares, Inc. | 1,600 | (137,280 | ) | |||||||||
TFS Financial Corp. | 6,852 | (110,523 | ) | |||||||||
Toronto-Dominion Bank | 3,845 | (216,358 | ) | |||||||||
Towne Bank | 40 | (1,340 | ) | |||||||||
United Bankshares, Inc. | 2,003 | (74,411 | ) | |||||||||
Valley National Bancorp | 1,000 | (12,050 | ) | |||||||||
Washington Federal, Inc. | 200 | (6,730 | ) | |||||||||
Webster Financial Corp. | 700 | (36,785 | ) | |||||||||
|
| |||||||||||
(11,303,359 | ) | |||||||||||
|
| |||||||||||
Biotechnology & Pharmaceuticals — (3.0)% | ||||||||||||
AbbVie, Inc. | 202,600 | (18,003,036 | ) |
See Notes to Consolidated Financial Statements.
74
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2017 (Unaudited)
Security Description | Shares | Value | ||||||||
Abeona Therapeutics, Inc. | 12,900 | $ | (219,945 | ) | ||||||
ACADIA Pharmaceuticals, Inc. | 70,200 | (2,644,434 | ) | |||||||
Acceleron Pharma, Inc. | 13,300 | (496,356 | ) | |||||||
AcelRx Pharmaceuticals, Inc. | 5,800 | (26,680 | ) | |||||||
Achaogen, Inc. | 27,600 | (440,220 | ) | |||||||
Achieve Life Sciences, Inc. | 90 | (183 | ) | |||||||
Achillion Pharmaceuticals, Inc. | 33,400 | (149,966 | ) | |||||||
Aclaris Therapeutics, Inc. | 7,900 | (203,899 | ) | |||||||
Actinium Pharmaceuticals, Inc. | 20,500 | (11,790 | ) | |||||||
Adamas Pharmaceuticals, Inc. | 12,400 | (262,508 | ) | |||||||
Adamis Pharmaceuticals Corp. | 20,000 | (104,500 | ) | |||||||
Aduro Biotech, Inc. | 10,200 | (108,630 | ) | |||||||
Advaxis, Inc. | 22,300 | (93,214 | ) | |||||||
Adverum Biotechnologies, Inc. | 400 | (1,460 | ) | |||||||
Aerie Pharmaceuticals, Inc. | 2,100 | (102,060 | ) | |||||||
Aeterna Zentaris, Inc. | 11,324 | (23,101 | ) | |||||||
Agenus, Inc. | 42,300 | (186,543 | ) | |||||||
Agile Therapeutics, Inc. | 4,300 | (19,178 | ) | |||||||
Agios Pharmaceuticals, Inc. | 900 | (60,075 | ) | |||||||
Akcea Therapeutics, Inc. | 200 | (5,656 | ) | |||||||
Akebia Therapeutics, Inc. | 10,100 | (198,667 | ) | |||||||
Alder Biopharmaceuticals, Inc. | 47,100 | (576,975 | ) | |||||||
Alexion Pharmaceuticals, Inc. (d) | 56,080 | (7,867,463 | ) | |||||||
Alimera Sciences, Inc. | 10,300 | (13,905 | ) | |||||||
Allergan PLC | 42,370 | (8,683,732 | ) | |||||||
Alnylam Pharmaceuticals, Inc. | 20,200 | (2,373,298 | ) | |||||||
Alpine Immune Sciences, Inc. | 250 | (2,900 | ) | |||||||
Altimmune, Inc. | 1,410 | (3,271 | ) | |||||||
AMAG Pharmaceuticals, Inc. | 21,900 | (404,055 | ) | |||||||
Amgen, Inc. (d) | 22,550 | (4,204,448 | ) | |||||||
Amicus Therapeutics, Inc. | 53,700 | (809,796 | ) | |||||||
Ampio Pharmaceuticals, Inc. | 18,000 | (10,998 | ) | |||||||
Anavex Life Sciences Corp. | 19,300 | (79,902 | ) | |||||||
ANI Pharmaceuticals, Inc. | 3,400 | (178,466 | ) | |||||||
Anthera Pharmaceuticals, Inc. | 2,287 | (3,293 | ) | |||||||
Aptevo Therapeutics, Inc. | 200 | (458 | ) | |||||||
Aquinox Pharmaceuticals, Inc. | 3,100 | (43,989 | ) | |||||||
Aralez Pharmaceuticals, Inc. | 32,128 | �� | (73,573 | ) | ||||||
Aratana Therapeutics, Inc. | 14,900 | (91,337 | ) | |||||||
Arbutus Biopharma Corp. | 4,400 | (27,280 | ) | |||||||
Ardelyx, Inc. | 300 | (1,680 | ) | |||||||
Arena Pharmaceuticals, Inc. | 4,930 | (125,715 | ) | |||||||
Argos Therapeutics, Inc. | 31,614 | (5,675 | ) | |||||||
Arrowhead Pharmaceuticals, Inc. | 46,600 | (201,778 | ) | |||||||
Atara Biotherapeutics, Inc. | 4,700 | (77,785 | ) | |||||||
aTyr Pharma, Inc. | 1,200 | (6,060 | ) |
See Notes to Consolidated Financial Statements.
75
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2017 (Unaudited)
Security Description | Shares | Value | ||||||||
Aurinia Pharmaceuticals, Inc. | 32,300 | $ | (202,521 | ) | ||||||
AVEO Pharmaceuticals, Inc. | 82,800 | (302,220 | ) | |||||||
Avexis, Inc. | 15,700 | (1,518,661 | ) | |||||||
Axovant Sciences Ltd. | 2,500 | (17,200 | ) | |||||||
Axsome Therapeutics, Inc. | 200 | (1,110 | ) | |||||||
Bellicum Pharmaceuticals, Inc. | 23,200 | (267,960 | ) | |||||||
Bio-Path Holdings, Inc. | 600 | (216 | ) | |||||||
Biocept, Inc. | 18,564 | (22,834 | ) | |||||||
BioCryst Pharmaceuticals, Inc. | 1,500 | (7,860 | ) | |||||||
BioDelivery Sciences International, Inc. | 23,200 | (68,440 | ) | |||||||
Biogen Idec, Inc. (d) | 18,650 | (5,839,688 | ) | |||||||
Biohaven Pharmaceutical Holding Co. Ltd. | 1,000 | (37,380 | ) | |||||||
BioMarin Pharmaceutical, Inc. | 8,800 | (819,016 | ) | |||||||
BioPharmX Corp. | 3,647 | (1,043 | ) | |||||||
Biostage, Inc. | 800 | (247 | ) | |||||||
Biostar Pharmaceuticals, Inc. | 200 | (258 | ) | |||||||
Bioverativ, Inc. | 39 | (2,226 | ) | |||||||
Bluebird Bio, Inc. | 14,500 | (1,991,575 | ) | |||||||
Caladrius Biosciences, Inc. | 1,160 | (4,153 | ) | |||||||
Calithera Biosciences, Inc. | 8,800 | (138,600 | ) | |||||||
Cara Therapeutics, Inc. | 22,800 | (312,132 | ) | |||||||
Cascadian Therapeutics, Inc. | 6,583 | (26,924 | ) | |||||||
Catabasis Pharmaceuticals, Inc. | 5,400 | (11,448 | ) | |||||||
Catalyst Pharmaceutical Partners, Inc. | 18,500 | (46,620 | ) | |||||||
Celldex Therapeutics, Inc. | 60,200 | (172,172 | ) | |||||||
Cellectar Biosciences, Inc. | 1,630 | (2,722 | ) | |||||||
Cellular Biomedicine Group, Inc. | 100 | (1,065 | ) | |||||||
Celsion Corp. | 723 | (1,084 | ) | |||||||
Cempra, Inc. | 16,600 | (53,950 | ) | |||||||
ChemoCentryx, Inc. | 600 | (4,452 | ) | |||||||
Chiasma, Inc. | 300 | (765 | ) | |||||||
ChromaDex Corp. | 4,500 | (19,350 | ) | |||||||
Cidara Therapeutics, Inc. | 500 | (4,050 | ) | |||||||
Clovis Oncology, Inc. | 34,200 | (2,818,080 | ) | |||||||
Coherus Biosciences, Inc. | 8,300 | (110,805 | ) | |||||||
Collegium Pharmaceutical, Inc. | 15,400 | (161,546 | ) | |||||||
Conatus Pharmaceuticals, Inc. | 17,700 | (97,173 | ) | |||||||
Concert Pharmaceuticals, Inc. | 5,600 | (82,600 | ) | |||||||
Concordia International Corp. | 11,200 | (13,216 | ) | |||||||
ContraVir Pharmaceuticals, Inc. | 31,500 | (16,380 | ) | |||||||
Corbus Pharmaceuticals Holdings, Inc. | 23,500 | (168,025 | ) | |||||||
CorMedix, Inc. | 10,200 | (5,304 | ) | |||||||
Corvus Pharmaceuticals, Inc. | 1,900 | (30,286 | ) | |||||||
CTI BioPharma Corp. | 2,500 | (7,975 | ) | |||||||
Cyclacel Pharmaceuticals, Inc. | 4,600 | (8,418 | ) | |||||||
Cymabay Therapeutics, Inc. | 400 | (3,224 | ) |
See Notes to Consolidated Financial Statements.
76
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2017 (Unaudited)
Security Description | Shares | Value | ||||||||
CytRx Corp. | 116,062 | $ | (47,585 | ) | ||||||
Dare Bioscience, Inc. | 2,366 | (7,382 | ) | |||||||
Depomed, Inc. | 37,000 | (214,230 | ) | |||||||
Dermira, Inc. | 3,500 | (94,500 | ) | |||||||
Dicerna Pharmaceuticals, Inc. | 600 | (3,450 | ) | |||||||
Diffusion Pharmaceuticals, Inc. | 3,014 | (5,003 | ) | |||||||
Durata Therapeutics (j) | 1,400 | 0 | ||||||||
Durect Corp. | 1,000 | (1,770 | ) | |||||||
Dynavax Technologies Corp. | 38,830 | (834,845 | ) | |||||||
Eagle Pharmaceuticals, Inc. | 10,600 | (632,184 | ) | |||||||
Editas Medicine, Inc. | 26,800 | (643,468 | ) | |||||||
Egalet Corp. | 21,600 | (27,648 | ) | |||||||
Eleven Biotherapeutics, Inc. | 9,268 | (14,643 | ) | |||||||
Eli Lilly & Co. (d) | 102,930 | (8,804,632 | ) | |||||||
Endo International PLC | 120,100 | (1,028,657 | ) | |||||||
Endocyte, Inc. | 6,700 | (9,447 | ) | |||||||
Epizyme, Inc. | 10,000 | (190,500 | ) | |||||||
Esperion Therapeutics, Inc. | 17,400 | (872,088 | ) | |||||||
Evoke Pharma, Inc. | 3,600 | (12,024 | ) | |||||||
EyeGate Pharmaceuticals, Inc. | 200 | (234 | ) | |||||||
Fibrocell Science, Inc. | 66 | (202 | ) | |||||||
FibroGen, Inc. | 100 | (5,380 | ) | |||||||
Five Prime Therapeutics, Inc. | 900 | (36,819 | ) | |||||||
Flexion Therapeutics, Inc. | 8,500 | (205,530 | ) | |||||||
Fortress Biotech, Inc. | 200 | (884 | ) | |||||||
Galectin Therapeutics, Inc. | 8,079 | (17,127 | ) | |||||||
Galena Biopharma, Inc. | 25,680 | (9,055 | ) | |||||||
Genocea Biosciences, Inc. | 13,000 | (18,980 | ) | |||||||
Geron Corp. | 51,800 | (112,924 | ) | |||||||
Gilead Sciences, Inc. (d) | 120,890 | (9,794,508 | ) | |||||||
Global Blood Therapeutics, Inc. | 30,500 | (947,025 | ) | |||||||
GlycoMimetics, Inc. | 22,300 | (311,977 | ) | |||||||
Halozyme Therapeutics, Inc. | 500 | (8,685 | ) | |||||||
Heat Biologics, Inc. | 11,474 | (7,494 | ) | |||||||
Heron Therapeutics, Inc. | 30,800 | (497,420 | ) | |||||||
Horizon Pharma PLC | 71,100 | (901,548 | ) | |||||||
HTG Molecular Diagnostics, Inc. | 4,296 | (7,303 | ) | |||||||
Idera Pharmaceuticals, Inc. | 39,500 | (88,085 | ) | |||||||
Immune Pharmaceuticals, Inc. | 7,359 | (11,112 | ) | |||||||
ImmunoGen, Inc. | 38,300 | (292,995 | ) | |||||||
Infinity Pharmaceuticals, Inc. | 3,000 | (3,990 | ) | |||||||
Innoviva, Inc. | 1,800 | (25,416 | ) | |||||||
Inotek Pharmaceuticals Corp. | 18,900 | (33,642 | ) | |||||||
Inovio Pharmaceuticals, Inc. | 63,100 | (400,054 | ) | |||||||
Insmed, Inc. | 5,800 | (181,018 | ) | |||||||
Insys Therapeutics, Inc. | 9,500 | (84,360 | ) |
See Notes to Consolidated Financial Statements.
77
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2017 (Unaudited)
Security Description | Shares | Value | ||||||||
Intellia Therapeutics, Inc. | 8,800 | $ | (218,680 | ) | ||||||
Intellipharmaceutics International, Inc. | 2,229 | (2,207 | ) | |||||||
Intercept Pharmaceuticals, Inc. | 17,500 | (1,015,700 | ) | |||||||
Intersect ENT, Inc. | 5,000 | (155,750 | ) | |||||||
Intra-Cellular Therapies, Inc. | 28,300 | (446,574 | ) | |||||||
Intrexon Corp. | 43,700 | (830,737 | ) | |||||||
Ionis Pharmaceuticals, Inc. | 1,000 | (50,700 | ) | |||||||
Iovance Biotherapeutics, Inc. | 2,300 | (17,825 | ) | |||||||
Ironwood Pharmaceuticals, Inc. | 27,066 | (426,831 | ) | |||||||
Jazz Pharmaceuticals PLC | 100 | (14,809 | ) | |||||||
Jounce Therapeutics, Inc. | 3,100 | (48,298 | ) | |||||||
Juno Therapeutics, Inc. | 66,900 | (3,001,134 | ) | |||||||
Kadmon Holdings, Inc. | 1,600 | (5,360 | ) | |||||||
KalVista Pharmaceuticals, Inc. | 92 | (613 | ) | |||||||
Karyopharm Therapeutics, Inc. | 8,100 | (88,938 | ) | |||||||
Keryx Biopharmaceuticals, Inc. | 55,400 | (393,340 | ) | |||||||
Kite Pharma, Inc. | 7,800 | (1,402,518 | ) | |||||||
La Jolla Pharmaceutical Co. | 10,900 | (379,102 | ) | |||||||
Lannett Co., Inc. | 26,000 | (479,700 | ) | |||||||
Lexicon Pharmaceuticals, Inc. | 1,285 | (15,793 | ) | |||||||
Lipocine, Inc. | 6,800 | (26,996 | ) | |||||||
Loxo Oncology, Inc. | 13,300 | (1,225,196 | ) | |||||||
MacroGenics, Inc. | 200 | (3,696 | ) | |||||||
Madrigal Pharmaceuticals, Inc. | 768 | (34,545 | ) | |||||||
Mallinckrodt PLC | 21,667 | (809,696 | ) | |||||||
MannKind Corp. | 73,229 | (158,907 | ) | |||||||
Marinus Pharmaceuticals, Inc. | 24,700 | (144,989 | ) | |||||||
Matinas BioPharma Holdings, Inc. | 1,800 | (2,376 | ) | |||||||
Medicines Co. | 43,800 | (1,622,352 | ) | |||||||
MediciNova, Inc. | 600 | (3,822 | ) | |||||||
MEI Pharma, Inc. | 3,700 | (9,916 | ) | |||||||
Merrimack Pharmaceuticals, Inc. | 7,960 | (115,738 | ) | |||||||
Minerva Neurosciences, Inc. | 10,000 | (76,000 | ) | |||||||
Molecular Templates, Inc. | 1,372 | (9,563 | ) | |||||||
Moleculin Biotech, Inc. | 1,700 | (4,063 | ) | |||||||
Momenta Pharmaceuticals, Inc. | 1,300 | (24,050 | ) | |||||||
Mylan NV | 63,500 | (1,991,995 | ) | |||||||
MYOS RENS Technology, Inc. | 72 | (98 | ) | |||||||
Myovant Sciences Ltd. | 400 | (6,188 | ) | |||||||
NantKwest, Inc. | 13,200 | (72,336 | ) | |||||||
Natural Health Trends Corp. | 1,700 | (40,630 | ) | |||||||
Nektar Therapeutics | 1,900 | (45,600 | ) | |||||||
Neos Therapeutics, Inc. | 4,400 | (40,260 | ) | |||||||
Neuralstem, Inc. | 2,653 | (3,502 | ) | |||||||
Neurocrine Biosciences, Inc. | 23,300 | (1,427,824 | ) | |||||||
NewLink Genetics Corp. | 20,500 | (208,690 | ) |
See Notes to Consolidated Financial Statements.
78
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2017 (Unaudited)
Security Description | Shares | Value | ||||||||
Novavax, Inc. | 104,600 | $ | (119,244 | ) | ||||||
Novelion Therapeutics, Inc. | 1,110 | (7,803 | ) | |||||||
Novus Therapeutics, Inc. | 699 | (3,642 | ) | |||||||
Ocular Therapeutix, Inc. | 18,900 | (116,802 | ) | |||||||
Ohr Pharmaceutical, Inc. | 7,600 | (5,472 | ) | |||||||
Omeros Corp. | 28,500 | (616,170 | ) | |||||||
OncoGenex Pharmaceuticals, Inc. (j) | 1,000 | 0 | ||||||||
OpGen, Inc. | 6,976 | (2,129 | ) | |||||||
Ophthotech Corp. | 16,900 | (47,658 | ) | |||||||
Orexigen Therapeutics, Inc. | 3,670 | (7,780 | ) | |||||||
Organovo Holdings, Inc. | 48,400 | (107,448 | ) | |||||||
Pacira Pharmaceuticals, Inc. | 8,300 | (311,665 | ) | |||||||
Pain Therapeutics, Inc. | 1,614 | (6,569 | ) | |||||||
Palatin Technologies, Inc. | 21,900 | (14,520 | ) | |||||||
Paratek Pharmaceuticals, Inc. | 19,200 | (481,920 | ) | |||||||
Peregrine Pharmaceuticals, Inc. | 1,457 | (4,575 | ) | |||||||
Pernix Therapeutics Holdings, Inc. | 7,500 | (23,625 | ) | |||||||
Perrigo Co. PLC (d) | 33,020 | (2,795,143 | ) | |||||||
Pfizer, Inc. (d) | 195,610 | (6,983,277 | ) | |||||||
Pieris Pharmaceuticals, Inc. | 2,300 | (13,248 | ) | |||||||
PolarityTE, Inc. | 2,199 | (60,802 | ) | |||||||
Progenics Pharmaceuticals, Inc. | 35,500 | (261,280 | ) | |||||||
Protalix BioTherapeutics, Inc. | 600 | (348 | ) | |||||||
pSivida Corp. | 700 | (840 | ) | |||||||
PTC Therapeutics, Inc. | 28,900 | (578,289 | ) | |||||||
Pulmatrix, Inc. | 9,961 | (20,420 | ) | |||||||
Puma Biotechnology, Inc. | 26,000 | (3,113,500 | ) | |||||||
Radius Health, Inc. | 30,400 | (1,171,920 | ) | |||||||
Reata Pharmaceuticals, Inc. Class A | 2,424 | (75,386 | ) | |||||||
Recro Pharma, Inc. | 100 | (898 | ) | |||||||
Regeneron Pharmaceuticals, Inc. (d) | 8,090 | (3,616,116 | ) | |||||||
REGENXBIO, Inc. | 1,300 | (42,835 | ) | |||||||
Regulus Therapeutics, Inc. | 6,200 | (7,750 | ) | |||||||
Repros Therapeutics, Inc. | 10,900 | (3,488 | ) | |||||||
Revance Therapeutics, Inc. | 6,600 | (181,830 | ) | |||||||
Rigel Pharmaceuticals, Inc. | 1,600 | (4,064 | ) | |||||||
Rxi Pharmaceuticals Corp. | 10,200 | (4,896 | ) | |||||||
Sage Therapeutics, Inc. | 24,000 | (1,495,200 | ) | |||||||
Sangamo BioSciences, Inc. | 6,400 | (96,000 | ) | |||||||
Sarepta Therapeutics, Inc. | 45,000 | (2,041,200 | ) | |||||||
Savara, Inc. | 1,849 | (17,288 | ) | |||||||
SCYNEXIS, Inc. | 4,900 | (11,809 | ) | |||||||
Seattle Genetics, Inc. | 1,800 | (97,938 | ) | |||||||
Seres Therapeutics, Inc. | 4,100 | (65,764 | ) | |||||||
Shire PLC ADR | 25 | (3,828 | ) | |||||||
Sierra Oncology, Inc. | 5,900 | (9,145 | ) |
See Notes to Consolidated Financial Statements.
79
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2017 (Unaudited)
Security Description | Shares | Value | ||||||||
Sophiris Bio, Inc. | 9,100 | $ | (19,474 | ) | ||||||
Sorrento Therapeutics, Inc. | 1,700 | (2,890 | ) | |||||||
Spark Therapeutics, Inc. | 3,100 | (276,396 | ) | |||||||
Stemline Therapeutics, Inc. | 500 | (5,550 | ) | |||||||
Sunesis Pharmaceuticals, Inc. | 233 | (452 | ) | |||||||
Supernus Pharmaceuticals, Inc. | 200 | (8,000 | ) | |||||||
Syndax Pharmaceuticals, Inc. | 3,600 | (42,120 | ) | |||||||
Synergy Pharmaceuticals, Inc. | 157,400 | (456,460 | ) | |||||||
Synthetic Biologics, Inc. | 39,900 | (37,231 | ) | |||||||
Teligent, Inc. | 16,800 | (112,728 | ) | |||||||
Tenax Therapeutics, Inc. | 8,900 | (3,213 | ) | |||||||
TESARO, Inc. | 37,900 | (4,892,890 | ) | |||||||
Tetraphase Pharmaceuticals, Inc. | 11,100 | (75,924 | ) | |||||||
TG Therapeutics, Inc. | 35,000 | (414,750 | ) | |||||||
TherapeuticsMD, Inc. | 123,000 | (650,670 | ) | |||||||
Theravance Biopharma, Inc. | 1,700 | (58,208 | ) | |||||||
Titan Pharmaceuticals, Inc. | 1,600 | (2,800 | ) | |||||||
Tonix Pharmaceuticals Holding Corp. | 5,160 | (23,530 | ) | |||||||
Trevena, Inc. | 23,100 | (58,905 | ) | |||||||
Trillium Therapeutics, Inc. | 1,600 | (8,240 | ) | |||||||
Ultragenyx Pharmaceutical, Inc. | 12,500 | (665,750 | ) | |||||||
United Therapeutics Corp. | 700 | (82,033 | ) | |||||||
Valeant Pharmaceuticals International, Inc. | 163,100 | (2,337,223 | ) | |||||||
Vital Therapies, Inc. | 2,700 | (13,635 | ) | |||||||
VIVUS, Inc. | 23,700 | (23,463 | ) | |||||||
WaVe Life Sciences Ltd. | 400 | (8,700 | ) | |||||||
Xbiotech, Inc. | 6,300 | (27,531 | ) | |||||||
Xencor, Inc. | 100 | (2,300 | ) | |||||||
Xenon Pharmaceuticals, Inc. | 100 | (295 | ) | |||||||
XOMA Corp. | 410 | (8,057 | ) | |||||||
Zafgen, Inc. | 5,500 | (19,360 | ) | |||||||
ZIOPHARM Oncology, Inc. | 63,046 | (387,102 | ) | |||||||
Zoetis, Inc. | 84,500 | (5,387,720 | ) | |||||||
Zogenix, Inc. | 16,025 | (561,676 | ) | |||||||
Zosano Pharma Corp. | 10,300 | (8,477 | ) | |||||||
Zynerba Pharmaceuticals, Inc. | 9,200 | (76,912 | ) | |||||||
|
| |||||||||
(150,616,556 | ) | |||||||||
|
| |||||||||
Chemicals — (0.2)% | ||||||||||
Avery Dennison Corp. | 500 | (49,422 | ) | |||||||
Axalta Coating Systems Ltd. | 56,200 | (1,625,304 | ) | |||||||
Balchem Corp. | 3,000 | (243,870 | ) | |||||||
CF Industries Holdings, Inc. | 113,900 | (4,004,724 | ) | |||||||
Ferro Corp. | 1,200 | (26,760 | ) | |||||||
GCP Applied Technologies, Inc. | 100 | (3,070 | ) | |||||||
Innospec, Inc. | 100 | (6,115 | ) |
See Notes to Consolidated Financial Statements.
80
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2017 (Unaudited)
Security Description | Shares | Value | ||||||||
Intrepid Potash, Inc. | 32,000 | $ | (139,520 | ) | ||||||
Kraton Performance Polymers, Inc. | 7,000 | (283,080 | ) | |||||||
LSB Industries, Inc. | 19,800 | (157,212 | ) | |||||||
Materion Corp. | 200 | (8,630 | ) | |||||||
Minerals Technologies, Inc. | 200 | (14,130 | ) | |||||||
Olin Corp. | 101,900 | (3,490,075 | ) | |||||||
Platform Specialty Products Corp. | 74,600 | (831,790 | ) | |||||||
PolyOne Corp. | 300 | (12,009 | ) | |||||||
Rayonier Advanced Materials, Inc. | 11,300 | (154,810 | ) | |||||||
Rentech, Inc. | 3,490 | (1,605 | ) | |||||||
Trinseo SA | 2,600 | (174,460 | ) | |||||||
Tronox Ltd. Class A | 1,000 | (21,100 | ) | |||||||
Valvoline, Inc. | 4,424 | (103,743 | ) | |||||||
|
| |||||||||
(11,351,429 | ) | |||||||||
|
| |||||||||
Commercial Services — (0.1)% | ||||||||||
ABM Industries, Inc. | 3,200 | (133,472 | ) | |||||||
Advisory Board Co. (The) | 10,700 | (573,788 | ) | |||||||
AMN Healthcare Services, Inc. | 900 | (41,130 | ) | |||||||
Aramark | 33,900 | (1,376,679 | ) | |||||||
Brink’s Co. | 100 | (8,396 | ) | |||||||
FTI Consulting, Inc. | 200 | (7,096 | ) | |||||||
H&R Block, Inc. | 40,847 | (1,081,629 | ) | |||||||
Healthcare Services Group, Inc. | 4,700 | (253,659 | ) | |||||||
LSC Communications, Inc. | 200 | (3,210 | ) | |||||||
On Assignment, Inc. | 400 | (21,472 | ) | |||||||
Patriot National, Inc. | 3,800 | (5,130 | ) | |||||||
Quad/Graphics, Inc. | 200 | (4,522 | ) | |||||||
Rollins, Inc. | 1,450 | (66,903 | ) | |||||||
RR Donnelley & Sons Co. | 20,534 | (211,500 | ) | |||||||
Sotheby’s | 4,800 | (221,328 | ) | |||||||
|
| |||||||||
(4,009,914 | ) | |||||||||
|
| |||||||||
Construction Materials — (0.1)% | ||||||||||
Eagle Materials, Inc. | 1,000 | (106,700 | ) | |||||||
Martin Marietta Materials, Inc. | 4,930 | (1,016,714 | ) | |||||||
Patrick Industries, Inc. | 50 | (4,205 | ) | |||||||
Summit Materials, Inc. Class A | 43,900 | (1,406,117 | ) | |||||||
Trex Co., Inc. | 400 | (36,028 | ) | |||||||
US Concrete, Inc. | 600 | (45,780 | ) | |||||||
Vulcan Materials Co. | 4,600 | (550,160 | ) | |||||||
|
| |||||||||
(3,165,704 | ) | |||||||||
|
| |||||||||
Consumer Products — (0.8)% | ||||||||||
22nd Century Group, Inc. | 7,500 | (20,775 | ) | |||||||
Alliance One International, Inc. | 200 | (2,180 | ) |
See Notes to Consolidated Financial Statements.
81
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2017 (Unaudited)
Security Description | Shares | Value | ||||||||||
Amplify Snack Brands, Inc. | 23,400 | $ | (165,906 | ) | ||||||||
B&G Foods, Inc. | 41,200 | (1,312,220 | ) | |||||||||
Blue Buffalo Pet Products, Inc. | 75,000 | (2,126,250 | ) | |||||||||
Cal-Maine Foods, Inc. | 2,400 | (98,640 | ) | |||||||||
Church & Dwight Co., Inc. | 300 | (14,535 | ) | |||||||||
Coca-Cola Co. | 11,200 | (504,112 | ) | |||||||||
Cott Corp. | 4,900 | (73,549 | ) | |||||||||
Coty, Inc. Class A | 293,480 | (4,851,224 | ) | |||||||||
Darling Ingredients, Inc. | 500 | (8,760 | ) | |||||||||
Dean Foods Co. | 14,000 | (152,320 | ) | |||||||||
elf Beauty, Inc. | 28,300 | (638,165 | ) | |||||||||
Energizer Holdings, Inc. | 1,200 | (55,260 | ) | |||||||||
General Mills, Inc. | 156,800 | (8,115,968 | ) | |||||||||
Hain Celestial Group, Inc. | 7,000 | (288,050 | ) | |||||||||
Helen of Troy Ltd. | 300 | (29,070 | ) | |||||||||
Herbalife Ltd. | 25,300 | (1,716,099 | ) | |||||||||
Hostess Brands, Inc. | 15,600 | (213,096 | ) | |||||||||
Kellogg Co. | 59,700 | (3,723,489 | ) | |||||||||
Kraft Heinz Co. | 95,600 | (7,413,780 | ) | |||||||||
Lamb Weston Holdings, Inc. | 200 | (9,360 | ) | |||||||||
McCormick & Co., Inc. | 6,100 | (626,104 | ) | |||||||||
MGP Ingredients, Inc. | 100 | (6,063 | ) | |||||||||
Orchids Paper Products Co. | 372 | (5,238 | ) | |||||||||
PepsiCo, Inc. | 5,600 | (624,008 | ) | |||||||||
Post Holdings, Inc. | 31,700 | (2,798,159 | ) | |||||||||
Revlon, Inc. Class A | 5,600 | (137,480 | ) | |||||||||
Snyder’s-Lance, Inc. | 5,700 | (217,398 | ) | |||||||||
TreeHouse Foods, Inc. | 34,500 | (2,336,685 | ) | |||||||||
Tyson Foods, Inc. Class A | 10,200 | (718,590 | ) | |||||||||
Universal Corp. | 300 | (17,190 | ) | |||||||||
|
| |||||||||||
(39,019,723 | ) | |||||||||||
|
| |||||||||||
Consumer Services — (0.0)% | ||||||||||||
Aaron’s, Inc. | 1,700 | (74,171 | ) | |||||||||
Bright Horizons Family Solutions, Inc. | 100 | (8,560 | ) | |||||||||
Career Education Corp. | 6,700 | (69,613 | ) | |||||||||
Laureate Education, Inc. Class A | 14,699 | (213,870 | ) | |||||||||
Medifast, Inc. | 100 | (5,959 | ) | |||||||||
Nutrisystem, Inc. | 2,400 | (134,160 | ) | |||||||||
Rent-A-Center, Inc. | 37,300 | (428,204 | ) | |||||||||
|
| |||||||||||
(934,537 | ) | |||||||||||
|
| |||||||||||
Containers & Packaging — (0.0)% | ||||||||||||
Bemis Co., Inc. | 3,700 | (168,609 | ) | |||||||||
International Paper Co. | 1,300 | (73,866 | ) | |||||||||
KapStone Paper and Packaging Corp. | 17,500 | (376,075 | ) |
See Notes to Consolidated Financial Statements.
82
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2017 (Unaudited)
Security Description | Shares | Value | ||||||||
Owens-Illinois, Inc. | 1,200 | $ | (30,192 | ) | ||||||
Packaging Corp. of America | 2,200 | (252,296 | ) | |||||||
Sonoco Products Co. | 2,100 | (105,945 | ) | |||||||
|
| |||||||||
(1,006,983 | ) | |||||||||
|
| |||||||||
Design, Manufacturing & Distribution — (0.0)% | ||||||||||
Arrow Electronics, Inc. | 700 | (56,287 | ) | |||||||
|
| |||||||||
Distributors—Consumer Staples — (0.0)% | ||||||||||
Calavo Growers, Inc. | 600 | (43,920 | ) | |||||||
Castle Brands, Inc. | 13,300 | (17,822 | ) | |||||||
Core-Mark Holding Co., Inc. | 1,200 | (38,568 | ) | |||||||
|
| |||||||||
(100,310 | ) | |||||||||
|
| |||||||||
Distributors—Discretionary — (0.0)% | ||||||||||
Fastenal Co. | 4,200 | (191,436 | ) | |||||||
G-III Apparel Group Ltd. | 5,600 | (162,512 | ) | |||||||
LKQ Corp. | 300 | (10,797 | ) | |||||||
|
| |||||||||
(364,745 | ) | |||||||||
|
| |||||||||
Electrical Equipment — (0.2)% | ||||||||||
AAON, Inc. | 100 | (3,447 | ) | |||||||
Acuity Brands, Inc. | 400 | (68,512 | ) | |||||||
Allied Motion Technologies, Inc. | 100 | (2,534 | ) | |||||||
Babcock & Wilcox Enterprises, Inc. | 6,600 | (21,978 | ) | |||||||
Badger Meter, Inc. | 100 | (4,900 | ) | |||||||
Capstone Turbine Corp. | 4,485 | (3,117 | ) | |||||||
Energous Corp. | 15,300 | (193,698 | ) | |||||||
Energy Focus, Inc. | 2,100 | (5,733 | ) | |||||||
ESCO Technologies, Inc. | 100 | (6,020 | ) | |||||||
General Cable Corp. | 24,200 | (456,170 | ) | |||||||
Hubbell, Inc. | 200 | (23,204 | ) | |||||||
Johnson Controls International PLC | 253,300 | (10,205,457 | ) | |||||||
National Instruments Corp. | 100 | (4,235 | ) | |||||||
|
| |||||||||
(10,999,005 | ) | |||||||||
|
| |||||||||
Engineering & Construction Services — (0.1)% | ||||||||||
AECOM | 24,796 | (912,741 | ) | |||||||
Chicago Bridge & Iron Co. NV | 70,800 | (1,189,440 | ) | |||||||
Dycom Industries, Inc. | 5,700 | (489,516 | ) | |||||||
Goldfield Corp. | 4,000 | (25,200 | ) | |||||||
KBR, Inc. | 11,100 | (198,468 | ) | |||||||
Kratos Defense & Security Solutions, Inc. | 10,100 | (132,108 | ) | |||||||
Stantec, Inc. | 200 | (5,550 | ) | |||||||
Team, Inc. | 3,300 | (44,055 | ) | |||||||
|
| |||||||||
(2,997,078 | ) | |||||||||
|
|
See Notes to Consolidated Financial Statements.
83
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2017 (Unaudited)
Security Description | Shares | Value | ||||||||
Forest & Paper Products — (0.0)% | ||||||||||
Domtar Corp. | 700 | $ | (30,373 | ) | ||||||
Verso Corp. | 2,100 | (10,689 | ) | |||||||
|
| |||||||||
(41,062 | ) | |||||||||
|
| |||||||||
Gaming, Lodging & Restaurants — (0.6)% | ||||||||||
Brinker International, Inc. | 33,900 | (1,080,054 | ) | |||||||
Buffalo Wild Wings, Inc. | 10,800 | (1,141,560 | ) | |||||||
Carnival Corp. | 300 | (19,287 | ) | |||||||
Carnival PLC ADR | 800 | (51,584 | ) | |||||||
Cheesecake Factory, Inc. | 2,800 | (117,936 | ) | |||||||
Chipotle Mexican Grill, Inc. | 19,901 | (6,126,125 | ) | |||||||
Choice Hotels International, Inc. | 4,500 | (287,550 | ) | |||||||
Churchill Downs, Inc. | 2,200 | (453,640 | ) | |||||||
Chuy’s Holdings, Inc. | 1,300 | (27,365 | ) | |||||||
Darden Restaurants, Inc. | 8,699 | (685,307 | ) | |||||||
Dave & Buster’s Entertainment, Inc. | 20,600 | (1,081,088 | ) | |||||||
DineEquity, Inc. | 12,500 | (537,250 | ) | |||||||
Fiesta Restaurant Group, Inc. | 5,900 | (112,100 | ) | |||||||
Golden Entertainment, Inc. | 1,100 | (26,818 | ) | |||||||
Hilton Worldwide Holdings, Inc. | 29,300 | (2,034,885 | ) | |||||||
ILG, Inc. | 10,996 | (293,923 | ) | |||||||
International Game Technology PLC | 2,300 | (56,465 | ) | |||||||
Jamba, Inc. | 1,800 | (15,552 | ) | |||||||
La Quinta Holdings, Inc. | 2,200 | (38,500 | ) | |||||||
Las Vegas Sands Corp. | 19,800 | (1,270,368 | ) | |||||||
Marriott International, Inc. Class A | 1,086 | (119,743 | ) | |||||||
MGM Resorts International | 222,600 | (7,254,534 | ) | |||||||
Noodles & Co. | 100 | (440 | ) | |||||||
Norwegian Cruise Line Holdings Ltd. | 13,900 | (751,295 | ) | |||||||
Papa Murphy’s Holdings, Inc. | 3,000 | (17,850 | ) | |||||||
Rave Restaurant Group, Inc. | 500 | (895 | ) | |||||||
Red Robin Gourmet Burgers, Inc. | 4,000 | (268,000 | ) | |||||||
Red Rock Resorts, Inc. Class A | 34,200 | (792,072 | ) | |||||||
Royal Caribbean Cruises Ltd. | 7,400 | (877,196 | ) | |||||||
Ruby Tuesday, Inc. | 8,000 | (17,120 | ) | |||||||
Shake Shack, Inc. Class A | 18,100 | (601,463 | ) | |||||||
Starbucks Corp. | 6,900 | (370,599 | ) | |||||||
Texas Roadhouse, Inc. | 2,200 | (108,108 | ) | |||||||
Wynn Resorts Ltd. | 31,900 | (4,750,548 | ) | |||||||
Zoe’s Kitchen, Inc. | 13,600 | (171,768 | ) | |||||||
|
| |||||||||
(31,558,988 | ) | |||||||||
|
| |||||||||
Hardware — (0.2)% | ||||||||||
3D Systems Corp. | 79,600 | (1,065,844 | ) | |||||||
Acacia Communications, Inc. | 27,400 | (1,290,540 | ) |
See Notes to Consolidated Financial Statements.
84
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2017 (Unaudited)
Security Description | Shares | Value | ||||||||
Aerohive Networks, Inc. | 1,100 | $ | (4,499 | ) | ||||||
Airgain, Inc. | 600 | (5,454 | ) | |||||||
ARRIS International PLC | 1,900 | (54,131 | ) | |||||||
Blackberry Ltd. | 199,300 | (2,228,174 | ) | |||||||
Ciena Corp. | 95,300 | (2,093,741 | ) | |||||||
CommScope Holding Co., Inc. | 12,900 | (428,409 | ) | |||||||
Control4 Corp. | 500 | (14,730 | ) | |||||||
Diebold, Inc. | 30,300 | (692,355 | ) | |||||||
Digimarc Corp. | 2,600 | (95,160 | ) | |||||||
Digital Ally, Inc. | 2,100 | (5,040 | ) | |||||||
Everspin Technologies, Inc. | 1,800 | (30,762 | ) | |||||||
ExOne Co. | 4,100 | (46,576 | ) | |||||||
Gigamon, Inc. | 18,600 | (783,990 | ) | |||||||
GoPro, Inc. Class A | 68,000 | (748,680 | ) | |||||||
Infinera Corp. | 4,100 | (36,367 | ) | |||||||
Kopin Corp. | 1,500 | (6,255 | ) | |||||||
Lumentum Holdings, Inc. | 11,300 | (614,155 | ) | |||||||
Mercury Systems, Inc. | 1,100 | (57,068 | ) | |||||||
Methode Electronics, Inc. | 100 | (4,275 | ) | |||||||
MicroVision, Inc. | 25,700 | (71,446 | ) | |||||||
NCR Corp. | 5,700 | (213,864 | ) | |||||||
Neonode, Inc. | 5,200 | (6,656 | ) | |||||||
NETGEAR, Inc. | 500 | (23,800 | ) | |||||||
NetScout Systems, Inc. | 4,800 | (155,280 | ) | |||||||
Nutanix, Inc. | 27,700 | (620,203 | ) | |||||||
NXT-ID, Inc. | 1,716 | (3,775 | ) | |||||||
Pitney Bowes, Inc. | 900 | (12,611 | ) | |||||||
Quantum Corp. | 2,863 | (17,522 | ) | |||||||
Super Micro Computer, Inc. | 4,600 | (101,660 | ) | |||||||
Superconductor Technologies, Inc. | 1,432 | (1,475 | ) | |||||||
Ubiquiti Networks, Inc. | 15,824 | (886,460 | ) | |||||||
ViaSat, Inc. | 3,200 | (205,824 | ) | |||||||
Vuzix Corp. | 4,649 | (25,337 | ) | |||||||
|
| |||||||||
(12,652,118 | ) | |||||||||
|
| |||||||||
Health Care Facilities & Services — (0.6)% | ||||||||||
Acadia Healthcare Co., Inc. | 5,700 | (272,232 | ) | |||||||
Almost Family, Inc. | 200 | (10,746 | ) | |||||||
American Renal Associates Holdings, Inc. | 3,300 | (49,401 | ) | |||||||
AmerisourceBergen Corp. | 13,300 | (1,100,575 | ) | |||||||
Anthem, Inc. (d) | 55,250 | (10,490,724 | ) | |||||||
Brookdale Senior Living, Inc. | 113,691 | (1,205,125 | ) | |||||||
Cancer Genetics, Inc. | 100 | (270 | ) | |||||||
Capital Senior Living Corp. | 13,800 | (173,190 | ) | |||||||
Cardinal Health, Inc. | 1,300 | (86,996 | ) | |||||||
CHF Solutions, Inc. | 8,732 | (5,118 | ) |
See Notes to Consolidated Financial Statements.
85
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2017 (Unaudited)
Security Description | Shares | Value | ||||||||
DaVita HealthCare Partners, Inc. | 2,900 | $ | (172,231 | ) | ||||||
Diplomat Pharmacy, Inc. | 12,600 | (260,946 | ) | |||||||
Ekso Bionics Holdings, Inc. | 16,299 | (19,722 | ) | |||||||
Ensign Group, Inc. | 100 | (2,254 | ) | |||||||
Envision Healthcare Corp. | 55,631 | (2,500,613 | ) | |||||||
Genesis Healthcare, Inc. | 6,600 | (7,656 | ) | |||||||
HCA Healthcare, Inc. (d) | 45,150 | (3,593,489 | ) | |||||||
HealthEquity, Inc. | 200 | (10,116 | ) | |||||||
HealthSouth Corp. | 800 | (37,080 | ) | |||||||
Henry Schein, Inc. (d) | 43,610 | (3,575,584 | ) | |||||||
ICON PLC | 4,267 | (485,926 | ) | |||||||
Interpace Diagnostics Group, Inc. | 6,500 | (10,075 | ) | |||||||
Invitae Corp. | 600 | (5,622 | ) | |||||||
Kindred Healthcare, Inc. | 48,549 | (330,133 | ) | |||||||
Laboratory Corp. of America Holdings | 1,400 | (211,358 | ) | |||||||
Natera, Inc. | 6,800 | (87,652 | ) | |||||||
NeoGenomics, Inc. | 1,300 | (14,469 | ) | |||||||
Nobilis Health Corp. | 4,600 | (6,900 | ) | |||||||
Novan, Inc. | 3,300 | (18,513 | ) | |||||||
OvaScience, Inc. | 5,000 | (7,100 | ) | |||||||
Owens & Minor, Inc. | 2,200 | (64,240 | ) | |||||||
Patterson Cos., Inc. | 100 | (3,874 | ) | |||||||
Quest Diagnostics, Inc. (d) | 11,750 | (1,100,270 | ) | |||||||
Quintiles Transnational Holdings, Inc. | 7,202 | (684,694 | ) | |||||||
Quorum Health Corp. | 1,100 | (5,698 | ) | |||||||
Rennova Health, Inc. | 2,000 | (390 | ) | |||||||
Research Holdings, Inc. Class A | 4,200 | (219,660 | ) | |||||||
Surgery Partners, Inc. | 600 | (6,210 | ) | |||||||
Teladoc, Inc. | 16,400 | (543,660 | ) | |||||||
Tenet Healthcare Corp. | 70,500 | (1,158,315 | ) | |||||||
UnitedHealth Group, Inc. | 300 | (58,502 | ) | |||||||
Universal Health Services, Inc. Class B | 4,700 | (521,418 | ) | |||||||
|
| |||||||||
(29,118,747 | ) | |||||||||
|
| |||||||||
Home & Office Products — (0.4)% | ||||||||||
AV Homes, Inc. | 100 | (1,715 | ) | |||||||
Beazer Homes USA, Inc. | 19,600 | (367,304 | ) | |||||||
CalAtlantic Group, Inc. | 44,220 | (1,619,779 | ) | |||||||
Century Communities, Inc. | 5,300 | (130,910 | ) | |||||||
DR Horton, Inc. | 700 | (27,951 | ) | |||||||
Fortune Brands Home & Security, Inc. | 600 | (40,338 | ) | |||||||
Green Brick Partners, Inc. | 400 | (3,960 | ) | |||||||
Hovnanian Enterprises, Inc. Class A | 67,800 | (130,854 | ) | |||||||
iRobot Corp. | 10,400 | (801,424 | ) | |||||||
KB Home | 55,100 | (1,329,012 | ) | |||||||
Leggett & Platt, Inc. | 9,300 | (443,889 | ) |
See Notes to Consolidated Financial Statements.
86
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2017 (Unaudited)
Security Description | Shares | Value | ||||||||
Lennar Corp. Class A | 3,900 | $ | (205,920 | ) | ||||||
LGI Homes, Inc. | 14,500 | (704,265 | ) | |||||||
M/I Homes, Inc. | 6,900 | (184,437 | ) | |||||||
MDC Holdings, Inc. | 11,400 | (378,594 | ) | |||||||
Meritage Homes Corp. | 4,100 | (182,040 | ) | |||||||
Newell Brands, Inc. | 221,318 | (9,443,639 | ) | |||||||
Nova Lifestyle, Inc. | 500 | (830 | ) | |||||||
PulteGroup, Inc. | 2,400 | (65,592 | ) | |||||||
St Joe Co. | 3,800 | (71,630 | ) | |||||||
Stanley Black & Decker, Inc. | 15,900 | (2,400,423 | ) | |||||||
Taylor Morrison Home Corp. Class A | 1,600 | (35,280 | ) | |||||||
Tempur Sealy International, Inc. | 37,700 | (2,432,404 | ) | |||||||
Toll Brothers, Inc. | 500 | (20,735 | ) | |||||||
TRI Pointe Homes, Inc. | 89,900 | (1,241,519 | ) | |||||||
William Lyon Homes Class A | 15,700 | (360,943 | ) | |||||||
|
| |||||||||
(22,625,387 | ) | |||||||||
|
| |||||||||
Industrial Services — (0.0)% | ||||||||||
HD Supply Holdings, Inc. | 7,500 | (270,525 | ) | |||||||
Herc Holdings, Inc. | 446 | (21,912 | ) | |||||||
Kaman Corp. | 2,000 | (111,560 | ) | |||||||
Ritchie Bros Auctioneers, Inc. | 19,100 | (603,942 | ) | |||||||
Watsco, Inc. | 200 | (32,253 | ) | |||||||
Wesco Aircraft Holdings, Inc. | 1,100 | (10,340 | ) | |||||||
|
| |||||||||
(1,050,532 | ) | |||||||||
|
| |||||||||
Institutional Financial Services — (0.6)% | ||||||||||
CBOE Holdings, Inc. | 31,300 | (3,368,819 | ) | |||||||
CME Group, Inc. | 1,000 | (135,680 | ) | |||||||
Evercore Partners, Inc. Class A | 3,100 | (248,775 | ) | |||||||
Global Brokerage, Inc. | 2,650 | (4,505 | ) | |||||||
Goldman Sachs Group, Inc. | 69,400 | (16,460,986 | ) | |||||||
Greenhill & Co., Inc. | 20,700 | (343,620 | ) | |||||||
Investment Technology Group, Inc. | 100 | (2,214 | ) | |||||||
Morgan Stanley | 156,900 | (7,557,873 | ) | |||||||
Piper Jaffray Cos. | 400 | (23,740 | ) | |||||||
PJT Partners, Inc. | 100 | (3,790 | ) | |||||||
State Street Corp. | 400 | (38,216 | ) | |||||||
Virtu Financial, Inc. Class A | 15,900 | (257,580 | ) | |||||||
|
| |||||||||
(28,445,798 | ) | |||||||||
|
| |||||||||
Insurance — (0.2)% | ||||||||||
Ambac Financial Group, Inc. | 200 | (3,452 | ) | |||||||
American International Group, Inc. | 42,200 | (2,590,658 | ) | |||||||
American National Insurance Co. | 100 | (11,808 | ) | |||||||
Amtrust Financial Services, Inc. | 800 | (10,768 | ) |
See Notes to Consolidated Financial Statements.
87
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2017 (Unaudited)
Security Description | Shares | Value | ||||||||
Aon PLC | 1,300 | $ | (189,930 | ) | ||||||
Arthur J Gallagher & Co. | 1,600 | (98,480 | ) | |||||||
Berkshire Hathaway, Inc. Class B | 26,400 | (4,839,648 | ) | |||||||
Brown & Brown, Inc. | 600 | (28,914 | ) | |||||||
Chubb Ltd. | 1,800 | (256,590 | ) | |||||||
Cincinnati Financial Corp. | 11,651 | (892,117 | ) | |||||||
CNO Financial Group, Inc. | 600 | (14,004 | ) | |||||||
Everest Re Group Ltd. | 200 | (45,232 | ) | |||||||
Great-West Lifeco, Inc. | 19,582 | (563,566 | ) | |||||||
Hartford Financial Services Group, Inc. | 700 | (38,801 | ) | |||||||
HCI Group, Inc. | 2,300 | (87,975 | ) | |||||||
Health Insurance Innovations, Inc. Class A | 1,800 | (26,100 | ) | |||||||
Markel Corp. | 200 | (213,596 | ) | |||||||
Marsh & McLennan Cos., Inc. | 1,100 | (92,191 | ) | |||||||
MBIA, Inc. | 61,400 | (534,180 | ) | |||||||
Reinsurance Group of America, Inc. | 400 | (55,812 | ) | |||||||
Sun Life Financial, Inc. | 3,700 | (147,334 | ) | |||||||
Torchmark Corp. | 49 | (3,924 | ) | |||||||
Unum Group | 100 | (5,095 | ) | |||||||
XL Group Ltd. | 800 | (31,560 | ) | |||||||
|
| |||||||||
(10,781,735 | ) | |||||||||
|
| |||||||||
Iron & Steel — (0.1)% | ||||||||||
AK Steel Holding Corp. | 220,300 | (1,231,477 | ) | |||||||
Allegheny Technologies, Inc. | 29,600 | (707,440 | ) | |||||||
Carpenter Technology Corp. | 500 | (24,015 | ) | |||||||
Cleveland Cliffs, Inc. | 207,500 | (1,483,625 | ) | |||||||
Commercial Metals Co. | 13,700 | (260,711 | ) | |||||||
Reliance Steel & Aluminum Co. | 400 | (30,468 | ) | |||||||
Schnitzer Steel Industries, Inc. Class A | 100 | (2,811 | ) | |||||||
United States Steel Corp. | 122,400 | (3,140,784 | ) | |||||||
Warrior Met Coal, Inc. | 4,000 | (94,280 | ) | |||||||
Worthington Industries, Inc. | 1,500 | (69,000 | ) | |||||||
|
| |||||||||
(7,044,611 | ) | |||||||||
|
| |||||||||
Leisure Products — (0.2)% | ||||||||||
Hasbro, Inc. | 2,000 | (195,340 | ) | |||||||
LCI Industries | 5,800 | (671,930 | ) | |||||||
Mattel, Inc. | 108,700 | (1,682,676 | ) | |||||||
Nautilus, Inc. | 2,900 | (49,010 | ) | |||||||
Polaris Industries, Inc. | 28,300 | (2,961,029 | ) | |||||||
Thor Industries, Inc. | 17,300 | (2,178,243 | ) | |||||||
Vista Outdoor, Inc. | 4,000 | (91,760 | ) | |||||||
Winnebago Industries, Inc. | 3,900 | (174,525 | ) | |||||||
|
| |||||||||
(8,004,513 | ) | |||||||||
|
|
See Notes to Consolidated Financial Statements.
88
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2017 (Unaudited)
Security Description | Shares | Value | ||||||||
Machinery — (0.1)% | ||||||||||
Actuant Corp. Class A | 1,400 | $ | (35,840 | ) | ||||||
Flowserve Corp. | 12,800 | (545,152 | ) | |||||||
IDEX Corp. | 2,700 | (327,969 | ) | |||||||
John Bean Technologies Corp. | 1,900 | (192,090 | ) | |||||||
Kennametal, Inc. | 400 | (16,136 | ) | |||||||
Manitowoc Co., Inc. | 11,800 | (106,200 | ) | |||||||
Middleby Corp. | 3,000 | (384,510 | ) | |||||||
NN, Inc. | 300 | (8,700 | ) | |||||||
Raven Industries, Inc. | 500 | (16,200 | ) | |||||||
Terex Corp. | 9,700 | (436,694 | ) | |||||||
Titan International, Inc. | 2,800 | (28,420 | ) | |||||||
Xylem, Inc. | 14,500 | (908,135 | ) | |||||||
|
| |||||||||
(3,006,046 | ) | |||||||||
|
| |||||||||
Manufactured Goods — (0.0)% | ||||||||||
AZZ, Inc. | 300 | (14,610 | ) | |||||||
Proto Labs, Inc. | 5,900 | (473,770 | ) | |||||||
Simpson Manufacturing Co., Inc. | 4,100 | (201,064 | ) | |||||||
Timken Co. (The) | 400 | (19,420 | ) | |||||||
|
| |||||||||
(708,864 | ) | |||||||||
|
| |||||||||
Media — (1.1)% | ||||||||||
AMC Networks, Inc. Class A | 100 | (5,847 | ) | |||||||
Angie’s List, Inc. | 16,000 | (199,360 | ) | |||||||
Cars.com, Inc. | 10,800 | (287,388 | ) | |||||||
Carvana Co. | 10,800 | (158,544 | ) | |||||||
Charter Communications, Inc. Class A (d) | 4,791 | (1,741,145 | ) | |||||||
Cumulus Media, Inc. Class A | 3,200 | (1,024 | ) | |||||||
DISH Network Corp. Class A | 2,200 | (119,306 | ) | |||||||
EW Scripps Co. Class A | 36 | (688 | ) | |||||||
Facebook, Inc. Class A | 63,400 | (10,833,158 | ) | |||||||
Global Eagle Entertainment, Inc. | 2,500 | (8,550 | ) | |||||||
Gray Television, Inc. | 5,400 | (84,780 | ) | |||||||
Groupon, Inc. | 220,700 | (1,147,640 | ) | |||||||
GrubHub, Inc. | 15,700 | (826,762 | ) | |||||||
Houghton Mifflin Harcourt Co. | 100 | (1,205 | ) | |||||||
Imax Corp. | 1,600 | (36,240 | ) | |||||||
Interpublic Group of Cos., Inc. (The) | 200 | (4,158 | ) | |||||||
John Wiley & Sons, Inc. Class A | 5,100 | (272,850 | ) | |||||||
Liberty Broadband Corp. Class C | 12,900 | (1,229,370 | ) | |||||||
Liberty Expedia Holdings, Inc. Class A | 1,400 | (74,354 | ) | |||||||
Liberty Media Group Class A | 92 | (3,348 | ) | |||||||
Live Ventures, Inc. | 366 | (4,506 | ) | |||||||
Media General, Inc. (j) | 12,100 | 0 | ||||||||
Meet Group, Inc. | 34,400 | (125,216 | ) |
See Notes to Consolidated Financial Statements.
89
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2017 (Unaudited)
Security Description | Shares | Value | ||||||||
Meredith Corp. | 2,600 | $ | (144,300 | ) | ||||||
New Media Investment Group, Inc. | 1,800 | (26,622 | ) | |||||||
New York Times Co. Class A | 1,600 | (31,360 | ) | |||||||
Nexstar Media Group, Inc. | 31,811 | (1,981,825 | ) | |||||||
Pandora Media, Inc. | 169,800 | (1,307,460 | ) | |||||||
Shaw Communications, Inc. B Shares | 1,300 | (29,913 | ) | |||||||
Shutterstock, Inc. | 500 | (16,645 | ) | |||||||
Sinclair Broadcast Group, Inc. Class A | 2,100 | (67,305 | ) | |||||||
Sirius XM Holdings, Inc. (d) | 500,708 | (2,763,908 | ) | |||||||
Snap, Inc. | 567,700 | (8,254,358 | ) | |||||||
Stamps.com, Inc. | 5,400 | (1,094,310 | ) | |||||||
TEGNA, Inc. | 82,400 | (1,098,392 | ) | |||||||
Time, Inc. | 1,700 | (22,950 | ) | |||||||
TripAdvisor, Inc. | 56,302 | (2,281,920 | ) | |||||||
Twitter, Inc. | 509,000 | (8,586,830 | ) | |||||||
Walt Disney Co. | 66,000 | (6,505,620 | ) | |||||||
WideOpenWest, Inc. | 200 | (3,005 | ) | |||||||
Yelp, Inc. | 39,800 | (1,723,340 | ) | |||||||
Yext, Inc. | 4,600 | (61,088 | ) | |||||||
Zillow Group, Inc. Class A | 3,182 | (127,757 | ) | |||||||
|
| |||||||||
(53,294,347 | ) | |||||||||
|
| |||||||||
Medical Equipment & Devices — (1.8)% | ||||||||||
Abbott Laboratories (d) | 87,558 | (4,672,095 | ) | |||||||
ABIOMED, Inc. | 1,900 | (320,340 | ) | |||||||
Accelerate Diagnostics, Inc. | 15,600 | (350,220 | ) | |||||||
Agilent Technologies, Inc. (d) | 55,960 | (3,592,632 | ) | |||||||
Amedica Corp. | 15,707 | (4,715 | ) | |||||||
Avinger, Inc. | 12,628 | (4,804 | ) | |||||||
Becton Dickinson and Co. (d) | 19,143 | (3,751,071 | ) | |||||||
Bellerophon Therapeutics, Inc. | 100 | (144 | ) | |||||||
BioTelemetry, Inc. | 11,800 | (389,400 | ) | |||||||
Cesca Therapeutics, Inc. | 284 | (1,011 | ) | |||||||
Cooper Cos., Inc. (d) | 11,320 | (2,684,085 | ) | |||||||
Corindus Vascular Robotics, Inc. | 700 | (1,064 | ) | |||||||
Cytori Therapeutics, Inc. | 11,446 | (4,195 | ) | |||||||
CytoSorbents Corp. | 500 | (3,100 | ) | |||||||
Dentsply Sirona, Inc. | 5,984 | (357,903 | ) | |||||||
DexCom, Inc. | 60,500 | (2,959,962 | ) | |||||||
Dextera Surgical, Inc. | 1,200 | (331 | ) | |||||||
Endologix, Inc. | 12,100 | (53,966 | ) | |||||||
EnteroMedics, Inc. | 7,059 | (12,494 | ) | |||||||
Exact Sciences Corp. | 72,000 | (3,392,640 | ) | |||||||
Foundation Medicine, Inc. | 6,400 | (257,280 | ) | |||||||
GenMark Diagnostics, Inc. | 900 | (8,667 | ) | |||||||
Glaukos Corp. | 16,500 | (544,500 | ) |
See Notes to Consolidated Financial Statements.
90
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2017 (Unaudited)
Security Description | Shares | Value | ||||||||
Haemonetics Corp. | 3,400 | $ | (152,558 | ) | ||||||
Halyard Health, Inc. | 200 | (8,961 | ) | |||||||
ICU Medical, Inc. | 800 | (148,680 | ) | |||||||
IDEXX Laboratories, Inc. (d) | 17,721 | (2,755,438 | ) | |||||||
Illumina, Inc. (d) | 55,360 | (11,027,712 | ) | |||||||
Invacare Corp. | 400 | (6,300 | ) | |||||||
InVivo Therapeutics Holdings Corp. | 10,000 | (14,750 | ) | |||||||
IsoRay, Inc. | 4,400 | (2,273 | ) | |||||||
K2M Group Holdings, Inc. | 300 | (6,363 | ) | |||||||
Microbot Medical, Inc. | 24,339 | (28,477 | ) | |||||||
NanoString Technologies, Inc. | 200 | (3,232 | ) | |||||||
Natus Medical, Inc. | 1,100 | (41,250 | ) | |||||||
Navidea Biopharmaceuticals, Inc. | 14,299 | (5,934 | ) | |||||||
Neovasc, Inc. | 9,188 | (15,620 | ) | |||||||
Nevro Corp. | 17,100 | (1,554,048 | ) | |||||||
Novocure Ltd. | 22,300 | (442,655 | ) | |||||||
NuVasive, Inc. | 400 | (22,184 | ) | |||||||
OPKO Health, Inc. | 77,500 | (531,650 | ) | |||||||
Pacific Biosciences of California, Inc. | 46,500 | (244,125 | ) | |||||||
Penumbra, Inc. | 4,800 | (433,440 | ) | |||||||
Pulse Biosciences, Inc. | 1,500 | (27,915 | ) | |||||||
Quotient Ltd. | 200 | (986 | ) | |||||||
Rockwell Medical, Inc. | 9,000 | (77,040 | ) | |||||||
Second Sight Medical Products, Inc. | 9,400 | (11,280 | ) | |||||||
Skyline Medical, Inc. | 1,218 | (1,766 | ) | |||||||
Stryker Corp. (d) | 46,650 | (6,625,233 | ) | |||||||
T2 Biosystems, Inc. | 4,600 | (19,320 | ) | |||||||
Tandem Diabetes Care, Inc. | 13,768 | (10,051 | ) | |||||||
Teleflex, Inc. (d) | 14,590 | (3,530,342 | ) | |||||||
Thermo Fisher Scientific, Inc. (d) | 53,250 | (10,074,900 | ) | |||||||
TransEnterix, Inc. | 40,900 | (58,487 | ) | |||||||
Trovagene, Inc. | 15,893 | (11,602 | ) | |||||||
Varex Imaging Corp. | 400 | (13,536 | ) | |||||||
Varian Medical Systems, Inc. (d) | 211,750 | (21,187,705 | ) | |||||||
Vericel Corp. | 4,400 | (26,400 | ) | |||||||
ViewRay, Inc. | 1,300 | (7,488 | ) | |||||||
Viveve Medical, Inc. | 100 | (529 | ) | |||||||
Waters Corp. (d) | 30,120 | (5,407,142 | ) | |||||||
Zimmer Holdings, Inc. | 7,800 | (913,302 | ) | |||||||
|
| |||||||||
(88,817,293 | ) | |||||||||
|
| |||||||||
Metals & Mining — (0.2)% | ||||||||||
Agnico Eagle Mines Ltd. | 2,700 | (122,067 | ) | |||||||
Alamos Gold, Inc. Class A | 58,500 | (395,460 | ) | |||||||
Alexco Resource Corp. | 3,700 | (5,365 | ) | |||||||
Asanko Gold, Inc. | 400 | (381 | ) |
See Notes to Consolidated Financial Statements.
91
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2017 (Unaudited)
��
Security Description | Shares | Value | ||||||||
Avino Silver & Gold Mines Ltd. | 600 | $ | (930 | ) | ||||||
B2GOLD Corp. | 12,700 | (35,560 | ) | |||||||
Barrick Gold Corp. | 3,300 | (53,097 | ) | |||||||
Cameco Corp. | 14,200 | (137,314 | ) | |||||||
Coeur Mining, Inc. | 66,164 | (608,047 | ) | |||||||
Compass Minerals International, Inc. | 19,600 | (1,272,040 | ) | |||||||
Eldorado Gold Corp. | 9,000 | (19,800 | ) | |||||||
Endeavour Silver Corp. | 56,400 | (134,232 | ) | |||||||
Fairmount Santrol Holdings, Inc. | 156,800 | (749,504 | ) | |||||||
Ferroglobe PLC | 6,200 | (81,592 | ) | |||||||
First Majestic Silver Corp. | 115,800 | (792,072 | ) | |||||||
Fortuna Silver Mines, Inc. | 4,000 | (17,520 | ) | |||||||
Franco-Nevada Corp. | 4,900 | (379,652 | ) | |||||||
Freeport-McMoRan Copper & Gold, Inc. | 66,600 | (935,064 | ) | |||||||
Gold Resource Corp. | 16,500 | (61,875 | ) | |||||||
Gold Standard Ventures Corp. | 26,300 | (42,606 | ) | |||||||
Hecla Mining Co. | 57,700 | (289,654 | ) | |||||||
Klondex Mines Ltd. | 6,500 | (23,660 | ) | |||||||
MAG Silver Corp. | 6,700 | (75,241 | ) | |||||||
McEwen Mining, Inc. | 128,800 | (251,160 | ) | |||||||
Nevsun Resources Ltd. | 100 | (218 | ) | |||||||
Northern Dynasty Minerals Ltd. | 129,100 | (232,380 | ) | |||||||
Novagold Resources, Inc. | 77,800 | (320,536 | ) | |||||||
Osisko Gold Royalties Ltd. | 3,800 | (49,058 | ) | |||||||
Pan American Silver Corp. | 5,700 | (97,185 | ) | |||||||
Pershing Gold Corp. | 1,100 | (3,245 | ) | |||||||
Platinum Group Metals Ltd. | 15,600 | (6,396 | ) | |||||||
Pretium Resources, Inc. | 87,300 | (808,398 | ) | |||||||
Richmont Mines, Inc. | 800 | (7,480 | ) | |||||||
Sandstorm Gold Ltd. | 200 | (908 | ) | |||||||
Seabridge Gold, Inc. | 23,800 | (290,360 | ) | |||||||
Smart Sand, Inc. | 1,800 | (12,204 | ) | |||||||
SSR Mining, Inc. | 1,800 | (19,098 | ) | |||||||
Tahoe Resources, Inc. | 157,200 | (828,444 | ) | |||||||
Turquoise Hill Resources Ltd. | 30,300 | (93,930 | ) | |||||||
Uranium Energy Corp. | 45,500 | (62,790 | ) | |||||||
US Gold Corp. | 1,029 | (2,285 | ) | |||||||
US Silica Holdings, Inc. | 56,800 | (1,764,776 | ) | |||||||
Vista Gold Corp. | 4,800 | (3,672 | ) | |||||||
Westwater Resources, Inc. | 14,905 | (21,463 | ) | |||||||
Wheaton Precious Metals Corp. | 1,600 | (30,544 | ) | |||||||
Yamana Gold, Inc. | 5,900 | (15,635 | ) | |||||||
|
| |||||||||
(11,154,898 | ) | |||||||||
|
| |||||||||
Oil, Gas & Coal — (2.4)% | ||||||||||
Anadarko Petroleum Corp. | 21,600 | (1,055,160 | ) |
See Notes to Consolidated Financial Statements.
92
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2017 (Unaudited)
Security Description | Shares | Value | ||||||||
Andeavor | 18,600 | $ | (1,918,590 | ) | ||||||
Antero Midstream GP LP | 12,600 | (257,922 | ) | |||||||
Antero Resources Corp. | 107,000 | (2,129,300 | ) | |||||||
Apache Corp. | 148,900 | (6,819,620 | ) | |||||||
Approach Resources, Inc. | 12,400 | (31,124 | ) | |||||||
Archrock, Inc. | 5,200 | (65,260 | ) | |||||||
Basic Energy Services, Inc. | 14,200 | (274,060 | ) | |||||||
Baytex Energy Corp. | 33,100 | (99,631 | ) | |||||||
Bill Barrett Corp. | 6,900 | (29,601 | ) | |||||||
Bonanza Creek Energy, Inc. | 1,500 | (49,485 | ) | |||||||
Bristow Group, Inc. | 8,800 | (82,280 | ) | |||||||
C&J Energy Services, Inc. | 4,100 | (122,877 | ) | |||||||
California Resources Corp. | 29,910 | (312,859 | ) | |||||||
Callon Petroleum Co. | 141,200 | (1,587,088 | ) | |||||||
Camber Energy, Inc. | 1,800 | (302 | ) | |||||||
Canadian Natural Resources Ltd. | 4,800 | (160,752 | ) | |||||||
CARBO Ceramics, Inc. | 19,000 | (163,970 | ) | |||||||
Carrizo Oil & Gas, Inc. | 12,700 | (217,551 | ) | |||||||
Cenovus Energy, Inc. | 59,700 | (598,194 | ) | |||||||
Centennial Resource Development, Inc. Class A | 36,400 | (654,108 | ) | |||||||
Cheniere Energy Partners LP Holdings LLC | 4,100 | (102,828 | ) | |||||||
Cheniere Energy, Inc. | 54,800 | (2,468,192 | ) | |||||||
Chesapeake Energy Corp. | 635,800 | (2,733,940 | ) | |||||||
Chevron Corp. (d) | 111,800 | (13,136,500 | ) | |||||||
Clean Energy Fuels Corp. | 700 | (1,736 | ) | |||||||
Cloud Peak Energy, Inc. | 26,400 | (96,624 | ) | |||||||
Cobalt International Energy, Inc. | 20,860 | (29,830 | ) | |||||||
Comstock Resources, Inc. | 9,180 | (55,814 | ) | |||||||
ConocoPhillips | 286,700 | (14,349,335 | ) | |||||||
Continental Resources, Inc. | 17,700 | (683,397 | ) | |||||||
Core Laboratories NV | 3,300 | (325,710 | ) | |||||||
Crescent Point Energy Corp. | 55,800 | (449,190 | ) | |||||||
CVR Energy, Inc. | 3,000 | (77,700 | ) | |||||||
Delek US Holdings, Inc. | 44,740 | (1,195,900 | ) | |||||||
Denbury Resources, Inc. | 28,400 | (38,056 | ) | |||||||
Diamondback Energy, Inc. | 26,700 | (2,615,532 | ) | |||||||
Earthstone Energy, Inc. | 200 | (2,198 | ) | |||||||
Eclipse Resources Corp. | 2,700 | (6,750 | ) | |||||||
Eco-Stim Energy Solutions, Inc. | 500 | (770 | ) | |||||||
Enbridge Energy Management LLC | 166 | (2,357 | ) | |||||||
Enbridge, Inc. | 8,372 | (350,284 | ) | |||||||
Encana Corp. | 62,400 | (735,072 | ) | |||||||
Energen Corp. | 11,000 | (601,480 | ) | |||||||
Enerplus Corp. | 46,000 | (454,020 | ) | |||||||
EnLink Midstream LLC | 19,000 | (327,750 | ) | |||||||
EP Energy Corp. Class A | 20,700 | (67,482 | ) |
See Notes to Consolidated Financial Statements.
93
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2017 (Unaudited)
Security Description | Shares | Value | ||||||||
Erin Energy Corp. | 700 | $ | (1,925 | ) | ||||||
EXCO Resources, Inc. | 15,092 | (20,223 | ) | |||||||
Extraction Oil & Gas, Inc. | 47,600 | (732,564 | ) | |||||||
Exxon Mobil Corp. (d) | 146,900 | (12,042,862 | ) | |||||||
Flotek Industries, Inc. | 39,400 | (183,210 | ) | |||||||
Forum Energy Technologies, Inc. | 1,000 | (15,900 | ) | |||||||
Frank’s International NV | 37,200 | (287,184 | ) | |||||||
Gastar Exploration, Inc. | 82,600 | (72,655 | ) | |||||||
Gran Tierra Energy, Inc. | 100 | (228 | ) | |||||||
Gulfport Energy Corp. | 37,600 | (539,184 | ) | |||||||
Halcon Resources Corp. | 94,300 | (641,240 | ) | |||||||
Helmerich & Payne, Inc. | 57,000 | (2,970,270 | ) | |||||||
Hess Corp. | 9,200 | (431,388 | ) | |||||||
HollyFrontier Corp. | 4,000 | (143,880 | ) | |||||||
Imperial Oil Ltd. | 1,800 | (57,492 | ) | |||||||
Jagged Peak Energy, Inc. | 14,400 | (196,704 | ) | |||||||
Jones Energy, Inc. | 44,919 | (86,244 | ) | |||||||
Keane Group, Inc. | 29,900 | (498,732 | ) | |||||||
Key Energy Services, Inc. | 100 | (1,317 | ) | |||||||
Kinder Morgan, Inc. | 367,132 | (7,041,592 | ) | |||||||
Laredo Petroleum, Inc. | 96,500 | (1,247,745 | ) | |||||||
Matador Resources Co. | 5,700 | (154,755 | ) | |||||||
McDermott International, Inc. | 24,100 | (175,207 | ) | |||||||
MRC Global, Inc. | 24,500 | (428,505 | ) | |||||||
Murphy Oil Corp. | 10,800 | (286,848 | ) | |||||||
Murphy USA, Inc. | 14,400 | (993,600 | ) | |||||||
Nabors Industries Ltd. | 67,000 | (540,690 | ) | |||||||
National Oilwell Varco, Inc. | 4,500 | (160,785 | ) | |||||||
NCS Multistage Holdings, Inc. | 1,400 | (33,712 | ) | |||||||
Noble Corp. PLC | 2,200 | (10,120 | ) | |||||||
Noble Energy, Inc. | 33 | (936 | ) | |||||||
Northern Oil and Gas, Inc. | 39,900 | (35,910 | ) | |||||||
NOW, Inc. | 1,700 | (23,477 | ) | |||||||
Oasis Petroleum, Inc. | 36,400 | (331,968 | ) | |||||||
Oceaneering International, Inc. | 200 | (5,254 | ) | |||||||
ONEOK, Inc. | 46,500 | (2,576,565 | ) | |||||||
Parsley Energy, Inc. Class A | 124,600 | (3,281,964 | ) | |||||||
Patterson-UTI Energy, Inc. | 21,300 | (446,022 | ) | |||||||
PBF Energy, Inc. Class A | 76,800 | (2,120,448 | ) | |||||||
PDC Energy, Inc. | 2,300 | (112,769 | ) | |||||||
Pembina Pipeline Corp. | 12,005 | (421,376 | ) | |||||||
Pengrowth Energy Corp. | 32,900 | (33,887 | ) | |||||||
PetroQuest Energy, Inc. | 475 | (1,088 | ) | |||||||
Precision Drilling Corp. | 8,300 | (25,896 | ) | |||||||
ProPetro Holding Corp. | 8,000 | (114,800 | ) | |||||||
QEP Resources, Inc. | 10,400 | (89,128 | ) |
See Notes to Consolidated Financial Statements.
94
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2017 (Unaudited)
Security Description | Shares | Value | ||||||||
Ramaco Resources, Inc. | 2,800 | $ | (18,564 | ) | ||||||
Range Resources Corp. | 142,987 | (2,798,256 | ) | |||||||
Resolute Energy Corp. | 15,700 | (466,133 | ) | |||||||
Rex Energy Corp. | 4,470 | (12,069 | ) | |||||||
Ring Energy, Inc. | 2,100 | (30,429 | ) | |||||||
Rowan Cos. PLC Class A | 4,200 | (53,970 | ) | |||||||
RPC, Inc. | 5,500 | (136,345 | ) | |||||||
RSP Permian, Inc. | 25,500 | (882,045 | ) | |||||||
Sanchez Energy Corp. | 58,200 | (280,524 | ) | |||||||
Schlumberger Ltd. | 2,100 | (146,496 | ) | |||||||
Select Energy Services, Inc. Class A | 11,100 | (176,712 | ) | |||||||
SemGroup Corp. Class A | 46,300 | (1,331,125 | ) | |||||||
SM Energy Co. | 78,100 | (1,385,494 | ) | |||||||
Southwestern Energy Co. | 356,400 | (2,177,604 | ) | |||||||
SRC Energy, Inc. | 132,500 | (1,281,275 | ) | |||||||
Stone Energy Corp. | 1,600 | (46,496 | ) | |||||||
Suncor Energy, Inc. | 2,100 | (73,563 | ) | |||||||
Superior Energy Services, Inc. | 36,200 | (386,616 | ) | |||||||
Targa Resources Corp. | 76,200 | (3,604,260 | ) | |||||||
Tellurian, Inc. | 17,500 | (186,900 | ) | |||||||
TETRA Technologies, Inc. | 36,100 | (103,246 | ) | |||||||
Tidewater, Inc. | 1,047 | (30,447 | ) | |||||||
TransCanada Corp. | 39,800 | (1,967,314 | ) | |||||||
Ultra Petroleum Corp. | 4,500 | (39,015 | ) | |||||||
Unit Corp. | 900 | (18,522 | ) | |||||||
Vermilion Energy, Inc. | 2,800 | (99,624 | ) | |||||||
W&T Offshore, Inc. | 71,300 | (217,465 | ) | |||||||
Weatherford International PLC | 141,500 | (648,070 | ) | |||||||
Westmoreland Coal Co. | 700 | (1,785 | ) | |||||||
Whiting Petroleum Corp. | 257,647 | (1,406,753 | ) | |||||||
WildHorse Resource Development Corp. | 3,500 | (46,620 | ) | |||||||
Williams Cos., Inc. | 77,700 | (2,331,777 | ) | |||||||
World Fuel Services Corp. | 900 | (30,519 | ) | |||||||
WPX Energy, Inc. | 278,400 | (3,201,600 | ) | |||||||
|
| |||||||||
(122,774,063 | ) | |||||||||
|
| |||||||||
Passenger Transportation — (0.4)% | ||||||||||
Allegiant Travel Co. | 500 | (65,850 | ) | |||||||
American Airlines Group, Inc. | 213,800 | (10,153,362 | ) | |||||||
Southwest Airlines Co. | 97,500 | (5,458,050 | ) | |||||||
United Continental Holdings, Inc. | 44,900 | (2,733,512 | ) | |||||||
|
| |||||||||
(18,410,774 | ) | |||||||||
|
| |||||||||
Real Estate — (1.9)% | ||||||||||
Acadia Realty Trust | 8,100 | (231,822 | ) | |||||||
Alexandria Real Estate Equities, Inc. | 100 | (11,897 | ) |
See Notes to Consolidated Financial Statements.
95
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2017 (Unaudited)
Security Description | Shares | Value | ||||||||
Altisource Residential Corp. | 14,800 | $ | (164,428 | ) | ||||||
American Campus Communities, Inc. | 25,800 | (1,139,070 | ) | |||||||
American Homes 4 Rent | 2,000 | (43,420 | ) | |||||||
Apartment Investment & Management Co. Class A | 11,100 | (486,846 | ) | |||||||
Apple Hospitality REIT, Inc. | 300 | (5,673 | ) | |||||||
Armada Hoffler Properties, Inc. | 8,900 | (122,909 | ) | |||||||
Ashford Hospitality Prime, Inc. | 9,122 | (86,659 | ) | |||||||
Ashford Hospitality Trust, Inc. | 8,700 | (58,029 | ) | |||||||
AvalonBay Communities, Inc. | 13,200 | (2,355,144 | ) | |||||||
Bluerock Residential Growth REIT, Inc. | 9,800 | (108,388 | ) | |||||||
Boston Properties, Inc. | 25,900 | (3,182,592 | ) | |||||||
Brandywine Realty Trust | 46,200 | (808,038 | ) | |||||||
Brixmor Property Group, Inc. | 9,600 | (180,480 | ) | |||||||
Camden Property Trust | 200 | (18,240 | ) | |||||||
CBL & Associates Properties, Inc. | 119,700 | (1,004,283 | ) | |||||||
Cedar Realty Trust, Inc. | 400 | (2,248 | ) | |||||||
Chatham Lodging Trust | 9,200 | (196,144 | ) | |||||||
Chesapeake Lodging Trust | 8,700 | (234,639 | ) | |||||||
Clipper Realty, Inc. | 300 | (3,216 | ) | |||||||
Colony NorthStar, Inc. Class A | 177,521 | (2,229,664 | ) | |||||||
Columbia Property Trust, Inc. | 6,000 | (130,620 | ) | |||||||
CoreSite Realty Corp. | 800 | (89,520 | ) | |||||||
Corporate Office Properties Trust | 29,500 | (968,485 | ) | |||||||
Cousins Properties, Inc. | 151,600 | (1,415,944 | ) | |||||||
Crown Castle International Corp. | 17,100 | (1,709,658 | ) | |||||||
CubeSmart | 10,600 | (275,176 | ) | |||||||
CyrusOne, Inc. | 21,100 | (1,243,423 | ) | |||||||
DDR Corp. | 98,700 | (904,092 | ) | |||||||
DiamondRock Hospitality Co. | 44,100 | (482,895 | ) | |||||||
Douglas Emmett, Inc. | 27,800 | (1,095,876 | ) | |||||||
Duke Realty Corp. | 3,000 | (86,460 | ) | |||||||
Easterly Government Properties, Inc. | 10,100 | (208,767 | ) | |||||||
EastGroup Properties, Inc. | 1,300 | (114,556 | ) | |||||||
Education Realty Trust, Inc. | 22,522 | (809,215 | ) | |||||||
Empire State Realty Trust, Inc. Class A | 13,600 | (279,344 | ) | |||||||
EPR Properties | 5,200 | (362,648 | ) | |||||||
Equity Commonwealth | 7,100 | (215,840 | ) | |||||||
Equity LifeStyle Properties, Inc. | 2,400 | (204,192 | ) | |||||||
Equity Residential | 32,000 | (2,109,760 | ) | |||||||
Essex Property Trust, Inc. | 4,400 | (1,117,732 | ) | |||||||
Extra Space Storage, Inc. | 19,900 | (1,590,408 | ) | |||||||
Farmland Partners, Inc. | 12,600 | (113,904 | ) | |||||||
Four Corners Property Trust, Inc. | 700 | (17,444 | ) | |||||||
GEO Group, Inc. | 7,250 | (195,025 | ) | |||||||
GGP, Inc. | 77,049 | (1,600,308 | ) | |||||||
Global Medical REIT, Inc. | 7,300 | (65,554 | ) |
See Notes to Consolidated Financial Statements.
96
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2017 (Unaudited)
Security Description | Shares | Value | ||||||||
Global Net Lease, Inc. | 15,661 | $ | (342,819 | ) | ||||||
Government Properties Income Trust | 35,100 | (658,827 | ) | |||||||
Gramercy Property Trust | 3,147 | (95,197 | ) | |||||||
Hannon Armstrong Sustainable Infrastructure Capital, Inc. | 2,400 | (58,488 | ) | |||||||
Healthcare Realty Trust, Inc. | 19,700 | (637,098 | ) | |||||||
Healthcare Trust of America, Inc. Class A | 38,400 | (1,144,320 | ) | |||||||
Hersha Hospitality Trust | 8,300 | (154,961 | ) | |||||||
Hospitality Properties Trust | 7,200 | (205,128 | ) | |||||||
Host Hotels & Resorts, Inc. | 415,967 | (7,691,230 | ) | |||||||
Hudson Pacific Properties, Inc. | 41,900 | (1,404,907 | ) | |||||||
Independence Realty Trust, Inc. | 51,400 | (522,738 | ) | |||||||
Investors Real Estate Trust | 5,700 | (34,827 | ) | |||||||
Invitation Homes, Inc. | 9,700 | (219,705 | ) | |||||||
iStar, Inc. | 6,800 | (80,240 | ) | |||||||
JBG SMITH Properties | 21,700 | (742,357 | ) | |||||||
Jernigan Capital, Inc. | 4,100 | (84,255 | ) | |||||||
Kilroy Realty Corp. | 8,100 | (576,072 | ) | |||||||
Kimco Realty Corp. | 15,700 | (306,935 | ) | |||||||
Kite Realty Group Trust | 9,700 | (196,425 | ) | |||||||
Lamar Advertising Co. Class A | 2,500 | (171,325 | ) | |||||||
LaSalle Hotel Properties | 47,500 | (1,378,450 | ) | |||||||
Liberty Property Trust | 100 | (4,108 | ) | |||||||
Life Storage, Inc. | 25,100 | (2,053,431 | ) | |||||||
Macerich Co. | 27,900 | (1,533,663 | ) | |||||||
Mack-Cali Realty Corp. | 18,300 | (433,893 | ) | |||||||
Medical Properties Trust, Inc. | 65,200 | (856,076 | ) | |||||||
Mid-America Apartment Communities, Inc. | 4,600 | (491,648 | ) | |||||||
National Health Investors, Inc. | 500 | (38,645 | ) | |||||||
National Retail Properties, Inc. | 7,300 | (304,118 | ) | |||||||
National Storage Affiliates Trust | 14,700 | (356,328 | ) | |||||||
New Concept Energy, Inc. | 200 | (260 | ) | |||||||
New Senior Investment Group, Inc. | 36,701 | (335,814 | ) | |||||||
New York REIT, Inc. | 2,300 | (18,055 | ) | |||||||
NexPoint Residential Trust, Inc. | 100 | (2,376 | ) | |||||||
NorthStar Realty Europe Corp. | 2,800 | (35,868 | ) | |||||||
Omega Healthcare Investors, Inc. | 38,740 | (1,236,193 | ) | |||||||
Paramount Group, Inc. | 52,100 | (833,600 | ) | |||||||
Pebblebrook Hotel Trust | 26,000 | (939,640 | ) | |||||||
Pennsylvania REIT | 48,800 | (511,912 | ) | |||||||
Physicians Realty Trust | 70,500 | (1,249,965 | ) | |||||||
Piedmont Office Realty Trust, Inc. Class A | 19,500 | (393,120 | ) | |||||||
Prologis, Inc. | 59,100 | (3,750,486 | ) | |||||||
QTS Realty Trust, Inc. Class A | 5,980 | (313,113 | ) | |||||||
Ramco-Gershenson Properties Trust | 15,200 | (197,752 | ) | |||||||
Rayonier, Inc. | 200 | (5,760 | ) |
See Notes to Consolidated Financial Statements.
97
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2017 (Unaudited)
Security Description | Shares | Value | ||||||||
Realty Income Corp. | 20,672 | $ | (1,182,232 | ) | ||||||
Redfin Corp. | 2,200 | (55,198 | ) | |||||||
Regency Centers Corp. | 37,900 | (2,351,316 | ) | |||||||
Retail Opportunity Investments Corp. | 200 | (3,802 | ) | |||||||
Retail Properties of America, Inc. | 4,400 | (57,772 | ) | |||||||
Rexford Industrial Realty, Inc. | 10,200 | (291,924 | ) | |||||||
RLJ Lodging Trust | 6,300 | (138,600 | ) | |||||||
Ryman Hospitality Properties, Inc. | 800 | (49,992 | ) | |||||||
Sabra Health Care REIT, Inc. | 20,090 | (440,775 | ) | |||||||
Safety Income and Growth, Inc. | 200 | (3,728 | ) | |||||||
Senior Housing Properties Trust | 12,600 | (246,330 | ) | |||||||
Seritage Growth Properties | 10,500 | (483,735 | ) | |||||||
Simon Property Group, Inc. | 9,013 | (1,451,183 | ) | |||||||
SL Green Realty Corp. | 46,919 | (4,753,833 | ) | |||||||
Spirit Realty Capital, Inc. | 281,600 | (2,413,312 | ) | |||||||
STAG Industrial, Inc. | 5,200 | (142,844 | ) | |||||||
Starwood Waypoint Homes | 17,202 | (625,637 | ) | |||||||
STORE Capital Corp. | 40,000 | (994,800 | ) | |||||||
Summit Hotel Properties, Inc. | 3,800 | (60,762 | ) | |||||||
Sun Communities, Inc. | 3,500 | (299,880 | ) | |||||||
Sunstone Hotel Investors, Inc. | 56,467 | (907,425 | ) | |||||||
Tanger Factory Outlet Centers, Inc. | 10,300 | (251,526 | ) | |||||||
Uniti Group, Inc. | 107,200 | (1,571,552 | ) | |||||||
Urban Edge Properties | 2,200 | (53,064 | ) | |||||||
Ventas, Inc. | 23,900 | (1,556,607 | ) | |||||||
Vereit, Inc. REIT | 166,100 | (1,376,969 | ) | |||||||
Vornado Realty Trust | 45,100 | (3,467,288 | ) | |||||||
Washington Prime Group, Inc. | 129,800 | (1,081,234 | ) | |||||||
Washington Real Estate Investment Trust | 15,300 | (501,228 | ) | |||||||
Weingarten Realty Investors | 1,200 | (38,088 | ) | |||||||
Welltower, Inc. | 1,300 | (91,364 | ) | |||||||
Weyerhaeuser Co. | 111,620 | (3,798,429 | ) | |||||||
Wheeler Real Estate Investment Trust, Inc. | 100 | (1,159 | ) | |||||||
Whitestone REIT | 8,800 | (114,840 | ) | |||||||
|
| |||||||||
(93,541,231 | ) | |||||||||
|
| |||||||||
Recreation Facilities & Services — (0.1)% | ||||||||||
AMC Entertainment Holdings, Inc. Class A | 38,500 | (565,950 | ) | |||||||
Cinemark Holdings, Inc. | 3,300 | (119,493 | ) | |||||||
Regal Entertainment Group Class A | 51,400 | (822,400 | ) | |||||||
SeaWorld Entertainment, Inc. | 63,300 | (822,267 | ) | |||||||
Six Flags Entertainment Corp. | 45,000 | (2,742,300 | ) | |||||||
|
| |||||||||
(5,072,410 | ) | |||||||||
|
| |||||||||
Renewable Energy — (0.0)% | ||||||||||
Ballard Power Systems, Inc. | 31,000 | (145,080 | ) |
See Notes to Consolidated Financial Statements.
98
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2017 (Unaudited)
Security Description | Shares | Value | ||||||||
Canadian Solar, Inc. | 300 | $ | (5,052 | ) | ||||||
Enphase Energy, Inc. | 25,395 | (38,600 | ) | |||||||
First Solar, Inc. | 12,100 | (555,148 | ) | |||||||
FuelCell Energy, Inc. | 29,258 | (51,201 | ) | |||||||
Gevo, Inc. | 11,260 | (7,030 | ) | |||||||
Green Plains, Inc. | 28,900 | (582,335 | ) | |||||||
Hydrogenics Corp. | 300 | (2,445 | ) | |||||||
Plug Power, Inc. | 159,200 | (415,512 | ) | |||||||
SunPower Corp. | 2,200 | (16,038 | ) | |||||||
Sunrun, Inc. | 2,500 | (13,875 | ) | |||||||
Sunworks, Inc. | 5,300 | (8,321 | ) | |||||||
TerraForm Global, Inc. Class A | 10,300 | (48,925 | ) | |||||||
Vivint Solar, Inc. | 17,900 | (60,860 | ) | |||||||
|
| |||||||||
(1,950,422 | ) | |||||||||
|
| |||||||||
Retail – Consumer Staples — (0.5)% | ||||||||||
Blue Apron Holdings, Inc. Class A | 21,000 | (114,450 | ) | |||||||
Casey’s General Stores, Inc. | 18,200 | (1,991,990 | ) | |||||||
Costco Wholesale Corp. | 2,900 | (476,441 | ) | |||||||
CVS Health Corp. (d) | 188,630 | (15,339,392 | ) | |||||||
Fred’s, Inc. Class A | 26,600 | (171,304 | ) | |||||||
Rite Aid Corp. | 46,500 | (91,140 | ) | |||||||
SUPERVALU, Inc. | 6,443 | (140,135 | ) | |||||||
Walgreens Boots Alliance, Inc. (d) | 123,030 | (9,500,376 | ) | |||||||
|
| |||||||||
(27,825,228 | ) | |||||||||
|
| |||||||||
Retail – Discretionary — (1.0)% | ||||||||||
Abercrombie & Fitch Co. Class A | 34,900 | (503,956 | ) | |||||||
Amazon.com, Inc. | 8,100 | (7,786,935 | ) | |||||||
American Eagle Outfitters, Inc. | 44,300 | (633,490 | ) | |||||||
Asbury Automotive Group, Inc. | 100 | (6,110 | ) | |||||||
Ascena Retail Group, Inc. | 3,600 | (8,820 | ) | |||||||
At Home Group, Inc. | 255 | (5,824 | ) | |||||||
AutoNation, Inc. | 5,700 | (270,522 | ) | |||||||
Avis Budget Group, Inc. | 800 | (30,448 | ) | |||||||
Barnes & Noble, Inc. | 43,600 | (331,360 | ) | |||||||
Beacon Roofing Supply, Inc. | 700 | (35,875 | ) | |||||||
bebe stores, Inc. | 180 | (925 | ) | |||||||
Bed Bath & Beyond, Inc. | 100,200 | (2,351,694 | ) | |||||||
BMC Stock Holdings, Inc. | 5,700 | (121,695 | ) | |||||||
Bon-Ton Stores, Inc. | 5,100 | (2,193 | ) | |||||||
Boot Barn Holdings, Inc. | 12,200 | (108,580 | ) | |||||||
Buckle, Inc. | 25,600 | (431,360 | ) | |||||||
Build-A-Bear Workshop, Inc. | 1,100 | (10,065 | ) | |||||||
Builders FirstSource, Inc. | 13,300 | (239,267 | ) | |||||||
Caleres, Inc. | 2,000 | (61,040 | ) |
See Notes to Consolidated Financial Statements.
99
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2017 (Unaudited)
Security Description | Shares | Value | ||||||||
Cato Corp. Class A | 200 | $ | (2,646 | ) | ||||||
Chico’s FAS, Inc. | 55,700 | (498,515 | ) | |||||||
Coach, Inc. | 3,500 | (141,087 | ) | |||||||
Conn’s, Inc. | 21,700 | (610,855 | ) | |||||||
DSW, Inc. Class A | 46,300 | (994,524 | ) | |||||||
Duluth Holdings, Inc. Class B | 8,500 | (172,465 | ) | |||||||
Finish Line, Inc. Class A | 21,200 | (255,036 | ) | |||||||
FirstCash, Inc. | 28 | (1,768 | ) | |||||||
Floor & I Holdings, Inc. Class A | 11,700 | (455,481 | ) | |||||||
Foundation Building Materials, Inc. | 10,050 | (142,107 | ) | |||||||
Francesca’s Holdings Corp. | 22,000 | (161,920 | ) | |||||||
Freshpet, Inc. | 2,100 | (32,865 | ) | |||||||
Genuine Parts Co. | 5,200 | (497,380 | ) | |||||||
GNC Holdings, Inc. Class A | 47,900 | (423,436 | ) | |||||||
Group 1 Automotive, Inc. | 1,500 | (108,690 | ) | |||||||
Guess?, Inc. | 58,200 | (991,146 | ) | |||||||
Hertz Global Holdings, Inc. | 58,500 | (1,308,060 | ) | |||||||
J. Jill, Inc. | 8,600 | (93,654 | ) | |||||||
JC Penney Co., Inc. | 107,000 | (407,670 | ) | |||||||
L Brands, Inc. | 171,100 | (7,119,471 | ) | |||||||
Lithia Motors, Inc. Class A | 10,700 | (1,287,317 | ) | |||||||
Lululemon Athletica, Inc. | 21,200 | (1,319,700 | ) | |||||||
Lumber Liquidators Holdings, Inc. | 19,800 | (771,804 | ) | |||||||
Macy’s, Inc. | 213,100 | (4,649,842 | ) | |||||||
MarineMax, Inc. | 1,200 | (19,860 | ) | |||||||
Monro Muffler Brake, Inc. | 100 | (5,565 | ) | |||||||
Net Element, Inc. | 8,350 | (7,057 | ) | |||||||
O’Reilly Automotive, Inc. | 38,200 | (8,227,134 | ) | |||||||
Office Depot, Inc. | 9,055 | (41,110 | ) | |||||||
Party City Holdco, Inc. | 9,900 | (134,145 | ) | |||||||
PetMed Express, Inc. | 2,900 | (96,135 | ) | |||||||
Pier 1 Imports, Inc. | 58,600 | (245,534 | ) | |||||||
Restoration Hardware Holdings, Inc. | 14,200 | (998,544 | ) | |||||||
Sally Beauty Holdings, Inc. | 41,000 | (802,780 | ) | |||||||
Sears Holdings Corp. | 65,200 | (475,960 | ) | |||||||
Select Comfort Corp. | 11,400 | (353,970 | ) | |||||||
Signet Jewelers Ltd. | 20,000 | (1,331,000 | ) | |||||||
Sonic Automotive, Inc. Class A | 700 | (14,280 | ) | |||||||
Sportsman’s Warehouse Holdings, Inc. | 25,200 | (113,652 | ) | |||||||
Stage Stores, Inc. | 19,200 | (35,328 | ) | |||||||
Tailored Brands, Inc. | 34,400 | (496,736 | ) | |||||||
Wayfair, Inc. Class A | 30,100 | (2,028,740 | ) | |||||||
Zumiez, Inc. | 1,100 | (19,910 | ) | |||||||
|
| |||||||||
(50,835,038 | ) | |||||||||
|
|
See Notes to Consolidated Financial Statements.
100
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2017 (Unaudited)
Security Description | Shares | Value | ||||||||
Semiconductors — (0.6)% | ||||||||||
Advanced Micro Devices, Inc. | 200 | $ | (2,550 | ) | ||||||
Ambarella, Inc. | 18,700 | (916,487 | ) | |||||||
Applied Optoelectronics, Inc. | 13,500 | (873,045 | ) | |||||||
Broadcom Ltd. | 38 | (9,216 | ) | |||||||
Cavium, Inc. | 17,700 | (1,167,138 | ) | |||||||
Cirrus Logic, Inc. | 4,900 | (261,268 | ) | |||||||
Coherent, Inc. | 200 | (47,034 | ) | |||||||
Cypress Semiconductor Corp. | 232,735 | (3,495,680 | ) | |||||||
Impinj, Inc. | 10,200 | (424,422 | ) | |||||||
Inphi Corp. | 29,500 | (1,170,855 | ) | |||||||
Integrated Device Technology, Inc. | 7,100 | (188,718 | ) | |||||||
M/A-COM Technology Solutions Holdings, Inc. | 8,168 | (364,374 | ) | |||||||
MaxLinear, Inc. Class A | 23,440 | (556,700 | ) | |||||||
Microsemi Corp. | 8,000 | (411,840 | ) | |||||||
MKS Instruments, Inc. | 1,600 | (151,120 | ) | |||||||
MoSys, Inc. | 700 | (668 | ) | |||||||
NeoPhotonics Corp. | 23,900 | (132,884 | ) | |||||||
NVIDIA Corp. | 68,000 | (12,156,360 | ) | |||||||
Oclaro, Inc. | 118,100 | (1,019,203 | ) | |||||||
ParkerVision, Inc. | 6,400 | (10,112 | ) | |||||||
Qorvo, Inc. | 39,423 | (2,786,418 | ) | |||||||
Skyworks Solutions, Inc. | 1,500 | (152,850 | ) | |||||||
Xilinx, Inc. | 26,700 | (1,891,161 | ) | |||||||
|
| |||||||||
(28,190,103 | ) | |||||||||
|
| |||||||||
Software — (0.4)% | ||||||||||
Acxiom Corp. | 700 | (17,248 | ) | |||||||
Alteryx, Inc. Class A | 3,100 | (63,147 | ) | |||||||
Apptio, Inc. Class A | 600 | (11,082 | ) | |||||||
athenahealth, Inc. | 8,900 | (1,106,804 | ) | |||||||
Benefitfocus, Inc. | 1,100 | (37,015 | ) | |||||||
Blackbaud, Inc. | 10,500 | (921,900 | ) | |||||||
Blackline, Inc. | 6,100 | (208,132 | ) | |||||||
BroadSoft, Inc. | 800 | (40,240 | ) | |||||||
Callidus Software, Inc. | 16,200 | (399,330 | ) | |||||||
Castlight Health, Inc. Class B | 14,800 | (63,640 | ) | |||||||
Cerner Corp. (d) | 52,310 | (3,730,749 | ) | |||||||
Cloudera, Inc. | 35,900 | (596,658 | ) | |||||||
Cornerstone OnDemand, Inc. | 22,200 | (901,542 | ) | |||||||
Digital Turbine, Inc. | 2,600 | (3,926 | ) | |||||||
Donnelley Financial Solutions, Inc. | 2,400 | (51,744 | ) | |||||||
Envestnet, Inc. | 10,600 | (540,600 | ) | |||||||
Evolent Health, Inc. | 52,200 | (929,160 | ) | |||||||
Glu Mobile, Inc. | 93,400 | (351,184 | ) | |||||||
Hortonworks, Inc. | 6,100 | (103,395 | ) |
See Notes to Consolidated Financial Statements.
101
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2017 (Unaudited)
Security Description | Shares | Value | ||||||||
Inpixon | 1,800 | $ | (607 | ) | ||||||
Inseego Corp. | 600 | (906 | ) | |||||||
j2 Global, Inc. | 7,000 | (517,160 | ) | |||||||
KEYW Holding Corp. | 700 | (5,327 | ) | |||||||
LogMeIn, Inc. | 6,000 | (660,300 | ) | |||||||
MuleSoft, Inc. Class A | 16,800 | (338,352 | ) | |||||||
NantHealth, Inc. | 4,400 | (18,128 | ) | |||||||
Okta, Inc. | 7,900 | (222,859 | ) | |||||||
Open Text Corp. | 20,600 | (665,174 | ) | |||||||
Paycom Software, Inc. | 1,000 | (74,960 | ) | |||||||
pdvWireless, Inc. | 600 | (17,880 | ) | |||||||
Sphere 3D Corp. | 1,358 | (3,001 | ) | |||||||
SS&C Technologies Holdings, Inc. | 3,500 | (140,525 | ) | |||||||
Tabula Rasa HealthCare, Inc. | 300 | (8,022 | ) | |||||||
Twilio, Inc. | 44,300 | (1,322,355 | ) | |||||||
Tyler Technologies, Inc. | 100 | (17,392 | ) | |||||||
Ultimate Software Group, Inc. | 3,900 | (739,440 | ) | |||||||
Veritone, Inc. | 200 | (9,090 | ) | |||||||
VirnetX Holding Corp. | 11,500 | (44,850 | ) | |||||||
Vmware, Inc. Class A (d) | 34,633 | (3,781,577 | ) | |||||||
xG Technology, Inc. | 9,600 | (15,552 | ) | |||||||
Zendesk, Inc. | 800 | (23,288 | ) | |||||||
|
| |||||||||
(18,704,241 | ) | |||||||||
|
| |||||||||
Specialty Finance — (0.5)% | ||||||||||
Alliance Data Systems Corp. | 12,071 | (2,674,330 | ) | |||||||
Ally Financial, Inc. | 121,800 | (2,954,868 | ) | |||||||
Altisource Portfolio Solutions SA | 4,200 | (108,654 | ) | |||||||
American Express Co. | 17,600 | (1,592,096 | ) | |||||||
Apollo Commercial Real Estate Finance, Inc. | 45,100 | (816,761 | ) | |||||||
Arlington Asset Investment Corp. Class A | 18,100 | (230,413 | ) | |||||||
ARMOUR Residential REIT, Inc. | 4,862 | (130,788 | ) | |||||||
Blackstone Mortgage Trust, Inc. Class A | 1,900 | (58,938 | ) | |||||||
Capital One Financial Corp. | 18,800 | (1,591,608 | ) | |||||||
Capstead Mortgage Corp. | 7,300 | (70,445 | ) | |||||||
Cherry Hill Mortgage Investment Corp. | 2,700 | (48,870 | ) | |||||||
Chimera Investment Corp. | 42 | (795 | ) | |||||||
CYS Investments, Inc. | 300 | (2,592 | ) | |||||||
Elevate Credit, Inc. | 7,000 | (42,770 | ) | |||||||
Ellie Mae, Inc. | 7,200 | (591,336 | ) | |||||||
Encore Capital Group, Inc. | 7,700 | (341,110 | ) | |||||||
Fidelity National Information Services, Inc. | 600 | (56,034 | ) | |||||||
Five Oaks Investment Corp. | 1,500 | (6,690 | ) | |||||||
FleetCor Technologies, Inc. | 41,900 | (6,484,863 | ) | |||||||
FNFV Group | 33 | (566 | ) | |||||||
Global Payments, Inc. | 6,885 | (654,281 | ) |
See Notes to Consolidated Financial Statements.
102
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2017 (Unaudited)
Security Description | Shares | Value | ||||||||
Impac Mortgage Holdings, Inc. | 100 | $ | (1,306 | ) | ||||||
Jack Henry & Associates, Inc. | 2,300 | (236,417 | ) | |||||||
LendingClub Corp. | 254,800 | (1,551,732 | ) | |||||||
Marathon Patent Group, Inc. | 483 | (205 | ) | |||||||
MGIC Investment Corp. | 1,800 | (22,554 | ) | |||||||
Nationstar Mortgage Holdings, Inc. | 12,200 | (226,554 | ) | |||||||
Navient Corp. | 23,100 | (346,962 | ) | |||||||
Nelnet, Inc. Class A | 300 | (15,150 | ) | |||||||
New Residential Investment Corp. | 4,400 | (73,612 | ) | |||||||
New York Mortgage Trust, Inc. | 2,600 | (15,990 | ) | |||||||
Ocwen Financial Corp. | 60,600 | (208,464 | ) | |||||||
On Deck Capital, Inc. | 3,500 | (16,345 | ) | |||||||
OneMain Holdings, Inc. | 17,100 | (482,049 | ) | |||||||
Orchid Island Capital, Inc. | 31,700 | (323,023 | ) | |||||||
PennyMac Financial Services, Inc. Class A | 400 | (7,120 | ) | |||||||
PRA Group, Inc. | 10,500 | (300,825 | ) | |||||||
RAIT Financial Trust | 20,400 | (14,892 | ) | |||||||
Resource Capital Corp. REIT | 8,800 | (94,864 | ) | |||||||
Santander Consumer USA Holdings, Inc. | 60,600 | (931,422 | ) | |||||||
SLM Corp. | 110,200 | (1,263,994 | ) | |||||||
Two Harbors Investment Corp. | 1,800 | (18,144 | ) | |||||||
Vantiv, Inc. Class A | 500 | (35,375 | ) | |||||||
Walter Investment Management Corp. | 25,500 | (15,096 | ) | |||||||
Western Asset Mortgage Capital Corp. | 10,900 | (114,123 | ) | |||||||
WEX, Inc. | 1,000 | (112,220 | ) | |||||||
|
| |||||||||
(24,887,246 | ) | |||||||||
|
| |||||||||
Technology Services — (0.3)% | ||||||||||
Automatic Data Processing, Inc. | 107,100 | (11,708,172 | ) | |||||||
Booz Allen Hamilton Holding Corp. | 1,600 | (59,824 | ) | |||||||
Broadridge Financial Solutions, Inc. | 5,900 | (476,838 | ) | |||||||
CGI Group, Inc. Class A | 1,800 | (93,366 | ) | |||||||
Cogint, Inc. | 6,885 | (33,736 | ) | |||||||
Cubic Corp. | 200 | (10,200 | ) | |||||||
Endurance International Group Holdings, Inc. | 23,800 | (195,160 | ) | |||||||
EPAM Systems, Inc. | 100 | (8,707 | ) | |||||||
Gartner, Inc. | 2,200 | (273,702 | ) | |||||||
Globant SA | 1,800 | (72,126 | ) | |||||||
Helios & Matheson Analytics, Inc. | 2,700 | (34,263 | ) | |||||||
I Markit Ltd. | 2,027 | (89,350 | ) | |||||||
International Business Machines Corp. | 100 | (14,524 | ) | |||||||
MarketAxess Holdings, Inc. | 700 | (129,152 | ) | |||||||
Medidata Solutions, Inc. | 600 | (46,836 | ) | |||||||
Nielsen Holdings PLC | 5,700 | (236,265 | ) | |||||||
Paychex, Inc. | 48,801 | (2,926,108 | ) | |||||||
Presidio, Inc. | 5,402 | (76,438 | ) |
See Notes to Consolidated Financial Statements.
103
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2017 (Unaudited)
Security Description | Shares | Value | ||||||||
SecureWorks Corp. | 2,300 | $ | (28,405 | ) | ||||||
Spherix, Inc. | 4,326 | (6,446 | ) | |||||||
Unisys Corp. | 10,300 | (87,550 | ) | |||||||
Verisk Analytics, Inc. Class A | 7,700 | (640,563 | ) | |||||||
Virtusa Corp. | 400 | (15,112 | ) | |||||||
WageWorks, Inc. | 200 | (12,377 | ) | |||||||
|
| |||||||||
(17,275,220 | ) | |||||||||
|
| |||||||||
Telecommunications — (0.1)% | ||||||||||
AT&T, Inc. (d) | 106,928 | (4,188,370 | ) | |||||||
CenturyLink, Inc. | 4,100 | (77,490 | ) | |||||||
Cincinnati Bell, Inc. | 500 | (9,925 | ) | |||||||
Cogent Communications Holdings, Inc. | 400 | (19,560 | ) | |||||||
Frontier Communications Corp. | 54,880 | (647,035 | ) | |||||||
Globalstar, Inc. | 141,800 | (231,134 | ) | |||||||
HC2 Holdings, Inc. | 8,300 | (43,824 | ) | |||||||
Intelsat SA | 9,600 | (45,120 | ) | |||||||
Iridium Communications, Inc. | 100 | (1,030 | ) | |||||||
NII Holdings, Inc. | 28,523 | (13,121 | ) | |||||||
Ooma, Inc. | 300 | (3,165 | ) | |||||||
Rogers Communications, Inc. B Shares | 200 | (10,297 | ) | |||||||
Shenandoah Telecommunications Co. | 1,500 | (55,800 | ) | |||||||
Sprint Corp. | 59,500 | (462,910 | ) | |||||||
Straight Path Communications, Inc. | 4,100 | (740,747 | ) | |||||||
T-Mobile US, Inc. | 5,700 | (351,462 | ) | |||||||
Telephone & Data Systems, Inc. | 7,700 | (214,753 | ) | |||||||
TELUS Corp. | 500 | (17,985 | ) | |||||||
Vonage Holdings Corp. | 7,500 | (61,050 | ) | |||||||
Windstream Holdings, Inc. | 133,528 | (236,345 | ) | |||||||
Zayo Group Holdings, Inc. | 900 | (30,978 | ) | |||||||
|
| |||||||||
(7,462,101 | ) | |||||||||
|
| |||||||||
Transportation & Logistics — (0.1)% | ||||||||||
Canadian National Railway Co. | 3,400 | (281,690 | ) | |||||||
Celadon Group, Inc. | 1,200 | (8,100 | ) | |||||||
CH Robinson Worldwide, Inc. | 5,400 | (410,940 | ) | |||||||
CSX Corp. | 25,800 | (1,399,908 | ) | |||||||
DHT Holdings, Inc. | 38,100 | (151,638 | ) | |||||||
Dorian LPG Ltd. | 7,100 | (48,422 | ) | |||||||
Eagle Bulk Shipping, Inc. | 11,215 | (50,804 | ) | |||||||
Gener8 Maritime, Inc. | 11,400 | (51,414 | ) | |||||||
Golar LNG Ltd. | 48,500 | (1,096,585 | ) | |||||||
Heartland Express, Inc. | 300 | (7,524 | ) | |||||||
Hornbeck Offshore Services, Inc. | 25,700 | (103,828 | ) | |||||||
Kirby Corp. | 31,397 | (2,070,652 | ) | |||||||
Nordic American Tankers Ltd. | 56,200 | (300,108 | ) |
See Notes to Consolidated Financial Statements.
104
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2017 (Unaudited)
Security Description | Shares | Value | ||||||||
Overseas Shipholding Group, Inc. | 100 | $ | (263 | ) | ||||||
Scorpio Bulkers, Inc. | 21,400 | (150,870 | ) | |||||||
Seanergy Maritime Holdings Corp. | 3,502 | (3,957 | ) | |||||||
Sino-Global Shipping America Ltd. | 4,821 | (14,801 | ) | |||||||
Teekay Corp. | 52,000 | (464,360 | ) | |||||||
Teekay Tankers Ltd. Class A | 71,200 | (115,344 | ) | |||||||
YRC Worldwide, Inc. | 900 | (12,420 | ) | |||||||
|
| |||||||||
(6,743,628 | ) | |||||||||
|
| |||||||||
Transportation Equipment — (0.1)% | ||||||||||
Greenbrier Cos., Inc. | 1,000 | (48,150 | ) | |||||||
Navistar International Corp. | 1,400 | (61,698 | ) | |||||||
REV Group, Inc. | 10,800 | (310,608 | ) | |||||||
Trinity Industries, Inc. | 3,300 | (105,270 | ) | |||||||
Wabash National Corp. | 3,900 | (88,998 | ) | |||||||
Wabtec Corp. | 38,600 | (2,923,950 | ) | |||||||
Workhorse Group, Inc. | 6,037 | (16,662 | ) | |||||||
|
| |||||||||
(3,555,336 | ) | |||||||||
|
| |||||||||
Utilities — (0.2)% | ||||||||||
Allete, Inc. | 2,800 | (216,412 | ) | |||||||
Alliant Energy Corp. | 18,100 | (752,417 | ) | |||||||
American Water Works Co., Inc. | 2,300 | (186,093 | ) | |||||||
Aqua America, Inc. | 1,300 | (43,147 | ) | |||||||
Atlantic Power Corp. | 1,600 | (3,920 | ) | |||||||
Black Hills Corp. | 7,245 | (498,963 | ) | |||||||
California Water Service Group | 700 | (26,705 | ) | |||||||
Calpine Corp. | 10,100 | (148,975 | ) | |||||||
Consolidated Edison, Inc. | 100 | (8,083 | ) | |||||||
Dominion Resources, Inc. | 600 | (46,178 | ) | |||||||
DTE Energy Co. | 400 | (43,176 | ) | |||||||
Dynegy, Inc. | 91,900 | (899,701 | ) | |||||||
FirstEnergy Corp. | 3,500 | (107,905 | ) | |||||||
Fortis, Inc. | 5,600 | (200,312 | ) | |||||||
Genie Energy Ltd. Class B | 1,600 | (10,480 | ) | |||||||
Hawaiian Electric Industries, Inc. | 1,300 | (43,381 | ) | |||||||
MGE Energy, Inc. | 900 | (58,140 | ) | |||||||
National Fuel Gas Co. | 1,000 | (56,610 | ) | |||||||
New Jersey Resources Corp. | 9,900 | (417,285 | ) | |||||||
NextEra Energy, Inc. | 100 | (14,682 | ) | |||||||
NiSource, Inc. | 1,800 | (46,062 | ) | |||||||
NRG Yield, Inc. Class C | 5,300 | (102,290 | ) | |||||||
OGE Energy Corp. | 2,000 | (72,060 | ) | |||||||
ONE Gas, Inc. | 1,100 | (81,004 | ) | |||||||
Pattern Energy Group, Inc. | 5,900 | (142,190 | ) | |||||||
Pinnacle West Capital Corp. | 200 | (16,912 | ) | |||||||
PNM Resources, Inc. | 100 | (4,030 | ) |
See Notes to Consolidated Financial Statements.
105
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2017 (Unaudited)
Security Description | Shares | Value | ||||||||||
PPL Corp. | 2,500 | $ | (94,875 | ) | ||||||||
SCANA Corp. | 13,400 | (649,766 | ) | |||||||||
Sempra Energy | 100 | (11,455 | ) | |||||||||
South Jersey Industries, Inc. | 9,500 | (328,035 | ) | |||||||||
Southern Co. | 12,900 | (633,906 | ) | |||||||||
Spark Energy, Inc. Class A | 4,000 | (60,000 | ) | |||||||||
Spire, Inc. | 6,400 | (477,760 | ) | |||||||||
TerraForm Power, Inc. | 8,600 | (113,692 | ) | |||||||||
TransAlta Corp. | 1,600 | (9,360 | ) | |||||||||
Vectren Corp. | 1,100 | (72,347 | ) | |||||||||
WEC Energy Group, Inc. | 48,771 | (3,061,843 | ) | |||||||||
|
| |||||||||||
(9,760,152 | ) | |||||||||||
|
| |||||||||||
Waste & Environmental Services & Equipment — (0.2)% |
| |||||||||||
Aqua Metals, Inc. | 10,500 | (71,925 | ) | |||||||||
Centrus Energy Corp. Class A | 800 | (2,984 | ) | |||||||||
Clean Harbors, Inc. | 1,200 | (68,040 | ) | |||||||||
Covanta Holding Corp. | 2,200 | (32,670 | ) | |||||||||
Energy Recovery, Inc. | 16,800 | (132,720 | ) | |||||||||
Hudson Technologies, Inc. | 2,600 | (20,306 | ) | |||||||||
MagneGas Corp. | 800 | (457 | ) | |||||||||
Stericycle, Inc. (d) | 128,410 | (9,196,724 | ) | |||||||||
Tetra Tech, Inc. | 200 | (9,310 | ) | |||||||||
|
| |||||||||||
(9,535,136 | ) | |||||||||||
|
| |||||||||||
Total North America | (1,060,369,538 | ) | ||||||||||
|
| |||||||||||
Oceania — (0.0)% | ||||||||||||
Banking — (0.0)% | ||||||||||||
Westpac Banking Corp. ADR | 600 | (15,132 | ) | |||||||||
|
| |||||||||||
Iron & Steel — (0.0)% | ||||||||||||
BHP Billiton Ltd. ADR | 600 | (24,318 | ) | |||||||||
|
| |||||||||||
Total Oceania | (39,450 | ) | ||||||||||
|
| |||||||||||
South America — (0.1)% | ||||||||||||
Banking — (0.0)% | ||||||||||||
Banco Santander Chile ADR | 1,800 | (53,478 | ) | |||||||||
Bancolombia SA ADR | 300 | (13,737 | ) | |||||||||
Grupo Aval Acciones y Valores SA ADR | 100 | (892 | ) | |||||||||
Itau CorpBanca ADR | 200 | (2,780 | ) | |||||||||
|
| |||||||||||
(70,887 | ) | |||||||||||
|
| |||||||||||
Consumer Products — (0.0)% | ||||||||||||
BRF SA ADR | 18,700 | (269,467 | ) | |||||||||
Cia Cervecerias Unidas SA ADR | 1,300 | (35,009 | ) | |||||||||
|
| |||||||||||
(304,476 | ) | |||||||||||
|
|
See Notes to Consolidated Financial Statements.
106
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2017 (Unaudited)
Security Description | Shares | Value | ||||||||||
Iron & Steel — (0.0)% | ||||||||||||
Cia Siderurgica Nacional SA ADR | 25,800 | $ | (76,368 | ) | ||||||||
|
| |||||||||||
Metals & Mining — (0.1)% | ||||||||||||
Southern Copper Corp. | 32,200 | (1,280,272 | ) | |||||||||
|
| |||||||||||
Oil, Gas & Coal — (0.0)% | ||||||||||||
Cosan Ltd. A Shares | 16,400 | (133,332 | ) | |||||||||
Ecopetrol SA ADR | 20,100 | (190,749 | ) | |||||||||
Ultrapar Participacoes SA ADR | 4,200 | (100,044 | ) | |||||||||
|
| |||||||||||
(424,125 | ) | |||||||||||
|
| |||||||||||
Passenger Transportation — (0.0)% | ||||||||||||
Gol Linhas Aereas Inteligentes SA ADR | 7,100 | (150,094 | ) | |||||||||
Latam Airlines Group SA ADR | 1,100 | (14,575 | ) | |||||||||
|
| |||||||||||
(164,669 | ) | |||||||||||
|
| |||||||||||
Real Estate — (0.0)% | ||||||||||||
Gafisa SA ADR | 3,059 | (26,338 | ) | |||||||||
|
| |||||||||||
Retail – Discretionary — (0.0)% | ||||||||||||
Netshoes Cayman Ltd. | 2,500 | (32,875 | ) | |||||||||
|
| |||||||||||
Telecommunications — (0.0)% | ||||||||||||
Telefonica Brasil SA ADR | 1,700 | (26,928 | ) | |||||||||
Tim Participacoes SA ADR | 900 | (16,452 | ) | |||||||||
|
| |||||||||||
(43,380 | ) | |||||||||||
|
| |||||||||||
Utilities — (0.0)% | ||||||||||||
CPFL Energia SA ADR | 6,820 | (117,031 | ) | |||||||||
Enersis SA ADR | 1,100 | (11,242 | ) | |||||||||
|
| |||||||||||
(128,273 | ) | |||||||||||
|
| |||||||||||
Total South America | (2,551,663 | ) | ||||||||||
|
| |||||||||||
TOTAL COMMON STOCK | (1,189,783,950 | ) | ||||||||||
|
| |||||||||||
EXCHANGE-TRADED FUNDS — (2.1)% | ||||||||||||
Financial Select Sector SPDR Fund | 247,185 | (6,392,204 | ) | |||||||||
Health Care Select Sector SPDR Fund (d) | 183,847 | (15,025,815 | ) | |||||||||
iShares MSCI Emerging Markets ETF | 94,968 | (4,255,516 | ) | |||||||||
iShares Nasdaq Biotechnology ETF | 29,314 | (9,778,857 | ) | |||||||||
iShares Russell 2000 ETF (d) | 105,929 | (15,696,559 | ) | |||||||||
iShares U.S. Medical Devices ETF | 17,759 | (2,966,286 | ) | |||||||||
Powershares QQQ Trust Series 1 (d) | 141,863 | (20,633,974 | ) | |||||||||
SPDR S&P 500 ETF Trust (d) | 96,950 | (24,356,749 | ) | |||||||||
SPDR S&P Regional Banking ETF | 25,960 | (1,473,490 | ) |
See Notes to Consolidated Financial Statements.
107
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2017 (Unaudited)
Security Description | Shares | Value | ||||||||||
Technology Select Sector SPDR Fund | 50,123 | $ | (2,962,269 | ) | ||||||||
VanEck Vectors Semiconductor ETF | 22,635 | (2,112,298 | ) | |||||||||
|
| |||||||||||
TOTAL EXCHANGE-TRADED FUNDS (PROCEEDS $100,681,732) | (105,654,017 | ) | ||||||||||
|
| |||||||||||
Security Description | Principal Amount | Value | ||||||||||
MORTGAGE-BACKED SECURITIES — (2.4)% | ||||||||||||
North America — (2.4)% | ||||||||||||
Federal National Mortgage Association, 3.00%, 10/01/47 (d) | $ | 81,100,000 | (81,385,148 | ) | ||||||||
Government National Mortgage Association, 3.00%, 10/01/47 (d) | 39,000,000 | (39,539,292 | ) | |||||||||
|
| |||||||||||
TOTAL MORTGAGE-BACKED SECURITIES (PROCEEDS $121,504,414) | (120,924,440 | ) | ||||||||||
|
| |||||||||||
Security Description | Shares | Value | ||||||||||
RIGHT — (0.0)% | ||||||||||||
Oceania — (0.0)% | ||||||||||||
Dryships, Inc. | 22,010 | 0 | ||||||||||
|
| |||||||||||
Total Oceania | 0 | |||||||||||
|
| |||||||||||
TOTAL SECURITIES SOLD SHORT— (28.1)% |
| $ | (1,416,362,407 | ) | ||||||||
|
|
Footnote Legend:
(a) | Non-income producing. |
(b) | Security (or a portion thereof) has been pledged to cover collateral requirements on open derivative contracts and/or securities sold short. |
(c) | All or a portion of this security is temporarily on loan to unaffiliated broker/dealers. In addition “Other Assets” may include pending sales that are also on loan. |
(d) | Security is held by a consolidated wholly-owned subsidiary of Blackstone Alternative Multi-Strategy Fund. |
(e) | Security is exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. Security may only be sold to qualified institutional buyers unless registered under the Securities Act of 1933, as amended, or otherwise exempt from registration. |
(f) | Variable/Floating interest rate security. Certain variable/floating interest rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description above. Rate presented is as of September 30, 2017. |
(g) | All or a portion of this security is pledged as collateral in connection with reverse repurchase agreements. |
(h) | Represents a step-up bond. Coupon rate increases in increments to maturity. Rate presented is as of September 30, 2017. Maturity date presented is the ultimate maturity. |
(i) | Security is currently in default due to bankruptcy or failure to make payment of principal or interest. |
See Notes to Consolidated Financial Statements.
108
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2017 (Unaudited)
(j) | Security is considered illiquid. |
(k) | Security is perpetual in nature and has no stated maturity. |
(l) | When issued or delayed delivery security included. |
(m) | Non-interest bearing bond. |
(n) | Security is restricted per Rule 12-12.8 of Regulation S-X. First acquisition dates of GCM Offshore Equity Partners LP, Glenview Capital Partners (Cayman), Ltd. and GCM Equity Partners LP are 11/9/2015, 6/1/2016 and 11/9/2015, respectively. |
(o) | Rate disclosed, the 7 day net yield, is as of September 30, 2017. |
(p) | Security is valued using significant unobservable inputs. |
(q) | Assets, other than investments in securities, less liabilities other than securities sold short. |
(r) | Preferential dividend rate and maturity date is disclosed, if applicable. |
Options Written Outstanding at September 30, 2017
Strike | Expiration Date | Contracts | Notional Amount | Premium Received | Market Value | Unrealized Appreciation (Depreciation) | ||||||||||||||||||||
Exchange-Traded Call Options Written |
| |||||||||||||||||||||||||
Microsoft Corp. | 80.00 | USD | 01/19/18 | 926 | (6,897,774 | ) | $ | (77,947 | ) | $ | (86,118 | ) | $ | (8,171 | ) | |||||||||||
U.S. 5 Year Future | 119.00 | USD | 11/24/17 | 15 | (1,762,500 | ) | (3,399 | ) | (1,055 | ) | 2,344 | |||||||||||||||
Wells Fargo & Co. | 55.00 | USD | 10/20/17 | 442 | (2,437,630 | ) | (123,738 | ) | (47,294 | ) | 76,444 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||
$ | (205,084 | ) | $ | (134,467 | ) | $ | 70,617 | |||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||
Exchange-Traded Put Options Written |
| |||||||||||||||||||||||||
Euro Stoxx Banks Index | 115.00 | EUR | 12/15/17 | 800 | (5,535,200 | ) | $ | (93,027 | ) | $ | (23,638 | ) | $ | 69,389 | ||||||||||||
Powershares QQQ Trust Series 1 | 137.00 | USD | 10/20/17 | 710 | (10,326,950 | ) | (42,570 | ) | (14,200 | ) | 28,370 | |||||||||||||||
S&P 500 Index | 2,300.00 | USD | 10/31/17 | 8 | (2,015,488 | ) | (10,720 | ) | (1,360 | ) | 9,360 | |||||||||||||||
S&P 500 Index | 2,425.00 | USD | 11/17/17 | 41 | (10,329,376 | ) | (91,715 | ) | (45,879 | ) | 45,836 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||
$ | (238,032 | ) | $ | (85,077 | ) | $ | 152,955 | |||||||||||||||||||
|
|
|
|
|
|
Counterparty | Strike | Expiration Date | Contracts | Notional Amount | Premium Received | Market Value | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||||||||
FX OTC Put Options Written |
| |||||||||||||||||||||||||||||||||
USD/MXN Currency | Deutsche Bank AG | 17.20 | USD | 10/27/17 | — | 2,200,000 | $ | (14,322 | ) | $ | (779 | ) | $ | 13,543 | ||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||||||
OTC Call Options Written |
| |||||||||||||||||||||||||||||||||
Broadcom Ltd. | Bank of America, N.A. | 290.00 | USD | 01/19/18 | 60,100 | 14,576,654 | $ | (388,847 | ) | $ | (155,184 | ) | $ | 233,663 | ||||||||||||||||||||
Microsoft Corp. | Morgan Stanley & Co. LLC | 80.00 | USD | 01/19/18 | 235,700 | 17,557,293 | (194,453 | ) | (222,825 | ) | (28,372 | ) | ||||||||||||||||||||||
Anglo American PLC | JPMorgan Chase Bank, N.A. | 0.00 | GBP | 10/10/17 | 461,769 | 6,185,396 | (8,148,463 | ) | (8,287,808 | ) | (139,345 | ) | ||||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||||||
$ | (8,731,763 | ) | $ | (8,665,817 | ) | $ | 65,946 | |||||||||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||||||
Total Options Written Outstanding |
| $ | (9,189,201 | ) | $ | (8,886,140 | ) | $ | 303,061 | |||||||||||||||||||||||||
|
|
|
|
|
|
See Notes to Consolidated Financial Statements.
109
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2017 (Unaudited)
Reverse Repurchase Agreements Outstanding at September 30, 2017
Counterparty | Interest Rate | Trade Date | Maturity Date | Face Value | Face Value Including Accrued Interest | ||||||||||||||||||||||
BNP Paribas Securities Corp. | 2.72% | 09/18/17 | 10/18/17 | $ | 4,799,000 | $ | 4,803,357 | ||||||||||||||||||||
Credit Suisse Securities (USA) LLC | 2.83% | 09/18/17 | 10/17/17 | 1,941,000 | 1,942,834 | ||||||||||||||||||||||
Credit Suisse Securities (USA) LLC | 2.83% | 09/18/17 | 10/17/17 | 898,000 | 898,848 | ||||||||||||||||||||||
Credit Suisse Securities (USA) LLC | 2.83% | 09/18/17 | 10/17/17 | 1,286,000 | 1,287,215 | ||||||||||||||||||||||
Credit Suisse Securities (USA) LLC | 2.89% | 09/01/17 | 10/02/17 | 2,744,000 | 2,750,382 | ||||||||||||||||||||||
Credit Suisse Securities (USA) LLC | 2.91% | 08/17/17 | 11/14/17 | 4,527,000 | 4,543,124 | ||||||||||||||||||||||
JPMorgan Chase Bank N.A. | 2.73% | 09/07/17 | 10/06/17 | 580,000 | 581,013 | ||||||||||||||||||||||
JPMorgan Chase Bank N.A. | 2.73% | 09/27/17 | 10/25/17 | 1,526,000 | 1,526,348 | ||||||||||||||||||||||
JPMorgan Chase Bank N.A. | 2.74% | 09/21/17 | 10/20/17 | 4,197,000 | 4,199,870 | ||||||||||||||||||||||
JPMorgan Chase Bank N.A. | 2.74% | 09/21/17 | 10/20/17 | 3,825,000 | 3,827,616 | ||||||||||||||||||||||
JPMorgan Chase Bank N.A. | 2.74% | 09/21/17 | 10/20/17 | 4,208,000 | 4,210,878 | ||||||||||||||||||||||
JPMorgan Chase Bank N.A. | 2.74% | 09/26/17 | 10/25/17 | 6,378,000 | 6,379,939 | ||||||||||||||||||||||
JPMorgan Chase Bank N.A. | 2.93% | 09/07/17 | 10/06/17 | 6,855,000 | 6,867,842 | ||||||||||||||||||||||
Merrill Lynch, Pierce, Fenner & Smith, Inc. | 2.68% | 09/08/17 | 10/10/17 | 1,569,000 | 1,571,572 | ||||||||||||||||||||||
Merrill Lynch, Pierce, Fenner & Smith, Inc. | 2.68% | 09/18/17 | 10/17/17 | 1,528,000 | 1,529,367 | ||||||||||||||||||||||
Merrill Lynch, Pierce, Fenner & Smith, Inc. | 2.68% | 09/18/17 | 10/17/17 | 16,034,000 | 16,048,347 | ||||||||||||||||||||||
Merrill Lynch, Pierce, Fenner & Smith, Inc. | 2.69% | 09/20/17 | 10/20/17 | 6,269,000 | 6,273,678 | ||||||||||||||||||||||
Merrill Lynch, Pierce, Fenner & Smith, Inc. | 2.69% | 09/20/17 | 10/20/17 | 6,996,000 | 7,001,220 | ||||||||||||||||||||||
Merrill Lynch, Pierce, Fenner & Smith, Inc. | 2.69% | 09/14/17 | 10/16/17 | 1,970,000 | 1,972,352 | ||||||||||||||||||||||
Merrill Lynch, Pierce, Fenner & Smith, Inc. | 2.69% | 09/01/17 | 10/02/17 | 12,155,000 | 12,181,312 | ||||||||||||||||||||||
Merrill Lynch, Pierce, Fenner & Smith, Inc. | 2.98% | 09/05/17 | 10/03/17 | 682,000 | 683,411 | ||||||||||||||||||||||
Royal Bank of Canada | 2.46% | 08/08/17 | 11/08/17 | 994,000 | 997,603 | ||||||||||||||||||||||
Royal Bank of Canada | 2.47% | 09/06/17 | 10/06/17 | 733,000 | 734,205 | ||||||||||||||||||||||
Royal Bank of Canada | 2.47% | 09/06/17 | 10/06/17 | 1,751,000 | 1,753,879 | ||||||||||||||||||||||
Royal Bank of Canada | 2.47% | 09/08/17 | 10/10/17 | 4,237,000 | 4,243,388 | ||||||||||||||||||||||
Royal Bank of Canada | 2.51% | 08/03/17 | 11/03/17 | 3,413,000 | 3,426,805 | ||||||||||||||||||||||
Royal Bank of Canada | 2.51% | 07/31/17 | 10/31/17 | 4,617,000 | 4,636,645 | ||||||||||||||||||||||
Royal Bank of Canada | 2.60% | 04/20/17 | 10/20/17 | 5,911,000 | 5,980,523 | ||||||||||||||||||||||
Royal Bank of Canada | 2.62% | 09/19/17 | 10/19/17 | 9,324,000 | 9,331,468 | ||||||||||||||||||||||
Royal Bank of Canada | 2.62% | 09/22/17 | 10/25/17 | 3,699,000 | 3,701,156 | ||||||||||||||||||||||
Royal Bank of Canada | 2.62% | 09/22/17 | 10/25/17 | 13,199,000 | 13,206,694 | ||||||||||||||||||||||
Royal Bank of Canada | 2.64% | 05/15/17 | 11/15/17 | 2,766,000 | 2,793,985 | ||||||||||||||||||||||
Royal Bank of Canada | 2.64% | 05/15/17 | 11/15/17 | 2,029,000 | 2,049,528 | ||||||||||||||||||||||
Royal Bank of Canada | 2.67% | 09/06/17 | 10/06/17 | 779,000 | 780,385 | ||||||||||||||||||||||
Royal Bank of Canada | 2.67% | 09/06/17 | 10/06/17 | 1,089,000 | 1,090,936 | ||||||||||||||||||||||
Royal Bank of Canada | 2.68% | 09/28/17 | 10/27/17 | 3,444,000 | 3,444,513 | ||||||||||||||||||||||
Royal Bank of Canada | 2.71% | 08/03/17 | 11/03/17 | 1,270,000 | 1,275,546 | ||||||||||||||||||||||
Royal Bank of Canada | 2.71% | 07/31/17 | 10/31/17 | 1,985,000 | 1,994,119 | ||||||||||||||||||||||
Royal Bank of Canada | 2.71% | 07/31/17 | 10/31/17 | 4,683,000 | 4,704,513 | ||||||||||||||||||||||
Royal Bank of Canada | 2.74% | 05/15/17 | 11/15/17 | 1,626,000 | 1,643,074 | ||||||||||||||||||||||
Royal Bank of Canada | 2.77% | 08/31/17 | 11/30/17 | 2,557,000 | 2,562,896 | ||||||||||||||||||||||
Royal Bank of Canada | 2.80% | 07/05/17 | 10/05/17 | 7,570,000 | 7,621,237 | ||||||||||||||||||||||
Royal Bank of Canada | 2.82% | 09/06/17 | 12/06/17 | 2,886,000 | 2,891,418 | ||||||||||||||||||||||
|
|
|
| ||||||||||||||||||||||||
Total Reverse Repurchase Agreements Outstanding |
| $ | 171,529,000 | $ | 171,945,041 | ||||||||||||||||||||||
|
|
|
|
See Notes to Consolidated Financial Statements.
110
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2017 (Unaudited)
Futures Contracts Outstanding at September 30, 2017
Description | Contracts | Exchange | Notional Amount | Expiration Date | Value/ Unrealized Appreciation (Depreciation) | |||||||||||||||||||
Long Futures | ||||||||||||||||||||||||
3 Month Euribor | 135 | ICE | 33,840,458 | EUR | 09/17/18 | $ | (5,195 | ) | ||||||||||||||||
90 Day Eurodollar | 7 | CME | 1,700,256 | USD | 03/14/22 | 8,007 | ||||||||||||||||||
90 Day Eurodollar | 5 | CME | 1,219,063 | USD | 06/13/22 | 624 | ||||||||||||||||||
90 Day Eurodollar | 2 | CME | 487,874 | USD | 09/19/22 | (199 | ) | |||||||||||||||||
90-Day Bank Bill | 89 | SFE | 88,588,468 | AUD | 06/07/18 | (12,962 | ) | |||||||||||||||||
Aluminum | 184 | LME | 9,499,945 | USD | 12/18/17 | 157,755 | ||||||||||||||||||
Aluminum | 173 | LME | 8,489,539 | USD | 10/16/17 | 510,786 | ||||||||||||||||||
Aluminum | 209 | LME | 10,777,077 | USD | 11/13/17 | 137,948 | ||||||||||||||||||
Amsterdam Index | 94 | Euronext | 9,911,152 | EUR | 10/20/17 | 215,777 | ||||||||||||||||||
Australian 10-Year Bond | 1,219 | SFE | 157,254,503 | AUD | 12/15/17 | (1,875,079 | ) | |||||||||||||||||
Australian Dollar Currency | 4,052 | CME | 323,205,336 | USD | 12/18/17 | (5,690,616 | ) | |||||||||||||||||
BIST 30 Index | 672 | ISE | 9,263,114 | TRY | 10/31/17 | (197,924 | ) | |||||||||||||||||
Brent Crude | 54 | ICE | 2,833,297 | USD | 10/31/18 | 159,923 | ||||||||||||||||||
Brent Crude | 220 | ICE | 11,574,316 | USD | 10/31/17 | 919,484 | ||||||||||||||||||
Brent Crude | 30 | ICE | 1,578,785 | USD | 10/31/19 | 67,915 | ||||||||||||||||||
Brent Crude | 498 | ICE | 27,120,247 | USD | 11/30/17 | 1,061,573 | ||||||||||||||||||
British Pound Currency | 328 | CME | 27,477,107 | USD | 12/18/17 | 72,843 | ||||||||||||||||||
CAC40 Index | 656 | Euronext | 34,109,262 | EUR | 10/20/17 | 984,024 | ||||||||||||||||||
Canadian 10-Year Bond | 504 | CDE | 69,477,697 | CAD | 12/18/17 | (1,031,054 | ) | |||||||||||||||||
Canadian Dollar Currency | 953 | CME | 77,857,170 | USD | 12/19/17 | (1,374,155 | ) | |||||||||||||||||
Canola | 54 | ICE | 546,014 | CAD | 11/14/17 | (11,398 | ) | |||||||||||||||||
Cattle Feeder | 121 | CME | 8,874,660 | USD | 01/25/18 | 292,602 | ||||||||||||||||||
Cattle Feeder | 36 | CME | 2,829,408 | USD | 11/16/17 | (57,408 | ) | |||||||||||||||||
Copper | 73 | LME | 11,014,885 | USD | 10/16/17 | 751,346 | ||||||||||||||||||
Copper | 121 | LME | 19,876,409 | USD | 11/13/17 | (325,078 | ) | |||||||||||||||||
Copper | 217 | COMEX | 16,716,879 | USD | 12/27/17 | (686,004 | ) | |||||||||||||||||
Copper | 140 | LME | 23,052,401 | USD | 12/18/17 | (375,026 | ) | |||||||||||||||||
Corn | 451 | CBOT | 8,254,565 | USD | 03/14/18 | 38,197 | ||||||||||||||||||
Crude Palm Oil | 121 | MYX | 8,381,217 | MYR | 12/15/17 | (54,196 | ) | |||||||||||||||||
DAX Index | 221 | Eurex | 69,220,453 | EUR | 12/15/17 | 1,759,255 | ||||||||||||||||||
E-mini Dow | 64 | CBOT | 6,973,603 | USD | 12/15/17 | 177,117 | ||||||||||||||||||
E-mini Russell 2000 | 178 | CME | 12,553,680 | USD | 12/15/17 | 733,130 | ||||||||||||||||||
E-mini S&P MidCap 400 | 33 | CME | 5,790,368 | USD | 12/15/17 | 135,442 | ||||||||||||||||||
Euro BUXL | 3 | Eurex | 501,420 | EUR | 12/07/17 | (13,757 | ) | |||||||||||||||||
Euro FX Currency | 178 | CME | 26,788,434 | USD | 12/18/17 | (389,921 | ) | |||||||||||||||||
Euro Stoxx 50 | 3,407 | Eurex | 119,399,607 | EUR | 12/15/17 | 2,877,588 | ||||||||||||||||||
Euro-BOBL | 107 | Eurex | 14,085,378 | EUR | 12/07/17 | (58,052 | ) | |||||||||||||||||
Euro-BTP | 245 | Eurex | 33,264,560 | EUR | 12/07/17 | (235,624 | ) | |||||||||||||||||
Euro-Bund | 18 | Eurex | 13,590 | EUR | 10/27/17 | (8,829 | ) | |||||||||||||||||
Euro-Bund | 852 | Eurex | 137,964,063 | EUR | 12/07/17 | (926,070 | ) | |||||||||||||||||
Euro-Oat | 136 | Eurex | 21,192,814 | EUR | 12/07/17 | (110,831 | ) |
See Notes to Consolidated Financial Statements.
111
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2017 (Unaudited)
Description | Contracts | Exchange | Notional Amount | Expiration Date | Value/ Unrealized Appreciation (Depreciation) | |||||||||||||||||
Euro-Schatz | 251 | Eurex | 28,161,507 | EUR | 12/07/17 | $ | (19,947 | ) | ||||||||||||||
FTSE 100 Index | 292 | ICE | 21,332,212 | GBP | 12/15/17 | 93,703 | ||||||||||||||||
FTSE China A50 Index | 309 | SGX | 3,708,701 | USD | 10/30/17 | 844 | ||||||||||||||||
FTSE KLCI Index1 | 34 | MYX | 2,985,926 | MYR | 10/31/17 | (1,984 | ) | |||||||||||||||
FTSE/JSE TOP 40 Index | 175 | Safex | 88,230,552 | ZAR | 12/21/17 | (36,252 | ) | |||||||||||||||
FTSE/MIB Index | 94 | IDEM | 10,417,957 | EUR | 12/15/17 | 258,935 | ||||||||||||||||
Gasoline RBOB | 108 | NYMEX | 7,263,062 | USD | 10/31/17 | (46,286 | ) | |||||||||||||||
Gasoline RBOB | 337 | NYMEX | 22,087,704 | USD | 11/30/17 | 257,216 | ||||||||||||||||
Gold 100 Oz | 195 | COMEX | 25,014,334 | USD | 12/27/17 | 39,266 | ||||||||||||||||
Gold 100 Oz | 84 | COMEX | 10,924,346 | USD | 02/26/18 | (97,586 | ) | |||||||||||||||
Hang Seng China Enterprises Index | 119 | HKFE | 65,148,618 | HKD | 10/30/17 | (33,017 | ) | |||||||||||||||
Hang Seng Index | 31 | HKFE | 42,715,690 | HKD | 10/30/17 | (8,633 | ) | |||||||||||||||
Japan 10-Year Bond | 41 | OSE | 6,197,859,330 | JPY | 12/13/17 | (297,795 | ) | |||||||||||||||
Japanese Yen Currency | 1,557 | CME | 177,259,181 | USD | 12/18/17 | (3,653,682 | ) | |||||||||||||||
KOSPI 200 Index | 76 | KRX FM | 5,941,515,500 | KRW | 12/14/17 | 81,926 | ||||||||||||||||
Lead | 105 | LME | 6,167,715 | USD | 10/16/17 | 379,035 | ||||||||||||||||
Lead | 116 | LME | 6,809,467 | USD | 11/13/17 | 414,433 | ||||||||||||||||
Lead | 61 | LME | 3,697,132 | USD | 12/18/17 | 100,118 | ||||||||||||||||
Lean Hogs | 16 | CME | 371,254 | USD | 12/14/17 | 12,426 | ||||||||||||||||
Live Cattle | 31 | CME | 1,403,344 | USD | 12/29/17 | 25,756 | ||||||||||||||||
Long Gilt | 1,187 | ICE | 149,482,014 | GBP | 12/27/17 | (3,264,846 | ) | |||||||||||||||
Low Sulphur Gasoil | 59 | ICE | 2,975,954 | USD | 10/12/17 | 258,721 | ||||||||||||||||
Low Sulphur Gasoil | 308 | ICE | 15,619,338 | USD | 12/12/17 | 820,162 | ||||||||||||||||
Mexican Peso Currency | 242 | CME | 6,700,722 | USD | 12/18/17 | (136,472 | ) | |||||||||||||||
MSCI EAFE Index | 41 | ICE | 4,031,349 | USD | 12/15/17 | 24,371 | ||||||||||||||||
MSCI Emerging Market | 164 | ICE | 9,013,275 | USD | 12/15/17 | (81,015 | ) | |||||||||||||||
MSCI Singapore Index | 308 | SGX | 11,043,124 | SGD | 10/30/17 | 27,407 | ||||||||||||||||
MSCI Taiwan Index | 282 | SGX | 10,827,542 | USD | 10/30/17 | 20,998 | ||||||||||||||||
Nasdaq 100 E-Mini | 41 | CME | 4,911,937 | USD | 12/15/17 | (6,287 | ) | |||||||||||||||
Natural Gas | 10 | NYMEX | 293,659 | USD | 09/26/18 | 2,141 | ||||||||||||||||
Natural Gas | 264 | NYMEX | 8,276,635 | USD | 11/28/17 | 121,205 | ||||||||||||||||
Natural Gas | 455 | NYMEX | 14,358,026 | USD | 10/27/17 | (676,176 | ) | |||||||||||||||
New Zealand Dollar Currency | 113 | CME | 8,210,455 | USD | 12/18/17 | (60,895 | ) | |||||||||||||||
Nickel | 197 | LME | 12,759,623 | USD | 12/18/17 | (361,034 | ) | |||||||||||||||
Nickel | 77 | LME | 4,717,794 | USD | 10/16/17 | 101,097 | ||||||||||||||||
Nickel | 70 | LME | 4,690,573 | USD | 11/13/17 | (298,003 | ) | |||||||||||||||
Nikkei 225 | 102 | SGX | 995,544,290 | JPY | 12/07/17 | 378,233 | ||||||||||||||||
Norwegian Krone Currency | 270 | CME | 68,599,487 | USD | 12/18/17 | (716,087 | ) | |||||||||||||||
NY Harbor ULSD | 120 | NYMEX | 9,109,256 | USD | 11/30/17 | (6,008 | ) | |||||||||||||||
NY Harbor ULSD | 131 | NYMEX | 9,811,907 | USD | 10/31/17 | 146,713 | ||||||||||||||||
OMXS30 Index | 2,128 | Nasdaq OMX | 337,717,184 | SEK | 10/20/17 | 1,299,367 | ||||||||||||||||
Palladium | 47 | NYMEX | 4,330,966 | USD | 12/27/17 | 72,229 |
See Notes to Consolidated Financial Statements.
112
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2017 (Unaudited)
Description | Contracts | Exchange | Notional Amount | Expiration Date | Value/ Unrealized Appreciation (Depreciation) | |||||||||||||||||
Palladium | 54 | NYMEX | 5,049,069 | USD | 03/27/18 | $ | (14,919 | ) | ||||||||||||||
Platinum | 45 | NYMEX | 2,106,727 | USD | 01/29/18 | (46,852 | ) | |||||||||||||||
Platinum | 198 | NYMEX | 9,371,136 | USD | 04/26/18 | (265,116 | ) | |||||||||||||||
S&P 500 E-mini | 422 | CME | 52,039,609 | USD | 12/15/17 | 1,050,101 | ||||||||||||||||
S&P/TSX 60 Index | 56 | CDE | 10,012,388 | CAD | 12/14/17 | 222,041 | ||||||||||||||||
SET50 Index | 255 | TFEX | 54,951,737 | THB | 12/28/17 | (5,482 | ) | |||||||||||||||
SGX Nifty 50 | 432 | SGX | 8,558,579 | USD | 10/26/17 | (88,787 | ) | |||||||||||||||
Short-Term Euro-BTP | 303 | Eurex | 34,134,724 | EUR | 12/07/17 | 44,459 | ||||||||||||||||
Silver | 62 | COMEX | 5,287,103 | USD | 12/27/17 | (117,543 | ) | |||||||||||||||
Silver | 30 | COMEX | 2,551,598 | USD | 03/27/18 | (35,948 | ) | |||||||||||||||
Soybean | 71 | CBOT | 3,438,899 | USD | 01/12/18 | 34,776 | ||||||||||||||||
Soybean Oil | 150 | CBOT | 3,149,656 | USD | 01/12/18 | (180,556 | ) | |||||||||||||||
SPI 200 | 228 | SFE | 32,448,741 | AUD | 12/21/17 | (110,711 | ) | |||||||||||||||
STOXX Europe 600 Banks | 828 | Eurex | 7,545,980 | EUR | 12/15/17 | 295,050 | ||||||||||||||||
STOXX Europe 600 Banks | 110 | Eurex | 2,093,631 | EUR | 12/15/17 | 36,662 | ||||||||||||||||
Swedish Krona Currency | 295 | CME | 74,040,701 | USD | 12/18/17 | (1,329,101 | ) | |||||||||||||||
Swiss Franc Currency | 16 | CME | 2,094,647 | USD | 12/18/17 | (19,047 | ) | |||||||||||||||
Swiss Market Index | 683 | Eurex | 61,794,196 | CHF | 12/15/17 | 589,182 | ||||||||||||||||
TOPIX index | 1,379 | OSE | 22,099,116,916 | JPY | 12/07/17 | 8,879,210 | ||||||||||||||||
U.S. Treasury 10-Year Note | 3,683 | CBOT | 465,819,780 | USD | 12/19/17 | (4,293,842 | ) | |||||||||||||||
U.S. Treasury 5-Year Note | 15 | CBOT | 1,776,413 | USD | 12/29/17 | (13,913 | ) | |||||||||||||||
U.S. Treasury Long Bond | 8 | CBOT | 1,245,049 | USD | 12/19/17 | (22,549 | ) | |||||||||||||||
Ultra 10-Year U.S. Treasury Note | 12 | CBOT | 1,635,838 | USD | 12/19/17 | (23,901 | ) | |||||||||||||||
Ultra U.S. Treasury Bond | 23 | CBOT | 3,866,896 | USD | 12/19/17 | (69,021 | ) | |||||||||||||||
WTI Crude | 164 | NYMEX | 7,597,674 | USD | 11/20/17 | 922,126 | ||||||||||||||||
WTI Crude | 11 | NYMEX | 553,281 | USD | 11/19/18 | 13,438 | ||||||||||||||||
WTI Crude | 7 | NYMEX | 354,670 | USD | 11/20/19 | 580 | ||||||||||||||||
WTI Crude | 6 | NYMEX | 306,687 | USD | 11/20/20 | (3,147 | ) | |||||||||||||||
WTI Crude | 6 | NYMEX | 312,504 | USD | 10/20/17 | (2,484 | ) | |||||||||||||||
Zinc | 85 | LME | 6,277,980 | USD | 12/18/17 | 449,770 | ||||||||||||||||
Zinc | 66 | LME | 4,702,832 | USD | 10/16/17 | 552,831 | ||||||||||||||||
Zinc | 62 | LME | 4,560,545 | USD | 11/13/17 | 350,243 | ||||||||||||||||
|
| |||||||||||||||||||||
$ | (446,195 | ) | ||||||||||||||||||||
|
| |||||||||||||||||||||
Short Futures | ||||||||||||||||||||||
3 Month Euribor | 7 | ICE | 1,754,206 | EUR | 12/18/17 | $ | (1,752 | ) | ||||||||||||||
3 Month Euribor | 5 | ICE | 1,252,433 | EUR | 03/19/18 | (1,705 | ) | |||||||||||||||
3 Month Euribor | 7 | ICE | 1,753,606 | EUR | 06/18/18 | (1,736 | ) | |||||||||||||||
3 Month Euribor | 5 | ICE | 1,251,120 | EUR | 03/18/19 | (745 | ) | |||||||||||||||
3 Month Euribor | 12 | ICE | 3,005,218 | EUR | 09/17/18 | (2,875 | ) | |||||||||||||||
3 Month Euribor | 4 | ICE | 1,001,059 | EUR | 12/17/18 | (1,172 | ) | |||||||||||||||
3 Month Euribor | 7 | ICE | 1,750,434 | EUR | 06/17/19 | (1,039 | ) | |||||||||||||||
3 Month Euribor | 5 | ICE | 1,249,558 | EUR | 09/16/19 | (671 | ) |
See Notes to Consolidated Financial Statements.
113
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2017 (Unaudited)
Description | Contracts | Exchange | Notional Amount | Expiration Date | Value/ Unrealized Appreciation (Depreciation) | |||||||||||||||||
90 Day Eurodollar | 63 | CME | 15,522,611 | USD | 12/18/17 | $ | 5,711 | |||||||||||||||
90 Day Eurodollar | 80 | CME | 19,698,604 | USD | 03/19/18 | 16,604 | ||||||||||||||||
90 Day Eurodollar | 11 | CME | 2,693,284 | USD | 12/16/19 | (204 | ) | |||||||||||||||
90 Day Eurodollar | 13 | CME | 3,187,247 | USD | 09/16/19 | 2,085 | ||||||||||||||||
90 Day Eurodollar | 74 | CME | 18,234,728 | USD | 06/18/18 | 49,229 | ||||||||||||||||
90 Day Eurodollar | 47 | CME | 11,577,197 | USD | 09/17/18 | 36,347 | ||||||||||||||||
90 Day Eurodollar | 12 | CME | 2,940,194 | USD | 03/16/20 | 2,744 | ||||||||||||||||
90 Day Eurodollar | 6 | CME | 1,467,247 | USD | 09/13/21 | 1,822 | ||||||||||||||||
90 Day Eurodollar | 10 | CME | 2,445,986 | USD | 12/14/20 | 986 | ||||||||||||||||
90 Day Eurodollar | 6 | CME | 1,467,847 | USD | 06/14/21 | 1,822 | ||||||||||||||||
90 Day Eurodollar | 13 | CME | 3,182,979 | USD | 06/15/20 | 1,716 | ||||||||||||||||
90 Day Eurodollar | 12 | CME | 2,945,881 | USD | 03/18/19 | 3,181 | ||||||||||||||||
90 Day Eurodollar | 302 | CME | 74,228,833 | USD | 12/17/18 | 136,908 | ||||||||||||||||
90 Day Eurodollar | 15 | CME | 3,676,094 | USD | 06/17/19 | (593 | ) | |||||||||||||||
90 Day Eurodollar | 8 | CME | 1,956,079 | USD | 03/15/21 | 679 | ||||||||||||||||
90 Day Eurodollar | 18 | CME | 4,403,903 | USD | 09/14/20 | 653 | ||||||||||||||||
90 Day Sterling | 3 | ICE | 372,973 | GBP | 12/20/17 | (53 | ) | |||||||||||||||
90 Day Sterling | 3 | ICE | 371,660 | GBP | 12/19/18 | (3 | ) | |||||||||||||||
90 Day Sterling | 2 | ICE | 247,236 | GBP | 12/18/19 | (19 | ) | |||||||||||||||
90 Day Sterling | 2 | ICE | 248,074 | GBP | 06/20/18 | (2 | ) | |||||||||||||||
90 Day Sterling | 2 | ICE | 247,511 | GBP | 06/19/19 | (19 | ) | |||||||||||||||
90 Day Sterling | 2 | ICE | 247,061 | GBP | 06/17/20 | (19 | ) | |||||||||||||||
90 Day Sterling | 4 | ICE | 496,685 | GBP | 03/21/18 | 46 | ||||||||||||||||
90 Day Sterling | 2 | ICE | 247,661 | GBP | 03/20/19 | 15 | ||||||||||||||||
90 Day Sterling | 2 | ICE | 247,149 | GBP | 03/18/20 | (35 | ) | |||||||||||||||
90 Day Sterling | 146 | ICE | 18,097,432 | GBP | 09/19/18 | 981 | ||||||||||||||||
90 Day Sterling | 2 | ICE | 247,386 | GBP | 09/18/19 | 15 | ||||||||||||||||
90 Day Sterling | 2 | ICE | 246,974 | GBP | 09/16/20 | (2 | ) | |||||||||||||||
Aluminum | 173 | LME | 8,739,036 | USD | 10/16/17 | (261,289 | ) | |||||||||||||||
Aluminum | 209 | LME | 10,823,592 | USD | 11/13/17 | (91,433 | ) | |||||||||||||||
Aluminum | 95 | LME | 5,045,176 | USD | 12/18/17 | 58,864 | ||||||||||||||||
Australian 10-Year Bond | 2,155 | SFE | 275,893,801 | AUD | 12/15/17 | 1,661,807 | ||||||||||||||||
Australian 3-Year Bond | 172 | SFE | 19,159,936 | AUD | 12/15/17 | 48,540 | ||||||||||||||||
Australian Dollar Currency | 39 | CME | 3,131,170 | USD | 12/18/17 | 75,130 | ||||||||||||||||
Bank Acceptance | 94 | CDE | 23,098,007 | CAD | 09/17/18 | 52,620 | ||||||||||||||||
British Pound Currency | 676 | CME | 56,253,950 | USD | 12/18/17 | (525,825 | ) | |||||||||||||||
CAC40 Index | 16 | Euronext | 832,060 | EUR | 10/20/17 | (23,851 | ) | |||||||||||||||
Canadian 10-Year Bond | 1,088 | CDE | 148,389,698 | CAD | 12/18/17 | 948,345 | ||||||||||||||||
Canadian Dollar Currency | 2,738 | CME | 224,734,711 | USD | 12/19/17 | 4,996,521 | ||||||||||||||||
Cocoa | 135 | ICE | 2,642,382 | USD | 12/13/17 | (115,668 | ) | |||||||||||||||
Cocoa | 741 | ICE | 14,587,153 | USD | 03/14/18 | (484,787 | ) | |||||||||||||||
Cocoa | 135 | ICE | 2,058,550 | GBP | 12/12/17 | 16,013 | ||||||||||||||||
Coffee | 118 | ICE | 5,856,516 | USD | 12/18/17 | 190,304 | ||||||||||||||||
Coffee | 198 | ICE | 10,612,078 | USD | 03/19/18 | 837,066 |
See Notes to Consolidated Financial Statements.
114
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2017 (Unaudited)
Description | Contracts | Exchange | Notional Amount | Expiration Date | Value/ Unrealized Appreciation (Depreciation) | |||||||||||||||||
Coffee Robusta | 51 | ICE | 1,004,281 | USD | 11/30/17 | $ | 601 | |||||||||||||||
Copper | 73 | LME | 11,587,969 | USD | 10/16/17 | (178,263 | ) | |||||||||||||||
Copper | 121 | LME | 19,965,801 | USD | 11/13/17 | 414,470 | ||||||||||||||||
Copper | 3 | LME | 486,383 | USD | 12/18/17 | 440 | ||||||||||||||||
Corn | 592 | CBOT | 10,690,786 | USD | 12/14/17 | 175,387 | ||||||||||||||||
Cotton No. 2 | 39 | ICE | 1,329,675 | USD | 12/06/17 | (5,100 | ) | |||||||||||||||
Cotton No. 2 | 33 | ICE | 1,115,407 | USD | 03/07/18 | (2,963 | ) | |||||||||||||||
DAX Index | 65 | Eurex | 20,369,744 | EUR | 12/15/17 | (504,678 | ) | |||||||||||||||
Dollar Index | 80 | ICE | 7,287,968 | USD | 12/18/17 | (142,672 | ) | |||||||||||||||
E-Mini Russell 2000 | 122 | CME | 8,636,388 | USD | 12/15/17 | (470,302 | ) | |||||||||||||||
Euro BUXL | 50 | Eurex | 8,338,709 | EUR | 12/07/17 | 207,671 | ||||||||||||||||
Euro FX Currency | 493 | CME | 73,807,239 | USD | 12/18/17 | 692,257 | ||||||||||||||||
Euro Stoxx 50 | 10,375 | Eurex | 363,588,457 | EUR | 12/15/17 | (8,771,524 | ) | |||||||||||||||
Euro-BOBL | 308 | Eurex | 40,539,846 | EUR | 12/07/17 | 161,219 | ||||||||||||||||
Euro-BTP | 100 | Eurex | 13,582,855 | EUR | 12/07/17 | 102,654 | ||||||||||||||||
Euro-Bund | 24 | Eurex | 7,640 | EUR | 10/27/17 | 7,044 | ||||||||||||||||
Euro-Bund | 136 | Eurex | 22,078,591 | EUR | 12/07/17 | 214,197 | ||||||||||||||||
Euro-Oat | 28 | Eurex | 4,367,295 | EUR | 12/07/17 | 27,627 | ||||||||||||||||
Euro-Schatz | 199 | Eurex | 22,322,410 | EUR | 12/07/17 | 10,093 | ||||||||||||||||
FTSE 100 Index | 365 | ICE | 26,761,524 | GBP | 12/15/17 | 11,857 | ||||||||||||||||
FTSE 250 Index | 12 | ICE | 467,418 | GBP | 12/15/17 | (8,546 | ) | |||||||||||||||
FTSE/MIB Index | 2 | IDEM | 221,298 | EUR | 12/15/17 | (5,935 | ) | |||||||||||||||
Hang Seng Index | 75 | HKFE | 103,428,652 | HKD | 10/30/17 | 31,671 | ||||||||||||||||
Japan 10-Year Bond | 464 | OSE | 70,033,709,414 | JPY | 12/13/17 | 2,411,103 | ||||||||||||||||
Japanese Yen Currency | 619 | CME | 69,594,257 | USD | 12/18/17 | 575,757 | ||||||||||||||||
KC HRW Wheat | 172 | CBOT | 3,714,367 | USD | 12/14/17 | (93,283 | ) | |||||||||||||||
KC HRW Wheat | 175 | CBOT | 4,346,096 | USD | 03/14/18 | 318,908 | ||||||||||||||||
Lead | 105 | LME | 6,108,856 | USD | 10/16/17 | (437,894 | ) | |||||||||||||||
Lead | 116 | LME | 6,830,767 | USD | 11/13/17 | (393,133 | ) | |||||||||||||||
Lead | 223 | LME | 13,388,629 | USD | 12/18/17 | (493,121 | ) | |||||||||||||||
Lean Hogs | 341 | CME | 8,737,938 | USD | 02/14/18 | (134,882 | ) | |||||||||||||||
Live Cattle | 304 | CME | 14,294,609 | USD | 02/28/18 | (130,191 | ) | |||||||||||||||
Long Gilt | 16 | ICE | 1,978,357 | GBP | 12/27/17 | (4,989 | ) | |||||||||||||||
Mexican Peso Currency | 188 | CME | 5,205,834 | USD | 12/18/17 | 106,334 | ||||||||||||||||
MSCI Emerging Market | 22 | ICE | 1,210,375 | USD | 12/15/17 | 12,145 | ||||||||||||||||
Nasdaq 100 E-Mini | 37 | CME | 4,431,153 | USD | 12/15/17 | 4,103 | ||||||||||||||||
Natural Gas | 265 | NYMEX | 8,469,972 | USD | 02/26/18 | (139,878 | ) | |||||||||||||||
Natural Gas | 308 | NYMEX | 9,730,087 | USD | 10/27/17 | 468,527 | ||||||||||||||||
Natural Gas | 1,143 | NYMEX | 36,877,020 | USD | 11/28/17 | 518,190 | ||||||||||||||||
Nickel | 53 | LME | 3,642,628 | USD | 12/18/17 | 306,967 | ||||||||||||||||
Nickel | 77 | LME | 4,558,569 | USD | 10/16/17 | (260,322 | ) | |||||||||||||||
Nickel | 70 | LME | 4,757,034 | USD | 11/13/17 | 364,464 | ||||||||||||||||
Platinum | 11 | NYMEX | 507,144 | USD | 01/29/18 | 3,619 | ||||||||||||||||
S&P 500 | 72 | CME | 44,312,499 | USD | 12/14/17 | (977,301 | ) |
See Notes to Consolidated Financial Statements.
115
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2017 (Unaudited)
Description | Contracts | Exchange | Notional Amount | Expiration Date | Value/ Unrealized Appreciation (Depreciation) | |||||||||||||||||
S&P 500 E-Mini | 1,756 | CME | 217,692,165 | USD | 12/15/17 | $ | (3,221,415 | ) | ||||||||||||||
S&P/TSX 60 Index | 786 | CDE | 139,724,042 | CAD | 12/14/17 | (3,763,252 | ) | |||||||||||||||
Silver | 27 | COMEX | 2,276,860 | USD | 12/27/17 | 25,600 | ||||||||||||||||
Soybean | 75 | CBOT | 3,488,927 | USD | 11/14/17 | (142,011 | ) | |||||||||||||||
Soybean Meal | 125 | CBOT | 3,752,519 | USD | 12/14/17 | (194,981 | ) | |||||||||||||||
Soybean Oil | 7 | CBOT | 138,142 | USD | 12/14/17 | 298 | ||||||||||||||||
SPI 200 | 748 | SFE | 106,273,805 | AUD | 12/21/17 | 221,361 | ||||||||||||||||
Sugar 11 | 849 | ICE | 14,122,024 | USD | 04/30/18 | 600,510 | ||||||||||||||||
Sugar 11 | 541 | ICE | 8,942,241 | USD | 02/28/18 | 398,769 | ||||||||||||||||
Swiss Franc Currency | 60 | ICE | 15,101,903 | CHF | 06/18/18 | 2,998 | ||||||||||||||||
Swiss Franc Currency | 1,418 | CME | 185,302,203 | USD | 12/18/17 | 1,352,153 | ||||||||||||||||
TOPIX index | 123 | OSE | 1,954,388,820 | JPY | 12/07/17 | (940,779 | ) | |||||||||||||||
U.S. Treasury 10-Year Note | 483 | CBOT | 60,954,007 | USD | 12/19/17 | 428,070 | ||||||||||||||||
U.S. Treasury 2-Year Note | 49 | CBOT | 10,597,238 | USD | 12/29/17 | 27,785 | ||||||||||||||||
U.S. Treasury 5-Year Note | 511 | CBOT | 60,491,280 | USD | 12/29/17 | 448,780 | ||||||||||||||||
U.S. Treasury Long Bond | 32 | CBOT | 4,957,156 | USD | 12/19/17 | 67,156 | ||||||||||||||||
Wheat | 170 | CBOT | 3,709,485 | USD | 12/14/17 | (100,640 | ) | |||||||||||||||
Wheat | 494 | CBOT | 11,371,565 | USD | 03/14/18 | (150,985 | ) | |||||||||||||||
White Sugar | 82 | ICE | 1,541,271 | USD | 11/15/17 | 56,251 | ||||||||||||||||
WTI Crude | 154 | NYMEX | 7,900,035 | USD | 11/20/17 | (100,265 | ) | |||||||||||||||
Zinc | 84 | LME | 6,505,244 | USD | 12/18/17 | (143,356 | ) | |||||||||||||||
Zinc | 66 | LME | 4,760,161 | USD | 10/16/17 | (495,502 | ) | |||||||||||||||
Zinc | 62 | LME | 4,759,196 | USD | 11/13/17 | (151,591 | ) | |||||||||||||||
$ | (4,151,461 | ) | ||||||||||||||||||||
|
| |||||||||||||||||||||
Total Futures Contracts Outstanding |
| $ | (4,597,656 | ) | ||||||||||||||||||
|
|
Forward Foreign Currency Exchange Contracts Outstanding at September 30, 2017
Currency | Amount in | Currency | Amount in | Counterparty | Settlement | Unrealized | ||||||||||||||||
AUD | 1,098,000 | USD | 881,324 | Merrill Lynch International | 12/20/2017 | $ | (20,848 | ) | ||||||||||||||
AUD | 153,241 | USD | 122,144 | Morgan Stanley & Co. LLC | 12/21/2017 | (2,051 | ) | |||||||||||||||
BRL | 20,664,930 | USD | 6,484,946 | Bank of America, N.A. | 10/03/2017 | 39,825 | ||||||||||||||||
BRL | 60,395,028 | USD | 19,025,042 | Merrill Lynch International | 10/03/2017 | 44,161 | ||||||||||||||||
BRL | 26,768,195 | USD | 8,342,120 | Merrill Lynch International | 11/03/2017 | 74,360 | ||||||||||||||||
CAD | 423,859 | USD | 349,925 | Merrill Lynch International | 12/20/2017 | (10,050 | ) | |||||||||||||||
CAD | 397,000 | USD | 321,653 | State Street Bank and Trust Company | 12/11/2017 | (3,342 | ) | |||||||||||||||
CAD | 161,874 | USD | 133,298 | Morgan Stanley Capital Services LLC | 12/20/2017 | (3,498 | ) | |||||||||||||||
CHF | 8,155,445 | USD | 8,488,433 | Morgan Stanley & Co. LLC | 12/21/2017 | (21,161 | ) | |||||||||||||||
CLP | 4,315,231,338 | USD | 6,948,934 | Merrill Lynch International | 12/20/2017 | (217,604 | ) | |||||||||||||||
CLP | 1,400,000,000 | USD | 2,191,609 | State Street Bank and Trust Company | 11/28/2017 | (6,563 | ) |
See Notes to Consolidated Financial Statements.
116
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2017 (Unaudited)
Currency | Amount in | Currency | Amount in | Counterparty | Settlement | Unrealized | ||||||||||||||||
CNH | 109,500,000 | USD | 15,726,968 | State Street Bank and Trust Company | 03/19/2018 | $ | 590,880 | |||||||||||||||
CZK | 483,754,408 | EUR | 18,108,647 | Morgan Stanley Capital Services LLC | 12/15/2017 | 314,679 | ||||||||||||||||
CZK | 172,476,561 | EUR | 6,490,914 | Morgan Stanley Capital Services LLC | 01/10/2018 | 98,214 | ||||||||||||||||
CZK | 488,728,221 | EUR | 18,272,946 | JPMorgan Chase Bank, N.A. | 11/29/2017 | 319,682 | ||||||||||||||||
CZK | 124,340,092 | USD | 5,796,715 | Merrill Lynch International | 12/20/2017 | (107,390 | ) | |||||||||||||||
DKK | 66,354,220 | USD | 10,663,663 | Morgan Stanley & Co. LLC | 12/21/2017 | (75,167 | ) | |||||||||||||||
EUR | 16,100,269 | CZK | 432,831,564 | Morgan Stanley Capital Services LLC | 12/15/2017 | (342,165 | ) | |||||||||||||||
EUR | 6,525,787 | CZK | 172,476,561 | Morgan Stanley Capital Services LLC | 01/10/2018 | (77,488 | ) | |||||||||||||||
EUR | 2,577,692 | CZK | 69,069,257 | JPMorgan Chase Bank, N.A. | 11/29/2017 | (47,978 | ) | |||||||||||||||
EUR | 8,520,172 | USD | 10,231,317 | Bank of America, N.A. | 12/20/2017 | (117,635 | ) | |||||||||||||||
EUR | 1,198,000 | USD | 1,439,904 | Merrill Lynch International | 12/20/2017 | (17,845 | ) | |||||||||||||||
EUR | 6,757,693 | USD | 8,000,000 | State Street Bank and Trust Company | 10/26/2017 | (3,374 | ) | |||||||||||||||
EUR | 5,107,717 | USD | 6,090,627 | Morgan Stanley Capital Services LLC | 12/20/2017 | (27,624 | ) | |||||||||||||||
EUR | 173,002 | USD | 206,647 | Morgan Stanley & Co. LLC | 12/21/2017 | (1,273 | ) | |||||||||||||||
GBP | 955,000 | USD | 1,282,190 | Merrill Lynch International | 12/20/2017 | 563 | ||||||||||||||||
GBP | 2,575,854 | USD | 3,446,643 | Morgan Stanley & Co. LLC | 12/21/2017 | 13,404 | ||||||||||||||||
HKD | 2,408,614 | USD | 309,000 | Merrill Lynch International | 12/20/2017 | (55 | ) | |||||||||||||||
HKD | 302,737,000 | USD | 38,800,000 | Morgan Stanley Capital Services LLC | 12/11/2017 | 23,065 | ||||||||||||||||
HKD | 23,000,000 | USD | 2,950,193 | Morgan Stanley Capital Services LLC | 12/20/2017 | (57 | ) | |||||||||||||||
HKD | 211,885,653 | USD | 27,282,000 | Morgan Stanley Capital Services LLC | 11/13/2018 | 41,958 | ||||||||||||||||
HUF | 1,620,358,579 | USD | 6,408,927 | Merrill Lynch International | 12/20/2017 | (239,885 | ) | |||||||||||||||
IDR | 36,100,000,000 | USD | 2,682,818 | State Street Bank and Trust Company | 12/18/2017 | (19,843 | ) | |||||||||||||||
ILS | 27,881,959 | USD | 7,971,457 | Merrill Lynch International | 12/20/2017 | (60,633 | ) | |||||||||||||||
INR | 2,324,779,997 | USD | 36,049,380 | Merrill Lynch International | 12/20/2017 | (769,918 | ) | |||||||||||||||
INR | 594,260,000 | USD | 9,199,071 | State Street Bank and Trust Company | 12/18/2017 | (178,952 | ) | |||||||||||||||
INR | 663,020,012 | USD | 10,347,521 | Morgan Stanley Capital Services LLC | 10/12/2017 | (212,342 | ) | |||||||||||||||
JPY | 76,396,534 | USD | 699,117 | Merrill Lynch International | 12/20/2017 | (17,590 | ) | |||||||||||||||
KRW | 15,532,828,375 | USD | 13,768,410 | Merrill Lynch International | 12/20/2017 | (188,262 | ) | |||||||||||||||
KRW | 203,541,542 | USD | 180,044 | Merrill Lynch International | 12/21/2017 | (2,086 | ) | |||||||||||||||
KRW | 3,884,504,873 | USD | 3,402,966 | Morgan Stanley Capital Services LLC | 12/20/2017 | (7,510 | ) | |||||||||||||||
MXN | 200,000,000 | USD | 11,186,646 | Morgan Stanley & Co. International plc | 11/08/2017 | (268,108 | ) | |||||||||||||||
NOK | 166,000,000 | EUR | 17,698,351 | Morgan Stanley & Co. International plc | 11/08/2017 | (49,448 | ) | |||||||||||||||
NOK | 60,573,141 | USD | 7,858,208 | Merrill Lynch International | 12/20/2017 | (238,454 | ) | |||||||||||||||
NOK | 11,000,000 | USD | 1,423,193 | State Street Bank and Trust Company | 12/18/2017 | (39,551 | ) |
See Notes to Consolidated Financial Statements.
117
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2017 (Unaudited)
Currency | Amount in | Currency | Amount in | Counterparty | Settlement | Unrealized | ||||||||||||||||
PHP | 17,660,741 | USD | 344,821 | Merrill Lynch International | 12/20/2017 | $ | 1,428 | |||||||||||||||
PLN | 24,181,264 | USD | 6,837,177 | Merrill Lynch International | 12/20/2017 | (208,407 | ) | |||||||||||||||
RUB | 286,532,834 | USD | 4,894,400 | Deutsche Bank AG | 12/20/2017 | 11,440 | ||||||||||||||||
RUB | 375,790,452 | USD | 6,469,703 | Merrill Lynch International | 12/20/2017 | (26,288 | ) | |||||||||||||||
RUB | 217,811,632 | USD | 3,722,773 | Morgan Stanley Capital Services LLC | 12/20/2017 | 6,464 | ||||||||||||||||
SEK | 67,434,434 | USD | 8,478,778 | Merrill Lynch International | 12/20/2017 | (161,079 | ) | |||||||||||||||
SEK | 16,250,000 | USD | 2,047,760 | State Street Bank and Trust Company | 12/18/2017 | (43,704 | ) | |||||||||||||||
SGD | 17,268,369 | USD | 12,900,621 | Merrill Lynch International | 12/20/2017 | (156,036 | ) | |||||||||||||||
TRY | 18,338,699 | USD | 5,203,797 | Deutsche Bank AG | 12/20/2017 | (171,850 | ) | |||||||||||||||
TRY | 19,804,589 | USD | 5,667,049 | Merrill Lynch International | 12/20/2017 | (232,878 | ) | |||||||||||||||
TRY | 14,832,943 | USD | 4,169,658 | Morgan Stanley Capital Services LLC | 12/20/2017 | (99,654 | ) | |||||||||||||||
TWD | 489,876,948 | USD | 16,496,676 | Merrill Lynch International | 12/20/2017 | (278,162 | ) | |||||||||||||||
USD | 123,816 | AUD | 153,241 | Morgan Stanley & Co. LLC | 12/21/2017 | 3,724 | ||||||||||||||||
USD | 7,700,757 | AUD | 9,700,000 | Morgan Stanley & Co. International plc | 11/08/2017 | 95,273 | ||||||||||||||||
USD | 6,604,324 | BRL | 20,664,930 | Bank of America, N.A. | 10/03/2017 | 79,553 | ||||||||||||||||
USD | 19,002,158 | BRL | 60,395,028 | Merrill Lynch International | 10/03/2017 | (67,046 | ) | |||||||||||||||
USD | 701,245 | BRL | 2,248,775 | Merrill Lynch International | 11/03/2017 | (5,817 | ) | |||||||||||||||
USD | 2,287,094 | BRL | 7,200,000 | Morgan Stanley & Co. International plc | 10/27/2017 | 21,438 | ||||||||||||||||
USD | 310,286 | BRL | 990,000 | Morgan Stanley & Co. International plc | 11/29/2017 | 110 | ||||||||||||||||
USD | 318,000 | CAD | 390,602 | Merrill Lynch International | 12/20/2017 | 4,792 | ||||||||||||||||
USD | 2,471,231 | CAD | 3,000,000 | State Street Bank and Trust Company | 12/11/2017 | 65,857 | ||||||||||||||||
USD | 4,860,346 | CAD | 6,000,000 | Morgan Stanley & Co. International plc | 11/08/2017 | 50,498 | ||||||||||||||||
USD | 500,000 | CHF | 479,135 | State Street Bank and Trust Company | 10/26/2017 | 4,448 | ||||||||||||||||
USD | 9,860,708 | CHF | 9,269,854 | Morgan Stanley Capital Services LLC | 12/20/2017 | 236,750 | ||||||||||||||||
USD | 41,468,021 | CHF | 39,773,012 | Morgan Stanley & Co. LLC | 12/21/2017 | 174,271 | ||||||||||||||||
USD | 14,482,265 | CHF | 14,000,000 | Morgan Stanley & Co. International plc | 11/08/2017 | (9,187 | ) | |||||||||||||||
USD | 777,541 | CLP | 491,562,232 | Merrill Lynch International | 12/20/2017 | 10,753 | ||||||||||||||||
USD | 1,555,424 | CLP | 975,000,000 | State Street Bank and Trust Company | 11/28/2017 | 33,695 | ||||||||||||||||
USD | 15,437,590 | CNH | 109,500,000 | State Street Bank and Trust Company | 03/19/2018 | (880,259 | ) | |||||||||||||||
USD | 7,565,384 | CNH | 49,969,286 | Morgan Stanley Capital Services LLC | 12/20/2017 | 77,614 | ||||||||||||||||
USD | 479,313 | COP | 1,430,868,000 | Morgan Stanley & Co. International plc | 10/13/2017 | (7,297 | ) | |||||||||||||||
USD | 283,002 | CZK | 6,147,780 | Merrill Lynch International | 12/20/2017 | 1,703 | ||||||||||||||||
USD | 1,000,000 | DKK | 6,185,770 | State Street Bank and Trust Company | 10/26/2017 | 16,226 | ||||||||||||||||
USD | 46,959 | DKK | 294,660 | Morgan Stanley & Co. LLC | 12/21/2017 | (62 | ) |
See Notes to Consolidated Financial Statements.
118
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2017 (Unaudited)
Currency | Amount in | Currency | Amount in | Counterparty | Settlement | Unrealized | ||||||||||||||||
USD | 28,014,693 | EUR | 23,308,071 | Bank of America, N.A. | 12/20/2017 | $ | 347,363 | |||||||||||||||
USD | 371,915 | EUR | 310,000 | Merrill Lynch International | 12/20/2017 | 3,937 | ||||||||||||||||
USD | 31,941,389 | EUR | 26,495,571 | State Street Bank and Trust Company | 12/18/2017 | 494,576 | ||||||||||||||||
USD | 1,189,900 | EUR | 1,000,000 | State Street Bank and Trust Company | 12/27/2017 | 2,303 | ||||||||||||||||
USD | 32,386,837 | EUR | 26,901,177 | Morgan Stanley Capital Services LLC | 12/20/2017 | 454,389 | ||||||||||||||||
USD | 19,326 | EUR | 17,437 | Morgan Stanley Capital Services LLC | 01/10/2018 | (1,400 | ) | |||||||||||||||
USD | 1,258,461 | EUR | 1,054,426 | Morgan Stanley & Co. LLC | 12/21/2017 | 6,728 | ||||||||||||||||
USD | 2,961,739 | EUR | 2,500,000 | Morgan Stanley & Co. International plc | 11/08/2017 | 1,336 | ||||||||||||||||
USD | 129,082 | GBP | 96,000 | Merrill Lynch International | 12/20/2017 | 135 | ||||||||||||||||
USD | 16,794,993 | GBP | 12,805,942 | State Street Bank and Trust Company | 12/18/2017 | (404,672 | ) | |||||||||||||||
USD | 263,611 | GBP | 199,144 | Morgan Stanley Capital Services LLC | 12/20/2017 | (3,879 | ) | |||||||||||||||
USD | 102,969 | GBP | 76,702 | Morgan Stanley & Co. LLC | 12/21/2017 | (61 | ) | |||||||||||||||
USD | 134,971 | GBP | 100,000 | Morgan Stanley & Co. International plc | 11/08/2017 | 818 | ||||||||||||||||
USD | 1,173,975 | HKD | 9,146,967 | Merrill Lynch International | 12/20/2017 | 723 | ||||||||||||||||
USD | 3,503,548 | HKD | 27,300,000 | State Street Bank and Trust Company | 12/18/2017 | 2,026 | ||||||||||||||||
USD | 30,736,000 | HKD | 239,779,886 | Morgan Stanley Capital Services LLC | 12/11/2017 | (13,430 | ) | |||||||||||||||
USD | 10,068,003 | HKD | 78,471,000 | Morgan Stanley Capital Services LLC | 12/20/2017 | 2,780 | ||||||||||||||||
USD | 77,682,000 | HKD | 604,498,019 | Morgan Stanley Capital Services LLC | 11/13/2018 | (271,737 | ) | |||||||||||||||
USD | 6,665,645 | HKD | 52,000,000 | Morgan Stanley & Co. International plc | 11/08/2017 | 2,772 | ||||||||||||||||
USD | 978,030 | HUF | 256,209,643 | Merrill Lynch International | 12/20/2017 | 2,587 | ||||||||||||||||
USD | 1,208,172 | IDR | 16,155,194,000 | Morgan Stanley & Co. International plc | 10/10/2017 | 9,493 | ||||||||||||||||
USD | 441,244 | ILS | 1,551,118 | Merrill Lynch International | 12/20/2017 | 1,152 | ||||||||||||||||
USD | 2,152,853 | INR | 140,136,282 | Merrill Lynch International | 12/20/2017 | 26,229 | ||||||||||||||||
USD | 10,153,446 | INR | 663,020,012 | Morgan Stanley Capital Services LLC | 10/12/2017 | 18,267 | ||||||||||||||||
USD | 3,753,610 | INR | 242,839,825 | Morgan Stanley Capital Services LLC | 12/20/2017 | 70,799 | ||||||||||||||||
USD | 1,532,730 | INR | 98,395,120 | Morgan Stanley & Co. International plc | 10/12/2017 | 27,938 | ||||||||||||||||
USD | 505,344 | INR | 33,000,000 | Morgan Stanley & Co. International plc | 10/27/2017 | 1,575 | ||||||||||||||||
USD | 321,000 | JPY | 35,446,639 | Merrill Lynch International | 12/20/2017 | 4,784 | ||||||||||||||||
USD | 27,066,774 | JPY | 3,000,000,000 | State Street Bank and Trust Company | 12/26/2017 | 293,535 | ||||||||||||||||
USD | 30,094,185 | JPY | 3,231,836,311 | Morgan Stanley Capital Services LLC | 12/20/2017 | 1,263,264 |
See Notes to Consolidated Financial Statements.
119
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2017 (Unaudited)
Currency | Amount in | Currency | Amount in | Counterparty | Settlement | Unrealized | ||||||||||||||||
USD | 98,379 | JPY | 11,000,000 | Morgan Stanley & Co. International plc | 11/08/2017 | $ | 466 | |||||||||||||||
USD | 3,771,658 | KRW | 4,267,819,940 | Barclays Bank plc | 12/20/2017 | 41,145 | ||||||||||||||||
USD | 7,492,288 | KRW | 8,481,644,453 | Deutsche Bank AG | 12/20/2017 | 78,459 | ||||||||||||||||
USD | 8,664,398 | KRW | 9,860,110,984 | Merrill Lynch International | 12/20/2017 | 43,833 | ||||||||||||||||
USD | 180,381 | KRW | 203,541,541 | Merrill Lynch International | 12/21/2017 | 2,423 | ||||||||||||||||
USD | 1,504,212 | KRW | 1,700,000,000 | State Street Bank and Trust Company | 12/18/2017 | 17,991 | ||||||||||||||||
USD | 9,917,131 | KRW | 11,230,222,446 | Morgan Stanley Capital Services LLC | 12/20/2017 | 100,763 | ||||||||||||||||
USD | 2,904,422 | KRW | 3,274,401,790 | Morgan Stanley & Co. International plc | 12/15/2017 | 43,024 | ||||||||||||||||
USD | 7,429,720 | MXN | 133,375,407 | Deutsche Bank AG | 12/20/2017 | 195,170 | ||||||||||||||||
USD | 23,453,414 | MXN | 422,308,423 | State Street Bank and Trust Company | 12/18/2017 | 539,859 | ||||||||||||||||
USD | 11,321,650 | MXN | 203,472,692 | Morgan Stanley Capital Services LLC | 12/20/2017 | 284,881 | ||||||||||||||||
USD | 477,921 | NOK | 3,755,714 | Merrill Lynch International | 12/20/2017 | 5,474 | ||||||||||||||||
USD | 3,798,584 | NZD | 5,200,000 | Morgan Stanley & Co. International plc | 11/08/2017 | 45,333 | ||||||||||||||||
USD | 9,769,032 | PHP | 501,782,828 | Merrill Lynch International | 12/20/2017 | (68,709 | ) | |||||||||||||||
USD | 467,830 | PHP | 24,116,640 | Morgan Stanley & Co. International plc | 10/30/2017 | (6,240 | ) | |||||||||||||||
USD | 1,201,723 | PLN | 4,374,288 | Merrill Lynch International | 12/20/2017 | 2,607 | ||||||||||||||||
USD | 7,565,166 | RUB | 442,509,251 | Bank of America, N.A. | 12/20/2017 | (11,206 | ) | |||||||||||||||
USD | 337,003 | RUB | 19,727,533 | Merrill Lynch International | 12/20/2017 | (1,251 | ) | |||||||||||||||
USD | 7,139,836 | RUB | 417,736,831 | Morgan Stanley Capital Services LLC | 12/20/2017 | (12,397 | ) | |||||||||||||||
USD | 1,596,218 | SEK | 12,865,814 | Merrill Lynch International | 12/20/2017 | 9,285 | ||||||||||||||||
USD | 1,000,000 | SEK | 7,923,651 | State Street Bank and Trust Company | 10/26/2017 | 25,904 | ||||||||||||||||
USD | 22,503,447 | SEK | 177,795,237 | State Street Bank and Trust Company | 12/18/2017 | 576,581 | ||||||||||||||||
USD | 665,115 | SGD | 895,107 | Merrill Lynch International | 12/20/2017 | 4,498 | ||||||||||||||||
USD | 1,629,419 | SGD | 2,180,000 | State Street Bank and Trust Company | 12/18/2017 | 20,554 | ||||||||||||||||
USD | 2,152,458 | SGD | 2,900,000 | Morgan Stanley & Co. International plc | 11/08/2017 | 13,645 | ||||||||||||||||
USD | 1,016,237 | TRY | 3,646,345 | Merrill Lynch International | 12/20/2017 | 15,718 | ||||||||||||||||
USD | 1,165,122 | TWD | 34,897,136 | Merrill Lynch International | 12/20/2017 | 9,771 | ||||||||||||||||
USD | 2,980,343 | TWD | 89,115,222 | Morgan Stanley & Co. International plc | 10/20/2017 | 39,187 | ||||||||||||||||
USD | 6,706,413 | ZAR | 89,537,988 | Deutsche Bank AG | 12/20/2017 | 174,196 | ||||||||||||||||
USD | 1,117,180 | ZAR | 15,160,208 | Merrill Lynch International | 12/20/2017 | 11,172 | ||||||||||||||||
USD | 3,728,463 | ZAR | 49,860,364 | Morgan Stanley Capital Services LLC | 12/20/2017 | 90,915 | ||||||||||||||||
USD | 1,971,885 | ZAR | 26,300,000 | Morgan Stanley & Co. International plc | 11/08/2017 | 40,580 | ||||||||||||||||
UYU | 107,180,227 | USD | 3,582,227 | Citibank, N.A. | 02/05/2018 | — | ||||||||||||||||
ZAR | 1,048,355 | USD | 78,567 | Bank of America, N.A. | 12/20/2017 | (2,084 | ) |
See Notes to Consolidated Financial Statements.
120
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2017 (Unaudited)
Currency | Amount in | Currency | Amount in | Counterparty | Settlement | Unrealized | ||||||||||||||||
ZAR | 80,474,547 | USD | 6,173,257 | Merrill Lynch International | 12/20/2017 | $ | (302,261 | ) | ||||||||||||||
|
| |||||||||||||||||||||
Total Forward Foreign Currency Exchange Contracts Outstanding | $ | 1,086,968 | ||||||||||||||||||||
|
|
Centrally Cleared Credit Default Swaps on Single-Name Issuer (Buy Protection) — Outstanding at September 30, 2017
Reference | Financing | Payment | Maturity | Counterparty | Notional Amount | Market Value | Upfront | Unrealized | ||||||||||||||||||||
Republic of Korea | (1.00 | )% | 3M | 12/20/21 | Credit Suisse Securities (USA) LLC | 8,195,477 USD | $ | (117,138 | ) | $ | (237,533 | ) | $ | 120,395 | ||||||||||||||
Republic of South Africa | (1.00 | )% | 3M | 12/20/21 | Credit Suisse Securities (USA) LLC | 11,030,000 USD | 220,501 | 519,200 | (298,699 | ) | ||||||||||||||||||
Republic of South Africa | (1.00 | )% | 3M | 06/20/22 | Credit Suisse Securities (USA) LLC | 6,191,000 USD | 185,278 | 321,382 | (136,104 | ) | ||||||||||||||||||
Republic of Turkey | (1.00 | )% | 3M | 12/20/21 | Credit Suisse Securities (USA) LLC | 1,713,000 USD | 34,178 | 104,759 | (70,581 | ) | ||||||||||||||||||
Republic of Turkey | (1.00 | )% | 3M | 09/20/20 | Credit Suisse Securities (USA) LLC | 4,178,000 USD | 8,698 | 333,473 | (324,775 | ) | ||||||||||||||||||
Republic of Turkey | (1.00 | )% | 3M | 12/20/20 | Credit Suisse Securities (USA) LLC | 7,217,000 USD | 34,093 | 508,322 | (474,229 | ) | ||||||||||||||||||
Republic of Turkey | (1.00 | )% | 3M | 06/20/21 | Credit Suisse Securities (USA) LLC | 4,143,000 USD | 48,030 | 271,473 | (223,443 | ) | ||||||||||||||||||
Republic of Turkey | (1.00 | )% | 3M | 06/20/22 | Credit Suisse Securities (USA) LLC | 1,521,000 USD | 45,280 | 81,500 | (36,220 | ) | ||||||||||||||||||
United Mexian States | (1.00 | )% | 3M | 12/20/21 | Credit Suisse Securities (USA) LLC | 7,595,000 USD | (48,828 | ) | 215,046 | (263,874 | ) | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||
Total Centrally Cleared Credit Default Swaps on Single-Name Issuer (Buy Protection) |
| $ | 410,092 | $ | 2,117,622 | $ | (1,707,530 | ) | ||||||||||||||||||||
|
|
|
|
|
|
See Notes to Consolidated Financial Statements.
121
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2017 (Unaudited)
Centrally Cleared Credit Default Swaps on Single-Name Issuer (Sell Protection) — Outstanding at September 30, 2017
Reference | Financing | Payment | Maturity | Counterparty | Rating(1) | Notional Amount(2) | Market | Upfront | Unrealized | |||||||||||||||||||||
Russian Federation | 1.00% | 3M | 12/20/21 | Credit Suisse Securities (USA) LLC | BB | 1,814,000 USD | $ | (8,397 | ) | $ | (67,363 | ) | $ | 58,966 | ||||||||||||||||
Russian Federation | 1.00% | 3M | 06/20/21 | Credit Suisse Securities (USA) LLC | BB | 6,915,000 USD | 8,298 | (506,582 | ) | 514,880 | ||||||||||||||||||||
Russian Federation | 1.00% | 3M | 09/20/20 | Credit Suisse Securities (USA) LLC | BB | 6,551,141 USD | 46,585 | (750,762 | ) | 797,347 | ||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||
Total Centrally Cleared Credit Default Swaps on Single-Name Issuer (Sell Protection) |
| $ | 46,486 | $ | (1,324,707 | ) | $ | 1,371,193 | ||||||||||||||||||||||
|
|
|
|
|
|
Centrally Cleared Credit Default Swaps on Index (Sell Protection) — Outstanding at September 30, 2017
Reference | Financing | Payment | Maturity | Counterparty | Rating(1) | Notional Amount(2) | Market Value | Upfront | Unrealized | |||||||||||||||||||||
CDX.EM.25 | 1.00% | 3M | 06/20/21 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | NR | 83,000,000 USD | $ | (2,405,672 | ) | $ | (5,203,230 | ) | $ | 2,797,558 | ||||||||||||||||
CDX.EM.26 | 1.00% | 3M | 12/20/21 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | NR | 18,000,000 USD | (437,526 | ) | (1,085,400 | ) | 647,874 | |||||||||||||||||||
CDX.EM.27 | 1.00% | 3M | 06/20/22 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | NR | 103,000,000 USD | (3,243,470 | ) | (4,567,270 | ) | 1,323,800 | |||||||||||||||||||
CDX.NA.HY.25 | 5.00% | 3M | 12/20/20 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | NR | 28,175,000 USD | 1,880,850 | 260,595 | 1,620,255 | |||||||||||||||||||||
CDX.NA.HY.26 | 5.00% | 3M | 06/20/21 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | NR | 47,520,000 USD | 3,743,816 | 1,290,376 | 2,453,440 | |||||||||||||||||||||
CDX.NA.HY.27 | 5.00% | 3M | 12/20/21 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | NR | 52,470,000 USD | 4,159,034 | 3,484,087 | 674,947 | |||||||||||||||||||||
CDX.NA.HY.28 | 5.00% | 3M | 06/20/22 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | NR | 103,000,000 USD | 7,949,025 | 7,698,270 | 250,755 | |||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||
Total Centrally Cleared Credit Default Swaps on Index (Sell Protection) |
| $ | 11,646,057 | $ | 1,877,428 | $ | 9,768,629 | |||||||||||||||||||||||
|
|
|
|
|
|
See Notes to Consolidated Financial Statements.
122
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2017 (Unaudited)
OTC Credit Default Swaps on Index (Buy Protection) — Outstanding at September 30, 2017
Reference | Financing | Payment | Maturity | Counterparty | Notional Amount | Market Value | Upfront | Unrealized | ||||||||||||||||||||||
CMBX.NA.AAA.6 | (0.50 | )% | M | 05/11/63 | J.P. Morgan Securities LLC | 105,747,724 USD | $ | (727,720 | ) | $ | 2,037,609 | $ | (2,765,329 | ) | ||||||||||||||||
CMBX.NA.AAA.8 | (0.50 | )% | M | 10/17/57 | Deutsche Bank AG | 948,891 USD | (3,413 | ) | 48,904 | (52,317 | ) | |||||||||||||||||||
CMBX.NA.AAA.8 | (0.50 | )% | M | 10/17/57 | J.P. Morgan Securities LLC | 59,801,014 USD | (215,077 | ) | 2,371,495 | (2,586,572 | ) | |||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||
Total OTC Credit Default Swaps on Index (Buy Protection) |
| $ | (946,210 | ) | $ | 4,458,008 | $ | (5,404,218 | ) | |||||||||||||||||||||
|
|
|
|
|
|
OTC Credit Default Swaps on Index (Sell Protection) — Outstanding at September 30, 2017
Reference | Financing | Payment | Maturity | Counterparty | Rating(1) | Notional Amount(2) | Market Value | Upfront | Unrealized | |||||||||||||||||||||
CMBX.NA.A.8 | 2.00% | M | 10/17/57 | Credit Suisse International | A | 6,248,000 USD | $ | (351,840 | ) | $ | (844,810 | ) | $ | 492,970 | ||||||||||||||||
CMBX.NA.A.8 | 2.00% | M | 10/17/57 | Morgan Stanley Capital Services LLC | A | 2,800,000 USD | (157,675 | ) | (188,750 | ) | 31,075 | |||||||||||||||||||
CMBX.NA.A.9 | 2.00% | M | 09/17/58 | Morgan Stanley Capital Services LLC | A | 5,000,000 USD | (220,593 | ) | (417,705 | ) | 197,112 | |||||||||||||||||||
CMBX.NA.A.9 | 2.00% | M | 09/17/58 | Credit Suisse International | A | 8,000,000 USD | (352,949 | ) | (428,804 | ) | 75,855 | |||||||||||||||||||
CMBX.NA.A.9 | 2.00% | M | 09/17/58 | Credit Suisse International | A | 6,000,000 USD | (264,712 | ) | (184,803 | ) | (79,909 | ) | ||||||||||||||||||
CMBX.NA.AA.7 | 1.50% | M | 01/17/47 | Morgan Stanley Capital Services LLC | AA | 13,000,000 USD | 13,767 | (344,782 | ) | 358,549 | ||||||||||||||||||||
CMBX.NA.AAA.10 | 0.50% | M | 11/17/59 | Credit Suisse International | AAA | 11,000,000 USD | (113,353 | ) | (312,871 | ) | 199,518 | |||||||||||||||||||
CMBX.NA.AAA.10 | 0.50% | M | 11/17/59 | Credit Suisse International | AAA | 6,000,000 USD | (61,829 | ) | (171,018 | ) | 109,189 | |||||||||||||||||||
CMBX.NA.AAA.8 | 0.50% | M | 10/17/57 | Credit Suisse International | AAA | 13,700,000 USD | 49,273 | (738,194 | ) | 787,467 | ||||||||||||||||||||
CMBX.NA.AAA.9 | 0.50% | M | 09/17/58 | Morgan Stanley Capital Services LLC | AAA | 10,500,000 USD | (15,422 | ) | (699,173 | ) | 683,751 | |||||||||||||||||||
CMBX.NA.AJ.4 | 0.96% | M | 02/17/51 | J.P. Morgan Securities LLC | A | 6,758,061 USD | (1,006,318 | ) | (940,140 | ) | (66,178 | ) | ||||||||||||||||||
CMBX.NA.AJ.4 | 0.96% | M | 02/17/51 | Credit Suisse International | A | 697,061 USD | (103,797 | ) | (136,761 | ) | 32,964 | |||||||||||||||||||
CMBX.NA.AJ.4 | 0.96% | M | 02/17/51 | Goldman Sachs International | A | 10,735,080 USD | (1,598,520 | ) | (1,610,956 | ) | 12,436 | |||||||||||||||||||
CMBX.NA.AJ.4 | 0.96% | M | 02/17/51 | Merrill Lynch Capital Services, Inc. | A | 15,783,182 USD | (2,350,214 | ) | (2,177,955 | ) | (172,259 | ) | ||||||||||||||||||
CMBX.NA.AJ.4 | 0.96% | M | 02/17/51 | Morgan Stanley Capital Services LLC | A | 11,201,772 USD | (1,668,014 | ) | (2,690,063 | ) | 1,022,049 |
See Notes to Consolidated Financial Statements.
123
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2017 (Unaudited)
Reference | Financing | Payment | Maturity | Counterparty | Rating(1) | Notional Amount(2) | Market Value | Upfront | Unrealized | |||||||||||||||||||||
CMBX.NA.BBB-.10 | 3.00% | M | 11/17/59 | Credit Suisse International | BBB | 7,824,000 USD | $ | (934,479 | ) | $ | (817,621 | ) | $ | (116,858 | ) | |||||||||||||||
CMBX.NA.BBB-.10 | 3.00% | M | 11/17/59 | Morgan Stanley Capital Services LLC | BBB | 6,538,000 USD | (780,882 | ) | (707,205 | ) | (73,677 | ) | ||||||||||||||||||
CMBX.NA.BBB-.7 | 3.00% | M | 01/17/47 | Credit Suisse International | BBB | 7,500,000 USD | (830,457 | ) | (798,729 | ) | (31,728 | ) | ||||||||||||||||||
CMBX.NA.BBB-.7 | 3.00% | M | 01/17/47 | Morgan Stanley Capital Services LLC | BBB | 1,400,000 USD | (155,019 | ) | (159,400 | ) | 4,381 | |||||||||||||||||||
CMBX.NA.BBB-.7 | 3.00% | M | 01/17/47 | Credit Suisse International | BBB | 1,400,000 USD | (155,019 | ) | (140,895 | ) | (14,124 | ) | ||||||||||||||||||
CMBX.NA.BBB-.7 | 3.00% | M | 01/17/47 | Morgan Stanley Capital Services LLC | BBB | 1,400,000 USD | (155,019 | ) | (120,207 | ) | (34,812 | ) | ||||||||||||||||||
CMBX.NA.BBB-.7 | 3.00% | M | 01/17/47 | Credit Suisse International | BBB | 1,400,000 USD | (155,019 | ) | (108,099 | ) | (46,920 | ) | ||||||||||||||||||
CMBX.NA.BBB-.7 | 3.00% | M | 01/17/47 | Credit Suisse International | BBB | 1,400,000 USD | (155,019 | ) | (107,164 | ) | (47,855 | ) | ||||||||||||||||||
CMBX.NA.BBB-.7 | 3.00% | M | 01/17/47 | Credit Suisse International | BBB | 4,500,000 USD | (498,274 | ) | (399,957 | ) | (98,317 | ) | ||||||||||||||||||
CMBX.NA.BBB-.7 | 3.00% | M | 01/17/47 | Morgan Stanley Capital Services LLC | BBB | 3,500,000 USD | (387,547 | ) | (319,626 | ) | (67,921 | ) | ||||||||||||||||||
CMBX.NA.BBB-.7 | 3.00% | M | 01/17/47 | Credit Suisse International | BBB | 3,750,000 USD | (415,229 | ) | (344,505 | ) | (70,724 | ) | ||||||||||||||||||
CMBX.NA.BBB-.7 | 3.00% | M | 01/17/47 | Credit Suisse International | BBB | 2,250,000 USD | (249,137 | ) | (205,523 | ) | (43,614 | ) | ||||||||||||||||||
CMBX.NA.BBB-.8 | 3.00% | M | 10/17/57 | Credit Suisse International | BBB | 13,006,000 USD | (2,291,022 | ) | (1,532,753 | ) | (758,269 | ) | ||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||
Total OTC Credit Default Swaps on Index (Sell Protection) | $ | (15,364,318 | ) | $ | (17,648,469 | ) | $ | 2,284,151 | ||||||||||||||||||||||
|
|
|
|
|
|
OTC Credit Default Swaps on Single-Name Issuer (Buy Protection) — Outstanding at September 30, 2017
Reference | Financing | Payment | Maturity | Counterparty | Notional Amount | Market Value | Upfront | Unrealized | ||||||||||||||||||||
Republic of South Africa | (1.00 | )% | 3M | 06/20/22 | Morgan Stanley Capital Services LLC | 9,000,000 USD | $ | 276,293 | $ | 520,876 | $ | (244,583 | ) | |||||||||||||||
Republic of South Africa | (1.00 | )% | 3M | 06/20/22 | Morgan Stanley Capital Services LLC | 300,000 USD | 9,210 | 17,362 | (8,152 | ) | ||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||
Total OTC Credit Default Swaps on Single-Name Issuer (Buy Protection) |
| $ | 285,503 | $ | 538,238 | $ | (252,735 | ) | ||||||||||||||||||||
|
|
|
|
|
|
(1) | Using the higher of S&P’s or Moody’s ratings. NR represents a security that is not rated. |
(2) | The maximum potential amount the Fund may pay should a negative credit event take place as defined under the terms of the agreement. |
See Notes to Consolidated Financial Statements.
124
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2017 (Unaudited)
OTC Cross Currency Swaps — Outstanding at September 30, 2017
Notional Amount | Fund Pays | Notional Amount | Fund | Pay/ | Maturity | Counterparty | Market Value | Upfront | Unrealized | |||||||||||||||||||||
4,895,121 | USD | 3-Month USD LIBOR | 29,378,072 | TRY | 10.32% | 3M/1Y | 12/20/22 | Deutsche Bank AG | $ | (43,833 | ) | $ | — | $ | (43,833 | ) | ||||||||||||||
8,374,593 | USD | 3-Month USD LIBOR | 17,181,875 | TRY | 10.33% | 3M/1Y | 12/20/22 | Bank of America, N.A. | (23,872 | ) | — | (23,872 | ) | |||||||||||||||||
|
| |||||||||||||||||||||||||||||
Total OTC Cross Currency Swaps | $ | (67,705 | ) | $ | — | $ | (67,705 | ) | ||||||||||||||||||||||
|
|
OTC Total Return Swaps Outstanding at September 30, 2017
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Buys | |||||||||||||||||||||||||||
1-800-Flowers.com, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 49,843 USD | $ | 1,298 | ||||||||||||||||||||
1st Source Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 320,975 USD | 20,756 | |||||||||||||||||||||
2U, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 59,172 USD | 2,359 | |||||||||||||||||||||
3I Group PLC | 03/28/18 | M | 0.25% | Credit Suisse Securities (Europe) Limited | 335,084 GBP | 986 | |||||||||||||||||||||
3M Co. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 338,925 USD | 273 | |||||||||||||||||||||
8X8, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 41,769 USD | (891 | ) | ||||||||||||||||||||
A10 Networks, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 72,079 USD | 10,484 | |||||||||||||||||||||
AAC Holdings, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 264,745 USD | (20,189 | ) | ||||||||||||||||||||
Aalberts Industries N.V. | 03/28/18 | M | 0.40% | Credit Suisse Securities (Europe) Limited | 84,413 EUR | 3,353 | |||||||||||||||||||||
AAR Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 216,803 USD | 11,049 | |||||||||||||||||||||
Aaron’s, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 316,038 USD | 9,747 | |||||||||||||||||||||
Abaxis, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 566,222 USD | 5,209 | |||||||||||||||||||||
Abcam PLC | 03/28/18 | M | 0.25% | Credit Suisse Securities (Europe) Limited | 67,726 GBP | (968 | ) | ||||||||||||||||||||
Abercrombie & Fitch Co. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 642,710 USD | 10,412 | |||||||||||||||||||||
ABIOMED, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 361,715 USD | 20,164 | |||||||||||||||||||||
ABM Industries, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 376,472 USD | 18,480 |
See Notes to Consolidated Financial Statements.
125
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2017 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
ABN AMRO Group NV | 03/28/18 | M | 0.40% | Credit Suisse Securities (Europe) Limited | 1,955,650 EUR | $ | 125,506 | ||||||||||||||||||||
ABN AMRO Group NV | 08/08/18 | M | 0.07% | JPMorgan Chase Bank, N.A. | 9,516,000 EUR | 732,778 | |||||||||||||||||||||
Acadia Healthcare Co., Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 402,784 USD | 8,143 | |||||||||||||||||||||
Accenture PLC | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 9,141 USD | (91 | ) | ||||||||||||||||||||
Access National Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 44,903 USD | 4,937 | |||||||||||||||||||||
Accor SA | 03/28/18 | M | 0.40% | Credit Suisse Securities (Europe) Limited | 3,112,001 EUR | 164,069 | |||||||||||||||||||||
Aceto Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 221,380 USD | 15,382 | |||||||||||||||||||||
ACI Worldwide, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 43,246 USD | (169 | ) | ||||||||||||||||||||
Ackermans & Van Haaren | 03/28/18 | M | 0.40% | Credit Suisse Securities (Europe) Limited | 75,281 EUR | 271 | |||||||||||||||||||||
Actua Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 192,647 USD | 52,276 | |||||||||||||||||||||
Acushnet Holdings Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 134,935 USD | 7,322 | |||||||||||||||||||||
Adamas Pharmaceuticals, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 49,426 USD | 1,763 | |||||||||||||||||||||
Addus Homecare Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 172,704 USD | 5,561 | |||||||||||||||||||||
Adidas AG | 03/28/18 | M | 0.40% | Credit Suisse Securities (Europe) Limited | 499,895 EUR | (19,406 | ) | ||||||||||||||||||||
Adobe Systems, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 86,738 USD | 532 | |||||||||||||||||||||
ADP LLC | 03/28/18 | M | 0.40% | Credit Suisse Securities (Europe) Limited | 3,690,680 EUR | (99,703 | ) | ||||||||||||||||||||
Adtalem Global Educatio, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 277,409 USD | 7,133 | |||||||||||||||||||||
Adtran, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 450,576 USD | 31,008 | |||||||||||||||||||||
Advanced Disposal Services, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 586,006 USD | 11,325 | |||||||||||||||||||||
Aegion Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 123,117 USD | 4,434 | |||||||||||||||||||||
Aerohive Networks, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 156,798 USD | 12,348 | |||||||||||||||||||||
Aerovironment, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 301,032 USD | 13,730 | |||||||||||||||||||||
Aetna, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 32,458 USD | 457 | |||||||||||||||||||||
AG Mortgage Investment Trust | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 81,189 USD | (420 | ) | ||||||||||||||||||||
AGCO Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 148,312 USD | 7,122 |
See Notes to Consolidated Financial Statements.
126
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2017 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Agilysys, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 93,354 USD | $ | 10,109 | ||||||||||||||||||||
Agree Realty Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 139,379 USD | (3,820 | ) | ||||||||||||||||||||
Agrofresh Solutions, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 150,214 USD | (2,380 | ) | ||||||||||||||||||||
Air France KLM | 03/28/18 | M | 0.40% | Credit Suisse Securities (Europe) Limited | 413,591 EUR | (5,972 | ) | ||||||||||||||||||||
Air Lease Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 450,422 USD | 21,168 | |||||||||||||||||||||
Aircastle Ltd. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 756,144 USD | 20,239 | |||||||||||||||||||||
Akerbia Therapeutics, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 115,930 USD | 15,859 | |||||||||||||||||||||
Akoustis Technologies, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 91,750 USD | (4,225 | ) | ||||||||||||||||||||
Akzo Nobel | 03/28/18 | M | 0.40% | Credit Suisse Securities (Europe) Limited | 5,259,580 EUR | 11,270 | |||||||||||||||||||||
Akzo Nobel | 05/09/18 | M | 0.07% | JPMorgan Chase Bank, N.A. | 7,922,458 EUR | 15,608 | |||||||||||||||||||||
Alamo Group, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 369,486 USD | 39,165 | |||||||||||||||||||||
Alarm.com Holdings, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 22,995 USD | 408 | |||||||||||||||||||||
Albany International Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 98,897 USD | 2,930 | |||||||||||||||||||||
ALD SA | 03/28/18 | M | 0.40% | Credit Suisse Securities (Europe) Limited | 399,102 EUR | 17,935 | |||||||||||||||||||||
Alere, Inc. | 08/06/18 | M | 1.50% | Deutsche Bank AG | 3,646,096 USD | 48,996 | |||||||||||||||||||||
Alexander & Badlwin, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 56,834 USD | 1,820 | |||||||||||||||||||||
Alexander’s, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 149,787 USD | (83 | ) | ||||||||||||||||||||
Alexandria Real Estate Equity | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 258,450 USD | 1,738 | |||||||||||||||||||||
Alfa Laval AB | 03/28/18 | M | 0.52% | Credit Suisse Securities (Europe) Limited | 1,737,305 SEK | 10,462 | |||||||||||||||||||||
Alico, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 87,664 USD | 853 | |||||||||||||||||||||
Align Technology, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 327,085 USD | 1,309 | |||||||||||||||||||||
Allegiance Bancshares, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 84,069 USD | 6,127 | |||||||||||||||||||||
Allegiant Travel Co. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 76,220 USD | (888 | ) | ||||||||||||||||||||
Allegion PLC | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 280,409 USD | 10,043 | |||||||||||||||||||||
Allergan PLC | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 176,122 USD | (9,088 | ) | ||||||||||||||||||||
Allete, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 35,206 USD | (503 | ) |
See Notes to Consolidated Financial Statements.
127
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2017 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Allianz SE REG | 03/28/18 | M | 0.40% | Credit Suisse Securities (Europe) Limited | 2,032,416 EUR | $ | 64,940 | ||||||||||||||||||||
Allied Motion Technologies, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 104,324 USD | 711 | |||||||||||||||||||||
Allscripts Healthcare Solutions, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 269,694 USD | 10,039 | |||||||||||||||||||||
Almost Family, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 697,607 USD | 77,177 | |||||||||||||||||||||
Alpha & Omega Semiconductor | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 106,720 USD | 8,413 | |||||||||||||||||||||
Alstom | 03/28/18 | M | 0.40% | Credit Suisse Securities (Europe) Limited | 95,659 EUR | 8,154 | |||||||||||||||||||||
Alteryx, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 9,977 USD | 839 | |||||||||||||||||||||
Altice NV | 03/28/18 | M | 0.40% | Credit Suisse Securities (Europe) Limited | 466,355 EUR | (46,056 | ) | ||||||||||||||||||||
Altisource Residential Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 17,757 USD | 96 | |||||||||||||||||||||
Amadeus IT | 03/28/18 | M | 0.40% | Credit Suisse Securities (Europe) Limited | 87,377 EUR | 1,952 | |||||||||||||||||||||
AMAG Pharmaceuticals, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 43,151 USD | (2,635 | ) | ||||||||||||||||||||
Amber Road, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 112,573 USD | 1,160 | |||||||||||||||||||||
Amdocs Ltd. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 411,095 USD | 7,950 | |||||||||||||||||||||
Amec Foster Wheeler PLC | 07/06/18 | M | 0.25% | Merrill Lynch International | 2,627,338 GBP | 639,984 | |||||||||||||||||||||
Amedisys, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 250,238 USD | 15,740 | |||||||||||||||||||||
Ameresco, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 53,310 USD | 3,264 | |||||||||||||||||||||
America’s Car Mart, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 381,555 USD | 2,142 | |||||||||||||||||||||
American Assets Trust, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 184,276 USD | (1,970 | ) | ||||||||||||||||||||
American Campus Communities | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 144,338 USD | (8,710 | ) | ||||||||||||||||||||
American Eagle Outfitters | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 274,970 USD | 17,007 | |||||||||||||||||||||
American Homes 4 Rent | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 44,701 USD | (564 | ) | ||||||||||||||||||||
American National Bankshares,Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 12,148 USD | 954 | |||||||||||||||||||||
American National Insurance | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 48,768 USD | 589 | |||||||||||||||||||||
American Public Education | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 22,099 USD | 2,066 |
See Notes to Consolidated Financial Statements.
128
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2017 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
American Railcar Industries | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 567,369 USD | $ | 45,676 | ||||||||||||||||||||
American Renal Associates Holdings, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | �� | 19,277 USD | 154 | ||||||||||||||||||||
American Software, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 187,452 USD | 11,530 | |||||||||||||||||||||
American States Water Co. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 204,775 USD | (6,347 | ) | ||||||||||||||||||||
American Tower Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 282,972 USD | 776 | |||||||||||||||||||||
American Vanguard Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 33,179 USD | 3,438 | |||||||||||||||||||||
American Water Works Co., Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 784,299 USD | (11,123 | ) | ||||||||||||||||||||
American Woodmark Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 40,135 USD | 2,889 | |||||||||||||||||||||
Ameris Bancorp | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 34,200 USD | 3,528 | |||||||||||||||||||||
Ametek, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 260,537 USD | 2,698 | |||||||||||||||||||||
AMG Advanced Metallurgical Grouyp N.V. | 03/28/18 | M | 0.40% | Credit Suisse Securities (Europe) Limited | 231,138 EUR | 27,030 | |||||||||||||||||||||
Amgen, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 37,281 USD | 195 | |||||||||||||||||||||
Amkor Technology, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 71,072 USD | 6,628 | |||||||||||||||||||||
AMN Healthcare Services, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 282,517 USD | 46,294 | |||||||||||||||||||||
Ampco Pittsburgh Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 109,384 USD | (1,121 | ) | ||||||||||||||||||||
Amphenol Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 574,757 USD | 14,338 | |||||||||||||||||||||
AMS AG | 03/28/18 | M | 0.79% | Credit Suisse Securities (Europe) Limited | 570,584 CHF | (31,389 | ) | ||||||||||||||||||||
Amundi SA | 03/28/18 | M | 0.40% | Credit Suisse Securities (Europe) Limited | 379,341 EUR | 16,664 | |||||||||||||||||||||
Analogic Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 656,776 USD | 55,602 | |||||||||||||||||||||
Andeavor | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 212,705 USD | 196 | |||||||||||||||||||||
Andersons, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 442,491 USD | 13,308 | |||||||||||||||||||||
Angie’s List, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 89,516 USD | 5,978 | |||||||||||||||||||||
AngioDynamics, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 707,072 USD | (28,087 | ) | ||||||||||||||||||||
Anika Therapeutics, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 725,007 USD | 23,251 |
See Notes to Consolidated Financial Statements.
129
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2017 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Anima Holding SpA | 04/04/18 | M | 0.40% | Credit Suisse Securities (Europe) Limited | 184,003 EUR | $ | 8,263 | ||||||||||||||||||||
Anixter International, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 216,486 USD | 18,454 | |||||||||||||||||||||
Annaly Capital Managerment, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 73,952 USD | (958 | ) | ||||||||||||||||||||
Ansys, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 251,685 USD | 1,629 | |||||||||||||||||||||
Antares Pharma, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 284,573 USD | 34,464 | |||||||||||||||||||||
Antero Resources Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 191,144 USD | (2,870 | ) | ||||||||||||||||||||
Anthem, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 329,854 USD | 6,234 | |||||||||||||||||||||
Antofagasta PLC | 03/28/18 | M | 0.25% | Credit Suisse Securities (Europe) Limited | 191,107 GBP | 4,811 | |||||||||||||||||||||
Anworth Mortgage Asset Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 3,691 USD | (30 | ) | ||||||||||||||||||||
AP Moller Maersk A/S | 03/28/18 | M | 0.36% | Credit Suisse Securities (Europe) Limited | 558,830 DKK | 523 | |||||||||||||||||||||
Apartment Investment & Management Co. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 252,840 USD | (5,601 | ) | ||||||||||||||||||||
Apogee Enterprises, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 185,076 USD | 15,252 | |||||||||||||||||||||
Apollo Commercial Real Estate Finance, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 42,247 USD | 329 | |||||||||||||||||||||
AppFolio, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 311,030 USD | 21,648 | |||||||||||||||||||||
Apple Hospitality REIT, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 62,264 USD | 498 | |||||||||||||||||||||
Applied Industrial Technologies, Inc | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 488,197 USD | 35,439 | |||||||||||||||||||||
Approach Resources, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 124,228 USD | (7,880 | ) | ||||||||||||||||||||
AptarGroup, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 568,406 USD | 3,225 | |||||||||||||||||||||
Aqua America, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 647,642 USD | (12,982 | ) | ||||||||||||||||||||
AquaVenture Holdings Ltd. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 130,384 USD | (7,561 | ) | ||||||||||||||||||||
Aratana Therapeutics, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 53,347 USD | 205 | |||||||||||||||||||||
Arc Document Solutions, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 74,354 USD | 1,855 | |||||||||||||||||||||
Archrock, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 436,360 USD | 47,531 | |||||||||||||||||||||
Ardmore Shipping Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 262,936 USD | 27,811 |
See Notes to Consolidated Financial Statements.
130
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2017 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Ares Commercial Real Estate Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 74,191 USD | $ | 1,769 | ||||||||||||||||||||
Armada Hoffler Properties, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 7,417 USD | 109 | |||||||||||||||||||||
Armor Residential REIT, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 1,874 USD | 35 | |||||||||||||||||||||
Armstrong Flooring, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 302,938 USD | 7,353 | |||||||||||||||||||||
Arris International PLC | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 206,172 USD | 7,474 | |||||||||||||||||||||
Arrow Electronics, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 485,530 USD | 5,132 | |||||||||||||||||||||
Arrow Financial Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 19,976 USD | 1,493 | |||||||||||||||||||||
Artesian Resources Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 156,647 USD | 2,756 | |||||||||||||||||||||
Ascent Capital Group, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 10,010 USD | 539 | |||||||||||||||||||||
Asembly Biosciences, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 189,975 USD | 29,183 | |||||||||||||||||||||
Ashland Global Holdings, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 335,485 USD | 6,570 | |||||||||||||||||||||
ASML Holding NV | 03/28/18 | M | 0.40% | Credit Suisse Securities (Europe) Limited | 193,315 EUR | 13,791 | |||||||||||||||||||||
Aspen Technology, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 906,122 USD | (12,398 | ) | ||||||||||||||||||||
ASR Nederland NV | 03/28/18 | M | 0.40% | Credit Suisse Securities (Europe) Limited | 348,760 EUR | 6,935 | |||||||||||||||||||||
Associated Capital Group | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 43,804 USD | 1,393 | |||||||||||||||||||||
Astazenica PLC | 03/28/18 | M | 0.25% | Credit Suisse Securities (Europe) Limited | 1,675,375 GBP | 112,024 | |||||||||||||||||||||
Astoria Financial Corp. | 08/06/18 | M | 1.50% | Deutsche Bank AG | 2,026,272 USD | 118,869 | |||||||||||||||||||||
AT&T, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 397,018 USD | 16,264 | |||||||||||||||||||||
athenahealth, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 90,699 USD | 1,079 | |||||||||||||||||||||
Atlantia SpA | 04/04/18 | M | 0.40% | Credit Suisse Securities (Europe) Limited | 4,805,504 EUR | (132,905 | ) | ||||||||||||||||||||
Atlas Air Worldwide Holdings | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 379,751 USD | (678 | ) | ||||||||||||||||||||
Atmos Energy Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 37,435 USD | (126 | ) | ||||||||||||||||||||
ATN Internatinal, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 47,382 USD | 1,260 | |||||||||||||||||||||
Atos SE | 02/21/18 | M | 0.07% | JPMorgan Chase Bank, N.A. | 15,462,000 EUR | 340,387 |
See Notes to Consolidated Financial Statements.
131
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2017 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Atos SE | 03/28/18 | M | 0.40% | Credit Suisse Securities (Europe) Limited | 3,008,003 EUR | $ | 66,220 | ||||||||||||||||||||
Atricure, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 276,381 USD | 17,471 | |||||||||||||||||||||
Aurubis AG | 03/28/18 | M | 0.40% | Credit Suisse Securities (Europe) Limited | 312,820 EUR | (29,166 | ) | ||||||||||||||||||||
Autogrill SpA | 04/04/18 | M | 0.40% | Credit Suisse Securities (Europe) Limited | 250,032 EUR | 4,639 | |||||||||||||||||||||
AV Homes, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 180,833 USD | 8,057 | |||||||||||||||||||||
Avalonbay Communities, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 260,846 USD | 182 | |||||||||||||||||||||
AVANGRID, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 379,557 USD | (719 | ) | ||||||||||||||||||||
Avery Dennison Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 290,819 USD | (1,306 | ) | ||||||||||||||||||||
Avid Technology, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 207,059 USD | 3,519 | |||||||||||||||||||||
Avista Corp. | 08/06/18 | M | 1.50% | Deutsche Bank AG | 7,638,776 USD | (58,147 | ) | ||||||||||||||||||||
Aviva PLC | 03/28/18 | M | 0.25% | Credit Suisse Securities (Europe) Limited | 1,345,598 GBP | 41,813 | |||||||||||||||||||||
Avnet, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 613,988 USD | 8,210 | |||||||||||||||||||||
AVX Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 570,018 USD | 18,975 | |||||||||||||||||||||
AXA SA | 03/28/18 | M | 0.40% | Credit Suisse Securities (Europe) Limited | 2,577,824 EUR | 129,067 | |||||||||||||||||||||
AXA SA | 08/08/18 | M | 0.07% | JPMorgan Chase Bank, N.A. | 9,820,000 EUR | 491,671 | |||||||||||||||||||||
Axcelis Technologies, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 171,646 USD | 29,404 | |||||||||||||||||||||
Axiare Patrimonio Socimi SA | 03/28/18 | M | 0.40% | Credit Suisse Securities (Europe) Limited | 74,596 EUR | 1,136 | |||||||||||||||||||||
Axogen, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 533,613 USD | 19,487 | |||||||||||||||||||||
AXT, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 151,184 USD | 6,013 | |||||||||||||||||||||
B&G Foods, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 170,995 USD | 2,715 | |||||||||||||||||||||
Badger Meter, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 332,596 USD | 23,144 | |||||||||||||||||||||
BAE Systems PLC | 03/28/18 | M | 0.25% | Credit Suisse Securities (Europe) Limited | 897,469 GBP | 71,632 | |||||||||||||||||||||
Baldwin & Lyons, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 14,603 USD | 32 | |||||||||||||||||||||
Baloise Holding AG REG | 03/28/18 | M | 0.79% | Credit Suisse Securities (Europe) Limited | 225,746 CHF | 3,553 | |||||||||||||||||||||
Banca Generali SpA | 04/04/18 | M | 0.40% | Credit Suisse Securities (Europe) Limited | 181,227 EUR | 7,712 |
See Notes to Consolidated Financial Statements.
132
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2017 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Banca IFIS SpA | 04/04/18 | M | 0.40% | Credit Suisse Securities (Europe) Limited | 199,510 EUR | $ | 19,420 | ||||||||||||||||||||
BancFirst Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 209,401 USD | 21,571 | |||||||||||||||||||||
Banco de Sabadell SA | 03/28/18 | M | 0.40% | Credit Suisse Securities (Europe) Limited | 82,104 EUR | (383 | ) | ||||||||||||||||||||
Banco Santander SA | 03/28/18 | M | 0.40% | Credit Suisse Securities (Europe) Limited | 1,726,785 EUR | 102,282 | |||||||||||||||||||||
Bank of Marin | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 3,346 USD | 216 | |||||||||||||||||||||
Bank of N. T. Butterfield & Son Ltd. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 65,493 USD | 4,123 | |||||||||||||||||||||
Bank of New York Mellon Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 17,083 USD | 95 | |||||||||||||||||||||
BankFinancial | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 111,906 USD | 1,675 | |||||||||||||||||||||
Bankrate, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 185,329 USD | 667 | |||||||||||||||||||||
Banner Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 261,742 USD | 15,550 | |||||||||||||||||||||
Barclays PLC | 03/28/18 | M | 0.25% | Credit Suisse Securities (Europe) Limited | 4,035,211 GBP | 132,062 | |||||||||||||||||||||
Barclays PLC | 08/08/18 | M | 0.55% | JPMorgan Chase Bank, N.A. | 7,466,000 GBP | 359,120 | |||||||||||||||||||||
Barnes & Noble Education, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 20,868 USD | 764 | |||||||||||||||||||||
Barnes & Noble, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 619,657 USD | 39,255 | |||||||||||||||||||||
Barnes Group, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 388,445 USD | 26,165 | |||||||||||||||||||||
Barrett Business Services, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 137,047 USD | 5,861 | |||||||||||||||||||||
Basett Furniture Industries, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 203,359 USD | 6,140 | |||||||||||||||||||||
BASF SE | 03/28/18 | M | 0.40% | Credit Suisse Securities (Europe) Limited | 3,428,088 EUR | 180,491 | |||||||||||||||||||||
Basic Energy Services, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 114,048 USD | 31,049 | |||||||||||||||||||||
Bavarian Nordic A/S | 03/28/18 | M | 0.36% | Credit Suisse Securities (Europe) Limited | 459,080 DKK | 16,326 | |||||||||||||||||||||
Bayer AG REG | 07/06/18 | M | 0.55% | Morgan Stanley Capital Services LLC | 10,363,861 EUR | 642,386 | |||||||||||||||||||||
BE Semiconductor Industries | 03/28/18 | M | 0.40% | Credit Suisse Securities (Europe) Limited | 710,560 EUR | 17,035 | |||||||||||||||||||||
Bear State Financial, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 3,957 USD | 4 | |||||||||||||||||||||
Beazer Homes USA, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 355,916 USD | 22,838 |
See Notes to Consolidated Financial Statements.
133
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2017 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Beazley PLC | 03/28/18 | M | 0.25% | Credit Suisse Securities (Europe) Limited | 160,708 GBP | $ | 8,836 | ||||||||||||||||||||
Becton Dickinson & Co. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 208,549 USD | 3,273 | |||||||||||||||||||||
Bel Fuse, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 173,652 USD | 22,315 | |||||||||||||||||||||
Belden, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 143,992 USD | 1,848 | |||||||||||||||||||||
Bellway PLC | 03/28/18 | M | 0.25% | Credit Suisse Securities (Europe) Limited | 268,711 GBP | 36,440 | |||||||||||||||||||||
Bemis Company | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 214,372 USD | (4,796 | ) | ||||||||||||||||||||
Benchmark Electronics, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 413,890 USD | 19,679 | |||||||||||||||||||||
Beneficial Bancorp, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 64,325 USD | 4,565 | |||||||||||||||||||||
Benefitfocus, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 81,417 USD | 5,905 | |||||||||||||||||||||
Berkeley Group Hodlings | 03/28/18 | M | 0.25% | Credit Suisse Securities (Europe) Limited | 153,964 GBP | 13,042 | |||||||||||||||||||||
Berkshire Hathaway, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 579,579 USD | 1,729 | |||||||||||||||||||||
BGC Partners, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 7,766 USD | 786 | |||||||||||||||||||||
Biesse SpA | 04/04/18 | M | 0.40% | Credit Suisse Securities (Europe) Limited | 71,581 EUR | 7,070 | |||||||||||||||||||||
Big 5 Sporting Goods Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 1,016,415 USD | (23,070 | ) | ||||||||||||||||||||
Big Lots, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 37,962 USD | 501 | |||||||||||||||||||||
Bio Rad Laboratories | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 396,097 USD | (6,990 | ) | ||||||||||||||||||||
Bio Techne Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 777,746 USD | (3,566 | ) | ||||||||||||||||||||
bioMerieux | 03/28/18 | M | 0.40% | Credit Suisse Securities (Europe) Limited | 348,831 EUR | 1,623 | |||||||||||||||||||||
BioScrip, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 34,531 USD | 1,035 | |||||||||||||||||||||
BioSpecifics Technologies Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 180,890 USD | (2,068 | ) | ||||||||||||||||||||
BioTelemetry, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 373,947 USD | 8,424 | |||||||||||||||||||||
blackbaud, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 28,414 USD | 560 | |||||||||||||||||||||
Blucora, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 468,023 USD | 38,002 | |||||||||||||||||||||
Blue Bird Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 152,134 USD | 14,726 |
See Notes to Consolidated Financial Statements.
134
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2017 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Blue Capital Reinsurance Holdings Ltd. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 8,667 USD | $ | 134 | ||||||||||||||||||||
Blue Hills Bancorp, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 1,636 USD | 35 | |||||||||||||||||||||
BNP Paribas SA | 02/21/18 | M | 0.07% | JPMorgan Chase Bank, N.A. | 6,431,847 EUR | 260,344 | |||||||||||||||||||||
Bob Evans Farms | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 211,056 USD | 16,436 | |||||||||||||||||||||
Bodycote PLC | 03/28/18 | M | 0.25% | Credit Suisse Securities (Europe) Limited | 191,290 GBP | (3,313 | ) | ||||||||||||||||||||
Boise Cascade Co. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 14,703 USD | 1,212 | |||||||||||||||||||||
BOK Financial Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 397,026 USD | 21,739 | |||||||||||||||||||||
Boohoo.com PLC | 03/28/18 | M | 0.25% | Credit Suisse Securities (Europe) Limited | 681,269 GBP | (151,250 | ) | ||||||||||||||||||||
Booker Group PLC | 07/06/18 | M | 0.25% | Merrill Lynch International | 3,341,727 GBP | 322,606 | |||||||||||||||||||||
Booz Allen Hamilton Holdings | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 207,268 USD | 10,828 | |||||||||||||||||||||
Bossard Holding AG REG | 03/28/18 | M | 0.79% | Credit Suisse Securities (Europe) Limited | 310,968 CHF | 11,888 | |||||||||||||||||||||
Boston Properties, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 48,664 USD | 242 | |||||||||||||||||||||
Bottomline Technologies | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 487,573 USD | 16,042 | |||||||||||||||||||||
Box, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 13,754 USD | 987 | |||||||||||||||||||||
BPER Banca | 08/22/18 | M | 0.07% | JPMorgan Chase Bank, N.A. | 7,158,872 EUR | 870,450 | |||||||||||||||||||||
Brady Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 476,889 USD | 18,510 | |||||||||||||||||||||
Bridge Bancorp, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 17,815 USD | 1,570 | |||||||||||||||||||||
Bridgepoint Education, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 371,482 USD | 31,027 | |||||||||||||||||||||
Briggs & Stratton | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 269,573 USD | 20,323 | |||||||||||||||||||||
Bright Horizons Family Solutions | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 98,249 USD | 3,048 | |||||||||||||||||||||
Brightcove, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 59,584 USD | 1,702 | |||||||||||||||||||||
Brink’s Co. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 98,546 USD | 2,217 | |||||||||||||||||||||
Brinker International, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 309,390 USD | (10,416 | ) | ||||||||||||||||||||
Bristol Myers Squibb Co. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 286,688 USD | 5,687 |
See Notes to Consolidated Financial Statements.
135
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2017 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Bristow Group, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 264,706 USD | $ | (3,326 | ) | |||||||||||||||||||
Broadridge Financial Solutions, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 582,519 USD | 5,770 | |||||||||||||||||||||
Brocade Communications Systems, Inc. | 08/06/18 | M | 1.50% | Deutsche Bank AG | 5,882,423 USD | (346,083 | ) | ||||||||||||||||||||
Brocade Communications Systems, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 576,062 USD | (11,173 | ) | ||||||||||||||||||||
Brookdale Senior Living, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 302,706 USD | (20,661 | ) | ||||||||||||||||||||
Brooks Automation, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 387,780 USD | 24,873 | |||||||||||||||||||||
Brown & Brown, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 10,419 USD | (10 | ) | ||||||||||||||||||||
Bruker Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 604,784 USD | (1,484 | ) | ||||||||||||||||||||
Bryn Mawr Bank Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 138,698 USD | 10,748 | |||||||||||||||||||||
BSB Bancorp, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 28,905 USD | 1,524 | |||||||||||||||||||||
Bucher Industries AG REG | 03/28/18 | M | 0.79% | Credit Suisse Securities (Europe) Limited | 249,900 CHF | (4,055 | ) | ||||||||||||||||||||
Buckle, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 197,741 USD | 13,810 | |||||||||||||||||||||
Build-A-Bear Workshop, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 61,478 USD | 1,374 | |||||||||||||||||||||
Bunge Ltd. | 03/16/18 | M | 1.24% | Credit Suisse Securities (Europe) Limited | 6,719,252 USD | (284,408 | ) | ||||||||||||||||||||
BWX Technologies, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 89,189 USD | 163 | |||||||||||||||||||||
C.H. Robinson Worldwide, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 157,385 USD | 4,023 | |||||||||||||||||||||
CA Immobilien Anlagen AG | 03/28/18 | M | 0.40% | Credit Suisse Securities (Europe) Limited | 156,408 EUR | (1,509 | ) | ||||||||||||||||||||
CA, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 95,625 USD | 1,744 | |||||||||||||||||||||
Cable One, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 503,823 USD | 2,383 | |||||||||||||||||||||
Cabot Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 203,659 USD | 9,552 | |||||||||||||||||||||
Cabot Microelectionics Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 163,120 USD | 11,208 | |||||||||||||||||||||
CACI International, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 245,718 USD | 15,982 | |||||||||||||||||||||
Cadence Design Systems, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 338,414 USD | 10,580 |
See Notes to Consolidated Financial Statements.
136
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2017 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
CAI International, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 275,176 USD | $ | 18,109 | ||||||||||||||||||||
Cal-Maine Foods, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 34,674 USD | 1,124 | |||||||||||||||||||||
CalAmp Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 378,371 USD | 70,005 | |||||||||||||||||||||
CalAtlantic Group, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 457,496 USD | 19,171 | |||||||||||||||||||||
Calavo Growers, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 142,812 USD | 3,369 | |||||||||||||||||||||
Caleres, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 176,140 USD | 10,551 | |||||||||||||||||||||
Calgon Carbon Corp. | 08/06/18 | M | 1.50% | Deutsche Bank AG | 2,327,740 USD | 194 | |||||||||||||||||||||
California Water Service Group | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 43,997 USD | 524 | |||||||||||||||||||||
Callaway Golf Company | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 237,911 USD | 6,865 | |||||||||||||||||||||
Cambium Learning Group, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 80,509 USD | 1,935 | |||||||||||||||||||||
Cambrex Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 176,327 USD | 4,513 | |||||||||||||||||||||
Camden National Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 190,848 USD | 17,315 | |||||||||||||||||||||
Camden Property Trust | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 80,611 USD | (1,324 | ) | ||||||||||||||||||||
Cantel Medical Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 648,402 USD | 59,568 | |||||||||||||||||||||
Capella Education Co. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 199,690 USD | 5,710 | |||||||||||||||||||||
Capgemini SE | 03/28/18 | M | 0.40% | Credit Suisse Securities (Europe) Limited | 620,433 EUR | (3,972 | ) | ||||||||||||||||||||
Capital Bank Financial | 08/06/18 | M | 1.50% | Deutsche Bank AG | 2,091,547 USD | 145,309 | |||||||||||||||||||||
Capital City Bank Group, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 6,005 USD | 933 | |||||||||||||||||||||
Capital Senior Living Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 286,409 USD | 923 | |||||||||||||||||||||
Capitol Federal Financial, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 126,923 USD | 8,376 | |||||||||||||||||||||
Capstead Mortgage Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 86,442 USD | 1,643 | |||||||||||||||||||||
Carbo Cermaics, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 60,191 USD | 5,518 | |||||||||||||||||||||
Cardinal Health, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 246,781 USD | (1,720 | ) | ||||||||||||||||||||
Cardiovascular Systems, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 508,004 USD | (27,568 | ) | ||||||||||||||||||||
Care.com, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 400,388 USD | 35,888 |
See Notes to Consolidated Financial Statements.
137
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2017 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Career Education Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 232,897 USD | $ | 11,974 | ||||||||||||||||||||
CareTrust REIT, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 83,086 USD | 385 | |||||||||||||||||||||
Cargotec | 03/28/18 | M | 0.40% | Credit Suisse Securities (Europe) Limited | 98,405 EUR | 9,645 | |||||||||||||||||||||
Carlisle Cos., Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 165,819 USD | 3,972 | |||||||||||||||||||||
Carnival PLC | 03/28/18 | M | 0.25% | Credit Suisse Securities (Europe) Limited | 260,626 GBP | (2,921 | ) | ||||||||||||||||||||
Carolina Financial Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 224,148 USD | 11,404 | |||||||||||||||||||||
Carrefour SA | 03/28/18 | M | 0.40% | Credit Suisse Securities (Europe) Limited | 732,059 EUR | 26,347 | |||||||||||||||||||||
Carriage Services, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 392,648 USD | 22,840 | |||||||||||||||||||||
Cars.com, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 182,142 USD | 3,010 | |||||||||||||||||||||
Carter’s, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 166,448 USD | 8,932 | |||||||||||||||||||||
Casella Waste Systems, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 319,374 USD | 11,074 | |||||||||||||||||||||
Cass Information Systems, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 290,529 USD | 11,762 | |||||||||||||||||||||
Catalent, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 426,401 USD | 3,457 | |||||||||||||||||||||
Catalyst Pharmaceuticals, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 303,894 USD | 13,871 | |||||||||||||||||||||
CatchMark Timber Trust, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 1,188 USD | 48 | |||||||||||||||||||||
Cato Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 775,553 USD | (16,601 | ) | ||||||||||||||||||||
CBIZ, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 89,703 USD | 6,513 | |||||||||||||||||||||
CBOE Holdings, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 370,887 USD | 6,894 | |||||||||||||||||||||
CDK Global, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 211,632 USD | 855 | |||||||||||||||||||||
CDW Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 112,392 USD | 7,464 | |||||||||||||||||||||
CECO Environmental Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 182,871 USD | 8,816 | |||||||||||||||||||||
Cembra Money Bank AG | 03/28/18 | M | 0.79% | Credit Suisse Securities (Europe) Limited | 101,640 CHF | 2,799 | |||||||||||||||||||||
Centerstate Banks, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 148,568 USD | 11,080 | |||||||||||||||||||||
Central Pacific Financial Co. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 67,322 USD | 6,466 |
See Notes to Consolidated Financial Statements.
138
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2017 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Central Valley Community Bancorp | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 38,413 USD | $ | 5,674 | ||||||||||||||||||||
Century Casinos, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 60,702 USD | 10,512 | |||||||||||||||||||||
Century Communities, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 113,711 USD | 3,046 | |||||||||||||||||||||
CenturyLink, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 136,541 USD | (498 | ) | ||||||||||||||||||||
Cerner Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 532,958 USD | 9,288 | |||||||||||||||||||||
CEVA, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 136,747 USD | (2,355 | ) | ||||||||||||||||||||
CF Industries Holdings, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 91,138 USD | 6,290 | |||||||||||||||||||||
ChannelAdvisor Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 69,081 USD | (299 | ) | ||||||||||||||||||||
Charles River Laboratories | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 544,207 USD | 8,100 | |||||||||||||||||||||
Charter Financial Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 55,455 USD | 5,027 | |||||||||||||||||||||
Chef’s Warehouse, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 158,898 USD | 15,844 | |||||||||||||||||||||
Chemed Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 936,924 USD | 25,440 | |||||||||||||||||||||
Chemical Financial Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 57,841 USD | 951 | |||||||||||||||||||||
Chesapeake Energy Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 12,856 USD | 964 | |||||||||||||||||||||
Chesapeake Utilities Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 154,161 USD | (1,417 | ) | ||||||||||||||||||||
Chevron Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 121,454 USD | 159 | |||||||||||||||||||||
Chico’s FAS, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 160,890 USD | 12,391 | |||||||||||||||||||||
Children’s Place, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 72,496 USD | 4,419 | |||||||||||||||||||||
Chimerix, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 165,988 USD | 7,215 | |||||||||||||||||||||
Choice Hotels International, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 460,814 USD | 18,373 | |||||||||||||||||||||
Chr. Hansen A/S | 03/28/18 | M | 0.36% | Credit Suisse Securities (Europe) Limited | 751,362 DKK | (550 | ) | ||||||||||||||||||||
Christian Dior SE | 03/28/18 | M | 0.40% | Credit Suisse Securities (Europe) Limited | 78,431 EUR | 811 | |||||||||||||||||||||
Church & Dwight Co., Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 135,371 USD | (2 | ) | ||||||||||||||||||||
Churchill Downs, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 184,347 USD | 1,851 |
See Notes to Consolidated Financial Statements.
139
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2017 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Chuy’s Holdings, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 73,924 USD | $ | 4,866 | ||||||||||||||||||||
Ciena Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 160,361 USD | 504 | |||||||||||||||||||||
Cinemark Holdings, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 202,542 USD | 3,963 | |||||||||||||||||||||
Cintas Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 322,392 USD | 6,855 | |||||||||||||||||||||
Cisco Systems, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 714,726 USD | 25,806 | |||||||||||||||||||||
CitiTrends, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 396,527 USD | 16,848 | |||||||||||||||||||||
Citizens & Northern Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 49,409 USD | 3,100 | |||||||||||||||||||||
City Hodling Co. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 232,812 USD | 14,847 | |||||||||||||||||||||
City Office REIT, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 23,263 USD | 1,454 | |||||||||||||||||||||
Civitas Solutions, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 108,948 USD | (38 | ) | ||||||||||||||||||||
Clariant AG REG | 03/28/18 | M | 0.79% | Credit Suisse Securities (Europe) Limited | 232,474 CHF | (825 | ) | ||||||||||||||||||||
Clarus Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 58,111 USD | 1,694 | |||||||||||||||||||||
Clean Energy Fuels Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 80,488 USD | 1,319 | |||||||||||||||||||||
Clean Harbors, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 217,373 USD | 5,117 | |||||||||||||||||||||
Clearfield, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 122,707 USD | 8,887 | |||||||||||||||||||||
Clearwater Paper Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 71,105 USD | 2,031 | |||||||||||||||||||||
Clifton Bancorp, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 179,317 USD | 9,485 | |||||||||||||||||||||
Clinigen Group PLC | 03/28/18 | M | 0.25% | Credit Suisse Securities (Europe) Limited | 146,635 GBP | 7,462 | |||||||||||||||||||||
Clorox Company | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 301,435 USD | 1,562 | |||||||||||||||||||||
Cloud Peak Energy, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 75,364 USD | 7,718 | |||||||||||||||||||||
Cloudera, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 66,536 USD | (5,690 | ) | ||||||||||||||||||||
CME Group, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 32,277 USD | 557 | |||||||||||||||||||||
CNB Financial Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 3,386 USD | 247 | |||||||||||||||||||||
CNH Industrial NV | 04/04/18 | M | 0.40% | Credit Suisse Securities (Europe) Limited | 147,732 EUR | 7,810 | |||||||||||||||||||||
Coach, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 42,124 USD | 90 |
See Notes to Consolidated Financial Statements.
140
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2017 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
CoBiz Financial, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 10,919 USD | $ | 1,513 | ||||||||||||||||||||
Coca-Cola Bottling Co. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 71,135 USD | 1,141 | |||||||||||||||||||||
Coca-Cola Company | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 428,090 USD | (7,697 | ) | ||||||||||||||||||||
Coca-Cola HBC | 03/28/18 | M | 0.25% | Credit Suisse Securities (Europe) Limited | 308,878 GBP | (5,340 | ) | ||||||||||||||||||||
Codorus Valley Bancorp, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 5,182 USD | 899 | |||||||||||||||||||||
Cogent Communications Holdings, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 850,409 USD | 18,201 | |||||||||||||||||||||
Cohen & Steers, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 55,311 USD | 2,858 | |||||||||||||||||||||
Cohu, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 356,975 USD | 67,902 | |||||||||||||||||||||
Colgate Palmolive Co. | 03/16/18 | M | 1.23% | Credit Suisse Securities (Europe) Limited | 1,581,099 USD | 9,508 | |||||||||||||||||||||
Colgate Palmolive Co. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 312,869 USD | (707 | ) | ||||||||||||||||||||
Collectors Universe, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 130,470 USD | 3,139 | |||||||||||||||||||||
Colony NorthStar, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 9,269 USD | (251 | ) | ||||||||||||||||||||
Columbia Banking System, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 98,135 USD | 10,930 | |||||||||||||||||||||
Columbia Property Trust, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 29,419 USD | 537 | |||||||||||||||||||||
Columbia Sportwear Co. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 424,326 USD | 20,220 | |||||||||||||||||||||
Columbus Mckinnon Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 30,636 USD | 4,394 | |||||||||||||||||||||
Com Hem Holding AB | 03/28/18 | M | 0.52% | Credit Suisse Securities (Europe) Limited | 2,494,280 SEK | (2,609 | ) | ||||||||||||||||||||
Comfort Systems USA, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 57,072 USD | 1,940 | |||||||||||||||||||||
Commerce Bancshares, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 348,726 USD | 7,542 | |||||||||||||||||||||
CommerceHub, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 519,832 USD | (10,676 | ) | ||||||||||||||||||||
Commercial Metals Co. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 125,398 USD | 3,397 | |||||||||||||||||||||
Community Bank System, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 244,809 USD | 8,457 | |||||||||||||||||||||
Community Health Systems, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 234,333 USD | 3,701 | |||||||||||||||||||||
Community Healthcare Trust, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 42,199 USD | 21 |
See Notes to Consolidated Financial Statements.
141
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2017 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Community Trust Bancorp, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 128,115 USD | $ | 13,896 | ||||||||||||||||||||
Commvault Systems, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 397,591 USD | (1,236 | ) | ||||||||||||||||||||
Compagnie de Saint Gobain | 02/21/18 | M | 0.07% | JPMorgan Chase Bank, N.A. | 9,823,000 EUR | 308,476 | |||||||||||||||||||||
Compagnie de Saint Gobain | 03/28/18 | M | 0.40% | Credit Suisse Securities (Europe) Limited | 414,629 EUR | 13,021 | |||||||||||||||||||||
Compass Minerals International, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 297,322 USD | (20,783 | ) | ||||||||||||||||||||
Computer Programs & Systems, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 497,174 USD | 23,910 | |||||||||||||||||||||
Comtech Telecommunications Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 624,391 USD | 5,880 | |||||||||||||||||||||
Conatus Pharmaceuticals, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 46,144 USD | 571 | |||||||||||||||||||||
Concert Pharmaceuticals, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 92,656 USD | 1,080 | |||||||||||||||||||||
Conduent, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 354,090 USD | (4,241 | ) | ||||||||||||||||||||
Conformis, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 61,621 USD | (207 | ) | ||||||||||||||||||||
CONMED Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 969,875 USD | 12,573 | |||||||||||||||||||||
Connecticut Water Services, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 383,065 USD | 19,938 | |||||||||||||||||||||
Consolidated Communications, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 14,697 USD | (272 | ) | ||||||||||||||||||||
Consolidated Water Co. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 96,194 USD | 2,008 | |||||||||||||||||||||
Container Store Group, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 136,261 USD | 1,970 | |||||||||||||||||||||
Contango Oil & Gas | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 47,277 USD | 8,415 | |||||||||||||||||||||
Control4 Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 413,048 USD | 22,783 | |||||||||||||||||||||
Convergys Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 332,610 USD | 12,815 | |||||||||||||||||||||
Conviviality PLC | 03/28/18 | M | 0.25% | Credit Suisse Securities (Europe) Limited | 120,649 GBP | 9,337 | |||||||||||||||||||||
Cooper Cos., Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 149,288 USD | (620 | ) | ||||||||||||||||||||
Copa Holdings SA | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 188,481 USD | (3,429 | ) |
See Notes to Consolidated Financial Statements.
142
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2017 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Copart, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 176,180 USD | $ | 2,166 | ||||||||||||||||||||
Corcept Therapeutics, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 141,661 USD | 11,851 | |||||||||||||||||||||
CoreLogic, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 371,917 USD | (1,879 | ) | ||||||||||||||||||||
CoreSite Realty Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 209,903 USD | 4,833 | |||||||||||||||||||||
Corium International, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 156,330 USD | 18,457 | |||||||||||||||||||||
Corning, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 72,436 USD | 1,407 | |||||||||||||||||||||
Corporate Office Properties Trust | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 168,423 USD | (333 | ) | ||||||||||||||||||||
Corvel Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 302,886 USD | 15,191 | |||||||||||||||||||||
Costamare, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 585,210 USD | 11,994 | |||||||||||||||||||||
CoStar Group, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 114,006 USD | (1,609 | ) | ||||||||||||||||||||
Cotiviti Holdings, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 342,177 USD | 12,442 | |||||||||||||||||||||
Countryside Properties PLC | 03/28/18 | M | 0.25% | Credit Suisse Securities (Europe) Limited | 119,039 GBP | 9,750 | |||||||||||||||||||||
Covanta Holding Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 203,169 USD | 5,162 | |||||||||||||||||||||
Covenant Transportation Group, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 143,367 USD | 22,659 | |||||||||||||||||||||
CR Bard, Inc. | 08/06/18 | M | 1.50% | Deutsche Bank AG | 8,031,869 USD | 71,973 | |||||||||||||||||||||
CR Bard, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 14,389 USD | 33 | |||||||||||||||||||||
CRA International, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 325,983 USD | 17,564 | |||||||||||||||||||||
Cracker Barrel Old Country Store, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 381,378 USD | (1,418 | ) | ||||||||||||||||||||
Crane Co. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 84,796 USD | 2,713 | |||||||||||||||||||||
Cray, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 144,341 USD | 2,778 | |||||||||||||||||||||
Credit Agricole SA | 03/28/18 | M | 0.40% | Credit Suisse Securities (Europe) Limited | 387,191 EUR | 4,963 | |||||||||||||||||||||
Credit Agricole SA | 02/20/19 | 3M | 0.40% | Credit Suisse Securities (Europe) Limited | 6,045,983 EUR | 114,576 | |||||||||||||||||||||
Cree, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 148,861 USD | 21,604 | |||||||||||||||||||||
CRH PLC | 03/28/18 | M | 0.25% | Credit Suisse Securities (Europe) Limited | 90,111 GBP | 6,490 |
See Notes to Consolidated Financial Statements.
143
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2017 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Criteo ADR | 03/16/18 | M | 1.23% | Credit Suisse Securities (Europe) Limited | 262,487 USD | $ | (8,507 | ) | |||||||||||||||||||
Croda International PLC | 03/28/18 | M | 0.25% | Credit Suisse Securities (Europe) Limited | 919,485 GBP | 39,562 | |||||||||||||||||||||
Croda International PLC | 03/13/18 | M | 0.55% | JPMorgan Chase Bank, N.A. | 2,940,000 GBP | 126,496 | |||||||||||||||||||||
Cross Country Healthcare, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 237,310 USD | 25,091 | |||||||||||||||||||||
Crown Castle International Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 116,308 USD | 69 | |||||||||||||||||||||
CryoLife, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 145,030 USD | 2,112 | |||||||||||||||||||||
CSG Systems International, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 403,782 USD | 25,048 | |||||||||||||||||||||
CSRA, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 39,495 USD | 358 | |||||||||||||||||||||
CSS Industries, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 133,306 USD | 5,635 | |||||||||||||||||||||
CSW Industrials, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 359,041 USD | 12,080 | |||||||||||||||||||||
CTS Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 65,534 USD | 4,260 | |||||||||||||||||||||
CU Bancorp | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 184,562 USD | 8,770 | |||||||||||||||||||||
Culp, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 199,370 USD | 14,193 | |||||||||||||||||||||
Curtiss Wright Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 492,463 USD | 3,371 | |||||||||||||||||||||
Cutera, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 597,724 USD | 39,066 | |||||||||||||||||||||
Cypress Semiconductor Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 276,845 USD | 11,719 | |||||||||||||||||||||
CyrusOne, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 122,305 USD | (2,736 | ) | ||||||||||||||||||||
CYS Investments, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 21,011 USD | (335 | ) | ||||||||||||||||||||
D. R. Horton, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 77,257 USD | 4,839 | |||||||||||||||||||||
Daktronics, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 328,202 USD | 17,712 | |||||||||||||||||||||
Dana, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 41,028 USD | 1,024 | |||||||||||||||||||||
Danone | 03/28/18 | M | 0.40% | Credit Suisse Securities (Europe) Limited | 8,396,517 EUR | (125,488 | ) | ||||||||||||||||||||
Danone | 05/09/18 | M | 0.07% | JPMorgan Chase Bank, N.A. | 5,377,600 EUR | (80,369 | ) | ||||||||||||||||||||
Danske Bank A/S | 03/28/18 | M | 0.36% | Credit Suisse Securities (Europe) Limited | 10,525,742 DKK | 10,958 |
See Notes to Consolidated Financial Statements.
144
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2017 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Dassault Aviation SA | 03/28/18 | M | 0.40% | Credit Suisse Securities (Europe) Limited | 5,269,147 EUR | $ | 340,539 | ||||||||||||||||||||
DCT Industrial Trust, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 516,451 USD | (12,953 | ) | ||||||||||||||||||||
Dean Foods Co. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 168,082 USD | (922 | ) | ||||||||||||||||||||
Dechra Pharamaceuticals PLC | 03/28/18 | M | 0.25% | Credit Suisse Securities (Europe) Limited | 70,661 GBP | (185 | ) | ||||||||||||||||||||
Del Frisco’s Restaurant Group | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 108,048 USD | 2,663 | |||||||||||||||||||||
Del Taco Restaurants, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 62,940 USD | 1,642 | |||||||||||||||||||||
Delek US Holdings, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 83,326 USD | 3,225 | |||||||||||||||||||||
Deltic Timber Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 154,404 USD | 4,770 | |||||||||||||||||||||
Deluxe Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 897,576 USD | 32,372 | |||||||||||||||||||||
Denny’s Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 71,976 USD | 3,708 | |||||||||||||||||||||
Dentsply Sirona, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 125,438 USD | 2,317 | |||||||||||||||||||||
DericheBourg | 03/28/18 | M | 0.40% | Credit Suisse Securities (Europe) Limited | 190,274 EUR | 4,210 | |||||||||||||||||||||
Deutsche Lufthansa REG | 03/28/18 | M | 0.40% | Credit Suisse Securities (Europe) Limited | 407,919 EUR | 22,539 | |||||||||||||||||||||
Deutsche Post AG REG | 03/28/18 | M | 0.40% | Credit Suisse Securities (Europe) Limited | 292,319 EUR | 14,778 | |||||||||||||||||||||
DHT Holdings, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 432,586 USD | 11,116 | |||||||||||||||||||||
Diamond Hill Investment Group | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 92,955 USD | 4,726 | |||||||||||||||||||||
Diamond Offshore Drilling, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 164,288 USD | 15,280 | |||||||||||||||||||||
Digi International, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 111,144 USD | 11,720 | |||||||||||||||||||||
Digital Globe, Inc. | 08/06/18 | M | 1.50% | Deutsche Bank AG | 3,061,372 USD | 170,841 | |||||||||||||||||||||
Digital Realty Trust, Inc. | 08/06/18 | M | 1.50% | Deutsche Bank AG | 64,042 USD | 5,063 | |||||||||||||||||||||
Dime Community Bancshares | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 63,317 USD | 7,956 | |||||||||||||||||||||
Diodes, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 136,531 USD | 5,308 | |||||||||||||||||||||
Direct Line Insurance Group | 03/28/18 | M | 0.25% | Credit Suisse Securities (Europe) Limited | 1,753,302 GBP | (49,961 | ) | ||||||||||||||||||||
Direct Line Insurance Group | 05/10/18 | M | 0.55% | JPMorgan Chase Bank, N.A. | 1,857,500 GBP | (52,930 | ) | ||||||||||||||||||||
DMC Global, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 85,890 USD | 10,238 |
See Notes to Consolidated Financial Statements.
145
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2017 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
DNB ASA | 03/28/18 | M | 0.68% | Credit Suisse Securities (Europe) Limited | 875,821 NOK | $ | 6,533 | ||||||||||||||||||||
Dolby Laboratories, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 235,025 USD | (3,105 | ) | ||||||||||||||||||||
Dometic Group AB | 03/28/18 | M | 0.52% | Credit Suisse Securities (Europe) Limited | 739,256 SEK | 3,824 | |||||||||||||||||||||
Domino’s Pizza, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 90,357 USD | 1,572 | |||||||||||||||||||||
Domtar Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 1,248,238 USD | 21,050 | |||||||||||||||||||||
Donaldson Co., Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 4,976 USD | 123 | |||||||||||||||||||||
Dorian LPG Ltd. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 238,094 USD | (22,698 | ) | ||||||||||||||||||||
Douglas Dynamics, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 272,700 USD | 21,343 | |||||||||||||||||||||
Douglas Emmett, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 283,117 USD | 3,585 | |||||||||||||||||||||
Dr. Pepper Snapple Group, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 97,966 USD | 148 | |||||||||||||||||||||
Dril Quip, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 236,142 USD | 4,211 | |||||||||||||||||||||
Drive Shack, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 186,024 USD | 43,965 | |||||||||||||||||||||
DS Smith PLC | 03/28/18 | M | 0.25% | Credit Suisse Securities (Europe) Limited | 159,500 GBP | 914 | |||||||||||||||||||||
DSP Group, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 104,490 USD | 5,841 | |||||||||||||||||||||
DSV A/S | 03/28/18 | M | 0.36% | Credit Suisse Securities (Europe) Limited | 616,156 DKK | 4,491 | |||||||||||||||||||||
DSW, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 284,683 USD | 16,316 | |||||||||||||||||||||
Ducommun, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 112,482 USD | 10,975 | |||||||||||||||||||||
Duerr AG | 03/28/18 | M | 0.40% | Credit Suisse Securities (Europe) Limited | 98,109 EUR | 10,689 | |||||||||||||||||||||
Dun & Bradstreet Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 335,420 USD | 8,222 | |||||||||||||||||||||
Dunkin Brands Group, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 226,018 USD | 4,561 | |||||||||||||||||||||
Dynavax Tecnhologies Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 96,548 USD | 3,427 | |||||||||||||||||||||
Dynex Capital, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 51,251 USD | 787 | |||||||||||||||||||||
E-Trade Financial Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 38,819 USD | 517 | |||||||||||||||||||||
E.ON SE | 03/28/18 | M | 0.40% | Credit Suisse Securities (Europe) Limited | 3,938,693 EUR | 184,200 |
See Notes to Consolidated Financial Statements.
146
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2017 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
E.ON SE | 10/10/18 | M | 0.07% | JPMorgan Chase Bank, N.A. | 4,579,500 EUR | $ | 246,426 | ||||||||||||||||||||
Eagle Bancorp, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 238,790 USD | 8,892 | |||||||||||||||||||||
Eagle Materials, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 150,575 USD | (235 | ) | ||||||||||||||||||||
Easatern Co. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 67,596 USD | 5,073 | |||||||||||||||||||||
East West Bancorp, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 177,488 USD | 9,444 | |||||||||||||||||||||
Easterly Government Properties, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 108,569 USD | 2,016 | |||||||||||||||||||||
EastGroup Properties, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 344,927 USD | (7,691 | ) | ||||||||||||||||||||
Eaton Corp. PLC | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 24,126 USD | (168 | ) | ||||||||||||||||||||
Eaton Vance Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 36,669 USD | 605 | |||||||||||||||||||||
Ebix, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 102,334 USD | 11,005 | |||||||||||||||||||||
EchoStar Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 903,079 USD | (4,282 | ) | ||||||||||||||||||||
Edge Therapeutics, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 129,263 USD | 15,613 | |||||||||||||||||||||
Education Realty Trust, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 62,906 USD | (2,651 | ) | ||||||||||||||||||||
El Paso Electric Co. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 140,963 USD | 256 | |||||||||||||||||||||
Electro Scientific Industries, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 531,686 USD | 46,954 | |||||||||||||||||||||
Electrocomponents PLC | 03/28/18 | M | 0.25% | Credit Suisse Securities (Europe) Limited | 348,766 GBP | 4,943 | |||||||||||||||||||||
Eli Lilly & Co. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 213,408 USD | 7,798 | |||||||||||||||||||||
Elis SA | 07/03/18 | M | 0.37% | Merrill Lynch International | — EUR | 54,114 | |||||||||||||||||||||
Emcor Group, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 154,856 USD | (138 | ) | ||||||||||||||||||||
EMCORE Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 356,930 USD | (18,229 | ) | ||||||||||||||||||||
Emergent BioSolutions, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 96,084 USD | 6,093 | |||||||||||||||||||||
Emerson Electric Co. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 62,388 USD | (805 | ) | ||||||||||||||||||||
Empire State Realty Trust | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 17,830 USD | 61 | |||||||||||||||||||||
EMS Chemie Holding AG REG | 03/28/18 | M | 0.79% | Credit Suisse Securities (Europe) Limited | 204,545 CHF | (3,071 | ) | ||||||||||||||||||||
Enanta Pharmaceuticals, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 308,355 USD | 14,424 |
See Notes to Consolidated Financial Statements.
147
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2017 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
ENCE Energia y Celulosa, SA | 03/28/18 | M | 0.40% | Credit Suisse Securities (Europe) Limited | 166,628 EUR | $ | 23,833 | ||||||||||||||||||||
Encore Wire Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 32,863 USD | 315 | |||||||||||||||||||||
Endo International PLC | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 182,593 USD | (1,307 | ) | ||||||||||||||||||||
Enel SPA | 04/04/18 | M | 0.40% | Credit Suisse Securities (Europe) Limited | 5,553,255 EUR | (12,857 | ) | ||||||||||||||||||||
Energy XXI Gulf Coast, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 212,384 USD | 4,580 | |||||||||||||||||||||
Engie | 03/28/18 | M | 0.40% | Credit Suisse Securities (Europe) Limited | 3,441,142 EUR | (3,789 | ) | ||||||||||||||||||||
Engie | 08/08/18 | M | 0.07% | JPMorgan Chase Bank, N.A. | 4,320,000 EUR | (10,637 | ) | ||||||||||||||||||||
Ennis, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 241,020 USD | 4,252 | |||||||||||||||||||||
EnPro Industries, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 43,416 USD | 3,372 | |||||||||||||||||||||
Ensign Group, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 389,753 USD | 37,243 | |||||||||||||||||||||
Entellus Medical, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 280,593 USD | 17,628 | |||||||||||||||||||||
Entercom Communications Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 143,050 USD | 11,422 | |||||||||||||||||||||
Entergis, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 49,531 USD | 2,716 | |||||||||||||||||||||
Enterprise Financial Service | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 5,833 USD | 477 | |||||||||||||||||||||
Envestnet, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 35,790 USD | 1,644 | |||||||||||||||||||||
Enzo Biochem, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 354,970 USD | (10,958 | ) | ||||||||||||||||||||
EPAM Systems, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 350,538 USD | 22,285 | |||||||||||||||||||||
Epizyme, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 21,986 USD | 2,207 | |||||||||||||||||||||
ePlus, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 514,183 USD | 69,084 | |||||||||||||||||||||
Equinix, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 94,116 USD | 1,392 | |||||||||||||||||||||
Equinti Group PLC | 03/28/18 | M | 1.23% | Credit Suisse Securities (Europe) Limited | — GBP | 7,124 | |||||||||||||||||||||
Equinti Group PLC | 03/28/18 | M | 0.25% | Credit Suisse Securities (Europe) Limited | 62,770 GBP | 2,978 | |||||||||||||||||||||
Equity Bancshares, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 52,779 USD | 3,580 | |||||||||||||||||||||
Equity Commonwealth | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 153,504 USD | (1,747 | ) | ||||||||||||||||||||
Equity LifeStyle Properties, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 367,109 USD | (7,561 | ) |
See Notes to Consolidated Financial Statements.
148
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2017 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Equity Residential | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 234,942 USD | $ | 955 | ||||||||||||||||||||
Era Group, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 130,666 USD | 7,453 | |||||||||||||||||||||
Erie Indemnity Company | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 64,494 USD | 1,338 | |||||||||||||||||||||
ESCO Technologies, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 67,605 USD | 4,575 | |||||||||||||||||||||
ESSA Bancorp, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 18,574 USD | 815 | |||||||||||||||||||||
Essendant, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 513,199 USD | 25,323 | |||||||||||||||||||||
Essent Group Ltd. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 172,968 USD | 6,285 | |||||||||||||||||||||
Essex Property Trust, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 345,498 USD | 744 | |||||||||||||||||||||
Essity Aktiebolag | 03/28/18 | M | 0.52% | Credit Suisse Securities (Europe) Limited | 7,730,959 SEK | — | |||||||||||||||||||||
Ethan Allen Interiors, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 367,635 USD | 25,928 | |||||||||||||||||||||
Eurazeo SA | 03/28/18 | M | 0.40% | Credit Suisse Securities (Europe) Limited | 236,942 EUR | 9,930 | |||||||||||||||||||||
Eurofins Scientific | 03/28/18 | M | 0.40% | Credit Suisse Securities (Europe) Limited | 114,376 EUR | 8,879 | |||||||||||||||||||||
Euronet Worldwide, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 540,457 USD | (12,667 | ) | ||||||||||||||||||||
Europcar Groupe SA | 03/28/18 | M | 0.40% | Credit Suisse Securities (Europe) Limited | 84,387 EUR | (695 | ) | ||||||||||||||||||||
Evercore Partners, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 104,827 USD | 7,924 | |||||||||||||||||||||
Everi Holdings, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 281,711 USD | 8,803 | |||||||||||||||||||||
EVERTEC, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 228,469 USD | (31,501 | ) | ||||||||||||||||||||
Evolution Gaming Corp. | 03/28/18 | M | 0.52% | Credit Suisse Securities (Europe) Limited | 2,592,421 SEK | 23,511 | |||||||||||||||||||||
EvotecAG | 03/28/18 | M | 0.40% | Credit Suisse Securities (Europe) Limited | 1,120,899 EUR | 91,657 | |||||||||||||||||||||
Evraz PLC | 03/28/18 | M | 0.25% | Credit Suisse Securities (Europe) Limited | 68,090 GBP | 4,786 | |||||||||||||||||||||
Exa Corp | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 125,003 USD | 64,205 | |||||||||||||||||||||
Exactech, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 214,028 USD | 14,975 | |||||||||||||||||||||
Exlservice Holdings, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 534,809 USD | 18,940 | |||||||||||||||||||||
Exor SpA | 04/04/18 | M | 0.40% | Credit Suisse Securities (Europe) Limited | 78,683 EUR | 787 | |||||||||||||||||||||
Expeditors International of Washington, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 367,415 USD | 8,984 |
See Notes to Consolidated Financial Statements.
149
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2017 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Exponent, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 254,383 USD | $ | 3,675 | ||||||||||||||||||||
Extreme Networks, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 293,736 USD | 16,796 | |||||||||||||||||||||
F5 Networks, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 451,542 USD | 10,565 | |||||||||||||||||||||
Factset Research Systems, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 134,728 USD | 8,820 | |||||||||||||||||||||
Fair Isaac Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 562,428 USD | 23,035 | |||||||||||||||||||||
Farmer Bros. Co. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 95,415 USD | 8,030 | |||||||||||||||||||||
Farmers Capital Bank Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 29,644 USD | 2,524 | |||||||||||||||||||||
Farmers National Bank Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 7,058 USD | 753 | |||||||||||||||||||||
Faro Technologies, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 238,552 USD | 11,833 | |||||||||||||||||||||
Faurecia | 03/28/18 | M | 0.40% | Credit Suisse Securities (Europe) Limited | 90,380 EUR | 6,115 | |||||||||||||||||||||
FB Financial Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 103,680 USD | 6,236 | |||||||||||||||||||||
FCB Financial Holdings | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 44,451 USD | 1,193 | |||||||||||||||||||||
Federal Agricultural Mortgage Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 88,107 USD | 10,310 | |||||||||||||||||||||
Federal Signal Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 279,005 USD | 18,106 | |||||||||||||||||||||
FEDEX Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 468,008 USD | 71 | |||||||||||||||||||||
Ferrari | 04/04/18 | M | 0.40% | Credit Suisse Securities (Europe) Limited | 581,519 EUR | 13,873 | |||||||||||||||||||||
Ferrexpo PLC | 03/28/18 | M | 0.25% | Credit Suisse Securities (Europe) Limited | 547,432 GBP | (32,832 | ) | ||||||||||||||||||||
Fevertree Drinks PLC | 03/28/18 | M | 0.25% | Credit Suisse Securities (Europe) Limited | 865,480 GBP | (47,793 | ) | ||||||||||||||||||||
Fidelity National Information Services, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 124,896 USD | 900 | |||||||||||||||||||||
Fidelity Southern Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 21,479 USD | 1,664 | |||||||||||||||||||||
Fiesta Restaurant Group | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 12,832 USD | 601 | |||||||||||||||||||||
Financial Institutions, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 7,586 USD | 536 | |||||||||||||||||||||
Fincantieri SpA | 04/04/18 | M | 0.40% | Credit Suisse Securities (Europe) Limited | 266,077 EUR | (3,664 | ) | ||||||||||||||||||||
FinecoBank SpA | 04/04/18 | M | 0.40% | Credit Suisse Securities (Europe) Limited | 79,725 EUR | 2,251 |
See Notes to Consolidated Financial Statements.
150
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2017 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Finish Line | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 494,201 USD | $ | 83,672 | ||||||||||||||||||||
First Bancorp | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 266,777 USD | 25,123 | |||||||||||||||||||||
First Bancorp, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 19,788 USD | 1,974 | |||||||||||||||||||||
First Busey Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 295,327 USD | 14,666 | |||||||||||||||||||||
First Citizens Bancshares | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 219,527 USD | 2,564 | |||||||||||||||||||||
First Community Bancshares | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 12,743 USD | 1,171 | |||||||||||||||||||||
First Connecticut Bancorp | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 33,425 USD | 2,848 | |||||||||||||||||||||
First Defiance Financial Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 211,125 USD | 16,104 | |||||||||||||||||||||
First Financial Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 53,462 USD | 5,039 | |||||||||||||||||||||
First Financial Northwest | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 6,500 USD | 398 | |||||||||||||||||||||
First Industrial Realty Trust | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 195,582 USD | (6,406 | ) | ||||||||||||||||||||
First Merchants Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 281,170 USD | 30,330 | |||||||||||||||||||||
First Mid-Illinois Bancshares | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 60,255 USD | 5,678 | |||||||||||||||||||||
First Northwest Bancorp | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 19,433 USD | 1,719 | |||||||||||||||||||||
First of Long Island Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 4,696 USD | 420 | |||||||||||||||||||||
First Republic Bank | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 318,785 USD | 2,012 | |||||||||||||||||||||
First Solar, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 102,221 USD | (7,066 | ) | ||||||||||||||||||||
FirstCash, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 156,802 USD | 4,926 | |||||||||||||||||||||
FirstEnergy Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 161,982 USD | (4,040 | ) | ||||||||||||||||||||
Fischer (Georg) REG | 03/28/18 | M | 0.79% | Credit Suisse Securities (Europe) Limited | 239,774 CHF | 1,460 | |||||||||||||||||||||
Fiserv, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 68,550 USD | (72 | ) | ||||||||||||||||||||
Five9, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 74,390 USD | 5,914 | |||||||||||||||||||||
Flexsteel Industries | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 267,891 USD | 19,831 | |||||||||||||||||||||
FLIR Systems, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 396,129 USD | (9,247 | ) | ||||||||||||||||||||
Flowers Foods, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 592,044 USD | 16,008 |
See Notes to Consolidated Financial Statements.
151
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2017 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
FLSmidth & Co. | 03/28/18 | M | 0.36% | Credit Suisse Securities (Europe) Limited | 1,055,662 DKK | $ | 4,508 | ||||||||||||||||||||
Flughafen Zuerich AG REG | 03/28/18 | M | 0.79% | Credit Suisse Securities (Europe) Limited | 187,629 CHF | (1,754 | ) | ||||||||||||||||||||
Fluidigm Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 45,822 USD | (1,410 | ) | ||||||||||||||||||||
Flushing Financial Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 53,532 USD | 4,660 | |||||||||||||||||||||
Fogo De Chao, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 55,205 USD | — | |||||||||||||||||||||
Fonar Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 189,149 USD | 8,034 | |||||||||||||||||||||
ForFarmers NV | 03/28/18 | M | 0.40% | Credit Suisse Securities (Europe) Limited | 151,410 EUR | 2,307 | |||||||||||||||||||||
Forrester Research, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 309,296 USD | 16,423 | |||||||||||||||||||||
Fortress Biotech, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 120,336 USD | (1,460 | ) | ||||||||||||||||||||
Fortune Brands Home & Security, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 773,832 USD | 32,390 | |||||||||||||||||||||
Forward Air Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 659,251 USD | 31,000 | |||||||||||||||||||||
Foundation Medicine, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 310,238 USD | 2,960 | |||||||||||||||||||||
Four Corners Property Trust | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 109,706 USD | (1,702 | ) | ||||||||||||||||||||
Frank’s International NV | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 497,881 USD | 8,528 | |||||||||||||||||||||
Franklin Covey Co. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 109,947 USD | 7,692 | |||||||||||||||||||||
Franklin Electric Co., Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 19,054 USD | 1,891 | |||||||||||||||||||||
Fraport AG Frankfurt Airport | 03/28/18 | M | 0.40% | Credit Suisse Securities (Europe) Limited | 417,626 EUR | (9,992 | ) | ||||||||||||||||||||
Fred’s, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 183,115 USD | (19,803 | ) | ||||||||||||||||||||
FreightCar America, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 264,190 USD | 20,193 | |||||||||||||||||||||
Fresh del Monte Produce, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 99,321 USD | (1,400 | ) | ||||||||||||||||||||
Freshpet, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 81,546 USD | (260 | ) | ||||||||||||||||||||
Frontier Communications Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 237,706 USD | (19,296 | ) | ||||||||||||||||||||
FTD Cos., inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 129,816 USD | (3,928 | ) | ||||||||||||||||||||
FTI Consulting, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 229,796 USD | 2,776 |
See Notes to Consolidated Financial Statements.
152
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2017 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
FutureFuel Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 210,936 USD | $ | 10,998 | ||||||||||||||||||||
G4S PLC | 03/28/18 | M | 0.25% | Credit Suisse Securities (Europe) Limited | 94,718 GBP | 1,523 | |||||||||||||||||||||
Gaia, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 85,324 USD | 4,088 | |||||||||||||||||||||
GAMCO Investors, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 113,725 USD | 3,857 | |||||||||||||||||||||
Gamestop Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 601,002 USD | 11,484 | |||||||||||||||||||||
Gaming and Leisure Properties, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 359,479 USD | (3,564 | ) | ||||||||||||||||||||
Gannett Co., Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 506,811 USD | 36,258 | |||||||||||||||||||||
Gap, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 7,305 USD | 402 | |||||||||||||||||||||
Garmin Ltd. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 562,586 USD | 16,296 | |||||||||||||||||||||
GasLog Ltd. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 558,691 USD | 19,689 | |||||||||||||||||||||
GATX Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 555,080 USD | 20,198 | |||||||||||||||||||||
Gencor Industries, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 55,792 USD | 5,754 | |||||||||||||||||||||
Gener8 Maritime, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 175,996 USD | (11,255 | ) | ||||||||||||||||||||
General Cable Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 227,117 USD | (4,140 | ) | ||||||||||||||||||||
General Communication, Inc. | 08/06/18 | M | 1.50% | Deutsche Bank AG | 1,482,937 USD | 133,203 | |||||||||||||||||||||
General Dynamics Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 11,493 USD | 20 | |||||||||||||||||||||
Genie Energy Ltd. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 35,978 USD | 1,960 | |||||||||||||||||||||
Genomic Health, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 519,418 USD | 14,142 | |||||||||||||||||||||
Genpact Ltd. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 496,645 USD | 9,384 | |||||||||||||||||||||
Gentex Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 14,992 USD | 452 | |||||||||||||||||||||
GEO Group, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 62,746 USD | 684 | |||||||||||||||||||||
Geospace Technologies Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 171,226 USD | 8,934 | |||||||||||||||||||||
German American Bancorp | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 163,640 USD | 18,486 |
See Notes to Consolidated Financial Statements.
153
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2017 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Getty Realty Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 86,646 USD | $ | 671 | ||||||||||||||||||||
Gilead Sciences, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 82,928 USD | (1,746 | ) | ||||||||||||||||||||
Glacier Bancorp, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 96,831 USD | 12,673 | |||||||||||||||||||||
Gladstone Commercial Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 23,240 USD | 567 | |||||||||||||||||||||
Glatfelter | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 482,133 USD | 33,642 | |||||||||||||||||||||
Glaukos Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 119,192 USD | 3,073 | |||||||||||||||||||||
GlaxoSmithKline PLC | 06/25/18 | — | — | Morgan Stanley Capital Services LLC | 11,102,093 GBP | (913,677 | ) | ||||||||||||||||||||
Glencore PLC | 03/28/18 | M | 0.25% | Credit Suisse Securities (Europe) Limited | 157,488 GBP | (1,531 | ) | ||||||||||||||||||||
Global Net Lease, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 15,681 USD | 233 | |||||||||||||||||||||
Global Water Resources, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 14,004 USD | (15 | ) | ||||||||||||||||||||
Globus Medical, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 744,641 USD | (8,180 | ) | ||||||||||||||||||||
Glu Mobile, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 386,532 USD | 8,403 | |||||||||||||||||||||
GMS INC | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 106,106 USD | 342 | |||||||||||||||||||||
GN Store Nord A/S | 03/28/18 | M | 0.36% | Credit Suisse Securities (Europe) Limited | 1,281,987 DKK | 1,521 | |||||||||||||||||||||
GNC Holdings, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 287,650 USD | (32,572 | ) | ||||||||||||||||||||
Gogo, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 40,840 USD | (4,454 | ) | ||||||||||||||||||||
Golden Entertainment, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 164,338 USD | 6,590 | |||||||||||||||||||||
Gorman Rupp Co. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 74,893 USD | 4,480 | |||||||||||||||||||||
GP Strategies Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 151,845 USD | 6,632 | |||||||||||||||||||||
Graco, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 384,443 USD | 8,149 | |||||||||||||||||||||
Graham Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 105,564 USD | 4,939 | |||||||||||||||||||||
Graham Holdings Co. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 666,257 USD | 24,161 | |||||||||||||||||||||
Gramercy Property Trust | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 5,328 USD | 56 | |||||||||||||||||||||
Graphic Packaging Holding Co. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 97,565 USD | 7,130 |
See Notes to Consolidated Financial Statements.
154
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2017 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Great Ajax Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 57,782 USD | $ | 706 | ||||||||||||||||||||
Great Southern Bancorp, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 142,326 USD | 14,050 | |||||||||||||||||||||
Green Bancorp, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 103,332 USD | 10,069 | |||||||||||||||||||||
Green Brick Partners, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 21,244 USD | 2,387 | |||||||||||||||||||||
Green Dot Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 248,834 USD | 5,412 | |||||||||||||||||||||
Green Plains, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 135,211 USD | (1,657 | ) | ||||||||||||||||||||
Greenbrier Companies, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 257,737 USD | 32,896 | |||||||||||||||||||||
Greif, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 289,603 USD | 6,434 | |||||||||||||||||||||
Griffon Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 26,506 USD | 1,843 | |||||||||||||||||||||
GSI Technology, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 57,578 USD | 1,658 | |||||||||||||||||||||
Guaranty Bancorp | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 46,196 USD | 3,678 | |||||||||||||||||||||
Guess?, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 364,330 USD | 31,754 | |||||||||||||||||||||
Guidewire Software, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 217,681 USD | 872 | |||||||||||||||||||||
Gulf Island Fabrication, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 134,671 USD | 4,813 | |||||||||||||||||||||
H&E Equipment Services, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 116,290 USD | 10,263 | |||||||||||||||||||||
H&R Block, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 583,590 USD | 12,262 | |||||||||||||||||||||
H.B. Fuller Co. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 217,473 USD | 9,135 | |||||||||||||||||||||
Habit Restaurants, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 87,660 USD | (995 | ) | ||||||||||||||||||||
Hackett Group, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 151,158 USD | 5,253 | |||||||||||||||||||||
Haemonetics Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 713,463 USD | 40,398 | |||||||||||||||||||||
Hallador Energy Co. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 92,857 USD | 333 | |||||||||||||||||||||
Halliburton Co. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 310,626 USD | 15,404 | |||||||||||||||||||||
Haloyme Therapeutics, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 84,971 USD | 5,856 | |||||||||||||||||||||
Halyard Health, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 755,979 USD | (5,735 | ) | ||||||||||||||||||||
Hamburger Hafen und Logistik AG | 03/28/18 | M | 0.40% | Credit Suisse Securities (Europe) Limited | 169,390 EUR | 5,005 |
See Notes to Consolidated Financial Statements.
155
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2017 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Hancock Holding Co. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 48,157 USD | $ | 5,234 | ||||||||||||||||||||
Handy & Harman Ltd. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 24,857 USD | (705 | ) | ||||||||||||||||||||
Hannon Armstrong Sustainable Infrastructure | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 9,562 USD | (9 | ) | ||||||||||||||||||||
Hapag-Lloyd AG | 03/28/18 | M | 0.40% | Credit Suisse Securities (Europe) Limited | 165,051 EUR | (2,105 | ) | ||||||||||||||||||||
HarborOne Bancorp, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 27,065 USD | 1,376 | |||||||||||||||||||||
Hardinge, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 101,532 USD | 7,847 | |||||||||||||||||||||
Harris Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 1,293,102 USD | 32,126 | |||||||||||||||||||||
Hastings Group Holdings PLC | 03/28/18 | M | 0.25% | Credit Suisse Securities (Europe) Limited | 192,595 GBP | 5,723 | |||||||||||||||||||||
Haverty Furniture Co., Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 344,485 USD | 7,938 | |||||||||||||||||||||
Hawaiian Electric Industries, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 156,899 USD | (1,629 | ) | ||||||||||||||||||||
Hawaiian Telcom Holdco, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 141,797 USD | 1,816 | |||||||||||||||||||||
Hawkins, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 199,214 USD | 8,661 | |||||||||||||||||||||
Haynes International, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 268,323 USD | 26,426 | |||||||||||||||||||||
HAYS PLC | 03/28/18 | M | 0.25% | Credit Suisse Securities (Europe) Limited | 97,503 GBP | 2,747 | |||||||||||||||||||||
HCA Healthcare, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 215,900 USD | 2,097 | |||||||||||||||||||||
HealthCare Realty Trust, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 48,773 USD | (392 | ) | ||||||||||||||||||||
Healthcare Services Group | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 311,459 USD | 9,069 | |||||||||||||||||||||
HealthEquity, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 38,584 USD | 4,611 | |||||||||||||||||||||
HealthSouth Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 1,187,624 USD | 30,640 | |||||||||||||||||||||
Heartland Express, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 246,134 USD | 26,461 | |||||||||||||||||||||
Heartland Financial USA, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 101,500 USD | 11,230 | |||||||||||||||||||||
HEICO Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 144,399 USD | (74 | ) | ||||||||||||||||||||
Heiderlbergcement AG | 03/28/18 | M | 0.40% | Credit Suisse Securities (Europe) Limited | 504,796 EUR | 32,250 | |||||||||||||||||||||
Heidrick & Struggles International | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 302,321 USD | 29,628 | |||||||||||||||||||||
Helen of Troy Ltd. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 142,224 USD | 3,417 |
See Notes to Consolidated Financial Statements.
156
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2017 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Helix Energy Solutions Group | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 14,926 USD | $ | 61 | ||||||||||||||||||||
HELLA KGaA Hueck & Co. | 03/28/18 | M | 0.40% | Credit Suisse Securities (Europe) Limited | 91,629 EUR | (4,903 | ) | ||||||||||||||||||||
Helmerich & Payne | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 543,888 USD | 19,473 | |||||||||||||||||||||
Hemisphere Media Group, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 224,326 USD | (9,501 | ) | ||||||||||||||||||||
Henry Schein, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 112,582 USD | 2,040 | |||||||||||||||||||||
Heritage Commerce Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 5,598 USD | 251 | |||||||||||||||||||||
Heritage Crystal Clean, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 383,696 USD | 24,443 | |||||||||||||||||||||
Heritage Financial Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 14,878 USD | 1,288 | |||||||||||||||||||||
Herman Miller, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 459,161 USD | 17,016 | |||||||||||||||||||||
Heska Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 78,922 USD | (4,662 | ) | ||||||||||||||||||||
Hewlett Packard Enterprise | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 6,787 USD | 597 | |||||||||||||||||||||
Hexagon AB | 03/28/18 | M | 0.51% | Credit Suisse Securities (Europe) Limited | 7,084,863 SEK | 10,467 | |||||||||||||||||||||
Hexel Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 480,795 USD | 8,021 | |||||||||||||||||||||
Hiedelberger Druckmaschinen | 03/28/18 | M | 0.40% | Credit Suisse Securities (Europe) Limited | 88,451 EUR | 7,572 | |||||||||||||||||||||
Highwoods Properties, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 376,480 USD | (182 | ) | ||||||||||||||||||||
Hill-Rom Holdings, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 516,480 USD | (2,772 | ) | ||||||||||||||||||||
Hillenbrand, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 276,019 USD | 15,394 | |||||||||||||||||||||
Hilltop Holdings, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 21,925 USD | 1,709 | |||||||||||||||||||||
HMS Holdings Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 259,262 USD | 12,025 | |||||||||||||||||||||
HNI Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 418,862 USD | 37,432 | |||||||||||||||||||||
HollyFrontier Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 491,731 USD | 47,819 | |||||||||||||||||||||
Home Bancorp, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 60,116 USD | (272 | ) | ||||||||||||||||||||
Home Bancshares, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 219,849 USD | 25,516 | |||||||||||||||||||||
HomeTrust Bancshares, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 268 USD | 14 | |||||||||||||||||||||
Honeywell International, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 332,171 USD | 2,760 |
See Notes to Consolidated Financial Statements.
157
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2017 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Hooker Furniture Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 326,511 USD | $ | 30,420 | ||||||||||||||||||||
Horizon Bancorp Indiana | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 94,204 USD | 10,020 | |||||||||||||||||||||
Hortonworks, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 385,673 USD | 6,008 | |||||||||||||||||||||
Houlihan Lokey, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 150,790 USD | 11,443 | |||||||||||||||||||||
HP, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 151,495 USD | 3,155 | |||||||||||||||||||||
HSN, Inc. | 08/06/18 | M | 1.50% | Deutsche Bank AG | 2,892,461 USD | (83,751 | ) | ||||||||||||||||||||
HSN, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 180,425 USD | 3,266 | |||||||||||||||||||||
Hubbell, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 542,698 USD | 9,094 | |||||||||||||||||||||
HubSpot, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 94,253 USD | 10,221 | |||||||||||||||||||||
Hugo Boss AG | 03/28/18 | M | 0.40% | Credit Suisse Securities (Europe) Limited | 91,402 EUR | 847 | |||||||||||||||||||||
Hurco Companies, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 284,507 USD | 21,003 | |||||||||||||||||||||
Huron Consulting Group, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 136,517 USD | 4,455 | |||||||||||||||||||||
Huttig Building Products, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 102,819 USD | 6,336 | |||||||||||||||||||||
HVB Real Estate | 03/28/18 | M | 0.40% | Credit Suisse Securities (Europe) Limited | 79,778 EUR | 1,667 | |||||||||||||||||||||
Hyster Yale Materials | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 223,223 USD | 11,601 | |||||||||||||||||||||
IAC/InteractiveCorp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 126,750 USD | 3,058 | |||||||||||||||||||||
IBERIABANK Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 7,983 USD | (14 | ) | ||||||||||||||||||||
IBEX 35 Index | 10/24/17 | — | — | Merrill Lynch International | 1,028,766 EUR | 5,123 | |||||||||||||||||||||
Ibstock PLC | 03/28/18 | M | 0.25% | Credit Suisse Securities (Europe) Limited | 71,346 GBP | (1,038 | ) | ||||||||||||||||||||
ICF International, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 119,357 USD | 5,484 | |||||||||||||||||||||
Ichor Holdings Ltd. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 109,988 USD | 9,861 | |||||||||||||||||||||
Iconix Brand Group, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 116,292 USD | 1,286 | |||||||||||||||||||||
ICU Medical, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 393,316 USD | 8,492 | |||||||||||||||||||||
IDEX Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 176,067 USD | (2,122 | ) | ||||||||||||||||||||
Idexx Laboratories, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 332,697 USD | (5,701 | ) | ||||||||||||||||||||
IDT Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 304,125 USD | (1,166 | ) |
See Notes to Consolidated Financial Statements.
158
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2017 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Ignyta, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 78,230 USD | $ | 4,700 | ||||||||||||||||||||
ILG, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 283,920 USD | 15,456 | |||||||||||||||||||||
Immersion Corporation | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 36,663 USD | 1,695 | |||||||||||||||||||||
Immune Design Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 163,728 USD | 17,511 | |||||||||||||||||||||
Immunogen, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 364,396 USD | 46,096 | |||||||||||||||||||||
Immunomedics, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 12,622 USD | 3,007 | |||||||||||||||||||||
Imperial Brands PLC | 03/28/18 | M | 0.25% | Credit Suisse Securities (Europe) Limited | 6,236,131 GBP | (357,852 | ) | ||||||||||||||||||||
Independen Bank Group, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 68,305 USD | 4,658 | |||||||||||||||||||||
Independence Contract Drilling, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 89,863 USD | 9,472 | |||||||||||||||||||||
Independent Bank Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 157,018 USD | 7,809 | |||||||||||||||||||||
Industria Macchine Automatic | 04/04/18 | M | 0.40% | Credit Suisse Securities (Europe) Limited | 96,320 EUR | 213 | |||||||||||||||||||||
Industrivarden AB | 03/28/18 | M | 0.51% | Credit Suisse Securities (Europe) Limited | 945,086 SEK | 3,416 | |||||||||||||||||||||
Inficon Holding AG | 03/28/18 | M | 0.78% | Credit Suisse Securities (Europe) Limited | 100,351 CHF | 4,281 | |||||||||||||||||||||
Information Services Group | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 7,158 USD | 857 | |||||||||||||||||||||
Infrareit, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 35,533 USD | (501 | ) | ||||||||||||||||||||
Ingles Markets, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 423,605 USD | 20,748 | |||||||||||||||||||||
Ingredion, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 96,984 USD | (472 | ) | ||||||||||||||||||||
Inmobiliaria Colonial SA | 03/28/18 | M | 0.40% | Credit Suisse Securities (Europe) Limited | 171,917 EUR | (4,959 | ) | ||||||||||||||||||||
InnerWorkings, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 31,810 USD | 579 | |||||||||||||||||||||
Innophos Holdings, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 465,226 USD | 23,132 | |||||||||||||||||||||
Innospec, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 26,448 USD | 2,158 | |||||||||||||||||||||
Innoviva, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 411,230 USD | 7,103 | |||||||||||||||||||||
Inogen, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 625,053 USD | (33,626 | ) | ||||||||||||||||||||
Inovio Pharmaceuticals, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 27,396 USD | 1,698 |
See Notes to Consolidated Financial Statements.
159
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2017 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Insight Enterprises, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 24,320 USD | $ | 2,727 | ||||||||||||||||||||
Insperity, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 39,330 USD | 2,206 | |||||||||||||||||||||
Instructure, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 246,183 USD | 7,547 | |||||||||||||||||||||
Integer Holdings Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 466,528 USD | 37,964 | |||||||||||||||||||||
Integra LifeSciences Holding | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 624,776 USD | (7,305 | ) | ||||||||||||||||||||
Inter Parfums, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 253,780 USD | 4,693 | |||||||||||||||||||||
Intercontinental Exchange | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 240,743 USD | 7,333 | |||||||||||||||||||||
Intercontinental Hotels Group | 03/28/18 | M | 0.25% | Credit Suisse Securities (Europe) Limited | 7,748,393 GBP | 792,583 | |||||||||||||||||||||
Interface, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 26,008 USD | 1,148 | |||||||||||||||||||||
Intermediate Capital Group | 03/28/18 | M | 0.25% | Credit Suisse Securities (Europe) Limited | 59,148 GBP | 8,225 | |||||||||||||||||||||
Internap Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 258,326 USD | 8,590 | |||||||||||||||||||||
International Consolidated Airlines Group SA | 03/28/18 | M | 0.25% | Credit Suisse Securities (Europe) Limited | 141,345 GBP | 640 | |||||||||||||||||||||
International Game Technology PLC | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 195,912 USD | 20,349 | |||||||||||||||||||||
International Seaways, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 377,176 USD | 29,077 | |||||||||||||||||||||
International Speedway Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 265,398 USD | 3,738 | |||||||||||||||||||||
Intersect ENT, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 233,098 USD | 6,539 | |||||||||||||||||||||
Intesa Sanpaolo | 04/04/18 | M | 0.40% | Credit Suisse Securities (Europe) Limited | 78,034 EUR | 2,469 | |||||||||||||||||||||
Intevac, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 128,163 USD | 590 | |||||||||||||||||||||
INTL FCStone, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 19,385 USD | 1,346 | |||||||||||||||||||||
Intrepid Potash, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 263,443 USD | 33,356 | |||||||||||||||||||||
Invacare Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 621,176 USD | 5,328 | |||||||||||||||||||||
Invesco Mortgage Capital, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 69,975 USD | 994 | |||||||||||||||||||||
Investment Technology Group | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 17,392 USD | 1,737 | |||||||||||||||||||||
Investor AB | 03/28/18 | M | 0.51% | Credit Suisse Securities (Europe) Limited | 824,112 SEK | 6,051 |
See Notes to Consolidated Financial Statements.
160
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2017 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Investors Real Estate Trust | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 3,927 USD | $ | 161 | ||||||||||||||||||||
IPG Photonics Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 119,503 USD | 2,637 | |||||||||||||||||||||
Ipsen | 03/28/18 | M | 0.40% | Credit Suisse Securities (Europe) Limited | 205,109 EUR | 3,721 | |||||||||||||||||||||
Iren SpA | 04/04/18 | M | 0.40% | Credit Suisse Securities (Europe) Limited | 196,164 EUR | (2,025 | ) | ||||||||||||||||||||
Iron Mountain, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 32,764 USD | (982 | ) | ||||||||||||||||||||
Iteris, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 86,450 USD | 7,521 | |||||||||||||||||||||
Itron, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 342,378 USD | 21,869 | |||||||||||||||||||||
ITT, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 36,916 USD | 1,820 | |||||||||||||||||||||
IXYS Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 121,256 USD | 3,690 | |||||||||||||||||||||
J & J Snack Foods Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 263,259 USD | 6,825 | |||||||||||||||||||||
J. Alexander’s Holdings, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 13,078 USD | 2,246 | |||||||||||||||||||||
J. Jill, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 237,568 USD | 3,069 | |||||||||||||||||||||
J2 Global, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 364,452 USD | (1,331 | ) | ||||||||||||||||||||
Jabil, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 108,564 USD | (7,669 | ) | ||||||||||||||||||||
Jack Henry & Associates, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 473,079 USD | 5,100 | |||||||||||||||||||||
Jack in the Box, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 369,834 USD | 20,622 | |||||||||||||||||||||
Jeld Wen Holding, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 70,190 USD | 5,113 | |||||||||||||||||||||
Jimmy Choo PLC | 07/30/18 | M | 0.60% | Deutsche Bank AG | 542,260 GBP | 3,060 | |||||||||||||||||||||
Jimmy Choo PLC | 02/14/19 | M | 0.25% | Credit Suisse Securities (Europe) Limited | 31,748 GBP | 149 | |||||||||||||||||||||
John B. Sanfilippo & Son, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 758,515 USD | 38,234 | |||||||||||||||||||||
John Wiley & Sons, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 754,817 USD | (7,636 | ) | ||||||||||||||||||||
Johnson & Johnson | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 162,157 USD | (945 | ) | ||||||||||||||||||||
Johnson Outdoors, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 592,079 USD | 67,880 | |||||||||||||||||||||
Juniper Networks, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 341,751 USD | 892 | |||||||||||||||||||||
Jupiter Fund Management | 03/28/18 | M | 0.25% | Credit Suisse Securities (Europe) Limited | 77,304 GBP | 2,993 | |||||||||||||||||||||
Just Group PLC | 03/28/18 | M | 0.25% | Credit Suisse Securities (Europe) Limited | 65,814 GBP | (1,476 | ) |
See Notes to Consolidated Financial Statements.
161
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2017 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
K12, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 65,069 USD | $ | 404 | ||||||||||||||||||||
K2M Group Holdings, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 430,762 USD | 11,021 | |||||||||||||||||||||
Kadant, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 351,992 USD | 25,060 | |||||||||||||||||||||
Kaiser Aluminum Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 13,898 USD | 129 | |||||||||||||||||||||
Kaman Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 665,868 USD | 52,579 | |||||||||||||||||||||
Kapstone Paper and Packaging | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 185,602 USD | (11,061 | ) | ||||||||||||||||||||
KAR Auction Services, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 782,111 USD | 26,509 | |||||||||||||||||||||
KAZ Minerals PLC | 03/28/18 | M | 0.25% | Credit Suisse Securities (Europe) Limited | 316,209 GBP | 27,723 | |||||||||||||||||||||
KB Home | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 349,593 USD | 48,339 | |||||||||||||||||||||
Kearny Financial Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 139,682 USD | 5,682 | |||||||||||||||||||||
Kelly Services, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 562,204 USD | 56,240 | |||||||||||||||||||||
Kemet Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 44,275 USD | 2,084 | |||||||||||||||||||||
Kennametal, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 104,973 USD | 7,213 | |||||||||||||||||||||
Kennedy Wilson Europe Real Estate | 07/30/18 | M | 0.60% | Deutsche Bank AG | 101,149 GBP | (2,082 | ) | ||||||||||||||||||||
Kering | 03/28/18 | M | 0.40% | Credit Suisse Securities (Europe) Limited | 556,555 EUR | 13,443 | |||||||||||||||||||||
Keryx Biopharmaceuticals | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 272,573 USD | (3,412 | ) | ||||||||||||||||||||
Key Energy Services, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 321,654 USD | 29,537 | |||||||||||||||||||||
Keywords Studios | 03/28/18 | M | 0.25% | Credit Suisse Securities (Europe) Limited | 159,996 GBP | 7,200 | |||||||||||||||||||||
Kforce, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 245,972 USD | 24,991 | |||||||||||||||||||||
Kilroy Realty Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 159,438 USD | 4,067 | |||||||||||||||||||||
Kimball Electronics, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 200,344 USD | 5,418 | |||||||||||||||||||||
Kimball International | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 271,280 USD | 30,706 | |||||||||||||||||||||
Kinder Morgan, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 19,186 USD | (178 | ) | ||||||||||||||||||||
Kindred Biosciences, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 43,645 USD | 2,654 | |||||||||||||||||||||
Kindred Healthcare, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 811,007 USD | (13,108 | ) |
See Notes to Consolidated Financial Statements.
162
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2017 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Kinsale Capital Group, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 161,017 USD | $ | 8,771 | ||||||||||||||||||||
Kion Group AG | 03/28/18 | M | 0.40% | Credit Suisse Securities (Europe) Limited | 289,778 EUR | 9,968 | |||||||||||||||||||||
Kirby Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 214,128 USD | 935 | |||||||||||||||||||||
Kirkland’s, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 131,363 USD | 5,888 | |||||||||||||||||||||
Kite Pharma, Inc. | 08/06/18 | M | 1.50% | Deutsche Bank AG | 4,275,159 USD | 27,874 | |||||||||||||||||||||
KLX, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 113,851 USD | 6,458 | |||||||||||||||||||||
KMG Chemicals, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 338,571 USD | 41,637 | |||||||||||||||||||||
Knoll, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 297,136 USD | 24,324 | |||||||||||||||||||||
Knowles Corp. | �� | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 227,592 USD | 1,046 | ||||||||||||||||||||
Konecranes Oyj | 03/28/18 | M | 0.40% | Credit Suisse Securities (Europe) Limited | 88,800 EUR | 1,588 | |||||||||||||||||||||
Koninklijke Kpn Nv | 03/28/18 | M | 0.40% | Credit Suisse Securities (Europe) Limited | 7,826,489 EUR | (94,550 | ) | ||||||||||||||||||||
Koninklijke Kpn Nv | 03/13/18 | M | 0.07% | JPMorgan Chase Bank, N.A. | 5,870,000 EUR | (70,914 | ) | ||||||||||||||||||||
Koninklijke Philips Nv | 03/28/18 | M | 0.40% | Credit Suisse Securities (Europe) Limited | 1,284,146 EUR | 16,249 | |||||||||||||||||||||
Kopin Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 190,025 USD | 6,115 | |||||||||||||||||||||
Korn/Ferry International | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 511,222 USD | 34,135 | |||||||||||||||||||||
Kronos Worldwide, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 318,289 USD | 15,805 | |||||||||||||||||||||
KVH Industries, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 65,553 USD | 2,120 | |||||||||||||||||||||
L.B. Foster Co. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 235,095 USD | 33,332 | |||||||||||||||||||||
La-Z-Boy, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 208,090 USD | 11,736 | |||||||||||||||||||||
Laboratory Corporation of America Holdings | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 44,003 USD | 533 | |||||||||||||||||||||
Ladder Capital Corp. REIT | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 40,599 USD | 659 | |||||||||||||||||||||
Lakeland Bancorp, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 50,493 USD | 5,036 | |||||||||||||||||||||
Lakeland Financial Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 265,827 USD | 20,208 | |||||||||||||||||||||
Lamar Advertising Co. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 88,942 USD | 4,876 | |||||||||||||||||||||
Landauer, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 1,044,456 USD | (4,873 | ) |
See Notes to Consolidated Financial Statements.
163
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2017 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Landec Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 65,585 USD | $ | (252 | ) | |||||||||||||||||||
Landstar System, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 92,746 USD | 29 | |||||||||||||||||||||
Lannett Co., Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 77,829 USD | 5,823 | |||||||||||||||||||||
Lantheus Holdings, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 279,373 USD | 10,588 | |||||||||||||||||||||
Lattice Semiconductor Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 68,119 USD | (3,119 | ) | ||||||||||||||||||||
Lawson Products, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 63,375 USD | 4,287 | |||||||||||||||||||||
Layne Christensen Company | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 220,978 USD | 4,546 | |||||||||||||||||||||
Leaf Group Ltd. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 26,508 USD | 1,293 | |||||||||||||||||||||
LegacyTexas Financial Group | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 74,360 USD | 4,003 | |||||||||||||||||||||
Leggett & Platt, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 474,769 USD | 18,568 | |||||||||||||||||||||
Legrand SA | 03/28/18 | M | 0.40% | Credit Suisse Securities (Europe) Limited | 4,008,364 EUR | 156,234 | |||||||||||||||||||||
Leidos Holdings, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 144,351 USD | 4,113 | |||||||||||||||||||||
Lemaitre Vascular, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 553,755 USD | (14,645 | ) | ||||||||||||||||||||
Lennar Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 66,384 USD | 2,256 | |||||||||||||||||||||
Lennox International, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 503,172 USD | 32,485 | |||||||||||||||||||||
Letras del Banco Central de Argentina | 06/21/18 | 3M | 1.25% | J.P. Morgan Securities LLC | 38,925,596 ARS | (9,634 | ) | ||||||||||||||||||||
Level Communications, Inc. | 08/06/18 | M | 1.50% | Deutsche Bank AG | 7,965,539 USD | (805,335 | ) | ||||||||||||||||||||
Lexicon Pharmaceuticals, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 58,213 USD | (376 | ) | ||||||||||||||||||||
LHC Group, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 740,829 USD | 52,553 | |||||||||||||||||||||
Liberty Global PLC | 03/16/18 | M | 1.23% | Credit Suisse Securities (Europe) Limited | 2,206 USD | 66 | |||||||||||||||||||||
Liberty Property Trust | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 114,142 USD | (2,705 | ) | ||||||||||||||||||||
Liberty Tax, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 173,719 USD | 1,256 |
See Notes to Consolidated Financial Statements.
164
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2017 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Lifepoint Health, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 856,428 USD | $ | 15,373 | ||||||||||||||||||||
Lifetime Brands, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 58,447 USD | 1,962 | |||||||||||||||||||||
Ligand Pharmaceuticals | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 433,069 USD | 3,291 | |||||||||||||||||||||
Limelight Networks, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 183,740 USD | 16,626 | |||||||||||||||||||||
Limoneira Co. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 121,187 USD | 2,518 | |||||||||||||||||||||
Lindsay Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 85,151 USD | 2,705 | |||||||||||||||||||||
Liquidity Services, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 149,549 USD | 1,662 | |||||||||||||||||||||
Littelfuse, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 279,292 USD | 15,899 | |||||||||||||||||||||
Livanova PLC | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 746,680 USD | 15,433 | |||||||||||||||||||||
Live Oak Bancshares, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 163,357 USD | 14,816 | |||||||||||||||||||||
Liveperson, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 278,356 USD | (1,245 | ) | ||||||||||||||||||||
Lloyds Banking Group PLC | 02/21/18 | M | 0.55% | JPMorgan Chase Bank, N.A. | 6,532,000 GBP | 322,940 | |||||||||||||||||||||
Lloyds Banking Group PLC | 03/28/18 | M | 0.25% | Credit Suisse Securities (Europe) Limited | 5,590,536 GBP | 271,407 | |||||||||||||||||||||
Lockheed Martin Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 149,733 USD | 447 | |||||||||||||||||||||
Logitech International REG | 03/28/18 | M | 0.79% | Credit Suisse Securities (Europe) Limited | 151,336 CHF | (1,273 | ) | ||||||||||||||||||||
London Stock Exchange Group | 03/28/18 | M | 0.25% | Credit Suisse Securities (Europe) Limited | 288,566 GBP | 1,419 | |||||||||||||||||||||
Lonza Group AG REG | 03/28/18 | M | 0.79% | Credit Suisse Securities (Europe) Limited | 351,025 CHF | 1,577 | |||||||||||||||||||||
Louisiana Pacific Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 65,056 USD | (64 | ) | ||||||||||||||||||||
LPL Financial Holdings, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 119,506 USD | 11,327 | |||||||||||||||||||||
LSB Industries, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 50,876 USD | (1,894 | ) | ||||||||||||||||||||
LSI Industries, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 167,413 USD | 1,307 | |||||||||||||||||||||
LTC Properties, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 106,982 USD | (1,277 | ) | ||||||||||||||||||||
Luminex Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 600,608 USD | 17,018 | |||||||||||||||||||||
Lumos Networks Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 225,859 USD | (67 | ) | ||||||||||||||||||||
M&T Bank Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 113,957 USD | 59 |
See Notes to Consolidated Financial Statements.
165
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2017 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
M/I Homes, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 516,367 USD | $ | 35,154 | ||||||||||||||||||||
Macatawa Bank Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 6,777 USD | 436 | |||||||||||||||||||||
Macquarie Infrastructure Co. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 628,978 USD | (9,312 | ) | ||||||||||||||||||||
Madison Square Garden Co. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 97,200 USD | (212 | ) | ||||||||||||||||||||
Magellan Health, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 571,480 USD | 15,187 | |||||||||||||||||||||
MainSource Financial Group | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 140,636 USD | 8,792 | |||||||||||||||||||||
MainSource Financial Group | 08/06/18 | M | 1.50% | Deutsche Bank AG | 1,109,746 USD | 23,430 | |||||||||||||||||||||
Maire Tecnimont SpA | 04/04/18 | M | 0.40% | Credit Suisse Securities (Europe) Limited | 406,932 EUR | (12,214 | ) | ||||||||||||||||||||
Malibu Boats, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 66,398 USD | 8,652 | |||||||||||||||||||||
MallInckrodt PLC | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 12,531 USD | 735 | |||||||||||||||||||||
Man Group PLC | 03/28/18 | M | 0.25% | Credit Suisse Securities (Europe) Limited | 159,179 GBP | 5,740 | |||||||||||||||||||||
ManpowerGroup, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 350,963 USD | 5,561 | |||||||||||||||||||||
Mantech International Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 437,337 USD | 45,135 | |||||||||||||||||||||
Marathon Petroleum Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 66,223 USD | 456 | |||||||||||||||||||||
Marcus Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 62,711 USD | 2,716 | |||||||||||||||||||||
Marine Products Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 83,513 USD | 4,859 | |||||||||||||||||||||
Marlin Business Services, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 82,132 USD | 4,521 | |||||||||||||||||||||
Marriott Vacations World | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 49,200 USD | 3,476 | |||||||||||||||||||||
Marten Transport Ltd. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 66,687 USD | 7,190 | |||||||||||||||||||||
Masco Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 580,140 USD | 25,100 | |||||||||||||||||||||
Masimo Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 409,912 USD | 5,143 | |||||||||||||||||||||
Masonite International Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 28,210 USD | 1,546 | |||||||||||||||||||||
Materion Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 209,104 USD | 28,652 | |||||||||||||||||||||
Matson, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 31,953 USD | 2,680 |
See Notes to Consolidated Financial Statements.
166
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2017 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Matthews International Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 460,514 USD | $ | 15,574 | ||||||||||||||||||||
Maxim Integrated Products | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 94,800 USD | 1,431 | |||||||||||||||||||||
Maximus, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 85,756 USD | 481 | |||||||||||||||||||||
Maxwell Technologies, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 293,174 USD | (17,365 | ) | ||||||||||||||||||||
MB Financial, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 61,725 USD | 4,994 | |||||||||||||||||||||
MCBC Holdings, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 266,996 USD | 28,249 | |||||||||||||||||||||
Mcdermott International, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 17,822 USD | 1,691 | |||||||||||||||||||||
McGrath RentCorp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 530,935 USD | 33,484 | |||||||||||||||||||||
MDC Holdings, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 828,134 USD | 39,510 | |||||||||||||||||||||
MediciNova, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 33,403 USD | (292 | ) | ||||||||||||||||||||
Medidata Solutions, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 363,427 USD | 9,700 | |||||||||||||||||||||
Medifast, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 896,707 USD | 39,439 | |||||||||||||||||||||
MEDNAX, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 377,513 USD | 1,382 | |||||||||||||||||||||
Medpace Holdings, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 73,144 USD | 1,980 | |||||||||||||||||||||
Medtronic PLC | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 260,312 USD | (5,148 | ) | ||||||||||||||||||||
Mercantile Bank Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 61,705 USD | 7,362 | |||||||||||||||||||||
Merck & Co., Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 225,341 USD | (7,255 | ) | ||||||||||||||||||||
Meredith Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 564,300 USD | 17,395 | |||||||||||||||||||||
Meridian Bancorp, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 105,007 USD | 4,095 | |||||||||||||||||||||
Meridian Bioscience, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 539,090 USD | 7,027 | |||||||||||||||||||||
Merit Medical Systems, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 709,213 USD | 15,099 | |||||||||||||||||||||
Meritage Homes Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 145,589 USD | 13,274 | |||||||||||||||||||||
Meritor, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 38,589 USD | 5,862 | |||||||||||||||||||||
Mesa Laboratories, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 247,984 USD | 4,217 | |||||||||||||||||||||
Mettler Toledo International | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 192,587 USD | 270 |
See Notes to Consolidated Financial Statements.
167
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2017 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
MFA Financial, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 39,441 USD | $ | 181 | ||||||||||||||||||||
MGIC Investment Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 29,823 USD | 2,116 | |||||||||||||||||||||
MGP Ingredients, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 48,546 USD | 868 | |||||||||||||||||||||
Microsoft Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 93,742 USD | (1,076 | ) | ||||||||||||||||||||
Mid-America Apartment Communities | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 303,130 USD | 409 | |||||||||||||||||||||
Middlesex Water Co. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 234,888 USD | 1,007 | |||||||||||||||||||||
Midland States Bancorp, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 35,879 USD | 1,821 | |||||||||||||||||||||
Midstates Petroleum Co, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 348,755 USD | (7,590 | ) | ||||||||||||||||||||
Midwestone Financial Group, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 20,458 USD | (168 | ) | ||||||||||||||||||||
Miller Industries, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 189,706 USD | 14,021 | |||||||||||||||||||||
MiMedx Group, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 301,542 USD | (34,111 | ) | ||||||||||||||||||||
Mindbody, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 98,005 USD | 7,308 | |||||||||||||||||||||
Mitek Systems, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 204,286 USD | (5,308 | ) | ||||||||||||||||||||
Mobile Mini, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 343,222 USD | 26,633 | |||||||||||||||||||||
Model N, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 99,093 USD | 11,462 | |||||||||||||||||||||
Moelis & Co. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 174,811 USD | 11,467 | |||||||||||||||||||||
Molina Healthcare, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 40,035 USD | 2,046 | |||||||||||||||||||||
Momenta Pharmaceuticals, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 1,461 USD | 75 | |||||||||||||||||||||
Monarch Casino & Resort, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 130,633 USD | 15,944 | |||||||||||||||||||||
Moncler SpA | 04/04/18 | M | 0.40% | Credit Suisse Securities (Europe) Limited | 244,631 EUR | (6,368 | ) | ||||||||||||||||||||
Moneygram International, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 174,244 USD | 2,080 | |||||||||||||||||||||
Monmouth Real Estate Investment Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 44,618 USD | 277 | |||||||||||||||||||||
Monolithic Power Systems, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 90,510 USD | 697 | |||||||||||||||||||||
Monotype Imaging Holdings, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 369,973 USD | (1,278 | ) |
See Notes to Consolidated Financial Statements.
168
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2017 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Monsanto Co. | 03/16/18 | M | 1.23% | Credit Suisse Securities (Europe) Limited | 5,507,243 USD | $ | 72,176 | ||||||||||||||||||||
Monsanto Co. | 08/06/18 | M | 1.50% | Deutsche Bank AG | 7,963,029 USD | 132,849 | |||||||||||||||||||||
Moody’s Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 399,485 USD | 5,755 | |||||||||||||||||||||
MOOG, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 40,300 USD | 81 | |||||||||||||||||||||
Morningstar, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 310,221 USD | 8,746 | |||||||||||||||||||||
Mosaic Co. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 150,632 USD | 6,781 | |||||||||||||||||||||
Motorola Solutions, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 1,245,390 USD | (4,930 | ) | ||||||||||||||||||||
Movado Group, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 345,383 USD | 8,313 | |||||||||||||||||||||
MSA Safety, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 156,042 USD | 4,966 | |||||||||||||||||||||
MSC Industrial Direct Co. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 26,725 USD | 707 | |||||||||||||||||||||
MSCI, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 170,703 USD | 2,309 | |||||||||||||||||||||
MTGE Investment Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 23,899 USD | 312 | |||||||||||||||||||||
MTS Systems Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 185,595 USD | 10,406 | |||||||||||||||||||||
MuleSoft, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 339,864 USD | (8,521 | ) | ||||||||||||||||||||
Multi Color Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 387,754 USD | 2,492 | |||||||||||||||||||||
Murphy Oil Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 358,272 USD | 15,773 | |||||||||||||||||||||
Myers Industries, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 300,457 USD | 30,302 | |||||||||||||||||||||
Myriad Genetics, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 34,894 USD | 164 | |||||||||||||||||||||
N Brown Group PLC | 03/28/18 | M | 0.25% | Credit Suisse Securities (Europe) Limited | 136,651 GBP | (2,812 | ) | ||||||||||||||||||||
Nabors Industries Ltd. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 318,097 USD | 26,936 | |||||||||||||||||||||
Nacco Industries | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 157,184 USD | 18,534 | |||||||||||||||||||||
Nanometrics, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 107,677 USD | 8,906 | |||||||||||||||||||||
Nanostring Technologies, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 10,255 USD | 201 | |||||||||||||||||||||
NantKwest, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 43,022 USD | (387 | ) | ||||||||||||||||||||
Napco Security Technologies, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 64,296 USD | 4,040 |
See Notes to Consolidated Financial Statements.
169
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2017 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Nasdaq, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 468,895 USD | $ | 7,540 | ||||||||||||||||||||
Natera, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 198,204 USD | (729 | ) | ||||||||||||||||||||
Nathan’s Famous, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 112,757 USD | 5,267 | |||||||||||||||||||||
National Bank Holdings Corp | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 293,139 USD | 30,356 | |||||||||||||||||||||
National CineMedia, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 81,114 USD | 1,299 | |||||||||||||||||||||
National Commerce Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 167,066 USD | 9,613 | |||||||||||||||||||||
National Health Investors, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 271,963 USD | (5,080 | ) | ||||||||||||||||||||
National Healthcare Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 535,971 USD | (3,313 | ) | ||||||||||||||||||||
National Instruments Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 1,178,057 USD | 42,849 | |||||||||||||||||||||
National Oilwell Varco, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 240,516 USD | 8,380 | |||||||||||||||||||||
National Presto Industries, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 429,347 USD | 27,430 | |||||||||||||||||||||
National Research Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 248,539 USD | 16,228 | |||||||||||||||||||||
National Western Life Group | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 89,780 USD | 3,752 | |||||||||||||||||||||
Nationstar Mortgage Holdings, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 52,787 USD | 3,647 | |||||||||||||||||||||
Natural Gas Services Group | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 137,249 USD | 19,889 | |||||||||||||||||||||
Natural Grocers by Vitamin C | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 133,992 USD | (240 | ) | ||||||||||||||||||||
Natural Health Trends Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 209,204 USD | 18,420 | |||||||||||||||||||||
Natures Sunshine Products, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 29,029 USD | (1,147 | ) | ||||||||||||||||||||
Natus Medical, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 90,494 USD | 6,743 | |||||||||||||||||||||
Nautilus, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 15,095 USD | (3 | ) | ||||||||||||||||||||
Navigant Consulting, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 99,183 USD | 5,924 | |||||||||||||||||||||
NBT Bancorp, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 139,823 USD | 10,215 | |||||||||||||||||||||
Neenah Paper, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 907,494 USD | 44,335 | |||||||||||||||||||||
Neff Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 10,671 USD | (21 | ) | ||||||||||||||||||||
Nelnet, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 106,025 USD | 3,307 |
See Notes to Consolidated Financial Statements.
170
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2017 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Neogen Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 658,669 USD | $ | 39,090 | ||||||||||||||||||||
Neogenomics, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 340,452 USD | 12,313 | |||||||||||||||||||||
Neophotonics Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 61,129 USD | (2,649 | ) | ||||||||||||||||||||
Neopost SA | 03/28/18 | M | 0.40% | Credit Suisse Securities (Europe) Limited | 88,519 EUR | 32 | |||||||||||||||||||||
Neos Therapeutics, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 38,796 USD | (211 | ) | ||||||||||||||||||||
NetApp, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 214,328 USD | 11,080 | |||||||||||||||||||||
Netgear, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 142,897 USD | 1,569 | |||||||||||||||||||||
NetScout Systems, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 566,998 USD | (6,825 | ) | ||||||||||||||||||||
New Home Co, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 119,809 USD | 12,415 | |||||||||||||||||||||
New Media Investment Group | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 702,864 USD | 40,407 | |||||||||||||||||||||
New Relic, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 64,573 USD | 1,711 | |||||||||||||||||||||
New Senior Investment Group | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 9,151 USD | (148 | ) | ||||||||||||||||||||
New York Times Co. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 135,683 USD | 2,614 | |||||||||||||||||||||
Newmarket Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 232,837 USD | 1,325 | |||||||||||||||||||||
Newpark Resources, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 66,966 USD | 3,524 | |||||||||||||||||||||
News Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 176,711 USD | 2,193 | |||||||||||||||||||||
NEX Group PLC | 03/28/18 | M | 0.25% | Credit Suisse Securities (Europe) Limited | 206,769 GBP | 10,423 | |||||||||||||||||||||
Nexeo Solutions, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 66,770 USD | 477 | |||||||||||||||||||||
Nexpoint Residential Trust, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 91,493 USD | 983 | |||||||||||||||||||||
Nicolet Bankshares, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 214,952 USD | 2,512 | |||||||||||||||||||||
NMC Health PLC | 03/28/18 | M | 0.25% | Credit Suisse Securities (Europe) Limited | 537,978 GBP | (8,801 | ) | ||||||||||||||||||||
NMI Holdings, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 69,201 USD | 6,402 | |||||||||||||||||||||
NN, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 97,995 USD | 4,230 | |||||||||||||||||||||
Noble Corp. PLC | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 438,067 USD | 70,799 |
See Notes to Consolidated Financial Statements.
171
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2017 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Nokia Oyj | 01/10/18 | M | 0.07% | JPMorgan Chase Bank, N.A. | 13,000,000 EUR | $ | (354,570 | ) | |||||||||||||||||||
Nokia Oyj | 03/28/18 | M | 0.40% | Credit Suisse Securities (Europe) Limited | 4,847,107 EUR | (132,203 | ) | ||||||||||||||||||||
Nordea Bank AB | 10/10/18 | M | 0.21% | JPMorgan Chase Bank, N.A. | 51,200,000 SEK | 491,105 | |||||||||||||||||||||
Nordea Bank AB | 03/28/18 | M | 0.52% | Credit Suisse Securities (Europe) Limited | 43,775,345 SEK | 414,716 | |||||||||||||||||||||
Nordic American Tankers Ltd. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 692,726 USD | 9,393 | |||||||||||||||||||||
Norsk Hydro ASA | 03/28/18 | M | 0.68% | Credit Suisse Securities (Europe) Limited | 932,075 NOK | 814 | |||||||||||||||||||||
Northfield Bancorp, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 121,440 USD | 10,246 | |||||||||||||||||||||
Northrim Bancorp, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 4,011 USD | 533 | |||||||||||||||||||||
Northrop Grumman Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 259,085 USD | 1,590 | |||||||||||||||||||||
Northstar Realty Europe Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 3,190 USD | 63 | |||||||||||||||||||||
Northwest Bancshares, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 87,869 USD | 5,631 | |||||||||||||||||||||
Northwest Natural Gas Co. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 6,991 USD | (100 | ) | ||||||||||||||||||||
Northwest Pipe Co. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 142,681 USD | 12,446 | |||||||||||||||||||||
Norwood Financial Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 3,023 USD | 181 | |||||||||||||||||||||
Novanta, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 330,626 USD | 6,969 | |||||||||||||||||||||
Novelion Therapeutics, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 154,070 USD | (858 | ) | ||||||||||||||||||||
NRG Yield, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 183,961 USD | 2,457 | |||||||||||||||||||||
NU Skin Enterprises, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 403,392 USD | (2,173 | ) | ||||||||||||||||||||
NuVasive, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 469,176 USD | (18,563 | ) | ||||||||||||||||||||
NV5 Global, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 48,544 USD | (179 | ) | ||||||||||||||||||||
NVE Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 203,416 USD | 13,672 | |||||||||||||||||||||
NXP SemiConductors NV | 08/06/18 | M | 1.50% | Deutsche Bank AG | 7,994,782 USD | 284,876 | |||||||||||||||||||||
NXStage Medical, Inc. | 08/06/18 | M | 1.50% | Deutsche Bank AG | 4,217,020 USD | (247,754 | ) | ||||||||||||||||||||
NxStage Medical, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 116,435 USD | (184 | ) |
See Notes to Consolidated Financial Statements.
172
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2017 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
OC OERLIKON CORP AG REG | 03/28/18 | M | 0.79% | Credit Suisse Securities (Europe) Limited | 360,340 CHF | $ | 11,588 | ||||||||||||||||||||
Oceaneering International, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 575,224 USD | 9,599 | |||||||||||||||||||||
OceanFirst Financial Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 206,295 USD | 22,284 | |||||||||||||||||||||
Office Depot, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 185,302 USD | 2,482 | |||||||||||||||||||||
Oil-Dri Corp. of America | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 41,568 USD | 5,014 | |||||||||||||||||||||
Okta, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 5,438 USD | (78 | ) | ||||||||||||||||||||
Old Dominion Freight Line | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 298,482 USD | (194 | ) | ||||||||||||||||||||
Old Line Bancshares, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 46,159 USD | 1,105 | |||||||||||||||||||||
Olin Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 162,516 USD | 9,865 | |||||||||||||||||||||
Olympic Steel, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 188,052 USD | 25,876 | |||||||||||||||||||||
OM Asset Management PLC | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 14,444 USD | 1,252 | |||||||||||||||||||||
Omega Flex, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 100,665 USD | 8,675 | |||||||||||||||||||||
Omega Protein Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 87,834 USD | 694 | |||||||||||||||||||||
Omnicell Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 736,700 USD | 26,548 | |||||||||||||||||||||
OmniCom Group | 03/16/18 | M | 1.23% | Credit Suisse Securities (Europe) Limited | 374,184 USD | 5,277 | |||||||||||||||||||||
OMV AG | 03/28/18 | M | 0.40% | Credit Suisse Securities (Europe) Limited | 387,180 EUR | 21,430 | |||||||||||||||||||||
On Assignment, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 157,276 USD | 6,985 | |||||||||||||||||||||
One Gas Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 69,838 USD | (395 | ) | ||||||||||||||||||||
One Liberty Properties, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 64,096 USD | 799 | |||||||||||||||||||||
Oneok, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 155,018 USD | 463 | |||||||||||||||||||||
Ooma, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 31,037 USD | 2,038 | |||||||||||||||||||||
Oppenheimer Holdings | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 2,673 USD | 190 | |||||||||||||||||||||
Orange | 02/21/18 | M | 0.07% | JPMorgan Chase Bank, N.A. | 6,947,500 EUR | (20,683 | ) | ||||||||||||||||||||
Orange | 03/28/18 | M | 0.40% | Credit Suisse Securities (Europe) Limited | 8,995,839 EUR | (55,867 | ) | ||||||||||||||||||||
Orasure Technologies, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 232,812 USD | 5,508 |
See Notes to Consolidated Financial Statements.
173
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2017 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Orbital ATK, Inc. | 08/06/18 | M | 1.50% | Deutsche Bank AG | 7,987,032 USD | $ | 44,913 | ||||||||||||||||||||
Orion Group Holdings, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 107,465 USD | 9,835 | |||||||||||||||||||||
Orion Oyj | 03/28/18 | M | 0.40% | Credit Suisse Securities (Europe) Limited | 156,357 EUR | (3,555 | ) | ||||||||||||||||||||
Oritani Financial Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 168,080 USD | 8,404 | |||||||||||||||||||||
Orpea | 03/28/18 | M | 0.40% | Credit Suisse Securities (Europe) Limited | 77,621 EUR | (3,395 | ) | ||||||||||||||||||||
Orthofix International NV | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 887,846 USD | (22,462 | ) | ||||||||||||||||||||
OSI Systems, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 229,804 USD | 19,362 | |||||||||||||||||||||
Otter Tail Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 174,666 USD | 1,422 | |||||||||||||||||||||
Overstock.Com, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 128,179 USD | 21,391 | |||||||||||||||||||||
Owens & Minor, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 1,085,082 USD | 20,284 | |||||||||||||||||||||
Owens Corning | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 306,575 USD | 9,400 | |||||||||||||||||||||
Oxford Immunotec Global PLC | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 362,816 USD | 24,525 | |||||||||||||||||||||
Oxford Industries, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 322,230 USD | 18,535 | |||||||||||||||||||||
Pacific Premier Bancorp, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 6,150 USD | 570 | |||||||||||||||||||||
Packaging Corporation of America | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 218,832 USD | 895 | |||||||||||||||||||||
Pagegroup PLC | 03/28/18 | M | 0.25% | Credit Suisse Securities (Europe) Limited | 84,402 GBP | 1,823 | |||||||||||||||||||||
Par Pacific Holdings, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 21,378 USD | (266 | ) | ||||||||||||||||||||
Paragon Commercial Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 9,410 USD | 752 | |||||||||||||||||||||
Park City Group, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 50,812 USD | 4,058 | |||||||||||||||||||||
Park Electrochemical Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 179,325 USD | 1,568 | |||||||||||||||||||||
Park Ohio Holdings Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 169,747 USD | 21,089 | |||||||||||||||||||||
Park Sterling Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 34,004 USD | 2,784 | |||||||||||||||||||||
Partners Holdings Group AG | 03/28/18 | M | 0.79% | Credit Suisse Securities (Europe) Limited | 436,204 CHF | 2,759 | |||||||||||||||||||||
Pattern Energy Group, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 265,078 USD | (22,174 | ) | ||||||||||||||||||||
Patterson Cos, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 699,443 USD | 2,480 |
See Notes to Consolidated Financial Statements.
174
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2017 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Paychex, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 149,862 USD | $ | 218 | ||||||||||||||||||||
PayCom Software Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 21,429 USD | 160 | |||||||||||||||||||||
PBF Energy, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 379,050 USD | 29,936 | |||||||||||||||||||||
PC Connection, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 261,211 USD | 19,703 | |||||||||||||||||||||
PCM, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 146,479 USD | 9,537 | |||||||||||||||||||||
PDL Biopharma, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 597,525 USD | 18,811 | |||||||||||||||||||||
Peab AB | 03/28/18 | M | 0.51% | Credit Suisse Securities (Europe) Limited | 801,166 SEK | 3,689 | |||||||||||||||||||||
Peapack Gladstone Financial Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 183,250 USD | 9,844 | |||||||||||||||||||||
Pegasystems, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 337,813 USD | 6,703 | |||||||||||||||||||||
PennyMac Mortgage Investment Trust | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 11,889 USD | 301 | |||||||||||||||||||||
Penske Automotive Group, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 160,895 USD | 10,167 | |||||||||||||||||||||
Penumbra, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 127,727 USD | 1,943 | |||||||||||||||||||||
People’s Utah Bancorp | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 32,338 USD | 2,935 | |||||||||||||||||||||
Peoples Bancorp, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 198,343 USD | 8,269 | |||||||||||||||||||||
PepsiCo, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 477,219 USD | (1,079 | ) | ||||||||||||||||||||
Perficient, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 215,212 USD | 14,711 | |||||||||||||||||||||
Perkinelmer, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 372,229 USD | (480 | ) | ||||||||||||||||||||
Perry Ellis International, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 400,061 USD | 22,341 | |||||||||||||||||||||
Persimmon PLC | 03/28/18 | M | 0.25% | Credit Suisse Securities (Europe) Limited | 258,933 GBP | 20,192 | |||||||||||||||||||||
PetMed Express, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 626,292 USD | (39,305 | ) | ||||||||||||||||||||
Pfeiffer Vacuum Technology | 03/28/18 | M | 0.40% | Credit Suisse Securities (Europe) Limited | 300,394 EUR | 1,604 | |||||||||||||||||||||
Pfizer, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 174,466 USD | 1,678 | |||||||||||||||||||||
Pharmerica Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 249,488 USD | 1,788 | |||||||||||||||||||||
PHI, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 84,346 USD | (2,179 | ) |
See Notes to Consolidated Financial Statements.
175
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2017 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Phibro Animal Health Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 761,654 USD | $ | 26,955 | ||||||||||||||||||||
Philip Morris International | 03/16/18 | M | 1.23% | Credit Suisse Securities (Europe) Limited | 12,560,436 USD | (518,515 | ) | ||||||||||||||||||||
Philip Morris International | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 149,356 USD | (5,931 | ) | ||||||||||||||||||||
Phillips 66 | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 113,936 USD | (65 | ) | ||||||||||||||||||||
Photronics, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 88,880 USD | 9,443 | |||||||||||||||||||||
Piaggio & C. S.P.A. | 04/04/18 | M | 0.40% | Credit Suisse Securities (Europe) Limited | 148,082 EUR | 13,979 | |||||||||||||||||||||
PICO Holdings, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 204,637 USD | 1,842 | |||||||||||||||||||||
Piedmont Office Realty Trust | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 12,623 USD | (124 | ) | ||||||||||||||||||||
Pier 1 Imports, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 593,120 USD | (97,187 | ) | ||||||||||||||||||||
Pinnacle Entertainment, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 162,066 USD | 15,681 | |||||||||||||||||||||
Piper Jaffray Cos. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 36,972 USD | 2,852 | |||||||||||||||||||||
Pitney Bowes, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 202,529 USD | 13,519 | |||||||||||||||||||||
Pixelworks, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 237,492 USD | (2,849 | ) | ||||||||||||||||||||
PJT Partners, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 193,157 USD | 4,753 | |||||||||||||||||||||
Planet Payment, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 236,241 USD | (3,556 | ) | ||||||||||||||||||||
Plantronics, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 326,062 USD | 6,162 | |||||||||||||||||||||
Platform Specialty Products | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 136,989 USD | (368 | ) | ||||||||||||||||||||
Playtech Ltd. | 03/28/18 | M | 0.25% | Credit Suisse Securities (Europe) Limited | 2,280,977 GBP | (44,273 | ) | ||||||||||||||||||||
Playtech Ltd. | 04/18/18 | M | 0.55% | JPMorgan Chase Bank, N.A. | 13,980,000 GBP | (271,350 | ) | ||||||||||||||||||||
Plexus Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 567,946 USD | 36,541 | |||||||||||||||||||||
PNM Resources, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 47,574 USD | (2,277 | ) | ||||||||||||||||||||
PolyOne Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 134,878 USD | 9,911 | |||||||||||||||||||||
Potbelly Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 112,601 USD | 8,287 | |||||||||||||||||||||
Powell Industries, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 228,496 USD | 8,095 | |||||||||||||||||||||
PRA Health Sciences, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 598,153 USD | 14,787 |
See Notes to Consolidated Financial Statements.
176
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2017 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Preferred Apartment Communities | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 23,267 USD | $ | (253 | ) | |||||||||||||||||||
Preferred Bank/Los Angeles | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 161,926 USD | 25,461 | |||||||||||||||||||||
Preformed Line Products Co. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 78,507 USD | (641 | ) | ||||||||||||||||||||
Premier Financial Bancorp | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 16,353 USD | 2,081 | |||||||||||||||||||||
Premier, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 505,700 USD | (377 | ) | ||||||||||||||||||||
Prestige Brands Holdings, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 595,543 USD | (12,295 | ) | ||||||||||||||||||||
PriceSmart, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 86,532 USD | 130 | |||||||||||||||||||||
Primoris Services Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 114,986 USD | 2,017 | |||||||||||||||||||||
Procter & Gamble Co. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 302,943 USD | 203 | |||||||||||||||||||||
Progress Software Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 486,887 USD | 9,934 | |||||||||||||||||||||
Prologis, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 141,573 USD | 387 | |||||||||||||||||||||
PROS Holdings, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 324,809 USD | 391 | |||||||||||||||||||||
Providence Service Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 588,057 USD | 20,181 | |||||||||||||||||||||
Provident Financial Holdings | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 18,388 USD | (121 | ) | ||||||||||||||||||||
Provident Financial Services | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 334,307 USD | 23,764 | |||||||||||||||||||||
Prudential Financial, Inc. | 03/16/18 | M | 1.23% | Credit Suisse Securities (Europe) Limited | 548,845 USD | 18,904 | |||||||||||||||||||||
Prudential PLC | 03/13/18 | M | 0.55% | JPMorgan Chase Bank, N.A. | 10,446,000 GBP | 365,820 | |||||||||||||||||||||
Prudential PLC | 03/28/18 | M | 0.25% | Credit Suisse Securities (Europe) Limited | 5,124,153 GBP | 179,415 | |||||||||||||||||||||
PS Business Parks, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 419,040 USD | (4,656 | ) | ||||||||||||||||||||
PTC Therapeutics, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 215,228 USD | 11,305 | |||||||||||||||||||||
Publicis Groupe | 03/28/18 | M | 0.40% | Credit Suisse Securities (Europe) Limited | 11,101,196 EUR | 383,953 | |||||||||||||||||||||
PulteGroup, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 260,182 USD | 10,003 | |||||||||||||||||||||
PurpleBricks Group PLC | 03/28/18 | M | 0.25% | Credit Suisse Securities (Europe) Limited | 112,903 GBP | (873 | ) | ||||||||||||||||||||
QAD, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 280,389 USD | 9,388 |
See Notes to Consolidated Financial Statements.
177
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2017 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
QCR Holdings, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 128,011 USD | $ | 7,442 | ||||||||||||||||||||
Qiagen N.V. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 313,747 USD | (4,386 | ) | ||||||||||||||||||||
Qiagen NV | 03/28/18 | M | 0.40% | Credit Suisse Securities (Europe) Limited | 77,896 EUR | (413 | ) | ||||||||||||||||||||
QTS Realty Trust, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 69,426 USD | 475 | |||||||||||||||||||||
Quad Graphics, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 257,908 USD | 33,625 | |||||||||||||||||||||
Quaker Chemical Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 141,575 USD | 4,747 | |||||||||||||||||||||
Quality Systems, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 812,967 USD | (670 | ) | ||||||||||||||||||||
Qualys, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 24,883 USD | (278 | ) | ||||||||||||||||||||
Quanex Building Products | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 136,509 USD | 12,666 | |||||||||||||||||||||
Quantum Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 248,201 USD | 9,255 | |||||||||||||||||||||
Quest Diagnostics, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 311,633 USD | (3,745 | ) | ||||||||||||||||||||
Quidel Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 215,021 USD | 46,779 | |||||||||||||||||||||
QuinStreet, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 179,920 USD | 25,850 | |||||||||||||||||||||
Quotient Ltd. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 161,944 USD | 16,241 | |||||||||||||||||||||
R1 RCM, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 134,824 USD | 15,075 | |||||||||||||||||||||
Radian Group, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 11,210 USD | 901 | |||||||||||||||||||||
Radnet, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 120,543 USD | 4,324 | |||||||||||||||||||||
Raiffeisen Bank Interntional | 03/28/18 | M | 0.40% | Credit Suisse Securities (Europe) Limited | 220,870 EUR | 7,190 | |||||||||||||||||||||
Ralph Lauren Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 42,637 USD | (346 | ) | ||||||||||||||||||||
Rambus, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 26,720 USD | (60 | ) | ||||||||||||||||||||
Raven Industries, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 97,625 USD | 3,755 | |||||||||||||||||||||
Raymond James Financial, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 112,040 USD | 1,890 | |||||||||||||||||||||
Rayonier Advanced Materials | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 185,272 USD | 1,500 | |||||||||||||||||||||
Rayonier, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 40,288 USD | 707 | |||||||||||||||||||||
Raytheon Company | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 243,443 USD | 790 |
See Notes to Consolidated Financial Statements.
178
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2017 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
RBC Bearings, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 88,584 USD | $ | 2,900 | ||||||||||||||||||||
RCI Hospitality Holdings, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 307,344 USD | 6,733 | |||||||||||||||||||||
Reading International, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 147,380 USD | (2,599 | ) | ||||||||||||||||||||
RealPage, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 211,359 USD | 2,665 | |||||||||||||||||||||
Reata Pharmaceuticals, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 73,145 USD | (185 | ) | ||||||||||||||||||||
Letras del Banco Central de Argentina | 05/16/18 | 3M | 1.25% | J.P. Morgan Securities LLC | 45,143,130 ARS | 3,383 | |||||||||||||||||||||
Recordati SpA | 04/04/18 | M | 0.40% | Credit Suisse Securities (Europe) Limited | 70,651 EUR | 4,537 | |||||||||||||||||||||
Red Lion Hotels Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 8,553 USD | 1,378 | |||||||||||||||||||||
Redwood Trust, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 72,387 USD | 2,009 | |||||||||||||||||||||
Refresco Group NV | 03/28/18 | M | 0.40% | Credit Suisse Securities (Europe) Limited | 2,638,160 EUR | 190,267 | |||||||||||||||||||||
Regal Beloit Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 255,719 USD | 3,875 | |||||||||||||||||||||
Regal Entertainment Group | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 456,533 USD | (1,237 | ) | ||||||||||||||||||||
Regional Management Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 27,181 USD | 878 | |||||||||||||||||||||
Regis Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 116,156 USD | 8,992 | |||||||||||||||||||||
Reis, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 78,470 USD | 1,180 | |||||||||||||||||||||
Renasant Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 278,837 USD | 12,926 | |||||||||||||||||||||
Renault SA | 03/28/18 | M | 0.40% | Credit Suisse Securities (Europe) Limited | 1,140,593 EUR | 48,043 | |||||||||||||||||||||
Renault SA | 10/10/18 | M | 0.07% | JPMorgan Chase Bank, N.A. | 8,025,000 EUR | 338,023 | |||||||||||||||||||||
Renewable Energy Group, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 591,180 USD | (33,568 | ) | ||||||||||||||||||||
Renishaw PLC | 03/28/18 | M | 0.25% | Credit Suisse Securities (Europe) Limited | 417,030 GBP | (2,337 | ) | ||||||||||||||||||||
Rent-A-Center, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 895,974 USD | (46,419 | ) | ||||||||||||||||||||
Rentokil Initial PLC | 03/28/18 | M | 0.25% | Credit Suisse Securities (Europe) Limited | 185,784 GBP | 4,554 |
See Notes to Consolidated Financial Statements.
179
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2017 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Republic Bancorp, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 53,135 USD | $ | 3,450 | ||||||||||||||||||||
Republic First Bancorp, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 9,999 USD | 278 | |||||||||||||||||||||
Republic Services, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 2,225,362 USD | (11,493 | ) | ||||||||||||||||||||
ResMed, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 308,688 USD | (6,466 | ) | ||||||||||||||||||||
Resources Connection, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 346,704 USD | 36,589 | |||||||||||||||||||||
Retrophin, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 218,397 USD | 10,243 | |||||||||||||||||||||
Revance Therapeutics, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 73,456 USD | 8,809 | |||||||||||||||||||||
REX American Resources Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 374,254 USD | 7,259 | |||||||||||||||||||||
Rexford Industrial Realty, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 225,720 USD | (9,009 | ) | ||||||||||||||||||||
RGC Resources, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 51,901 USD | 3,182 | |||||||||||||||||||||
Rheinmetall AG | 03/28/18 | M | 0.40% | Credit Suisse Securities (Europe) Limited | 190,095 EUR | 9,529 | |||||||||||||||||||||
Rice Energy, Inc. | 08/06/18 | M | 1.50% | Deutsche Bank AG | 5,915,794 USD | 707,501 | |||||||||||||||||||||
Rigel Pharmaceuticals, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 3,994 USD | 113 | |||||||||||||||||||||
RingCentral, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 254,741 USD | 3,316 | |||||||||||||||||||||
Rio Tinto PLC | 03/28/18 | M | 0.25% | Credit Suisse Securities (Europe) Limited | 68,774 GBP | 547 | |||||||||||||||||||||
Roadrunner Transportation Systems | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 106,457 USD | 27,563 | |||||||||||||||||||||
Robert Half International, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 274,736 USD | 12,755 | |||||||||||||||||||||
Roche Holdings AG | 03/28/18 | M | 0.79% | Credit Suisse Securities (Europe) Limited | 6,213,030 CHF | 105,528 | |||||||||||||||||||||
Rockwell Collins, Inc. | 08/06/18 | M | 1.50% | Deutsche Bank AG | 7,941,326 USD | (23,699 | ) | ||||||||||||||||||||
Rockwell Medical, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 123,154 USD | 40,795 | |||||||||||||||||||||
Rockwool International | 03/28/18 | M | 0.36% | Credit Suisse Securities (Europe) Limited | 642,906 DKK | 1,577 | |||||||||||||||||||||
Rogers Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 229,609 USD | 12,295 | |||||||||||||||||||||
Rollins, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 731,246 USD | 23,235 | |||||||||||||||||||||
Roper Technologies, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 265,174 USD | (112 | ) | ||||||||||||||||||||
Rosetta Stone, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 121,478 USD | 10,078 |
See Notes to Consolidated Financial Statements.
180
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2017 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Rowan Companies PLC | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 118,841 USD | $ | 17,023 | ||||||||||||||||||||
Royal Dutch Shell PLC | 03/28/18 | M | 0.40% | Credit Suisse Securities (Europe) Limited | 7,381,944 EUR | 57,525 | |||||||||||||||||||||
RPM International, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 25,569 USD | 101 | |||||||||||||||||||||
RPX Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 264,748 USD | 9,590 | |||||||||||||||||||||
RR Donnelley & Sons Co. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 441,924 USD | 24,388 | |||||||||||||||||||||
RSA Insurance Group PLC | 03/28/18 | M | 0.25% | Credit Suisse Securities (Europe) Limited | 936,192 GBP | 5,054 | |||||||||||||||||||||
RSA Insurance Group PLC | 02/21/18 | M | 0.55% | JPMorgan Chase Bank, N.A. | 3,102,500 GBP | 16,750 | |||||||||||||||||||||
Rubicon Project, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 162,511 USD | (882 | ) | ||||||||||||||||||||
RUBIS | 03/28/18 | M | 0.40% | Credit Suisse Securities (Europe) Limited | 282,799 EUR | 14,417 | |||||||||||||||||||||
Rudolph Technologies, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 150,774 USD | 19,413 | |||||||||||||||||||||
Rush Enterprises, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 56,187 USD | 6,931 | |||||||||||||||||||||
Ruth’s Hospitality Group, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 15,038 USD | 255 | |||||||||||||||||||||
RWE AG | 03/28/18 | M | 0.40% | Credit Suisse Securities (Europe) Limited | 176,830 EUR | (9,844 | ) | ||||||||||||||||||||
Ryanair Holdings PLC | 03/28/18 | M | 0.40% | Credit Suisse Securities (Europe) Limited | 155,751 EUR | (9,344 | ) | ||||||||||||||||||||
Ryder System, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 196,816 USD | (68 | ) | ||||||||||||||||||||
Ryman Hospitality Properties | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 82,594 USD | 1,517 | |||||||||||||||||||||
S&P Global, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 318,782 USD | 90 | |||||||||||||||||||||
S&T Bancorp, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 176,022 USD | 10,004 | |||||||||||||||||||||
S.O.I.T.E.C. | 03/28/18 | M | 0.40% | Credit Suisse Securities (Europe) Limited | 182,407 EUR | 22,481 | |||||||||||||||||||||
Saab Group | 03/28/18 | M | 0.51% | Credit Suisse Securities (Europe) Limited | 1,161,126 SEK | 13,972 | |||||||||||||||||||||
Sabre Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 61,944 USD | 121 | |||||||||||||||||||||
Safran SA | 03/28/18 | M | 0.40% | Credit Suisse Securities (Europe) Limited | 5,960,795 EUR | 119,352 | |||||||||||||||||||||
Safran SA | 10/10/18 | M | 0.07% | JPMorgan Chase Bank, N.A. | 8,500,000 EUR | 170,194 | |||||||||||||||||||||
SAIA, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 312,108 USD | 15,489 | |||||||||||||||||||||
Salem Media Group, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 36,230 USD | 1,100 |
See Notes to Consolidated Financial Statements.
181
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2017 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Sanderson Farms, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 93,317 USD | $ | 41 | ||||||||||||||||||||
Sangamo Therapeutics, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 160,079 USD | 9,616 | |||||||||||||||||||||
Sanmina Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 102,051 USD | — | |||||||||||||||||||||
Sanofi | 03/28/18 | M | 0.40% | Credit Suisse Securities (Europe) Limited | 3,333,892 EUR | 127,842 | |||||||||||||||||||||
Sanofi | 05/09/18 | M | 0.07% | JPMorgan Chase Bank, N.A. | 4,068,500 EUR | 156,011 | |||||||||||||||||||||
Santander Consumer USA Holdings | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 11,633 USD | 801 | |||||||||||||||||||||
SAP SE | 03/28/18 | M | 0.40% | Credit Suisse Securities (Europe) Limited | 7,482,437 EUR | 65,358 | |||||||||||||||||||||
SAP SE | 05/09/18 | M | 0.07% | JPMorgan Chase Bank, N.A. | 9,201,000 EUR | 80,369 | |||||||||||||||||||||
Saul Centers, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 137,560 USD | 623 | |||||||||||||||||||||
SBA Communications Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 238,085 USD | 749 | |||||||||||||||||||||
Scansource, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 355,339 USD | 29,043 | |||||||||||||||||||||
Scapa Group PLC | 03/28/18 | M | 0.25% | Credit Suisse Securities (Europe) Limited | 85,837 GBP | 3,210 | |||||||||||||||||||||
Schlumberger Ltd. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 250,824 USD | 2,753 | |||||||||||||||||||||
Schneider Electric SE | 03/28/18 | M | 0.40% | Credit Suisse Securities (Europe) Limited | 1,904,045 EUR | 67,040 | |||||||||||||||||||||
Schneider Electric SE | 05/09/18 | M | 0.07% | JPMorgan Chase Bank, N.A. | 10,669,659 EUR | 375,669 | |||||||||||||||||||||
Schneider National, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 140,697 USD | 11,229 | |||||||||||||||||||||
Schnitzer Steel Industries, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 592,845 USD | 27,328 | |||||||||||||||||||||
Scholastic Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 804,962 USD | (33,136 | ) | ||||||||||||||||||||
Schroders PLC | 03/28/18 | M | 0.25% | Credit Suisse Securities (Europe) Limited | 156,075 GBP | 6,293 | |||||||||||||||||||||
Schulman (A.), Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 150,668 USD | (442 | ) | ||||||||||||||||||||
Schweitzer Mauduit International, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 911,313 USD | 42,184 | |||||||||||||||||||||
Sciclone Pharmaceuticals, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 588,882 USD | 4,662 |
See Notes to Consolidated Financial Statements.
182
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2017 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Science Applications International Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 86,656 USD | $ | 3,591 | ||||||||||||||||||||
SCOR SE | 03/28/18 | M | 0.40% | Credit Suisse Securities (Europe) Limited | 159,604 EUR | 5,951 | |||||||||||||||||||||
Scorpio Bulkers, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 125,812 USD | (7,549 | ) | ||||||||||||||||||||
Scorpio Tankers, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 777,436 USD | (14,117 | ) | ||||||||||||||||||||
Scotts Miracle Gro Co. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 222,471 USD | 3,552 | |||||||||||||||||||||
Scripps Networks Interactive, Inc. | 08/06/18 | M | 1.50% | Deutsche Bank AG | 6,894,296 USD | (103,145 | ) | ||||||||||||||||||||
Seacoast Banking Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 110,298 USD | 9,702 | |||||||||||||||||||||
Seacor Holdings, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 745,874 USD | 79,864 | |||||||||||||||||||||
SeaCor Marine Holdings, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 330,249 USD | 70,682 | |||||||||||||||||||||
SEB SA | 03/28/18 | M | 0.40% | Credit Suisse Securities (Europe) Limited | 87,080 EUR | (199 | ) | ||||||||||||||||||||
Secureworks Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 208,132 USD | (2,986 | ) | ||||||||||||||||||||
SEI Investments Company | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 280,989 USD | 11,366 | |||||||||||||||||||||
Select Income REIT | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 10,237 USD | (26 | ) | ||||||||||||||||||||
Select Medical Holdings Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 186,923 USD | 8,821 | |||||||||||||||||||||
Semgroup Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 290,473 USD | 11,632 | |||||||||||||||||||||
Seneca Foods Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 93,306 USD | 10,850 | |||||||||||||||||||||
Sensient Technologies Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 310,251 USD | 7,198 | |||||||||||||||||||||
Seres Therapeutics, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 42,015 USD | 3,924 | |||||||||||||||||||||
Service Corp International | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 131,888 USD | (650 | ) | ||||||||||||||||||||
ServisFirst Banchares, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 210,440 USD | 23,942 | |||||||||||||||||||||
SFR Group SA | 03/28/18 | M | 0.40% | Credit Suisse Securities (Europe) Limited | 77,080 EUR | 318 | |||||||||||||||||||||
SFS Group AG | 03/28/18 | M | 0.79% | Credit Suisse Securities (Europe) Limited | 111,606 CHF | 4,044 | |||||||||||||||||||||
Ship Finance Internatiional Ltd. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 832,247 USD | 14,292 |
See Notes to Consolidated Financial Statements.
183
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2017 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Shire PLC | 06/25/18 | M | 0.55% | Morgan Stanley Capital Services LLC | 18,057,208 GBP | $ | (2,437,203 | ) | |||||||||||||||||||
Shire PLC | 03/28/18 | M | 0.25% | Credit Suisse Securities (Europe) Limited | 2,096,822 GBP | (93,921 | ) | ||||||||||||||||||||
Shoe Carnival, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 202,271 USD | 29,071 | |||||||||||||||||||||
Shore Bancshares, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 30,327 USD | 276 | |||||||||||||||||||||
Shutterstock, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 8,946 USD | (91 | ) | ||||||||||||||||||||
Sias SpA | 04/04/18 | M | 0.40% | Credit Suisse Securities (Europe) Limited | 174,930 EUR | (1,217 | ) | ||||||||||||||||||||
Siegfried Holding AG REG | 03/28/18 | M | 0.78% | Credit Suisse Securities (Europe) Limited | 100,262 CHF | (510 | ) | ||||||||||||||||||||
Sierra Bancorp | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 87,080 USD | 8,271 | |||||||||||||||||||||
SIG PLC | 03/28/18 | M | 0.25% | Credit Suisse Securities (Europe) Limited | 64,437 GBP | 49 | |||||||||||||||||||||
Sigma Designs, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 17,494 USD | 1,186 | |||||||||||||||||||||
Sika AG | 03/28/18 | M | 0.79% | Credit Suisse Securities (Europe) Limited | 299,250 CHF | 3,470 | |||||||||||||||||||||
Silgan Holdings, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 280,763 USD | (796 | ) | ||||||||||||||||||||
Siltronic AG | 03/28/18 | M | 0.40% | Credit Suisse Securities (Europe) Limited | 834,620 EUR | 128,721 | |||||||||||||||||||||
Simpson Manufacturing Co., Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 975,152 USD | 42,722 | |||||||||||||||||||||
Simulations Plus, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 177,562 USD | 5,028 | |||||||||||||||||||||
Six Flags Entertainment Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 297,138 USD | 17,190 | |||||||||||||||||||||
SJW Group | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 91,464 USD | 58 | |||||||||||||||||||||
Sky PLC | 06/15/18 | 3M | 0.25% | Credit Suisse Securities (Europe) Limited | 7,513,013 GBP | (781,237 | ) | ||||||||||||||||||||
Sky PLC | 07/30/18 | M | 0.60% | Deutsche Bank AG | 6,159,515 GBP | (659,544 | ) | ||||||||||||||||||||
Skywest, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 149,409 USD | 15,391 | |||||||||||||||||||||
Smith & Nephew PLC | 03/13/18 | M | 0.55% | JPMorgan Chase Bank, N.A. | 6,700,000 GBP | 53,600 | |||||||||||||||||||||
Smith & Nephew PLC | 03/28/18 | M | 0.25% | Credit Suisse Securities (Europe) Limited | 8,061,308 GBP | 80,491 | |||||||||||||||||||||
Smith (A.O.) Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 530,702 USD | 9,992 | |||||||||||||||||||||
Smurfit Kappa Group PLC | 03/28/18 | M | 0.25% | Credit Suisse Securities (Europe) Limited | 76,162 GBP | (523 | ) | ||||||||||||||||||||
Snyders Lance, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 74,012 USD | 3,641 |
See Notes to Consolidated Financial Statements.
184
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2017 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Societe Generale SA | 03/28/18 | M | 0.40% | Credit Suisse Securities (Europe) Limited | 8,454,703 EUR | $ | 119,526 | ||||||||||||||||||||
Sodexo | 03/28/18 | M | 0.40% | Credit Suisse Securities (Europe) Limited | 1,848,900 EUR | 120,187 | |||||||||||||||||||||
SoLocal Group | 03/28/18 | M | 0.40% | Credit Suisse Securities (Europe) Limited | 355,846 EUR | 9,741 | |||||||||||||||||||||
Sonic Automotive, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 205,024 USD | 20,804 | |||||||||||||||||||||
Sonic Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 53,297 USD | 1,955 | |||||||||||||||||||||
Sonoco Products Co. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 714,999 USD | 23,336 | |||||||||||||||||||||
Sonus Networks, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 265,799 USD | 17,282 | |||||||||||||||||||||
Sophos Group PLC | 03/28/18 | M | 0.25% | Credit Suisse Securities (Europe) Limited | 448,949 GBP | (28,175 | ) | ||||||||||||||||||||
South State Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 120,894 USD | 8,778 | |||||||||||||||||||||
South32 Ltd. | 03/28/18 | M | 0.25% | Credit Suisse Securities (Europe) Limited | 126,916 GBP | 10,541 | |||||||||||||||||||||
Southern First Bancshares | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 2,467 USD | 114 | |||||||||||||||||||||
Southern Missouri Bancorp | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 19,537 USD | 3,124 | |||||||||||||||||||||
Southern National Bancorp of Virginia, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 7,328 USD | 453 | |||||||||||||||||||||
Southside Bancshares, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 103,909 USD | 1,135 | |||||||||||||||||||||
Southwest Gas Holdings, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 28,979 USD | (181 | ) | ||||||||||||||||||||
SP Plus Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 121,231 USD | 5,446 | |||||||||||||||||||||
Spartan Motors, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 58,351 USD | 6,778 | |||||||||||||||||||||
Spartannash Co. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 621,216 USD | 20,314 | |||||||||||||||||||||
Sparton Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 335,411 USD | 994 | |||||||||||||||||||||
Spectrum Brands Holdings, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 8,882 USD | 16 | |||||||||||||||||||||
Spectrum Pharmaceuticals, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 151,024 USD | 57,915 | |||||||||||||||||||||
Speedway Motorsports, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 188,398 USD | 6,305 | |||||||||||||||||||||
Spie SA | 03/28/18 | M | 0.40% | Credit Suisse Securities (Europe) Limited | 76,676 EUR | 1,303 | |||||||||||||||||||||
Spire, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 120,175 USD | (287 | ) |
See Notes to Consolidated Financial Statements.
185
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2017 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Spok Holdings, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 355,605 USD | $ | 10,538 | ||||||||||||||||||||
SPS Commerce, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 6,040 USD | 28 | |||||||||||||||||||||
SPX flow, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 2,472 USD | 34 | |||||||||||||||||||||
SS&C Technologies Holdings | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 309,406 USD | 16,170 | |||||||||||||||||||||
SSP Group PLC | 03/28/18 | M | 0.25% | Credit Suisse Securities (Europe) Limited | 359,285 GBP | 18,124 | |||||||||||||||||||||
St. James Place PLC | 03/28/18 | M | 0.25% | Credit Suisse Securities (Europe) Limited | 76,773 GBP | 3,528 | |||||||||||||||||||||
Staar Surgical Co. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 187,086 USD | 17,118 | |||||||||||||||||||||
Stag Industrial, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 75,894 USD | (1,148 | ) | ||||||||||||||||||||
Standard Motor Products, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 441,612 USD | 13,772 | |||||||||||||||||||||
Standex International Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 71,290 USD | 3,475 | |||||||||||||||||||||
Startek, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 206,753 USD | 9,342 | |||||||||||||||||||||
Starwood Property Trust, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 62,483 USD | (429 | ) | ||||||||||||||||||||
Starwood Waypoint Homes | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 125,705 USD | 208 | |||||||||||||||||||||
State Auto Financial Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 30,355 USD | 1,724 | |||||||||||||||||||||
State Bank Financial Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 137,935 USD | 4,341 | |||||||||||||||||||||
State National Cos., Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 138,291 USD | (197 | ) | ||||||||||||||||||||
Steelcase, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 472,739 USD | 36,369 | |||||||||||||||||||||
Steris PLC | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 706,183 USD | 13,127 | |||||||||||||||||||||
Steven Madden Ltd. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 161,547 USD | 3,079 | |||||||||||||||||||||
Stifel Financial Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 17,821 USD | 195 | |||||||||||||||||||||
Stock Yards BanCorp. Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 45,444 USD | 4,108 | |||||||||||||||||||||
Stratasys Ltd. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 313,737 USD | (10,264 | ) | ||||||||||||||||||||
Straumann Holding AG REG | 03/28/18 | M | 0.79% | Credit Suisse Securities (Europe) Limited | 291,368 CHF | 2,931 | |||||||||||||||||||||
Strayer Education, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 171,455 USD | 9,193 | |||||||||||||||||||||
Stryker Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 114,730 USD | 1,443 |
See Notes to Consolidated Financial Statements.
186
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2017 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Sturm Ruger & Co., Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 470,808 USD | $ | 43,349 | ||||||||||||||||||||
Sucampo Pharmaceuticals, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 13,268 USD | (382 | ) | ||||||||||||||||||||
Sun Bancorp, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 184 USD | 15 | |||||||||||||||||||||
Sun Communities, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 483,311 USD | (13,870 | ) | ||||||||||||||||||||
Sunpower Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 38,512 USD | (349 | ) | ||||||||||||||||||||
Super Micro Computer, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 295,719 USD | (861 | ) | ||||||||||||||||||||
Superior Industires International | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 419,750 USD | 24,023 | |||||||||||||||||||||
Superior Uniform Group, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 53,782 USD | 423 | |||||||||||||||||||||
Supernus Pharmaceuticals, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 205,609 USD | (30,049 | ) | ||||||||||||||||||||
Surmodics, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 198,607 USD | 16,781 | |||||||||||||||||||||
SVB Financial Group | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 74,692 USD | (605 | ) | ||||||||||||||||||||
Svenska Cellulosa AB | 03/28/18 | M | 0.52% | Credit Suisse Securities (Europe) Limited | 2,960,194 SEK | 23,556 | |||||||||||||||||||||
Swatch Group AG | 03/28/18 | M | 0.79% | Credit Suisse Securities (Europe) Limited | 1,341,640 CHF | 109,488 | |||||||||||||||||||||
Sydbank A/S | 03/28/18 | M | 0.36% | Credit Suisse Securities (Europe) Limited | 641,513 DKK | 7,135 | |||||||||||||||||||||
Sykes Enterprises, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 127,809 USD | 9,213 | |||||||||||||||||||||
Synnex Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 240,820 USD | 21,942 | |||||||||||||||||||||
Synopsys, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 406,246 USD | 3,168 | |||||||||||||||||||||
Synovus Financial Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 109,443 USD | 7,734 | |||||||||||||||||||||
Syntel, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 295,888 USD | 21,735 | |||||||||||||||||||||
Systemax, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 409,789 USD | 19,091 | |||||||||||||||||||||
Tableau Software, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 72,616 USD | (347 | ) | ||||||||||||||||||||
Tabula Rasa HealthCare, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 512,335 USD | 23,133 | |||||||||||||||||||||
Tactile Systems Technology, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 321,676 USD | (32,108 | ) | ||||||||||||||||||||
Tailored Brands, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 283,806 USD | 561 |
See Notes to Consolidated Financial Statements.
187
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2017 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Talanx AG | 03/28/18 | M | 0.40% | Credit Suisse Securities (Europe) Limited | 82,066 EUR | $ | (1,425 | ) | |||||||||||||||||||
TD Ameritrade Holding Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 11,540 USD | 26 | |||||||||||||||||||||
TDC A/S | 03/28/18 | M | 0.36% | Credit Suisse Securities (Europe) Limited | 33,061,273 DKK | 187,218 | |||||||||||||||||||||
TDC A/S | 02/21/18 | M | 0.06% | JPMorgan Chase Bank, N.A. | 71,240,000 DKK | 403,415 | |||||||||||||||||||||
TechTarget | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 131,771 USD | 14,398 | |||||||||||||||||||||
Teekay Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 409,977 USD | 4,643 | |||||||||||||||||||||
Tegna, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 83,412 USD | 6,726 | |||||||||||||||||||||
Telecom Italia RSP | 06/20/18 | M | 0.63% | JPMorgan Chase Bank, N.A. | 270,886 EUR | 1,263 | |||||||||||||||||||||
TeleCom Italia RSP | 04/04/18 | M | 0.40% | Credit Suisse Securities (Europe) Limited | 180,831 EUR | 843 | |||||||||||||||||||||
Telecom Italia SpA | 06/20/18 | M | 0.07% | JPMorgan Chase Bank, N.A. | 115,206 EUR | 2,182 | |||||||||||||||||||||
TeleCom Italia Spa | 04/04/18 | M | 0.40% | Credit Suisse Securities (Europe) Limited | 113,803 EUR | 2,155 | |||||||||||||||||||||
Teledyne Technologies, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 236,746 USD | (204 | ) | ||||||||||||||||||||
Teleflex, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 213,853 USD | 1,501 | |||||||||||||||||||||
Telenav, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 56,512 USD | 1,838 | |||||||||||||||||||||
Telephone and Data Systems, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 685,819 USD | 20,328 | |||||||||||||||||||||
Teletech Holdings, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 370,940 USD | 27,689 | |||||||||||||||||||||
Television Francaise (T.F.1) | 03/28/18 | M | 0.40% | Credit Suisse Securities (Europe) Limited | 81,596 EUR | 1,828 | |||||||||||||||||||||
Teligent, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 86,424 USD | (5,770 | ) | ||||||||||||||||||||
Temenos Group AG REG | 03/28/18 | M | 0.79% | Credit Suisse Securities (Europe) Limited | 432,960 CHF | 1,818 | |||||||||||||||||||||
Tennant Co. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 224,440 USD | 11,166 | |||||||||||||||||||||
Teradata Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 31,655 USD | 445 | |||||||||||||||||||||
Terex Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 208,482 USD | 7,434 | |||||||||||||||||||||
Terreno Realty Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 289,787 USD | (2,517 | ) |
See Notes to Consolidated Financial Statements.
188
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2017 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Territorial BanCorp. Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 142,863 USD | $ | 9,714 | ||||||||||||||||||||
Tetra Tech Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 196,423 USD | 14,960 | |||||||||||||||||||||
Tetraphase Pharmaceuticals, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 331,746 USD | (3,747 | ) | ||||||||||||||||||||
Textainer Group Holdings Ltd. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 554,746 USD | 49,311 | |||||||||||||||||||||
TFS Financial Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 265,815 USD | 21,557 | |||||||||||||||||||||
Thales SA | 03/28/18 | M | 0.40% | Credit Suisse Securities (Europe) Limited | 3,074,186 EUR | 36,755 | |||||||||||||||||||||
Thomas Cook Group PLC | 03/28/18 | M | 0.25% | Credit Suisse Securities (Europe) Limited | 148,066 GBP | 4,211 | |||||||||||||||||||||
Thyssenkrupp Ag | 03/28/18 | M | 0.40% | Credit Suisse Securities (Europe) Limited | 4,954,094 EUR | 39,799 | |||||||||||||||||||||
Tim Participacs ADR | 03/16/18 | M | 1.23% | Credit Suisse Securities (Europe) Limited | 3,503,303 USD | 21,209 | |||||||||||||||||||||
Time Warner Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 189,335 USD | 812 | |||||||||||||||||||||
Time Warner, Inc. | 08/06/18 | M | 1.50% | Deutsche Bank AG | 8,014,368 USD | 70,064 | |||||||||||||||||||||
Time, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 680,405 USD | 22,837 | |||||||||||||||||||||
Timken Co. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 197,145 USD | 7,154 | |||||||||||||||||||||
Titan Machinery, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 496,873 USD | 45,124 | |||||||||||||||||||||
tivity Health, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 376,992 USD | 20,441 | |||||||||||||||||||||
Tivo Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 17,518 USD | 764 | |||||||||||||||||||||
TKH Group NV | 03/28/18 | M | 0.40% | Credit Suisse Securities (Europe) Limited | 247,878 EUR | 21,945 | |||||||||||||||||||||
Tocagen, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 115,808 USD | (1,649 | ) | ||||||||||||||||||||
Toll Brothers, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 220,957 USD | 7,336 | |||||||||||||||||||||
Tompkins Financial Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 144,233 USD | 17,797 | |||||||||||||||||||||
Tootsie Roll Industries | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 31,093 USD | 143 | |||||||||||||||||||||
Topbuild Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 166,604 USD | 15,155 | |||||||||||||||||||||
Topdanmark A/S | 03/28/18 | M | 0.36% | Credit Suisse Securities (Europe) Limited | 1,426,536 DKK | 14,708 | |||||||||||||||||||||
Toro Co. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 30,117 USD | 665 | |||||||||||||||||||||
Total SA | 01/17/18 | M | 0.07% | JPMorgan Chase Bank, N.A. | 4,492,500 EUR | 61,459 |
See Notes to Consolidated Financial Statements.
189
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2017 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Total SA | 03/28/18 | M | 0.40% | Credit Suisse Securities (Europe) Limited | 1,935,953 EUR | $ | 26,484 | ||||||||||||||||||||
Total System Services, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 99,438 USD | (2,629 | ) | ||||||||||||||||||||
Tower International, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 37,961 USD | 5,423 | |||||||||||||||||||||
Towne Bank | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 4,694 USD | 298 | |||||||||||||||||||||
Townsquare Media, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 87,175 USD | 195 | |||||||||||||||||||||
Travelport Worldwide Ltd. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 717,469 USD | 7,887 | |||||||||||||||||||||
Trecora Resources | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 13,788 USD | 483 | |||||||||||||||||||||
Tredegar Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 153,766 USD | 13,472 | |||||||||||||||||||||
Tri Pointe Group, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 150,158 USD | 8,091 | |||||||||||||||||||||
Tribune Media Co. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 707,597 USD | 11,662 | |||||||||||||||||||||
TriCo Bancshares | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 275,528 USD | 45,908 | |||||||||||||||||||||
TriMas Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 9,918 USD | 18 | |||||||||||||||||||||
Trimble, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 198,260 USD | (2,050 | ) | ||||||||||||||||||||
Trinity Industries, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 116,496 USD | 9,222 | |||||||||||||||||||||
Triple-S Management Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 593,695 USD | (8,538 | ) | ||||||||||||||||||||
TriState Capital Holdings, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 46,242 USD | 3,474 | |||||||||||||||||||||
Triton International Ltd. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 104,041 USD | 2,089 | |||||||||||||||||||||
Triumph Bancorp, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 34,662 USD | 3,425 | |||||||||||||||||||||
Arab Republic of Egypt | 05/10/18 | 3M | 1.50% | Citibank N.A. | 393,515,639 EGP | 532,144 | |||||||||||||||||||||
TrueBlue, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 22,405 USD | 1,662 | |||||||||||||||||||||
TrueCar, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 351,984 USD | (14,725 | ) | ||||||||||||||||||||
Trustmark Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 74,301 USD | 7,373 | |||||||||||||||||||||
TTM Technologies | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 7,006 USD | 280 |
See Notes to Consolidated Financial Statements.
190
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2017 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
TUI AG | 05/09/18 | M | 0.07% | JPMorgan Chase Bank, N.A. | 2,946,000 EUR | $ | (82,733 | ) | |||||||||||||||||||
TUI AG | 03/28/18 | M | 0.25% | Credit Suisse Securities (Europe) Limited | 155,665 GBP | (5,612 | ) | ||||||||||||||||||||
TUI Group AG | 03/28/18 | M | 0.40% | Credit Suisse Securities (Europe) Limited | 174,713 EUR | (4,906 | ) | ||||||||||||||||||||
Tupperware Brands Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 488,298 USD | 18,194 | |||||||||||||||||||||
Twin Disc, Inc | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 107,599 USD | 6,499 | |||||||||||||||||||||
Two Harbors Investment Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 144,807 USD | 144 | |||||||||||||||||||||
Tyler Technologies, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 246,445 USD | 5,622 | |||||||||||||||||||||
U.S. Physical Therapy, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 639,549 USD | 8,442 | |||||||||||||||||||||
Ubisoft Entertainment | 03/28/18 | M | 0.40% | Credit Suisse Securities (Europe) Limited | 441,297 EUR | (10,974 | ) | ||||||||||||||||||||
UBM PLC | 03/28/18 | M | 0.25% | Credit Suisse Securities (Europe) Limited | 1,600,675 GBP | 83,250 | |||||||||||||||||||||
UBM PLC | 10/10/18 | M | 0.55% | JPMorgan Chase Bank, N.A. | 2,628,000 GBP | 136,680 | |||||||||||||||||||||
UBS Group AG REG | 03/28/18 | M | 0.79% | Credit Suisse Securities (Europe) Limited | 11,956,442 CHF | 380,776 | |||||||||||||||||||||
UDG Healthcare PLC | 03/28/18 | M | 0.25% | Credit Suisse Securities (Europe) Limited | 101,418 GBP | (2,203 | ) | ||||||||||||||||||||
UDR, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 342,606 USD | (4,519 | ) | ||||||||||||||||||||
UFP Technologies, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 70,484 USD | 3,475 | |||||||||||||||||||||
Ultra Clean Holdings, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 119,648 USD | 16,243 | |||||||||||||||||||||
Umb Financial Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 164,474 USD | 6,183 | |||||||||||||||||||||
UMH Properties, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 52,111 USD | (889 | ) | ||||||||||||||||||||
Unicredit SpA | 04/04/18 | M | 0.40% | Credit Suisse Securities (Europe) Limited | 88,994 EUR | 2,266 | |||||||||||||||||||||
Unifi, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 107,928 USD | 8,475 | |||||||||||||||||||||
UniFirst Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 614,898 USD | 19,887 | |||||||||||||||||||||
Union Bankshares Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 28,098 USD | 3,390 | |||||||||||||||||||||
Uniqa Insurance Group AG | 03/28/18 | M | 0.40% | Credit Suisse Securities (Europe) Limited | 144,513 EUR | 4,145 | |||||||||||||||||||||
United Community Banks | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 39,983 USD | 3,940 | |||||||||||||||||||||
United Community Financial | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 29,919 USD | 1,818 |
See Notes to Consolidated Financial Statements.
191
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2017 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
United Financial Bancorp, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 122,027 USD | $ | 9,569 | ||||||||||||||||||||
United Parcel Service | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 689,796 USD | 3,003 | |||||||||||||||||||||
United States Lime & Minerals, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 220,402 USD | 9,842 | |||||||||||||||||||||
United Technologies Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 77,218 USD | 92 | |||||||||||||||||||||
United Therapeutics Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 7,759 USD | (142 | ) | ||||||||||||||||||||
UnitedHealth Group, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 228,053 USD | 896 | |||||||||||||||||||||
Unitil Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 374,842 USD | (2,260 | ) | ||||||||||||||||||||
Universal Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 646,477 USD | (5,577 | ) | ||||||||||||||||||||
Universal Forest Products | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 103,738 USD | 7,968 | |||||||||||||||||||||
Universal Health Realty Income Trust | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 143,929 USD | 2,522 | |||||||||||||||||||||
Universal Health Services, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 171,694 USD | 1,817 | |||||||||||||||||||||
Univest Corporation of Pennsylvania | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 1,097 USD | 87 | |||||||||||||||||||||
Upland Sofware, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 343,134 USD | 7,741 | |||||||||||||||||||||
UPM Kymmene Oyj | 03/28/18 | M | 0.40% | Credit Suisse Securities (Europe) Limited | 73,267 EUR | 2,486 | |||||||||||||||||||||
US Cellular Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 322,606 USD | 2,154 | |||||||||||||||||||||
US Ecology, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 109,181 USD | 3,261 | |||||||||||||||||||||
US Foods Holding Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 4,271 USD | 1 | |||||||||||||||||||||
Usana Health Sciences, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 81,714 USD | 566 | |||||||||||||||||||||
Utah Medical Products, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 179,045 USD | 638 | |||||||||||||||||||||
Valero Energy Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 282,586 USD | 11,671 | |||||||||||||||||||||
Valhi, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 26,396 USD | 1,860 | |||||||||||||||||||||
Valmet Oyj | 03/28/18 | M | 0.40% | Credit Suisse Securities (Europe) Limited | 104,603 EUR | 1,277 | |||||||||||||||||||||
Valmont Industries | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 345,901 USD | 2,551 | |||||||||||||||||||||
Vanda Pharmaceuticals, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 289,387 USD | (8,375 | ) |
See Notes to Consolidated Financial Statements.
192
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2017 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Varian Medical Systems, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 319,110 USD | $ | (16,628 | ) | |||||||||||||||||||
Varonis Systems, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 194,982 USD | 10,244 | |||||||||||||||||||||
Vector Group Ltd. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 552,806 USD | (4,066 | ) | ||||||||||||||||||||
Vectrus, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 93,058 USD | 1,899 | |||||||||||||||||||||
Veeva Systems, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 138,538 USD | 1,867 | |||||||||||||||||||||
Ventas, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 57,365 USD | (311 | ) | ||||||||||||||||||||
Vera Bradley, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 275,134 USD | 9,253 | |||||||||||||||||||||
Veracyte, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 240,146 USD | 15,509 | |||||||||||||||||||||
Veresen, Inc. | 08/07/18 | M | 1.70% | Deutsche Bank AG | 7,016,563 CAD | 125,974 | |||||||||||||||||||||
Verifone Systems, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 179,162 USD | (3,618 | ) | ||||||||||||||||||||
Verint Systems, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 108,888 USD | 3,688 | |||||||||||||||||||||
Verisign, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 284,456 USD | 2,797 | |||||||||||||||||||||
Verisk Analytics, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 157,079 USD | 1,065 | |||||||||||||||||||||
Veritex Holdings, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 166,472 USD | 9,739 | |||||||||||||||||||||
Veritiv Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 11,338 USD | 460 | |||||||||||||||||||||
Verso Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 143,097 USD | 2,242 | |||||||||||||||||||||
Versum Materials, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 82,312 USD | 1,849 | |||||||||||||||||||||
Vesuvius PLC | 03/28/18 | M | 0.25% | Credit Suisse Securities (Europe) Limited | 62,964 GBP | 3,811 | |||||||||||||||||||||
VF CORP | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 52,040 USD | 1,423 | |||||||||||||||||||||
Viad Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 397,352 USD | 29,679 | |||||||||||||||||||||
ViaSat, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 177,167 USD | 3,444 | |||||||||||||||||||||
Viavi Solutions, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 79,133 USD | (2,667 | ) | ||||||||||||||||||||
Vicor Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 92,665 USD | 24,910 | |||||||||||||||||||||
Victrex PLC | 03/28/18 | M | 0.25% | Credit Suisse Securities (Europe) Limited | 109,382 GBP | 6,185 | |||||||||||||||||||||
Vienna Insurance Group AG | 03/28/18 | M | 0.40% | Credit Suisse Securities (Europe) Limited | 68,882 EUR | 261 | |||||||||||||||||||||
Village Super Market, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 124,081 USD | 6,744 |
See Notes to Consolidated Financial Statements.
193
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2017 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Virtusa Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 249,958 USD | $ | 19,035 | ||||||||||||||||||||
Vishay Intertechnology, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 305,826 USD | 9,770 | |||||||||||||||||||||
Vishay Precision Group | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 169,230 USD | 14,990 | |||||||||||||||||||||
Vivendi | 03/28/18 | M | 0.40% | Credit Suisse Securities (Europe) Limited | 2,691,902 EUR | 66,725 | |||||||||||||||||||||
Vivendi | 10/10/18 | M | 0.07% | JPMorgan Chase Bank, N.A. | 12,588,000 EUR | 312,022 | |||||||||||||||||||||
Viveve Medical, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 63,696 USD | (5,752 | ) | ||||||||||||||||||||
Vocera Communcations, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 711,783 USD | 29,804 | |||||||||||||||||||||
Vodafone Group PLC | 03/28/18 | M | 0.25% | Credit Suisse Securities (Europe) Limited | 4,094,799 GBP | 49,857 | |||||||||||||||||||||
Vodafone Group PLC | 02/21/18 | M | 0.55% | JPMorgan Chase Bank, N.A. | 5,161,250 GBP | 78,725 | |||||||||||||||||||||
Vodafone Group PLC | 03/16/18 | M | 1.23% | Credit Suisse Securities (Europe) Limited | 54,806 USD | (77 | ) | ||||||||||||||||||||
Voestalpine AG | 03/28/18 | M | 0.40% | Credit Suisse Securities (Europe) Limited | 167,971 EUR | (5,720 | ) | ||||||||||||||||||||
Volkswagen AG | 03/28/18 | M | 0.40% | Credit Suisse Securities (Europe) Limited | 80,683 EUR | 872 | |||||||||||||||||||||
Volvo AB | 03/28/18 | M | 0.52% | Credit Suisse Securities (Europe) Limited | 2,243,660 SEK | 15,964 | |||||||||||||||||||||
Vontobel Holding AG | 03/28/18 | M | 0.79% | Credit Suisse Securities (Europe) Limited | 118,110 CHF | (2,401 | ) | ||||||||||||||||||||
Voxx International Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 266,647 USD | 25,959 | |||||||||||||||||||||
VSE Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 348,786 USD | 20,008 | |||||||||||||||||||||
Wal-Mart Stores, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 12,342 USD | (74 | ) | ||||||||||||||||||||
Walker & Dunlop, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 136,522 USD | 16,491 | |||||||||||||||||||||
Wartsila Oyj | 03/28/18 | M | 0.40% | Credit Suisse Securities (Europe) Limited | 205,603 EUR | 8,394 | |||||||||||||||||||||
Washington Federal, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 160,434 USD | 10,138 | |||||||||||||||||||||
Washington REIT | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 204,708 USD | (744 | ) | ||||||||||||||||||||
Washington Trust BanCorp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 119,882 USD | 11,850 | |||||||||||||||||||||
WashingtonFirst Bankshares, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 117,050 USD | 5,380 | |||||||||||||||||||||
Waster Managemetn, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 1,961,540 USD | (1,659 | ) |
See Notes to Consolidated Financial Statements.
194
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2017 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Waters Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 50,591 USD | $ | 34 | ||||||||||||||||||||
Waterstone Financial, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 55,961 USD | 3,670 | |||||||||||||||||||||
WatsCo, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 675,728 USD | 19,450 | |||||||||||||||||||||
Watts Water Technologies | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 259,356 USD | 17,167 | |||||||||||||||||||||
Wd 40 Co. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 292,754 USD | 1,431 | |||||||||||||||||||||
Web.Com Group, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 86,592 USD | 1,958 | |||||||||||||||||||||
Weis Markets, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 560,862 USD | 9,597 | |||||||||||||||||||||
WellCare Health Plans, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 252,125 USD | (10 | ) | ||||||||||||||||||||
Welltower, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 105,643 USD | (504 | ) | ||||||||||||||||||||
Werner Enterprises, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 243,253 USD | 12,232 | |||||||||||||||||||||
WesbanCo, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 139,467 USD | 12,799 | |||||||||||||||||||||
West Bancorporation | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 10,551 USD | 1,258 | |||||||||||||||||||||
West Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 873,436 USD | 2,323 | |||||||||||||||||||||
West Pharmaceutical Services | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 347,751 USD | 2,924 | |||||||||||||||||||||
Westamerica BanCorporation | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 137,142 USD | 15,340 | |||||||||||||||||||||
Western Alliance BanCorp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 150,076 USD | 11,872 | |||||||||||||||||||||
Western Asset Mortgage Capital | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 43,880 USD | 42 | |||||||||||||||||||||
Western Union Co. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 183,952 USD | 3,747 | |||||||||||||||||||||
WestRock Co. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 332,327 USD | (2,499 | ) | ||||||||||||||||||||
Weyco Group, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 81,250 USD | (566 | ) | ||||||||||||||||||||
WGL Holdings, Inc. | 08/06/18 | M | 1.50% | Deutsche Bank AG | 8,054,772 USD | 20,935 | |||||||||||||||||||||
WGL Holdings, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 192,606 USD | (546 | ) | ||||||||||||||||||||
Wig20 Index | 12/19/17 | — | — | Merrill Lynch International | 2,570,051 PLN | (14,719 | ) | ||||||||||||||||||||
Willbros Group, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 39,323 USD | 5,419 | |||||||||||||||||||||
Willdan Group, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 293,955 USD | 25,873 | |||||||||||||||||||||
William Lyon Homes | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 240,186 USD | (447 | ) |
See Notes to Consolidated Financial Statements.
195
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2017 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
William’s Sonoma, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 297,084 USD | $ | 5,965 | ||||||||||||||||||||
Willis Lease Finance Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 44,645 USD | 1,609 | |||||||||||||||||||||
Winmark Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 197,604 USD | (110 | ) | ||||||||||||||||||||
Wintrust Financial Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 112,089 USD | 520 | |||||||||||||||||||||
Wirecard AG | 03/28/18 | M | 0.40% | Credit Suisse Securities (Europe) Limited | 435,293 EUR | 33,557 | |||||||||||||||||||||
Wizz Air Holdings PLC | 03/28/18 | M | 0.25% | Credit Suisse Securities (Europe) Limited | 307,094 GBP | 1,733 | |||||||||||||||||||||
Wolverine World Wide, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 160,478 USD | 10,343 | |||||||||||||||||||||
Woodward, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 234,531 USD | 14,287 | |||||||||||||||||||||
Workiva, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 285,586 USD | 17,427 | |||||||||||||||||||||
World Fuel Services Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 302,873 USD | (14,299 | ) | ||||||||||||||||||||
Worldpay Group PLC | 07/30/18 | M | 0.60% | Deutsche Bank AG | 4,294,078 GBP | (88,657 | ) | ||||||||||||||||||||
WP Carey, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 510,073 USD | (12,802 | ) | ||||||||||||||||||||
WR Grace & Co. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 11,347 USD | (91 | ) | ||||||||||||||||||||
Wright Medical Group NV | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 575,197 USD | (13,611 | ) | ||||||||||||||||||||
WSFS Financial Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 192,933 USD | 19,861 | |||||||||||||||||||||
Xcerra Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 423,865 USD | (719 | ) | ||||||||||||||||||||
Xenia Hotels & Resorts, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 6,823 USD | 166 | |||||||||||||||||||||
Xenith Bankshares, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 48,528 USD | 6,560 | |||||||||||||||||||||
Xerox Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 640,801 USD | 10,951 | |||||||||||||||||||||
XO Group, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 300,602 USD | 13,764 | |||||||||||||||||||||
XPO Logistics, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 140,881 USD | 6,880 | |||||||||||||||||||||
Yext, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 71,449 USD | (640 | ) | ||||||||||||||||||||
York Water co. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 77,528 USD | 170 | |||||||||||||||||||||
Yum! Brands, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 466,926 USD | (10,176 | ) | ||||||||||||||||||||
Zagg, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 73,382 USD | 5,510 |
See Notes to Consolidated Financial Statements.
196
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2017 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Zebra Technologies Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 179,924 USD | $ | 4,662 | ||||||||||||||||||||
ZIOPHARM Oncology, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 23,176 USD | (261 | ) | ||||||||||||||||||||
Zix Corp. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 181,301 USD | 10,998 | |||||||||||||||||||||
Zodiac Aerospace | 07/30/18 | M | 0.05% | Deutsche Bank AG | 5,474,838 EUR | 192,649 | |||||||||||||||||||||
Zoe’s Kitchen, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 20,082 USD | 391 | |||||||||||||||||||||
Zogenics, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 244,673 USD | 346,761 | |||||||||||||||||||||
Zynga, Inc. | 04/22/19 | M | 1.46% | Morgan Stanley Capital Services LLC | 18,733 USD | (196 | ) | ||||||||||||||||||||
|
| ||||||||||||||||||||||||||
Total Buys | $ | 19,527,997 | |||||||||||||||||||||||||
|
| ||||||||||||||||||||||||||
Sells | |||||||||||||||||||||||||||
AAON, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 7,875 USD | (364 | ) | ||||||||||||||||||||
Abb Ltd. | 05/09/18 | M | 1.09% | JPMorgan Chase Bank, N.A. | 585,750 CHF | (13,167 | ) | ||||||||||||||||||||
Abb Ltd. | 03/28/18 | M | 0.79% | Credit Suisse Securities (Europe) Limited | 617,521 CHF | (13,881 | ) | ||||||||||||||||||||
Abbott Laboratories | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 10,043 USD | (309 | ) | ||||||||||||||||||||
Abbvie, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 13,068 USD | (528 | ) | ||||||||||||||||||||
Acadia Pharmaceuticals, Inc. | 04/22/19 | M | 0.50% | Morgan Stanley Capital Services LLC | 361,891 USD | (6,710 | ) | ||||||||||||||||||||
Acadia Realty Trust | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 111,940 USD | 5,645 | |||||||||||||||||||||
Acceleron Pharma, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 148,539 USD | 7,059 | |||||||||||||||||||||
Acco Brands Corp. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 33,517 USD | (1,624 | ) | ||||||||||||||||||||
Achaogen, Inc. | 04/22/19 | M | 0.85% | Morgan Stanley Capital Services LLC | 554,956 USD | 12,991 | |||||||||||||||||||||
Achillion Pharmaceuticals | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 110,323 USD | (23,555 | ) | ||||||||||||||||||||
Aclaris Therapeutics, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 417,653 USD | (830 | ) | ||||||||||||||||||||
Acorda Therapeutics, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 92,193 USD | (1,839 | ) | ||||||||||||||||||||
Activision Blizzard, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 520,809 USD | 1,374 | |||||||||||||||||||||
Actuant Corp. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 46,020 USD | 708 | |||||||||||||||||||||
Acuity Brands, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 430,269 USD | (2,042 | ) |
See Notes to Consolidated Financial Statements.
197
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2017 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Acxiom Corp. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 19,520 USD | $ | (956 | ) | |||||||||||||||||||
Aduro Biotech, Inc. | 04/22/19 | M | 0.30% | Morgan Stanley Capital Services LLC | 103,634 USD | 5,089 | |||||||||||||||||||||
Advance Auto Parts, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 751,403 USD | (1,227 | ) | ||||||||||||||||||||
Advanced Drainage Systems, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 153,394 USD | — | |||||||||||||||||||||
Advanced Energy Industries | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 42,734 USD | (2,734 | ) | ||||||||||||||||||||
Advanced Micro Devices | 04/22/19 | M | 0.50% | Morgan Stanley Capital Services LLC | 796,722 USD | (8,555 | ) | ||||||||||||||||||||
Advansix, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 110,188 USD | (9,221 | ) | ||||||||||||||||||||
Advaxis, Inc. | 04/22/19 | M | 2.30% | Morgan Stanley Capital Services LLC | 30,125 USD | 3,946 | |||||||||||||||||||||
Advisory Board Co. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 134,069 USD | (262 | ) | ||||||||||||||||||||
Aecom | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 249,758 USD | (18,661 | ) | ||||||||||||||||||||
Aegon N.V. | 03/28/18 | M | 0.40% | Credit Suisse Securities (Europe) Limited | 2,183,651 EUR | (76,574 | ) | ||||||||||||||||||||
Aegon N.V. | 02/21/18 | M | 0.77% | JPMorgan Chase Bank, N.A. | 4,977,440 EUR | (174,543 | ) | ||||||||||||||||||||
Aerie Pharmaceuticals, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 635,719 USD | 72,688 | |||||||||||||||||||||
Aerojet Rocketdyne Holdings | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 313,726 USD | (73,974 | ) | ||||||||||||||||||||
Aes Corp. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 86,779 USD | 1,815 | |||||||||||||||||||||
Aflac, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 451,963 USD | 6,108 | |||||||||||||||||||||
Ageas | 03/28/18 | M | 0.40% | Credit Suisse Securities (Europe) Limited | 164,536 EUR | (5,017 | ) | ||||||||||||||||||||
Agenus, Inc. | 04/22/19 | M | 0.25% | Morgan Stanley Capital Services LLC | 7,165 USD | (504 | ) | ||||||||||||||||||||
Agilent Technologies, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 68,191 USD | (54 | ) | ||||||||||||||||||||
Agios Pharmaceuticals, Inc. | 04/22/19 | M | 0.50% | Morgan Stanley Capital Services LLC | 386,067 USD | (3,018 | ) | ||||||||||||||||||||
Agnc Investment Corp. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 71,344 USD | (1,566 | ) | ||||||||||||||||||||
Aimmune Therapeutics, Inc. | 04/22/19 | M | 0.60% | Morgan Stanley Capital Services LLC | 175,181 USD | (9,851 | ) | ||||||||||||||||||||
Air Liquide SA | 03/13/18 | M | 0.67% | JPMorgan Chase Bank, N.A. | 2,647,500 EUR | (205,355 | ) | ||||||||||||||||||||
Air Liquide SA | 03/28/18 | M | 0.40% | Credit Suisse Securities (Europe) Limited | 1,482,494 EUR | (114,991 | ) |
See Notes to Consolidated Financial Statements.
198
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2017 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Air Products & Chemicals, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 484,637 USD | $ | (477 | ) | |||||||||||||||||||
Air Transport Services Group | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 15,091 USD | 317 | |||||||||||||||||||||
Airbus SE | 03/28/18 | M | 0.40% | Credit Suisse Securities (Europe) Limited | 2,370,175 EUR | (168,108 | ) | ||||||||||||||||||||
Airbus SE | 08/08/18 | M | 0.67% | JPMorgan Chase Bank, N.A. | 3,600,000 EUR | (496,989 | ) | ||||||||||||||||||||
Ak Steel Holding Corp. | 04/22/19 | M | 0.60% | Morgan Stanley Capital Services LLC | 596,005 USD | (4,115 | ) | ||||||||||||||||||||
Akamai Technologies, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 544,832 USD | (13,110 | ) | ||||||||||||||||||||
Akorn, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 27,509 USD | (105 | ) | ||||||||||||||||||||
Alaska Air Group, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 674,410 USD | (11,029 | ) | ||||||||||||||||||||
Albemarle Corp. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 115,742 USD | (5,710 | ) | ||||||||||||||||||||
Alcoa Corp. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 290,738 USD | (11,360 | ) | ||||||||||||||||||||
Alder Biopharmaceuticals, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 490,443 USD | (81,411 | ) | ||||||||||||||||||||
Alexion Pharmaceuticals, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 693,578 USD | 24,254 | |||||||||||||||||||||
Alibaba | 03/16/18 | M | 1.23% | Credit Suisse Securities (Europe) Limited | 125,299,465 USD | 2,829,941 | |||||||||||||||||||||
Alkermes PLC | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 487,358 USD | 9,207 | |||||||||||||||||||||
Alleghany Corp. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 220,799 USD | 1,411 | |||||||||||||||||||||
Allegheny Technologies, Inc. | 04/22/19 | M | 0.23% | Morgan Stanley Capital Services LLC | 306,669 USD | (10,126 | ) | ||||||||||||||||||||
Alliance Data Systems Corp. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 621,862 USD | (12,214 | ) | ||||||||||||||||||||
Alliant Energy Corp. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 202,195 USD | 82 | |||||||||||||||||||||
Allied Irish Banks PLC | 03/28/18 | M | 0.40% | Credit Suisse Securities (Europe) Limited | 378,633 EUR | (15,008 | ) | ||||||||||||||||||||
Allison Transmission Holding | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 36,164 USD | (2,680 | ) | ||||||||||||||||||||
Allstate Corp. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 622,038 USD | (5,339 | ) | ||||||||||||||||||||
Ally Financial, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 2,135 USD | (24 | ) |
See Notes to Consolidated Financial Statements.
199
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2017 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Alnylam Pharmaceuticals, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 352,166 USD | $ | (107,337 | ) | |||||||||||||||||||
Alphabet, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 377,161 USD | (13,300 | ) | ||||||||||||||||||||
Altice USA, Inc. | 03/16/18 | M | 1.23% | Credit Suisse Securities (Europe) Limited | 38,875 USD | (14 | ) | ||||||||||||||||||||
Altra Industrial Motion Corp. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 11,234 USD | (118 | ) | ||||||||||||||||||||
Altria Group, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 541,031 USD | (7,615 | ) | ||||||||||||||||||||
Amazon.Com, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 769,161 USD | 3,927 | |||||||||||||||||||||
AMBAC Financial Group, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 249,222 USD | 7,927 | |||||||||||||||||||||
Ambarella, Inc. | 04/22/19 | M | 0.00% | Morgan Stanley Capital Services LLC | 252,254 USD | (14,017 | ) | ||||||||||||||||||||
AMC Networks, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 547,426 USD | 5,350 | |||||||||||||||||||||
Amdocs Ltd. | 04/04/19 | T | 0.89% | Barclays Bank plc | 18,760,759 USD | 262,327 | |||||||||||||||||||||
Amerco | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 91,352 USD | 251 | |||||||||||||||||||||
Ameren Corporation | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 593,572 USD | 13,147 | |||||||||||||||||||||
America Movil | 03/16/18 | M | 1.23% | Credit Suisse Securities (Europe) Limited | 502,595 USD | 20,115 | |||||||||||||||||||||
American Airlines Group, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 916,543 USD | (19,438 | ) | ||||||||||||||||||||
American Axle & Manufact. Holdings, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 552,836 USD | (48,206 | ) | ||||||||||||||||||||
American Electric Power | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 559,150 USD | 9,381 | |||||||||||||||||||||
American Equity Investment Life Holdings | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 64,539 USD | (3,013 | ) | ||||||||||||||||||||
American Express Co. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 13,197 USD | (10 | ) | ||||||||||||||||||||
American Financial Group, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 415,097 USD | (3,875 | ) | ||||||||||||||||||||
American Outdoor Brands Corp. | 04/22/19 | M | 0.15% | Morgan Stanley Capital Services LLC | 415,581 USD | (19,792 | ) | ||||||||||||||||||||
Amerisafe, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 148,303 USD | (806 | ) | ||||||||||||||||||||
Amerisourcebergen Corp. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 156,546 USD | (2,913 | ) | ||||||||||||||||||||
Amicus Therapeutics, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 299,792 USD | (21,186 | ) |
See Notes to Consolidated Financial Statements.
200
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2017 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Amphastar Pharmaceuticals, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 18,089 USD | $ | (2,461 | ) | |||||||||||||||||||
Amtrust Financial Services | 04/22/19 | M | 0.40% | Morgan Stanley Capital Services LLC | 599,310 USD | (16,821 | ) | ||||||||||||||||||||
Anadarko Petroleum Corp. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 806,288 USD | (83,905 | ) | ||||||||||||||||||||
Analog Devices, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 709,879 USD | (14,552 | ) | ||||||||||||||||||||
Anaptysbio, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 316,379 USD | (27,110 | ) | ||||||||||||||||||||
Anglo American PLC | 03/28/18 | M | 0.25% | Credit Suisse Securities (Europe) Limited | 2,394,456 GBP | (117,739 | ) | ||||||||||||||||||||
Anheuser Busch Inbev SA NV | 03/28/18 | M | 0.40% | Credit Suisse Securities (Europe) Limited | 672,778 EUR | (786 | ) | ||||||||||||||||||||
ANI Pharmaceuticals, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 47,235 USD | (2,263 | ) | ||||||||||||||||||||
AON PLC | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 78,741 USD | 139 | |||||||||||||||||||||
Apache Corp. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 773,584 USD | (53,518 | ) | ||||||||||||||||||||
Apple, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 85,782 USD | (679 | ) | ||||||||||||||||||||
Applied Materials, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 878,772 USD | (90,779 | ) | ||||||||||||||||||||
Apptio, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 211,798 USD | (10,470 | ) | ||||||||||||||||||||
Aramark | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 262,269 USD | 51 | |||||||||||||||||||||
ArcBest Corp. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 5,300 USD | (487 | ) | ||||||||||||||||||||
Arch Capital Group Ltd. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 215,011 USD | (1,689 | ) | ||||||||||||||||||||
Arch Coal, Inc. | 04/22/19 | M | 0.30% | Morgan Stanley Capital Services LLC | 340,147 USD | 11,435 | |||||||||||||||||||||
Archer Daniels Midland Co. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 222,455 USD | 4,336 | |||||||||||||||||||||
Archer Daniels Midland Co. | 03/16/18 | M | 1.24% | Credit Suisse Securities (Europe) Limited | 2,038,779 USD | 61,852 | |||||||||||||||||||||
Arconic, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 222,832 USD | 4,758 | |||||||||||||||||||||
Arena Pharmaceuticals, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 133,455 USD | (2,128 | ) | ||||||||||||||||||||
Argan, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 192,727 USD | (17,900 | ) | ||||||||||||||||||||
Argo Group International | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 50,622 USD | (239 | ) |
See Notes to Consolidated Financial Statements.
201
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2017 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Arista Networks, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 30,251 USD | $ | (1,035 | ) | |||||||||||||||||||
Arkema | 03/28/18 | M | 0.40% | Credit Suisse Securities (Europe) Limited | 101,454 EUR | (8,477 | ) | ||||||||||||||||||||
Arlington Asset Investment | 04/22/19 | M | 1.40% | Morgan Stanley Capital Services LLC | 645 USD | 22 | |||||||||||||||||||||
Armstrong World Industries | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 29,010 USD | (1,740 | ) | ||||||||||||||||||||
Array Biopharma, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 376,767 USD | (36,747 | ) | ||||||||||||||||||||
Arthur J. Gallagher & Co. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 207,591 USD | (2,910 | ) | ||||||||||||||||||||
Artisan Partners Asset Management, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 2,860 USD | (172 | ) | ||||||||||||||||||||
Asbury Automotive Group | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 341,348 USD | (15,476 | ) | ||||||||||||||||||||
Ashford Hospitality Prime, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 127,668 USD | 4,786 | |||||||||||||||||||||
Ashford Hospitality Trust | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 54,127 USD | (1,587 | ) | ||||||||||||||||||||
Aspen Insurance Holdings Ltd. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 147,452 USD | 1,365 | |||||||||||||||||||||
Assicurazioni Generali | 04/04/18 | M | 0.40% | Credit Suisse Securities (Europe) Limited | 1,670,035 EUR | (41,115 | ) | ||||||||||||||||||||
Associated Banc Corp. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 41,792 USD | (2,464 | ) | ||||||||||||||||||||
Assured Guaranty Ltd. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 230,160 USD | 22,611 | |||||||||||||||||||||
Astec Industries, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 77,682 USD | (7,118 | ) | ||||||||||||||||||||
Astronics Corp. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 204,804 USD | (8,533 | ) | ||||||||||||||||||||
At Home Group, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 119,549 USD | (64 | ) | ||||||||||||||||||||
AT&T, Inc. | 08/06/18 | M | 0.95% | Deutsche Bank AG | 1,764,013 USD | (128,211 | ) | ||||||||||||||||||||
Atara Biotherapeutics, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 216,296 USD | (10,969 | ) | ||||||||||||||||||||
Atkore International Group, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 234,994 USD | (13,232 | ) | ||||||||||||||||||||
Atlas Copco | 03/28/18 | M | 0.52% | Credit Suisse Securities (Europe) Limited | 15,500,443 SEK | (115,906 | ) | ||||||||||||||||||||
Atlas Financial Holdings, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 47,799 USD | (4,270 | ) | ||||||||||||||||||||
Atlassian Corp PLC | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 35,378 USD | 615 | |||||||||||||||||||||
Audentes Therapeutics, Inc. | 04/22/19 | M | 1.25% | Morgan Stanley Capital Services LLC | 316,242 USD | (38,393 | ) |
See Notes to Consolidated Financial Statements.
202
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2017 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Autodesk, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 529,228 USD | $ | 5,535 | ||||||||||||||||||||
Autozone, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 865,587 USD | (34,220 | ) | ||||||||||||||||||||
Avexis, Inc. | 04/22/19 | M | 0.60% | Morgan Stanley Capital Services LLC | 400,233 USD | (27,991 | ) | ||||||||||||||||||||
Avis Budget Group, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 391,243 USD | (32,631 | ) | ||||||||||||||||||||
Avista Corp. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 110,090 USD | (439 | ) | ||||||||||||||||||||
Axalta Coating Systems Ltd. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 297,192 USD | 3,394 | |||||||||||||||||||||
Axis Capital Holdings Ltd. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 337,484 USD | 1,017 | |||||||||||||||||||||
Axon Enterprise, Inc. | 04/22/19 | M | 0.45% | Morgan Stanley Capital Services LLC | 202,975 USD | (3,368 | ) | ||||||||||||||||||||
Axovant Sciences Ltd. | 04/22/19 | M | 2.50% | Morgan Stanley Capital Services LLC | 403,394 USD | 103,316 | |||||||||||||||||||||
AZZ, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 89,133 USD | 4,103 | |||||||||||||||||||||
B. Riley Financial, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 108,186 USD | (559 | ) | ||||||||||||||||||||
Balchem Corp. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 14,387 USD | (326 | ) | ||||||||||||||||||||
Ball Corp. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 368,956 USD | (5,387 | ) | ||||||||||||||||||||
Banc Of California, Inc. | 04/22/19 | M | 0.65% | Morgan Stanley Capital Services LLC | 233,316 USD | (18,091 | ) | ||||||||||||||||||||
Banco Latinoamericano de Comerci Extr SA | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 7,062 USD | (269 | ) | ||||||||||||||||||||
Bancorp, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 157,479 USD | (7,664 | ) | ||||||||||||||||||||
Bank of America Corp. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 280,238 USD | (10,792 | ) | ||||||||||||||||||||
Bank of the Ozarks | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 39,834 USD | (3,892 | ) | ||||||||||||||||||||
Baracuda Networks, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 155,177 USD | 1,898 | |||||||||||||||||||||
Baxter International, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 41,220 USD | 495 | |||||||||||||||||||||
Bayer AG | 03/28/18 | M | 0.40% | Credit Suisse Securities (Europe) Limited | 3,228,022 EUR | (165,065 | ) | ||||||||||||||||||||
Bayer AG | 02/13/18 | M | 0.67% | JPMorgan Chase Bank, N.A. | 1,688,920 EUR | (91,433 | ) | ||||||||||||||||||||
Bayerische Motoren Werke AG | 03/28/18 | M | 0.40% | Credit Suisse Securities (Europe) Limited | 521,620 EUR | (7,268 | ) | ||||||||||||||||||||
BB+T Corp. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 120,269 USD | (6,000 | ) |
See Notes to Consolidated Financial Statements.
203
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2017 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Beacon Roofing Supply, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 45,564 USD | $ | (2,406 | ) | |||||||||||||||||||
Becton Dickinson & Co. | 08/06/18 | M | 0.95% | Deutsche Bank AG | 2,474,051 USD | 182 | |||||||||||||||||||||
Bed Bath + Beyond, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 51,262 USD | 9,298 | |||||||||||||||||||||
Bellicum Pharmaceuticals, Inc. | 04/22/19 | M | 0.65% | Morgan Stanley Capital Services LLC | 92,975 USD | 1,349 | |||||||||||||||||||||
Berkshire Hills Bancorp, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 3,268 USD | (413 | ) | ||||||||||||||||||||
Berry Global Group, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 105,716 USD | (1,749 | ) | ||||||||||||||||||||
Best Buy Co., Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 469,824 USD | 360 | |||||||||||||||||||||
Biglari Holdings, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 278,774 USD | (15,521 | ) | ||||||||||||||||||||
Bill Barrett Corp. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 14,808 USD | (2,987 | ) | ||||||||||||||||||||
Biocryst Pharmaceuticals, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 368,351 USD | (5,827 | ) | ||||||||||||||||||||
Biogen, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 312,470 USD | 3,734 | |||||||||||||||||||||
Biohaven Pharmaceutical Holdings | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 435,069 USD | 4,937 | |||||||||||||||||||||
Biomarin Pharmaceutical, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 409,897 USD | (4,172 | ) | ||||||||||||||||||||
Bioverativ, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 285,193 USD | (6,834 | ) | ||||||||||||||||||||
BJ’ S Restaurants Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 180,117 USD | (3,953 | ) | ||||||||||||||||||||
Black Hills Corp. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 8,622 USD | 13 | |||||||||||||||||||||
Black Knight Financial | 04/22/19 | M | 0.65% | Morgan Stanley Capital Services LLC | 22,163 USD | 552 | |||||||||||||||||||||
Blackhawk Network Holdings, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 20,179 USD | 250 | |||||||||||||||||||||
Blackline, Inc. | 04/22/19 | M | 0.60% | Morgan Stanley Capital Services LLC | 88,190 USD | (625 | ) | ||||||||||||||||||||
Blackrock, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 38,902 USD | 5 | |||||||||||||||||||||
Bloomin Brands, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 34,995 USD | 218 | |||||||||||||||||||||
Blue Buffalo Pet Products, Inc. | 09/26/18 | T | 0.89% | Barclays Bank plc | 3,526,416 USD | (144,115 | ) | ||||||||||||||||||||
Blue Buffalo Pet Products, Inc. | 04/22/19 | M | 0.60% | Morgan Stanley Capital Services LLC | 327,819 USD | (27,407 | ) |
See Notes to Consolidated Financial Statements.
204
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2017 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Bluebird Bio, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 454,330 USD | $ | (17,192 | ) | |||||||||||||||||||
Blueprint Medicines Corp. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 106,692 USD | (9,726 | ) | ||||||||||||||||||||
Bmc Stock Holdings, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 21,641 USD | (413 | ) | ||||||||||||||||||||
BNP Paribas | 03/28/18 | M | 0.40% | Credit Suisse Securities (Europe) Limited | 6,358,829 EUR | (69,561 | ) | ||||||||||||||||||||
Boeing Co. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 209,009 USD | (460 | ) | ||||||||||||||||||||
Boingo Wireless, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 302,544 USD | (675 | ) | ||||||||||||||||||||
Bojangles, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 117,486 USD | 3,789 | |||||||||||||||||||||
Bonanza Creek Energy, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 148,140 USD | (12,917 | ) | ||||||||||||||||||||
Boot Barn Holdings, Inc. | 04/22/19 | M | 0.60% | Morgan Stanley Capital Services LLC | 99,848 USD | (3,437 | ) | ||||||||||||||||||||
Borgwarner, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 238,555 USD | (11,345 | ) | ||||||||||||||||||||
Boston Beer Company, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 116,213 USD | (2,343 | ) | ||||||||||||||||||||
Boston Scientific Corp. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 71,978 USD | (597 | ) | ||||||||||||||||||||
Bouygues SA | 03/28/18 | M | 0.40% | Credit Suisse Securities (Europe) Limited | 626,645 EUR | (33,854 | ) | ||||||||||||||||||||
Boyd Gaming Corp. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 90,238 USD | (2,317 | ) | ||||||||||||||||||||
Brandywine Realty Trust | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 13,342 USD | (352 | ) | ||||||||||||||||||||
British Land Co. PLC | 04/02/19 | 3M | 0.25% | Credit Suisse Securities (Europe) Limited | 309,793 GBP | (3,133 | ) | ||||||||||||||||||||
Brixmor Property Group, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 204,486 USD | 9,342 | |||||||||||||||||||||
Broadcom Ltd. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 427,713 USD | 4,238 | |||||||||||||||||||||
Broadsoft, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 29,847 USD | 724 | |||||||||||||||||||||
Brown Forman Corp. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 270,952 USD | (1,960 | ) | ||||||||||||||||||||
Brunswick Corp. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 56,878 USD | (660 | ) | ||||||||||||||||||||
Buffalo Wild Wings, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 448,493 USD | 3,707 | |||||||||||||||||||||
Builders Firstsource, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 90,183 USD | (9,841 | ) | ||||||||||||||||||||
Bunge Ltd. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 69,845 USD | 1,288 | |||||||||||||||||||||
Burlington Stores, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 166,572 USD | (8,884 | ) |
See Notes to Consolidated Financial Statements.
205
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2017 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Cabot Oil + Gas Corp. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 618,996 USD | $ | (53 | ) | |||||||||||||||||||
Caesarstone Ltd. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 198,269 USD | (2,016 | ) | ||||||||||||||||||||
Caixabank S.A | 08/08/18 | M | 0.67% | JPMorgan Chase Bank, N.A. | 539,775 EUR | 11,814 | |||||||||||||||||||||
Caixabank SA | 03/28/18 | M | 0.40% | Credit Suisse Securities (Europe) Limited | 437,394 EUR | 8,875 | |||||||||||||||||||||
Calgon Carbon Corp. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 294,924 USD | (331 | ) | ||||||||||||||||||||
Calithera Biosciences, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 336,931 USD | (13,191 | ) | ||||||||||||||||||||
Callidus Software, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 151,623 USD | 5,054 | |||||||||||||||||||||
Callon Petroleum Co. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 436,622 USD | (29,883 | ) | ||||||||||||||||||||
Calpine Corp. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 894,159 USD | (2,965 | ) | ||||||||||||||||||||
Campbell Soup Co. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 253,243 USD | 1,258 | |||||||||||||||||||||
Camping World Holdings, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 302,053 USD | (17,634 | ) | ||||||||||||||||||||
Carbonite, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 106,887 USD | (7,821 | ) | ||||||||||||||||||||
Cardtronics PLC | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 490,103 USD | 77,280 | |||||||||||||||||||||
Carmax, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 794,468 USD | (81,365 | ) | ||||||||||||||||||||
Carnival Corp. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 254,763 USD | 358 | |||||||||||||||||||||
Carpenter Technology | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 106,378 USD | (9,230 | ) | ||||||||||||||||||||
Carrizo Oil + Gas, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 800,745 USD | (172,993 | ) | ||||||||||||||||||||
Carrols Restaurant Group, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 127 USD | 7 | |||||||||||||||||||||
Carter’s, Inc. | 09/25/19 | T | 0.89% | Barclays Bank plc | 6,521,395 USD | (355,456 | ) | ||||||||||||||||||||
Cascadian Therapeutics, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 96,046 USD | (6,789 | ) | ||||||||||||||||||||
Caterpillar, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 311,538 USD | (4,851 | ) | ||||||||||||||||||||
Cavco Industries Inc | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 49,813 USD | (3,010 | ) | ||||||||||||||||||||
Cavium, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 430,523 USD | 3,298 | |||||||||||||||||||||
CBL + Associates Properties | 04/22/19 | M | 0.45% | Morgan Stanley Capital Services LLC | 274,968 USD | 6,714 | |||||||||||||||||||||
CBRE Group, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 308,900 USD | (2,701 | ) |
See Notes to Consolidated Financial Statements.
206
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2017 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
CBS Corp. | 08/07/18 | T | 0.83% | Skandinaviska Enskilda Banken AB (publ) | 24,763,421 USD | $ | 1,966,463 | ||||||||||||||||||||
Cedar Realty Trust, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 57,956 USD | (4,561 | ) | ||||||||||||||||||||
Celanese Corp. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 292,627 USD | (4,751 | ) | ||||||||||||||||||||
Celgene Corp. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 571,983 USD | (13,339 | ) | ||||||||||||||||||||
Celldex Therapeutics, Inc. | 04/22/19 | M | 0.50% | Morgan Stanley Capital Services LLC | 44,315 USD | (5,000 | ) | ||||||||||||||||||||
Centene Corp. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 267,508 USD | (9,061 | ) | ||||||||||||||||||||
Centennial Resource Development, Inc. | 04/22/19 | M | 0.10% | Morgan Stanley Capital Services LLC | 491,374 USD | (19,621 | ) | ||||||||||||||||||||
Centerpoint Energy, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 157,617 USD | 3,680 | |||||||||||||||||||||
Central Garden + Pet Co. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 199,452 USD | (15,372 | ) | ||||||||||||||||||||
Century Aluminum Company | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 343,182 USD | 38,126 | |||||||||||||||||||||
Centurylink, Inc. | 08/06/18 | M | 1.00% | Deutsche Bank AG | 4,481,317 USD | 924,904 | |||||||||||||||||||||
Cerus Corp. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 26,871 USD | (1,022 | ) | ||||||||||||||||||||
CFD STM FP | 03/28/18 | M | 0.40% | Credit Suisse Securities (Europe) Limited | 741,164 EUR | (18,230 | ) | ||||||||||||||||||||
CFD STMicroelectronics Italy | 04/04/18 | M | 0.40% | Credit Suisse Securities (Europe) Limited | 15,915 EUR | (340 | ) | ||||||||||||||||||||
Chart Industries, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 68,226 USD | (3,368 | ) | ||||||||||||||||||||
Charter Communications, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 852,374 USD | 5,242 | |||||||||||||||||||||
Chatham Lodging Trust | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 31,275 USD | (492 | ) | ||||||||||||||||||||
Cheesecake Factory, Inc. | 04/22/19 | M | 0.50% | Morgan Stanley Capital Services LLC | 30,426 USD | 57 | |||||||||||||||||||||
Chegg, Inc. | 04/22/19 | M | 0.30% | Morgan Stanley Capital Services LLC | 252,290 USD | (3,685 | ) | ||||||||||||||||||||
Chemocentryx, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 157,063 USD | (4,559 | ) | ||||||||||||||||||||
Chemours Co. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 681,799 USD | (2,145 | ) | ||||||||||||||||||||
Chesapeake Lodging Trust | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 27,289 USD | (1,326 | ) | ||||||||||||||||||||
Chimera Investment Corp. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 2,100 USD | 19 |
See Notes to Consolidated Financial Statements.
207
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2017 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Chipotle Mexican Grill, Inc. | 04/22/19 | M | 0.50% | Morgan Stanley Capital Services LLC | 1,299,411 USD | $ | 13,913 | ||||||||||||||||||||
Chubb Ltd. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 444,886 USD | 985 | |||||||||||||||||||||
Ciena Corp. | 05/14/19 | T | 0.89% | Barclays Bank plc | 27,459,759 USD | 2,610,788 | |||||||||||||||||||||
Cigna Corp. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 22,746 USD | (434 | ) | ||||||||||||||||||||
Cimarex Energy Co. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 457,457 USD | (19,844 | ) | ||||||||||||||||||||
Cimpress NV | 04/22/19 | M | 0.59% | Morgan Stanley Capital Services LLC | 21,029 USD | 130 | |||||||||||||||||||||
CInc.innati Financial Corp. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 382,364 USD | (2,707 | ) | ||||||||||||||||||||
Cincinnati Bell, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 186,435 USD | (2,378 | ) | ||||||||||||||||||||
Circor International, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 188,453 USD | (13,700 | ) | ||||||||||||||||||||
Cirrus Logic, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 105,942 USD | 4,848 | |||||||||||||||||||||
Cit Group, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 45,066 USD | (2,855 | ) | ||||||||||||||||||||
Citigroup, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 287,621 USD | (15,414 | ) | ||||||||||||||||||||
Citizens Financial Group | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 151,185 USD | (9,573 | ) | ||||||||||||||||||||
Citrix Systems, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 134,469 USD | (965 | ) | ||||||||||||||||||||
Clearside Biomedical, Inc. | 04/22/19 | M | 1.65% | Morgan Stanley Capital Services LLC | 128,916 USD | (18,606 | ) | ||||||||||||||||||||
Cleveland Cliffs, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 544,994 USD | (1,474 | ) | ||||||||||||||||||||
Clovis Oncology, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 285,104 USD | (29,087 | ) | ||||||||||||||||||||
Cms Energy Corp. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 272,804 USD | 6,973 | |||||||||||||||||||||
CNA Financial Corp. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 39,749 USD | (1,355 | ) | ||||||||||||||||||||
CNO Financial Group, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 92,249 USD | (2,884 | ) | ||||||||||||||||||||
CNP Assurances | 03/28/18 | M | 0.40% | Credit Suisse Securities (Europe) Limited | 516,827 EUR | (13,057 | ) | ||||||||||||||||||||
CNP Assurances | 05/16/18 | M | 1.92% | JPMorgan Chase Bank, N.A. | 970,750 EUR | (24,524 | ) | ||||||||||||||||||||
Coca Cola Co. | 03/16/18 | M | 1.23% | Credit Suisse Securities (Europe) Limited | 341,652 USD | 6,687 | |||||||||||||||||||||
Coeur Mining, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 744,434 USD | 6,918 | |||||||||||||||||||||
Cognex Corp. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 41,046 USD | 132 |
See Notes to Consolidated Financial Statements.
208
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2017 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Cognizant Technology Solutions Corp. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 304,955 USD | $ | (3,049 | ) | |||||||||||||||||||
Coherent, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 428,731 USD | 26,825 | |||||||||||||||||||||
Coherus Biosciences, Inc. | 04/22/19 | M | 0.40% | Morgan Stanley Capital Services LLC | 520,885 USD | (12,541 | ) | ||||||||||||||||||||
Colfax Corp. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 184,112 USD | (894 | ) | ||||||||||||||||||||
Collegium Pharmaceutical, Inc. | 04/22/19 | M | 3.70% | Morgan Stanley Capital Services LLC | 15,754 USD | 134 | |||||||||||||||||||||
Comcast Corp. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 322,325 USD | (8,795 | ) | ||||||||||||||||||||
Comerica, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 56,408 USD | (5,667 | ) | ||||||||||||||||||||
Commerzbank AG | 03/28/18 | M | 0.40% | Credit Suisse Securities (Europe) Limited | 1,838,037 EUR | (129,228 | ) | ||||||||||||||||||||
Commerzbank AG | 10/10/18 | M | 0.67% | JPMorgan Chase Bank, N.A. | 3,207,000 EUR | (290,747 | ) | ||||||||||||||||||||
Commscope Holding Co, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 6,852 USD | (122 | ) | ||||||||||||||||||||
Compagnie Financiere Richemont SA | 03/28/18 | M | 0.79% | Credit Suisse Securities (Europe) Limited | 362,337 CHF | (4,276 | ) | ||||||||||||||||||||
Compass Group PLC | 03/28/18 | M | 0.25% | Credit Suisse Securities (Europe) Limited | 255,212 GBP | 1,720 | |||||||||||||||||||||
Conagra Brands, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 89,693 USD | 45 | |||||||||||||||||||||
Concho Resources, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 789,204 USD | (44,716 | ) | ||||||||||||||||||||
Conocophillips | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 305,041 USD | (16,981 | ) | ||||||||||||||||||||
Consol Energy, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 81,783 USD | (5,102 | ) | ||||||||||||||||||||
Consolidated Edison, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 1,304,597 USD | 26,545 | |||||||||||||||||||||
Constellation Brands, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 505,053 USD | 7,425 | |||||||||||||||||||||
Continental Building Product | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 17,872 USD | (1,056 | ) | ||||||||||||||||||||
Continental Resources, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 1,239,109 USD | (68,071 | ) | ||||||||||||||||||||
Cooper Standard Holding | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 21,771 USD | 200 | |||||||||||||||||||||
Cooper Tire + Rubber | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 117,203 USD | (10,779 | ) | ||||||||||||||||||||
Core Mark Holding Co., Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 84,435 USD | (7,775 | ) | ||||||||||||||||||||
Corecivic, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 144,137 USD | (4,651 | ) |
See Notes to Consolidated Financial Statements.
209
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2017 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Corenergy Infrastructure Trust | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 11,400 USD | $ | (655 | ) | |||||||||||||||||||
Cornerstone Ondemand, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 358,318 USD | 2,574 | |||||||||||||||||||||
Corvus Pharmaceuticals, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 141,903 USD | 9,219 | |||||||||||||||||||||
Costco Wholesale Corp. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 730,747 USD | (11,187 | ) | ||||||||||||||||||||
Coty, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 251,619 USD | 4,925 | |||||||||||||||||||||
Coupa Software, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 521,207 USD | 1,126 | |||||||||||||||||||||
Cousins Properties, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 35,938 USD | (310 | ) | ||||||||||||||||||||
Cowen, Inc. | 04/22/19 | M | 0.65% | Morgan Stanley Capital Services LLC | 192,234 USD | (12,662 | ) | ||||||||||||||||||||
Craft Brew Alliance, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 84,476 USD | (1,221 | ) | ||||||||||||||||||||
Crawford + Co. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 67,952 USD | (6,607 | ) | ||||||||||||||||||||
Credit Suisse Group AG REG | 10/16/18 | M | 1.09% | JPMorgan Chase Bank, N.A. | 661,026 CHF | (16,184 | ) | ||||||||||||||||||||
Crown Holdings, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 74,092 USD | 278 | |||||||||||||||||||||
CSX Corp. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 564,531 USD | (16,105 | ) | ||||||||||||||||||||
Cubesmart | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 27,625 USD | 367 | |||||||||||||||||||||
Cubic Corp. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 73,399 USD | (11,006 | ) | ||||||||||||||||||||
Cullen Frost Bankers, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 3,009 USD | (123 | ) | ||||||||||||||||||||
Cummins Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 322,342 USD | (1,788 | ) | ||||||||||||||||||||
CVR Energy, Inc. | 04/22/19 | M | 1.00% | Morgan Stanley Capital Services LLC | 37,561 USD | (1,185 | ) | ||||||||||||||||||||
CVS Health Corp. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 637,154 USD | 10,258 | |||||||||||||||||||||
Cyberoptics Corp. | 04/22/19 | M | 0.05% | Morgan Stanley Capital Services LLC | 38,912 USD | (608 | ) | ||||||||||||||||||||
Cytokinetics, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 207,088 USD | (4,989 | ) | ||||||||||||||||||||
Cytomx Therapeutics, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 43,829 USD | (2,178 | ) | ||||||||||||||||||||
Daimler AG | 03/28/18 | M | 0.40% | Credit Suisse Securities (Europe) Limited | 854,691 EUR | (18,602 | ) | ||||||||||||||||||||
Danaher Corp. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 71,402 USD | 1,491 |
See Notes to Consolidated Financial Statements.
210
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2017 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Darden Restaurants, Inc. | 09/25/19 | T | 0.89% | Barclays Bank plc | 9,971,486 USD | $ | 501,815 | ||||||||||||||||||||
Darden Restaurants, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 177,821 USD | 7,183 | |||||||||||||||||||||
Darling Ingredients, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 50,056 USD | 1,281 | |||||||||||||||||||||
Davita, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 18,363 USD | 189 | |||||||||||||||||||||
DDR Corp. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 179,843 USD | 15,631 | |||||||||||||||||||||
Deckers Outdoor Corp. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 102,930 USD | (5,637 | ) | ||||||||||||||||||||
Deere + Co. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 412,181 USD | (13,946 | ) | ||||||||||||||||||||
Dell Technologies, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 84,139 USD | (251 | ) | ||||||||||||||||||||
Delphi Automotive PLC | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 824,645 USD | 12,156 | |||||||||||||||||||||
Delta Air Lines, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 584,157 USD | 1,032 | |||||||||||||||||||||
Depomed, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 58,359 USD | 3,771 | |||||||||||||||||||||
Dermira, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 583,742 USD | (13,714 | ) | ||||||||||||||||||||
Deutsche Telekom AG | 02/21/18 | M | 0.67% | JPMorgan Chase Bank, N.A. | 3,891,217 EUR | (239,070 | ) | ||||||||||||||||||||
Deutsche Telekom AG | 03/28/18 | M | 0.40% | Credit Suisse Securities (Europe) Limited | 2,234,737 EUR | (81,184 | ) | ||||||||||||||||||||
Deutsche Wohnen AG | 03/28/18 | M | 0.40% | Credit Suisse Securities (Europe) Limited | 1,267,477 EUR | (6,703 | ) | ||||||||||||||||||||
Devon Energy Corp. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 729,096 USD | (61,270 | ) | ||||||||||||||||||||
Dexcom, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 939,888 USD | 143,046 | |||||||||||||||||||||
Diamondback Energy, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 884,323 USD | (29,644 | ) | ||||||||||||||||||||
Dick’s Sporting Goods, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 426,874 USD | 9,705 | |||||||||||||||||||||
Dineequity, Inc. | 04/22/19 | M | 0.60% | Morgan Stanley Capital Services LLC | 37,309 USD | 89 | |||||||||||||||||||||
Diplomat Pharmacy, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 364,017 USD | (15,328 | ) | ||||||||||||||||||||
Discover Financial Services | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 84,658 USD | (327 | ) | ||||||||||||||||||||
Discovery Communications | 08/06/18 | M | 0.95% | Deutsche Bank AG | 1,413,089 USD | 125,445 | |||||||||||||||||||||
Discovery Communications, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 503,050 USD | 14,125 |
See Notes to Consolidated Financial Statements.
211
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2017 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Dish Network Corp. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 1,061,539 USD | $ | (25,230 | ) | |||||||||||||||||||
Distribuidora Internacional | 03/28/18 | M | 0.40% | Credit Suisse Securities (Europe) Limited | 1,683,867 EUR | 104,685 | |||||||||||||||||||||
Dollar General Corp. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 745,106 USD | (31,191 | ) | ||||||||||||||||||||
Dollar Tree, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 937,593 USD | (33,575 | ) | ||||||||||||||||||||
Dominion Energy, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 1,010,574 USD | 22,715 | |||||||||||||||||||||
Donnelley Financial Solution | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 199,947 USD | (4,506 | ) | ||||||||||||||||||||
Dorman Products, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 171,423 USD | (8,415 | ) | ||||||||||||||||||||
Dover Corp. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 103,782 USD | (586 | ) | ||||||||||||||||||||
DST Systems, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 24,729 USD | (570 | ) | ||||||||||||||||||||
DTE Energy Company | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 523,660 USD | 12,090 | |||||||||||||||||||||
Duke Energy Corp. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 479,817 USD | 3,319 | |||||||||||||||||||||
Duke Realty Corp. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 68,602 USD | 1,740 | |||||||||||||||||||||
DXC Technology Co. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 235,206 USD | (2,081 | ) | ||||||||||||||||||||
DXP Enterprises, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 275,754 USD | (13,922 | ) | ||||||||||||||||||||
Dycom Industries, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 465,672 USD | (30,457 | ) | ||||||||||||||||||||
Dynegy, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 393,665 USD | (17,074 | ) | ||||||||||||||||||||
E. W. Scripps Co. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 260,639 USD | (18,711 | ) | ||||||||||||||||||||
Eagle Pharmaceuticals, Inc. | 04/22/19 | M | 0.20% | Morgan Stanley Capital Services LLC | 217,284 USD | (759 | ) | ||||||||||||||||||||
Earthstone Energy, Inc. | 04/22/19 | M | 1.65% | Morgan Stanley Capital Services LLC | 35,678 USD | (3,029 | ) | ||||||||||||||||||||
Eastman Chemical Co. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 91,907 USD | (2,383 | ) | ||||||||||||||||||||
Ebay, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 561,755 USD | (1,453 | ) | ||||||||||||||||||||
Echo Global Logistics, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 38,274 USD | (4,799 | ) | ||||||||||||||||||||
Eclipse Resources Corp. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 157,654 USD | (8,528 | ) | ||||||||||||||||||||
Ecolab, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 396,151 USD | 5,691 |
See Notes to Consolidated Financial Statements.
212
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2017 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Edgewell Personal Care Co. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 100,766 USD | $ | 1,799 | ||||||||||||||||||||
Edison International | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 555,415 USD | 16,383 | |||||||||||||||||||||
Editas Medicine, Inc. | 04/22/19 | M | 2.05% | Morgan Stanley Capital Services LLC | 200,124 USD | (29,340 | ) | ||||||||||||||||||||
EDP Energias De Portugal SA | 03/28/18 | M | 0.40% | Credit Suisse Securities (Europe) Limited | 335,602 EUR | 22,219 | |||||||||||||||||||||
Edwards Lifesciences Corp. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 256,325 USD | 6,333 | |||||||||||||||||||||
Ehealth, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 147,213 USD | (4,178 | ) | ||||||||||||||||||||
Eldorado Resorts, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 363,156 USD | (11,488 | ) | ||||||||||||||||||||
Electronic Arts, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 341,318 USD | 597 | |||||||||||||||||||||
Electronics for Imaging | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 512,601 USD | (10,187 | ) | ||||||||||||||||||||
Elisa Oyj | 03/28/18 | M | 0.40% | Credit Suisse Securities (Europe) Limited | 1,716,258 EUR | (28,236 | ) | ||||||||||||||||||||
Ellie Mae, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 428,962 USD | 13,055 | |||||||||||||||||||||
Emerald Expositions Events, Inc. | 04/22/19 | M | 0.05% | Morgan Stanley Capital Services LLC | 25,841 USD | (838 | ) | ||||||||||||||||||||
Employers Holdings, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 25,565 USD | (2,569 | ) | ||||||||||||||||||||
Enagas SA | 03/28/18 | M | 0.40% | Credit Suisse Securities (Europe) Limited | 441,038 EUR | 2,606 | |||||||||||||||||||||
Encore Capital Group, Inc. | 04/22/19 | M | 0.05% | Morgan Stanley Capital Services LLC | 74,086 USD | (72 | ) | ||||||||||||||||||||
Endesa SA | 03/28/18 | M | 0.40% | Credit Suisse Securities (Europe) Limited | 282,973 EUR | 14,874 | |||||||||||||||||||||
Endologix, Inc. | 04/22/19 | M | 0.40% | Morgan Stanley Capital Services LLC | 161,167 USD | 1,423 | |||||||||||||||||||||
Endurance International Group Holdings, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 127,165 USD | (10,948 | ) | ||||||||||||||||||||
Energen Corp. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 404,782 USD | (14,668 | ) | ||||||||||||||||||||
Energizer Holdings, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 276,423 USD | 4,498 | |||||||||||||||||||||
Energy Recovery, Inc. | 04/22/19 | M | 0.25% | Morgan Stanley Capital Services LLC | 431,360 USD | (62,516 | ) | ||||||||||||||||||||
Enersys | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 26,049 USD | (374 | ) | ||||||||||||||||||||
Engility Holdings, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 150,872 USD | (25,476 | ) |
See Notes to Consolidated Financial Statements.
213
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2017 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Enova International, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 82,273 USD | $ | (2,086 | ) | |||||||||||||||||||
Enstar Group Ltd. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 47,822 USD | (1,762 | ) | ||||||||||||||||||||
Entergy Corp. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 163,323 USD | (11 | ) | ||||||||||||||||||||
Entravision Communications | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 33,402 USD | — | |||||||||||||||||||||
Envision Healthcare Corp. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 91,115 USD | 2,294 | |||||||||||||||||||||
Eog Resources, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 672,362 USD | (18,071 | ) | ||||||||||||||||||||
EPR Properties | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 33,387 USD | (18 | ) | ||||||||||||||||||||
EQT Corp. | 08/06/18 | M | 0.95% | Deutsche Bank AG | 4,946,236 USD | (436,130 | ) | ||||||||||||||||||||
EQT Corp. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 398,996 USD | (3,143 | ) | ||||||||||||||||||||
Equifax, Inc. | 09/17/19 | T | 0.89% | Barclays Bank plc | 4,561,876 USD | 81,043 | |||||||||||||||||||||
Equifax, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 564,269 USD | (41,676 | ) | ||||||||||||||||||||
Ericsson LM | 03/28/18 | M | 0.52% | Credit Suisse Securities (Europe) Limited | 3,929,896 SEK | (9,038 | ) | ||||||||||||||||||||
Ericsson LM | 03/13/18 | M | 0.81% | JPMorgan Chase Bank, N.A. | 4,591,000 SEK | (10,559 | ) | ||||||||||||||||||||
Erste Group Bank AG | 03/28/18 | M | 0.40% | Credit Suisse Securities (Europe) Limited | 2,035,249 EUR | (28,309 | ) | ||||||||||||||||||||
Esperion Therapeutics, Inc. | 04/22/19 | M | 0.30% | Morgan Stanley Capital Services LLC | 91,759 USD | (1,063 | ) | ||||||||||||||||||||
Essilor International S.A. | 03/28/18 | M | 0.40% | Credit Suisse Securities (Europe) Limited | 167,107 EUR | 2,513 | |||||||||||||||||||||
Essilor International S.A. | 03/13/18 | M | 0.67% | JPMorgan Chase Bank, N.A. | 2,122,000 EUR | 31,911 | |||||||||||||||||||||
Essilor International S.A. | 07/06/18 | M | 0.35% | Morgan Stanley Capital Services LLC | 3,101,318 EUR | 203,887 | |||||||||||||||||||||
Estee Lauder Companies | 06/06/18 | T | 0.83% | Skandinaviska Enskilda Banken AB (publ) | 13,413,653 USD | (1,523,049 | ) | ||||||||||||||||||||
Estee Lauder Companies | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 152,324 USD | 916 | |||||||||||||||||||||
Esterline Technologies Corp. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 43,630 USD | (2,346 | ) | ||||||||||||||||||||
Etsy, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 194,024 USD | 3,027 | |||||||||||||||||||||
Euro Stoxx Banks Index | 12/19/17 | �� | 0 | 0.00% | Credit Suisse Securities (Europe) Limited | 1,422,132 EUR | (20,116 | ) |
See Notes to Consolidated Financial Statements.
214
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2017 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Everbridge, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 97,196 USD | $ | (12,077 | ) | |||||||||||||||||||
Everest Group Ltd. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 274,087 USD | (1,352 | ) | ||||||||||||||||||||
Eversource Energy | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 712,320 USD | 8,376 | |||||||||||||||||||||
Evolent Health, Inc. | 04/22/19 | M | 0.45% | Morgan Stanley Capital Services LLC | 4,537 USD | (145 | ) | ||||||||||||||||||||
Evonik Industries AG | 03/28/18 | M | 0.40% | Credit Suisse Securities (Europe) Limited | 281,755 EUR | (13,770 | ) | ||||||||||||||||||||
Exact Sciences Corp. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 237,262 USD | (16,008 | ) | ||||||||||||||||||||
Exelixis, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 394,128 USD | 26,147 | |||||||||||||||||||||
Exelon Corp. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 393,788 USD | (2,500 | ) | ||||||||||||||||||||
Expedia, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 437,097 USD | (3,215 | ) | ||||||||||||||||||||
Express Scripts Holding Co. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 137,634 USD | (2,493 | ) | ||||||||||||||||||||
Express, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 183,903 USD | (4,173 | ) | ||||||||||||||||||||
Exterran Corp. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 121,173 USD | (7,321 | ) | ||||||||||||||||||||
Extra Space Storage, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 8,608 USD | (23 | ) | ||||||||||||||||||||
Extraction Oil & Gas, Inc. | 04/22/19 | M | 0.50% | Morgan Stanley Capital Services LLC | 470,397 USD | (54,587 | ) | ||||||||||||||||||||
Exxon Mobil Corp. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 193,389 USD | (3,282 | ) | ||||||||||||||||||||
EZCorp, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 75,115 USD | (799 | ) | ||||||||||||||||||||
Fabrinet | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 252,033 USD | 3,250 | |||||||||||||||||||||
Facebook, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 656,704 USD | (1,658 | ) | ||||||||||||||||||||
FactSet Research Systems Inc. | 06/06/18 | T | 0.83% | Skandinaviska Enskilda Banken AB (publ) | 19,019,031 USD | (1,340,424 | ) | ||||||||||||||||||||
Fairmount Santrol Holdings | 04/22/19 | M | 2.05% | Morgan Stanley Capital Services LLC | 295,299 USD | (113,840 | ) | ||||||||||||||||||||
Fastenal Co. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 130,867 USD | (4,915 | ) | ||||||||||||||||||||
FBL Financial Group, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 13,707 USD | (597 | ) | ||||||||||||||||||||
Federal Realty Investment Trust | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 3,723 USD | (3 | ) | ||||||||||||||||||||
Federated Investors, Inc. | 04/22/19 | M | 0.65% | Morgan Stanley Capital Services LLC | 86,366 USD | (5,080 | ) |
See Notes to Consolidated Financial Statements.
215
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2017 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Federated National Holding Co. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 324,637 USD | $ | (30,053 | ) | |||||||||||||||||||
Ferro Corp. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 206,314 USD | (11,936 | ) | ||||||||||||||||||||
Fiat Chrysler Automoblies NV | 04/04/18 | M | 0.40% | Credit Suisse Securities (Europe) Limited | 436,137 EUR | (47,536 | ) | ||||||||||||||||||||
Fibrogen, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 352,511 USD | (8,917 | ) | ||||||||||||||||||||
Fidelity & Guaranty Life Insurance Co. | 04/22/19 | M | 1.00% | Morgan Stanley Capital Services LLC | 10,764 USD | 52 | |||||||||||||||||||||
Fifth Third Bancorp | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 71,790 USD | (3,952 | ) | ||||||||||||||||||||
Financial Engines, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 7,612 USD | (693 | ) | ||||||||||||||||||||
Finisar Corporation | 09/10/18 | T | 0.83% | Skandinaviska Enskilda Banken AB (publ) | 9,876,023 USD | (104,601 | ) | ||||||||||||||||||||
Finisar Corporation | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 243,894 USD | (3,346 | ) | ||||||||||||||||||||
FireEye, Inc. | 04/22/19 | M | 0.15% | Morgan Stanley Capital Services LLC | 78,654 USD | 2,586 | |||||||||||||||||||||
First American Financial | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 117,012 USD | (1,417 | ) | ||||||||||||||||||||
First Bancorp Puerto Rico | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 34,483 USD | 3,671 | |||||||||||||||||||||
First Commonwealth Financial Corp. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 6,552 USD | (499 | ) | ||||||||||||||||||||
First Data Corp. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 407,630 USD | (2,076 | ) | ||||||||||||||||||||
First Financial Bancorp | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 1,704 USD | (100 | ) | ||||||||||||||||||||
First Financial BanCorp | 08/06/18 | M | 0.95% | Deutsche Bank AG | 1,117,604 USD | (19,921 | ) | ||||||||||||||||||||
First Horizon National Corp. | 08/06/18 | M | 0.95% | Deutsche Bank AG | 1,661,854 USD | (151,000 | ) | ||||||||||||||||||||
First Interstate BancSystem | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 1,383 USD | (109 | ) | ||||||||||||||||||||
Fitbit, Inc. | 04/22/19 | M | 0.45% | Morgan Stanley Capital Services LLC | 179,723 USD | (9,227 | ) | ||||||||||||||||||||
Five Below | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 576,551 USD | (57,862 | ) | ||||||||||||||||||||
Five Prime Therapeutics, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 125,883 USD | (14,111 | ) | ||||||||||||||||||||
Fleetcor Technologies, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 719,746 USD | (35,842 | ) | ||||||||||||||||||||
Flexion Therapeutics, Inc. | 04/22/19 | M | 1.40% | Morgan Stanley Capital Services LLC | 279,478 USD | (695 | ) | ||||||||||||||||||||
Floor & DeCor Holdings Inc. A | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 366,983 USD | (2,190 | ) | ||||||||||||||||||||
Flotek Industries, Inc. | 04/22/19 | M | 0.40% | Morgan Stanley Capital Services LLC | 236,849 USD | 41,907 |
See Notes to Consolidated Financial Statements.
216
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2017 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Flowserve Corp. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 340,026 USD | $ | (8,530 | ) | |||||||||||||||||||
Fluor Corp. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 466,249 USD | (18,574 | ) | ||||||||||||||||||||
FMC Corp. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 273,856 USD | (236 | ) | ||||||||||||||||||||
FNB Corp | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 1,420 USD | (138 | ) | ||||||||||||||||||||
FNF GROUP | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 24,931 USD | 156 | |||||||||||||||||||||
Foot Locker, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 575,807 USD | 16,865 | |||||||||||||||||||||
Ford Motor Co. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 13,735 USD | (414 | ) | ||||||||||||||||||||
Forest City Realty Trust | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 2,018 USD | (22 | ) | ||||||||||||||||||||
FormFactor, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 257,559 USD | (16,927 | ) | ||||||||||||||||||||
Fortive Corp. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 429,534 USD | (7,169 | ) | ||||||||||||||||||||
Forum Energy Technologies, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 132,618 USD | (17,462 | ) | ||||||||||||||||||||
Fossil Group, Inc. | 04/22/19 | M | 0.10% | Morgan Stanley Capital Services LLC | 95,552 USD | (6,919 | ) | ||||||||||||||||||||
Foundation Building Material | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 110,730 USD | (11,497 | ) | ||||||||||||||||||||
Fox Factory Holding Corp. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 180,568 USD | (6,960 | ) | ||||||||||||||||||||
Francesca’s Holdings Corp. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 304,517 USD | 4,082 | |||||||||||||||||||||
Franklin Financial Network | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 7,953 USD | (639 | ) | ||||||||||||||||||||
Franklin Street Properties Corp. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 2,539 USD | (84 | ) | ||||||||||||||||||||
Freeport-McMoRan, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 903,936 USD | (8,678 | ) | ||||||||||||||||||||
Fresenius SE & Co. KGaA | 07/06/18 | M | 0.35% | Morgan Stanley Capital Services LLC | 1,490,605 EUR | 26,649 | |||||||||||||||||||||
Fresenius SE & Co. Kgaa | 03/28/18 | M | 0.40% | Credit Suisse Securities (Europe) Limited | 188,773 EUR | 1,041 | |||||||||||||||||||||
G-III Apparel Group Ltd. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 629,810 USD | 17,198 | |||||||||||||||||||||
Gain Capital Holdings, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 92,840 USD | — | |||||||||||||||||||||
Gardner Denver Holdings, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 248,567 USD | (24,074 | ) | ||||||||||||||||||||
Gartner, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 305,552 USD | (6,095 | ) | ||||||||||||||||||||
Gas Natural SDG SA | 03/28/18 | M | 0.40% | Credit Suisse Securities (Europe) Limited | 615,657 EUR | 21,209 | |||||||||||||||||||||
GCP Applied Technologies | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 165,598 USD | (3,713 | ) | ||||||||||||||||||||
Generac Holdings, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 267,197 USD | (3,836 | ) |
See Notes to Consolidated Financial Statements.
217
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2017 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
General Communication, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 205,895 USD | $ | (625 | ) | |||||||||||||||||||
General Electric Co. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 18,546 USD | (194 | ) | ||||||||||||||||||||
General Mills, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 319,995 USD | 9,538 | |||||||||||||||||||||
General Motors Co. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 193,009 USD | (6,226 | ) | ||||||||||||||||||||
GenesCo, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 110,491 USD | (1,415 | ) | ||||||||||||||||||||
Genesee & Wyoming, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 31,499 USD | (251 | ) | ||||||||||||||||||||
Genmark Diagnostics, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 6,262 USD | (498 | ) | ||||||||||||||||||||
Gentherm, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 121,039 USD | (12,590 | ) | ||||||||||||||||||||
Genuine Parts Co. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 58,123 USD | (3,572 | ) | ||||||||||||||||||||
Genworth Financial, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 239,897 USD | 8,870 | |||||||||||||||||||||
GGP, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 201,224 USD | 9,683 | |||||||||||||||||||||
Gibraltar Industries, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 177,480 USD | (13,158 | ) | ||||||||||||||||||||
Gigamon, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 382,848 USD | 12,645 | |||||||||||||||||||||
Givaudan REG | 03/28/18 | M | 0.79% | Credit Suisse Securities (Europe) Limited | 536,360 CHF | (22,714 | ) | ||||||||||||||||||||
Glaxosmithkline PLC | 03/28/18 | M | 0.25% | Credit Suisse Securities (Europe) Limited | 191,623 GBP | (6,093 | ) | ||||||||||||||||||||
Global Blood Therapeutics, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 689,396 USD | (67,603 | ) | ||||||||||||||||||||
Global Brass + Copper Holdings | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 62,141 USD | (4,750 | ) | ||||||||||||||||||||
Global Eagle Entertainment, Inc. | 04/22/19 | M | 0.30% | Morgan Stanley Capital Services LLC | 255,184 USD | (19,247 | ) | ||||||||||||||||||||
Global Payments, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 229,491 USD | 5,790 | |||||||||||||||||||||
GoDaddy, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 102,647 USD | 703 | |||||||||||||||||||||
Goodyear Tire & Rubber Co. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 315,800 USD | (7,989 | ) | ||||||||||||||||||||
Grand Canyon Education, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 12,650 USD | (1,337 | ) | ||||||||||||||||||||
Granite Construction, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 80,145 USD | (753 | ) | ||||||||||||||||||||
Gray Television, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 176,823 USD | (23,619 | ) | ||||||||||||||||||||
Great Plains Energy, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 6,742 USD | 15 | |||||||||||||||||||||
Great Western Bancorp, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 2,573 USD | (276 | ) | ||||||||||||||||||||
Greenhill & Co., Inc. | 04/22/19 | M | 0.50% | Morgan Stanley Capital Services LLC | 248,930 USD | (28,904 | ) |
See Notes to Consolidated Financial Statements.
218
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2017 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Greenlight Capital Re, Ltd. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 33,178 USD | $ | (704 | ) | |||||||||||||||||||
Group 1 Automotive, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 11,341 USD | (253 | ) | ||||||||||||||||||||
Groupon, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 499,141 USD | (89,415 | ) | ||||||||||||||||||||
Grubhub, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 14,707 USD | 225 | |||||||||||||||||||||
GTT Communications, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 230,264 USD | (5,971 | ) | ||||||||||||||||||||
Gulfport Energy Corp. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 378,392 USD | (28,061 | ) | ||||||||||||||||||||
Hain Celestial Group, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 338,197 USD | 438 | |||||||||||||||||||||
HalCon Resources Corp. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 264,055 USD | (14,405 | ) | ||||||||||||||||||||
Hanesbrands, Inc. | 04/22/19 | M | 0.60% | Morgan Stanley Capital Services LLC | 284,777 USD | 5,482 | |||||||||||||||||||||
Hanover Insurance Group, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 246,723 USD | (1,030 | ) | ||||||||||||||||||||
Harley Davidson, Inc. | 04/22/19 | M | 0.50% | Morgan Stanley Capital Services LLC | 213,181 USD | 768 | |||||||||||||||||||||
Harsco Corp. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 157,604 USD | (18,542 | ) | ||||||||||||||||||||
Hartford Financial Svervices Group | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 638,687 USD | (12,616 | ) | ||||||||||||||||||||
Hasbro, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 420,674 USD | (7,805 | ) | ||||||||||||||||||||
Hawaiian Holdings, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 250,697 USD | 10,565 | |||||||||||||||||||||
HC2 Holdings, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 32,569 USD | (1,962 | ) | ||||||||||||||||||||
HCI Group, Inc. | 04/22/19 | M | 0.25% | Morgan Stanley Capital Services LLC | 289,353 USD | (5,593 | ) | ||||||||||||||||||||
HCP, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 169,544 USD | 9,326 | |||||||||||||||||||||
HD Supply Holdings, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 474,890 USD | (52,814 | ) | ||||||||||||||||||||
Healthcare Trust of America, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 9,220 USD | 400 | |||||||||||||||||||||
Healthstream, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 7,139 USD | 58 | |||||||||||||||||||||
Hecla Mining Co. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 255,889 USD | 2,023 | |||||||||||||||||||||
Hennes & Mauritz AB | 03/28/18 | M | 0.52% | Credit Suisse Securities (Europe) Limited | 21,318,731 SEK | 72,371 | |||||||||||||||||||||
Hennes & Mauritz AB | 10/10/18 | M | 0.81% | JPMorgan Chase Bank, N.A. | 21,700,000 SEK | 73,666 |
See Notes to Consolidated Financial Statements.
219
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2017 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Herc Holdings, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 408,544 USD | $ | (35,296 | ) | |||||||||||||||||||
Heron Therapeutics, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 460,383 USD | (22,421 | ) | ||||||||||||||||||||
Hersha Hospitality Trust | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 11,654 USD | (165 | ) | ||||||||||||||||||||
Hershey Co. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 116,649 USD | (1,473 | ) | ||||||||||||||||||||
Hertz Global Holdings, Inc. | 04/22/19 | M | 0.85% | Morgan Stanley Capital Services LLC | 602,695 USD | (40,155 | ) | ||||||||||||||||||||
Hess Corp. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 201,851 USD | (16,047 | ) | ||||||||||||||||||||
HFF, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 148,760 USD | (8,887 | ) | ||||||||||||||||||||
Hibbett Sports, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 22,963 USD | (663 | ) | ||||||||||||||||||||
Hilton Worldwide Holdings, Inc. | 03/16/18 | M | 1.23% | Credit Suisse Securities (Europe) Limited | 1,284,960 USD | (54,384 | ) | ||||||||||||||||||||
Hologic, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 18,419 USD | 404 | |||||||||||||||||||||
Home Depot, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 361,229 USD | (10,379 | ) | ||||||||||||||||||||
HomeStreet, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 8,358 USD | (633 | ) | ||||||||||||||||||||
Horace Mann Educators | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 66,224 USD | (2,009 | ) | ||||||||||||||||||||
Horizon Global Corp. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 546,181 USD | (20,133 | ) | ||||||||||||||||||||
Horizon Pharma PLC | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 247,032 USD | (11,145 | ) | ||||||||||||||||||||
Hormel Foods Corp. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 318,413 USD | (4,916 | ) | ||||||||||||||||||||
Hospitality Properties Trust | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 8,444 USD | (18 | ) | ||||||||||||||||||||
Host Hotels & Resorts, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 25,568 USD | (336 | ) | ||||||||||||||||||||
Hostess Brands, Inc. | 04/22/19 | M | 0.60% | Morgan Stanley Capital Services LLC | 424,734 USD | (5,993 | ) | ||||||||||||||||||||
Houghton Mifflin Harcourt Co. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 237,473 USD | (20,324 | ) | ||||||||||||||||||||
Howard Hughes Corp. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 470,718 USD | (1,945 | ) | ||||||||||||||||||||
HRG Group, Inc . | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 345,487 USD | (9,157 | ) | ||||||||||||||||||||
HSBC Holdings PLC | 03/13/18 | M | 0.05% | JPMorgan Chase Bank, N.A. | 5,811,505 GBP | (320,076 | ) | ||||||||||||||||||||
HSBC Holdings PLC | 03/28/18 | M | 0.25% | Credit Suisse Securities (Europe) Limited | 5,267,534 GBP | (290,116 | ) | ||||||||||||||||||||
Hub Group, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 127,308 USD | (11,119 | ) |
See Notes to Consolidated Financial Statements.
220
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2017 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Hudson Technologies, Inc. | 04/22/19 | M | 0.60% | Morgan Stanley Capital Services LLC | 98,763 USD | $ | 14,556 | ||||||||||||||||||||
Humana, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 12,738 USD | (175 | ) | ||||||||||||||||||||
Huntington Bancshares, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 94,335 USD | (8,872 | ) | ||||||||||||||||||||
Huntington Ingalls Industries | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 227,966 USD | (11,381 | ) | ||||||||||||||||||||
Huntsman Corp. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 1,418 USD | (8 | ) | ||||||||||||||||||||
Hyatt Hotels Corp. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 321,744 USD | (4,198 | ) | ||||||||||||||||||||
Iberdrola SA | 03/28/18 | M | 0.40% | Credit Suisse Securities (Europe) Limited | 2,603,115 EUR | 75,871 | |||||||||||||||||||||
IdaCorp. Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 9,767 USD | 6 | |||||||||||||||||||||
IES Holdings, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 89,232 USD | (2,112 | ) | ||||||||||||||||||||
IHS Markit Ltd. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 286,979 USD | 1,076 | |||||||||||||||||||||
II VI, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 17,774 USD | (126 | ) | ||||||||||||||||||||
Illinois Tool Works | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 388,744 USD | (1,870 | ) | ||||||||||||||||||||
Illumina, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 446,475 USD | 15,406 | |||||||||||||||||||||
IMAX Corp. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 419,104 USD | (11,404 | ) | ||||||||||||||||||||
Impax Laboratories, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 411,915 USD | 8,919 | |||||||||||||||||||||
Imperva, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 43,879 USD | 696 | |||||||||||||||||||||
INC Research Holdings, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 96,001 USD | 1,286 | |||||||||||||||||||||
Incyte Corp. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 806,928 USD | 1,539 | |||||||||||||||||||||
Infineon Technologies AG | 03/28/18 | M | 0.40% | Credit Suisse Securities (Europe) Limited | 430,502 EUR | (18,983 | ) | ||||||||||||||||||||
Infinera Corp. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 29,153 USD | (1,742 | ) | ||||||||||||||||||||
Infinity Property & Casualty | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 1,476 USD | (31 | ) | ||||||||||||||||||||
ING Groep NV | 03/28/18 | M | 0.40% | Credit Suisse Securities (Europe) Limited | 1,661,363 EUR | (53,992 | ) | ||||||||||||||||||||
Ingenico Group | 03/27/18 | 3M | 0.40% | Credit Suisse Securities (Europe) Limited | 708,319 EUR | 4,446 | |||||||||||||||||||||
Ingersoll Rand PLC | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 288,279 USD | 1,063 | |||||||||||||||||||||
Ingevity Corp. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 482,429 USD | (22,454 | ) |
See Notes to Consolidated Financial Statements.
221
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2017 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Innogy SE | 03/28/18 | M | 0.40% | Credit Suisse Securities (Europe) Limited | 161,222 EUR | $ | (4,560 | ) | |||||||||||||||||||
Inovalon Holdings, Inc. | 04/22/19 | M | 0.85% | Morgan Stanley Capital Services LLC | 34,907 USD | (625 | ) | ||||||||||||||||||||
Inphi Corp. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 515,817 USD | 3,896 | |||||||||||||||||||||
Insmed, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 501,345 USD | (47,920 | ) | ||||||||||||||||||||
Installed Building Products | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 400,535 USD | (43,345 | ) | ||||||||||||||||||||
Insteel Industries, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 126,613 USD | (6,313 | ) | ||||||||||||||||||||
Insulet Corp. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 86,737 USD | 6,100 | |||||||||||||||||||||
Integrated Device Technology, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 46,716 USD | 1,637 | |||||||||||||||||||||
Intel Corp. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 161,183 USD | (4,351 | ) | ||||||||||||||||||||
Intellia Therapeutics, Inc. | 04/22/19 | M | 1.25% | Morgan Stanley Capital Services LLC | 499,113 USD | (46,195 | ) | ||||||||||||||||||||
Intelsat SA | 04/22/19 | M | 0.25% | Morgan Stanley Capital Services LLC | 369,204 USD | (2,895 | ) | ||||||||||||||||||||
Intercept Pharmaceuticals, Inc. | 04/22/19 | M | 1.25% | Morgan Stanley Capital Services LLC | 285,399 USD | 110,815 | |||||||||||||||||||||
Interdigital, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 80,138 USD | 783 | |||||||||||||||||||||
International Business Machines Corp | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 94,188 USD | 31 | |||||||||||||||||||||
International Business Machines Corp. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 166,695 USD | 491 | |||||||||||||||||||||
International Paper Co. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 54,491 USD | 569 | |||||||||||||||||||||
Interpublic Group of Cos., Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 57,622 USD | (1,899 | ) | ||||||||||||||||||||
Intra-Cellular Therapies, Inc. | 04/22/19 | M | 0.60% | Morgan Stanley Capital Services LLC | 243,969 USD | 42,316 | |||||||||||||||||||||
Intrexon Corp. | 04/22/19 | M | 2.05% | Morgan Stanley Capital Services LLC | 29,152 USD | 542 | |||||||||||||||||||||
Intuit, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 113,051 USD | 1,613 | |||||||||||||||||||||
Intuitive Surgical, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 10,361 USD | (97 | ) | ||||||||||||||||||||
Investors Bancorp, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 15,828 USD | (417 | ) | ||||||||||||||||||||
Invitae Corp. | 04/22/19 | M | 1.15% | Morgan Stanley Capital Services LLC | 50,591 USD | (1,731 | ) | ||||||||||||||||||||
Ionis Pharmaceuticals, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 569,956 USD | 70,916 |
See Notes to Consolidated Financial Statements.
222
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2017 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Iovance Biotherapeutics, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 318,905 USD | $ | 171 | ||||||||||||||||||||
iRhythm Technologies, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 263,608 USD | (17,271 | ) | ||||||||||||||||||||
Iridium Communications, Inc. | 04/22/19 | M | 0.20% | Morgan Stanley Capital Services LLC | 1,576 USD | (31 | ) | ||||||||||||||||||||
iRobot Corp. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 205,328 USD | 6,744 | |||||||||||||||||||||
Ironwood Pharmaceuticals, Inc. | 04/22/19 | M | 0.60% | Morgan Stanley Capital Services LLC | 102,665 USD | 2,920 | |||||||||||||||||||||
iShares MSCI Brazil Small Cap Index ETF | 03/16/18 | M | 1.23% | Credit Suisse Securities (Europe) Limited | 1,185,319 USD | 45,389 | |||||||||||||||||||||
J M Smucker Co. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 83,478 USD | 1,108 | |||||||||||||||||||||
J.B. Hunt Transport Services, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 167,903 USD | (5,270 | ) | ||||||||||||||||||||
Jack Henry & Associates, Inc. | 06/11/19 | T | 0.89% | Barclays Bank plc | 19,015,004 USD | 128,678 | |||||||||||||||||||||
Jacobs Engineering Group, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 148,502 USD | (2,476 | ) | ||||||||||||||||||||
Jagged Peak Energy, Inc. | 04/22/19 | M | 0.15% | Morgan Stanley Capital Services LLC | 572,156 USD | (62,747 | ) | ||||||||||||||||||||
JCDecaux SA | 03/28/18 | M | 0.40% | Credit Suisse Securities (Europe) Limited | 21,884 EUR | (1,581 | ) | ||||||||||||||||||||
Jetblue Airways Corp. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 165,714 USD | 6,912 | |||||||||||||||||||||
John Bean Technologies Corp. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 257,097 USD | (13,648 | ) | ||||||||||||||||||||
Johnson Controls International PLC | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 361,074 USD | (1,092 | ) | ||||||||||||||||||||
Johnson Matthey PLC | 03/28/18 | M | 0.25% | Credit Suisse Securities (Europe) Limited | 293,734 GBP | (81,220 | ) | ||||||||||||||||||||
Jones Lang Lasalle, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 388,061 USD | (2,076 | ) | ||||||||||||||||||||
Jounce Therapeutics, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 234,090 USD | (4,440 | ) | ||||||||||||||||||||
JPMorgan Chase & Co. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 228,500 USD | (9,702 | ) | ||||||||||||||||||||
Julius Baer Group Ltd. | 03/28/18 | M | 0.79% | Credit Suisse Securities (Europe) Limited | 1,644,434 CHF | (72,625 | ) | ||||||||||||||||||||
Juno Therapeutics, Inc. | 04/22/19 | M | 0.25% | Morgan Stanley Capital Services LLC | 265,417 USD | (3,967 | ) |
See Notes to Consolidated Financial Statements.
223
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2017 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Kansas City Southern | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 275,198 USD | $ | (2,805 | ) | |||||||||||||||||||
Karyopharm Therapeutics, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 140,387 USD | (14 | ) | ||||||||||||||||||||
KBC Groep NV | 03/28/18 | M | 0.40% | Credit Suisse Securities (Europe) Limited | 332,469 EUR | 2,113 | |||||||||||||||||||||
Keane Group, Inc. | 04/22/19 | M | 0.55% | Morgan Stanley Capital Services LLC | 514,381 USD | (91,971 | ) | ||||||||||||||||||||
Kellogg Co. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 259,922 USD | 9,319 | |||||||||||||||||||||
Kemper Corp. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 1,678 USD | (71 | ) | ||||||||||||||||||||
Kennedy Wilson Holdings Inc. | 08/14/18 | M | 0.95% | Deutsche Bank AG | 67,261 USD | 630 | |||||||||||||||||||||
Kennedy Wilson Holdings Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 166,649 USD | 3,947 | |||||||||||||||||||||
KeyCorp | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 24,712 USD | (1,241 | ) | ||||||||||||||||||||
Keysight Technologies In | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 86,918 USD | (609 | ) | ||||||||||||||||||||
KEYW Holding Corp. | 04/22/19 | M | 0.40% | Morgan Stanley Capital Services LLC | 24,240 USD | (2,456 | ) | ||||||||||||||||||||
Kimberly Clark Corp. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 222,742 USD | (26 | ) | ||||||||||||||||||||
Kimco Realty Corp. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 241,462 USD | 11,750 | |||||||||||||||||||||
Kingfisher PLC | 03/28/18 | M | 0.25% | Credit Suisse Securities (Europe) Limited | 127,958 GBP | (5,636 | ) | ||||||||||||||||||||
Kite Pharma, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 516,549 USD | (2,383 | ) | ||||||||||||||||||||
Kite Realty Group Trust | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 130,307 USD | 2,894 | |||||||||||||||||||||
KLA-Tencor Corp. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 249,424 USD | (12,608 | ) | ||||||||||||||||||||
Kohls Corp. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 43,386 USD | (27 | ) | ||||||||||||||||||||
Koninklijke DSM N.V. | 03/28/18 | M | 0.40% | Credit Suisse Securities (Europe) Limited | 681,747 EUR | (38,776 | ) | ||||||||||||||||||||
Koppers Holdings, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 311,237 USD | (40,011 | ) | ||||||||||||||||||||
Kraft Heinz Co. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 529,300 USD | 13,515 | |||||||||||||||||||||
Kraton Corp. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 165,227 USD | (34,426 | ) | ||||||||||||||||||||
Kratos Defense & Security Solutions, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 49,921 USD | (2,517 | ) | ||||||||||||||||||||
Kroger Co. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 391,966 USD | 19,050 | |||||||||||||||||||||
L Brands Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 328,040 USD | (9,042 | ) |
See Notes to Consolidated Financial Statements.
224
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2017 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
L’ Oreal | 03/28/18 | M | 0.40% | Credit Suisse Securities (Europe) Limited | 1,117,464 EUR | $ | 1,401 | ||||||||||||||||||||
L’Oreal | 05/09/18 | M | 0.67% | JPMorgan Chase Bank, N.A. | 1,789,000 EUR | (11,819 | ) | ||||||||||||||||||||
L3 Technologies, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 83,802 USD | 139 | |||||||||||||||||||||
La Jolla Pharmaceutical Co | 04/22/19 | M | 0.60% | Morgan Stanley Capital Services LLC | 412,166 USD | (35,905 | ) | ||||||||||||||||||||
Lafargeholcim Ltd. | 03/28/18 | M | 0.79% | Credit Suisse Securities (Europe) Limited | 711,785 CHF | 21,434 | |||||||||||||||||||||
Lam Research Corp. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 554,894 USD | (27,797 | ) | ||||||||||||||||||||
Lancaster Colony Corp. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 121,877 USD | (1,006 | ) | ||||||||||||||||||||
Laredo Petroleum, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 568,402 USD | (28,344 | ) | ||||||||||||||||||||
Las Vegas Sands Corp. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 572,987 USD | (7,597 | ) | ||||||||||||||||||||
Lasalle Hotel Properties | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 12,586 USD | (9 | ) | ||||||||||||||||||||
Laureate Education, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 317,333 USD | (3,975 | ) | ||||||||||||||||||||
Lazard Ltd. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 1,376 USD | (116 | ) | ||||||||||||||||||||
LCI Industries | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 66,379 USD | (5,100 | ) | ||||||||||||||||||||
LCNB Corp. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 7,148 USD | (415 | ) | ||||||||||||||||||||
Lear Corp. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 285,253 USD | (5,695 | ) | ||||||||||||||||||||
Legal & General Group PLC | 01/17/18 | 3M | 0.25% | Credit Suisse Securities (Europe) Limited | 390,555 GBP | 2,251 | |||||||||||||||||||||
Legal & General Group PLC | 03/28/18 | M | 0.25% | Credit Suisse Securities (Europe) Limited | 1,938,859 GBP | (86,774 | ) | ||||||||||||||||||||
Legal & General Group PLC | 08/08/18 | M | 0.05% | JPMorgan Chase Bank, N.A. | 3,018,000 GBP | (135,072 | ) | ||||||||||||||||||||
Legg Mason, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 15,281 USD | (404 | ) | ||||||||||||||||||||
LendingClub Corp. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 255,835 USD | 3,703 | |||||||||||||||||||||
LendingTree, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 95,449 USD | (1,842 | ) | ||||||||||||||||||||
Leonardo SpA | 04/04/18 | M | 0.40% | Credit Suisse Securities (Europe) Limited | 267,559 EUR | (20,162 | ) | ||||||||||||||||||||
Level 3 Communications, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 243,521 USD | 1,211 | |||||||||||||||||||||
Lexington Realty Trust | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 1,782 USD | (37 | ) |
See Notes to Consolidated Financial Statements.
225
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2017 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
LGI Homes, Inc. | 04/22/19 | M | 1.25% | Morgan Stanley Capital Services LLC | 159,623 USD | $ | (13,286 | ) | |||||||||||||||||||
Liberty Broadband Corp. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 765,559 USD | 14,568 | |||||||||||||||||||||
Liberty Expedia Holdings | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 211,994 USD | (1,933 | ) | ||||||||||||||||||||
Liberty Interactive Corp. | 08/06/18 | M | 0.95% | Deutsche Bank AG | 2,888,501 USD | 104,577 | |||||||||||||||||||||
Liberty Interactive Corp. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 578,781 USD | (11,058 | ) | ||||||||||||||||||||
Liberty Media Corp. | 04/22/19 | M | 0.25% | Morgan Stanley Capital Services LLC | 1,037,270 USD | 34,744 | |||||||||||||||||||||
Liberty TripAdvisor Holdings, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 389,188 USD | 40,893 | |||||||||||||||||||||
Liberty Ventures | 08/06/18 | M | 0.95% | Deutsche Bank AG | 1,297,698 USD | (113,543 | ) | ||||||||||||||||||||
Life Storage, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 115,791 USD | (1,197 | ) | ||||||||||||||||||||
LInc.oln Electric Holdings | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 177,167 USD | (692 | ) | ||||||||||||||||||||
Lincoln National Corp. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 406,270 USD | (8,378 | ) | ||||||||||||||||||||
Lindblad Expeditions Holdings, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 6,742 USD | 172 | |||||||||||||||||||||
Lions Gate Entertainment Corp. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 390,297 USD | (34,518 | ) | ||||||||||||||||||||
Lithia Motors, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 55,868 USD | (2,362 | ) | ||||||||||||||||||||
Live Nation Entertainment, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 225,715 USD | (4,839 | ) | ||||||||||||||||||||
LKQ Corp. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 185,658 USD | (3,361 | ) | ||||||||||||||||||||
Loews Corp. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 737,300 USD | (4,434 | ) | ||||||||||||||||||||
Logmein, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 324,879 USD | 2,542 | |||||||||||||||||||||
Loral Space & Communications Ltd. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 323,866 USD | (36,296 | ) | ||||||||||||||||||||
Lowe’s Cos, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 741,213 USD | (17,178 | ) | ||||||||||||||||||||
Loxo Oncology, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 680,770 USD | (35,186 | ) | ||||||||||||||||||||
LSC Communications, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 264,255 USD | (3,009 | ) | ||||||||||||||||||||
Lululemon Athletica, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 642,987 USD | (20,660 | ) |
See Notes to Consolidated Financial Statements.
226
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2017 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Lumber Liquidators Holdings | 04/22/19 | M | 0.65% | Morgan Stanley Capital Services LLC | 282,116 USD | $ | (9,845 | ) | |||||||||||||||||||
Lumentum Holdings, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 682,080 USD | 24,554 | |||||||||||||||||||||
LVMH Moet Hennessy Louis Vuitton | 03/28/18 | M | 0.40% | Credit Suisse Securities (Europe) Limited | 1,042,360 EUR | (18,479 | ) | ||||||||||||||||||||
Lydall, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 295,591 USD | (22,482 | ) | ||||||||||||||||||||
LyondellBasell Industries NV | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 518,511 USD | (13,289 | ) | ||||||||||||||||||||
MacDonald Dettwiler & Associates | 08/07/18 | M | 0.83% | Deutsche Bank AG | 1,889,196 CAD | (102,800 | ) | ||||||||||||||||||||
Macerich Co. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 286,388 USD | 2,029 | |||||||||||||||||||||
Mack Cali Realty Corp. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 63,093 USD | (1,304 | ) | ||||||||||||||||||||
Macom Technology Solutions Holdings, Inc. | 04/22/19 | M | 0.60% | Morgan Stanley Capital Services LLC | 665,039 USD | 5,079 | |||||||||||||||||||||
MacroGenics, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 216,180 USD | (12,510 | ) | ||||||||||||||||||||
Macy’s, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 259,672 USD | 7,913 | |||||||||||||||||||||
Maiden Holdings Ltd. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 449,281 USD | (11,485 | ) | ||||||||||||||||||||
Mammoth Energy Services, Inc. | 04/22/19 | M | 0.40% | Morgan Stanley Capital Services LLC | 234,548 USD | (27,828 | ) | ||||||||||||||||||||
Manhattan Associates, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 38,235 USD | 1,487 | |||||||||||||||||||||
Manitowoc Company, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 108,615 USD | (11,400 | ) | ||||||||||||||||||||
Marathon Oil Corp. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 178,503 USD | (10,510 | ) | ||||||||||||||||||||
Marcus & Millichap, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 173,241 USD | (10,021 | ) | ||||||||||||||||||||
Marinemax, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 102,395 USD | (5,544 | ) | ||||||||||||||||||||
Markel Corp. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 19,174 USD | (50 | ) | ||||||||||||||||||||
Marriott International, Inc. | 03/16/18 | M | 1.23% | Credit Suisse Securities (Europe) Limited | 460,554 USD | (21,282 | ) | ||||||||||||||||||||
Marriott International, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 1,090,697 USD | (34,617 | ) | ||||||||||||||||||||
Marsh & Mclennan Cos. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 131,234 USD | (1,437 | ) | ||||||||||||||||||||
Martin Marietta Materials | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 125,428 USD | (5,528 | ) |
See Notes to Consolidated Financial Statements.
227
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2017 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Marvell Technology Group Ltd. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 78,540 USD | $ | 227 | ||||||||||||||||||||
Mastec, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 174,119 USD | (8,094 | ) | ||||||||||||||||||||
Mastercard, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 305,116 USD | 265 | |||||||||||||||||||||
Matador Resources Co. | 04/22/19 | M | 0.60% | Morgan Stanley Capital Services LLC | 763,994 USD | (84,199 | ) | ||||||||||||||||||||
Matrix Service Co. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 72,693 USD | (2,987 | ) | ||||||||||||||||||||
Mattel, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 95,453 USD | (2,737 | ) | ||||||||||||||||||||
Maui Land & Pineapple Co. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 100,655 USD | (4,152 | ) | ||||||||||||||||||||
Maxlinear, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 36,206 USD | (1,390 | ) | ||||||||||||||||||||
Mccormick & Co, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 305,583 USD | (6,443 | ) | ||||||||||||||||||||
McDonald’s Corporation | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 25,845 USD | (7 | ) | ||||||||||||||||||||
McKesson Corp. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 846,094 USD | (15,504 | ) | ||||||||||||||||||||
MDC Partners, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 274,638 USD | (34,979 | ) | ||||||||||||||||||||
MDU Resources Group Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 13,846 USD | 118 | |||||||||||||||||||||
Medical Properties Trust, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 55,672 USD | 211 | |||||||||||||||||||||
Medicines Company | 04/22/19 | M | 0.25% | Morgan Stanley Capital Services LLC | 185,485 USD | (14,864 | ) | ||||||||||||||||||||
Meet Group, Inc. | 04/22/19 | M | 0.65% | Morgan Stanley Capital Services LLC | 81,954 USD | 5,659 | |||||||||||||||||||||
Merck KGaA | 07/06/18 | M | 0.35% | Morgan Stanley Capital Services LLC | 2,689,401 EUR | 150,638 | |||||||||||||||||||||
Mercury General Corp. | 04/22/19 | M | 0.65% | Morgan Stanley Capital Services LLC | 60,149 USD | 58 | |||||||||||||||||||||
Mercury Systems, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 133,110 USD | (12,777 | ) | ||||||||||||||||||||
Meta Financial Group, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 208,398 USD | (8,770 | ) | ||||||||||||||||||||
Methode Electronics, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 9,678 USD | (698 | ) | ||||||||||||||||||||
Metlife, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 437,411 USD | (18,917 | ) | ||||||||||||||||||||
MGE Energy, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 25,874 USD | 163 | |||||||||||||||||||||
MGM Resorts International | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 834,895 USD | (13,911 | ) | ||||||||||||||||||||
Michael Kors Holdings Ltd. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 536,471 USD | (26,389 | ) |
See Notes to Consolidated Financial Statements.
228
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2017 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Michelin | 03/28/18 | M | 0.40% | Credit Suisse Securities (Europe) Limited | 1,023,240 EUR | $ | (35,273 | ) | |||||||||||||||||||
Microchip Technology, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 287,259 USD | (845 | ) | ||||||||||||||||||||
Micron Technology, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 604,533 USD | (66,162 | ) | ||||||||||||||||||||
Microsemi Corp. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 124,382 USD | (4,936 | ) | ||||||||||||||||||||
Microstrategy, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 132,040 USD | (778 | ) | ||||||||||||||||||||
Middleby Corp. | 09/25/19 | T | 0.89% | Barclays Bank plc | 5,788,078 USD | (323,580 | ) | ||||||||||||||||||||
Middleby Corp. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 488,820 USD | (26,808 | ) | ||||||||||||||||||||
Milacron Holdings Corp. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 88,852 USD | (2,765 | ) | ||||||||||||||||||||
Minerals Technologies, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 54,560 USD | (1,536 | ) | ||||||||||||||||||||
Minerva Neurosciences, Inc. | 04/22/19 | M | 0.45% | Morgan Stanley Capital Services LLC | 231,253 USD | (11,164 | ) | ||||||||||||||||||||
Mistras Group, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 10,416 USD | 248 | |||||||||||||||||||||
MKS Instruments, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 179,919 USD | (9,737 | ) | ||||||||||||||||||||
Modine Manufacturing Co. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 311,679 USD | (27,294 | ) | ||||||||||||||||||||
Mohawk Industries, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 123,788 USD | (215 | ) | ||||||||||||||||||||
Molson Coors Brewing Co. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 419,889 USD | 25,160 | |||||||||||||||||||||
Mondelez International, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 914,121 USD | 2,483 | |||||||||||||||||||||
Monro Muffler Brake, Inc. | 04/22/19 | M | 0.50% | Morgan Stanley Capital Services LLC | 103,124 USD | (10,770 | ) | ||||||||||||||||||||
Monsanto Co. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 336,461 USD | (832 | ) | ||||||||||||||||||||
Monster Beverage Corp. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 490,357 USD | 6,975 | |||||||||||||||||||||
Motorcar Parts of America, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 48,176 USD | (4,292 | ) | ||||||||||||||||||||
MRC Global, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 148,235 USD | (4,452 | ) | ||||||||||||||||||||
MSG Networks, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 44,412 USD | 104 | |||||||||||||||||||||
Mueller Industries, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 13,636 USD | (1,043 | ) | ||||||||||||||||||||
Mueller Water Products, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 87,546 USD | (3,782 | ) | ||||||||||||||||||||
Murphy USA, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 231,323 USD | (7,969 | ) |
See Notes to Consolidated Financial Statements.
229
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2017 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Mylan NV | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 252,578 USD | $ | 5,100 | ||||||||||||||||||||
MyoKardia, Inc. | 04/22/19 | M | 0.00% | Morgan Stanley Capital Services LLC | 439,372 USD | 23,513 | |||||||||||||||||||||
MYR Group, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 202,229 USD | (16,758 | ) | ||||||||||||||||||||
National Beverage Corp. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 114,120 USD | (5,216 | ) | ||||||||||||||||||||
National Fuel Gas Co. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 27,524 USD | 1,031 | |||||||||||||||||||||
National General Holdings | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 219,179 USD | (17,594 | ) | ||||||||||||||||||||
National Retail Properties | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 81,721 USD | 2,858 | |||||||||||||||||||||
Natixis | 03/28/18 | M | 0.40% | Credit Suisse Securities (Europe) Limited | 933,546 EUR | (52,590 | ) | ||||||||||||||||||||
Navient Corp. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 159,160 USD | (7,502 | ) | ||||||||||||||||||||
Navistar International Corp. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 125,052 USD | (15,751 | ) | ||||||||||||||||||||
NCI Building Systems, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 85,642 USD | (8,114 | ) | ||||||||||||||||||||
NCS Multistage Holdings, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 212,741 USD | (17,705 | ) | ||||||||||||||||||||
Nektar Therapeutics | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 626,830 USD | (48,122 | ) | ||||||||||||||||||||
Nestle SA | 03/28/18 | M | 0.79% | Credit Suisse Securities (Europe) Limited | 4,598,183 CHF | 18,149 | |||||||||||||||||||||
Netflix, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 1,120,295 USD | 6,443 | |||||||||||||||||||||
Neurocrine Biosciences, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 189,080 USD | (11,060 | ) | ||||||||||||||||||||
Nevro Corp. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 182,548 USD | (5,392 | ) | ||||||||||||||||||||
New Jersey Resources Corp. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 50,063 USD | 831 | |||||||||||||||||||||
New Residential Investment | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 3,323 USD | (40 | ) | ||||||||||||||||||||
New York Community Bancorp | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 93,797 USD | (4,579 | ) | ||||||||||||||||||||
Newell Brands, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 875,743 USD | 5,616 | |||||||||||||||||||||
Newfield Exploration Co. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 748,248 USD | (68,122 | ) | ||||||||||||||||||||
Newmont Mining Corp. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 643,784 USD | 5,288 | |||||||||||||||||||||
Newstar Financial, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 81,437 USD | (5,955 | ) |
See Notes to Consolidated Financial Statements.
230
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2017 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Nexstar Media Group, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 395,514 USD | $ | (25,883 | ) | |||||||||||||||||||
Nextera Energy, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 677,508 USD | 5,429 | |||||||||||||||||||||
NIC, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 21,476 USD | (253 | ) | ||||||||||||||||||||
Nielsen Holdings PLC | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 62,496 USD | (384 | ) | ||||||||||||||||||||
Nike, Inc. | 06/06/18 | T | 0.83% | Skandinaviska Enskilda Banken AB (publ) | 35,783,215 USD | 1,174,014 | |||||||||||||||||||||
Nike, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 447,372 USD | 11,677 | |||||||||||||||||||||
NiSource, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 99,427 USD | 4,002 | |||||||||||||||||||||
NL Industries, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 37,509 USD | (5,935 | ) | ||||||||||||||||||||
NN Group NV | 03/28/18 | M | 0.40% | Credit Suisse Securities (Europe) Limited | 2,913,242 EUR | (176,120 | ) | ||||||||||||||||||||
NN Group NV | 08/08/18 | M | 0.77% | JPMorgan Chase Bank, N.A. | 1,680,500 EUR | (106,371 | ) | ||||||||||||||||||||
Noble Energy, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 199,379 USD | (12,045 | ) | ||||||||||||||||||||
Nordson Corp. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 422,794 USD | (19,211 | ) | ||||||||||||||||||||
Nordstrom, Inc. | 04/22/19 | M | 0.40% | Morgan Stanley Capital Services LLC | 94,807 USD | (106 | ) | ||||||||||||||||||||
Northern Trust Corp. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 10,957 USD | 17 | |||||||||||||||||||||
Northwestern Corp. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 105,741 USD | 1,313 | |||||||||||||||||||||
Novartis AG | 03/28/18 | M | 0.79% | Credit Suisse Securities (Europe) Limited | 1,361,825 CHF | (8,534 | ) | ||||||||||||||||||||
Novo Nordisk A/S | 03/28/18 | M | 0.36% | Credit Suisse Securities (Europe) Limited | 3,308,204 DKK | (874 | ) | ||||||||||||||||||||
Novocure Ltd. | 04/22/19 | M | 0.65% | Morgan Stanley Capital Services LLC | 122,328 USD | 5,510 | |||||||||||||||||||||
Now, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 124,118 USD | (11,704 | ) | ||||||||||||||||||||
NRG Energy, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 849,806 USD | (80,545 | ) | ||||||||||||||||||||
Nuance Communications, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 56,461 USD | 1,976 | |||||||||||||||||||||
Nucor Corp. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 692,250 USD | (23,437 | ) | ||||||||||||||||||||
Nutanix, Inc. | 04/22/19 | M | 1.50% | Morgan Stanley Capital Services LLC | 144,301 USD | (5,555 | ) | ||||||||||||||||||||
Nutrisystem, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 30,663 USD | (3,045 | ) | ||||||||||||||||||||
Nvidia Corp. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 1,057,527 USD | 6,181 |
See Notes to Consolidated Financial Statements.
231
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2017 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
NVR, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 34,376 USD | $ | 116 | ||||||||||||||||||||
O’Reilly Automotive, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 1,442,355 USD | (34,653 | ) | ||||||||||||||||||||
Oasis Petroleum, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 93,642 USD | (9,004 | ) | ||||||||||||||||||||
Occidental Petroleum Corp. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 251,802 USD | (8,827 | ) | ||||||||||||||||||||
Oclaro, Inc. | 04/22/19 | M | 0.45% | Morgan Stanley Capital Services LLC | 659,677 USD | 28,030 | |||||||||||||||||||||
Ocwen Financial Corp. | 04/22/19 | M | 0.20% | Morgan Stanley Capital Services LLC | 286,074 USD | (37,651 | ) | ||||||||||||||||||||
OFG Bancorp | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 3,235 USD | 152 | |||||||||||||||||||||
Oge Energy Corp. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 7,861 USD | 6 | |||||||||||||||||||||
Oil States International Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 22,402 USD | (920 | ) | ||||||||||||||||||||
Old Republic Intl Corp. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 7,717 USD | (22 | ) | ||||||||||||||||||||
Ollie’s Bargain Outlet Holdings, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 256,026 USD | (3,071 | ) | ||||||||||||||||||||
Omega Healthcare Investors, Inc. | 04/22/19 | M | 0.30% | Morgan Stanley Capital Services LLC | 98,057 USD | 2,806 | |||||||||||||||||||||
Omnicom Group | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 411,997 USD | 1,501 | |||||||||||||||||||||
Omnova Solutions, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 5,085 USD | (1,102 | ) | ||||||||||||||||||||
On Deck Capital, Inc. | 04/22/19 | M | 0.45% | Morgan Stanley Capital Services LLC | 253,297 USD | (4,977 | ) | ||||||||||||||||||||
On Semiconductor Corp. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 462,613 USD | (28,153 | ) | ||||||||||||||||||||
OneMain Holdings, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 356,515 USD | (5,275 | ) | ||||||||||||||||||||
Opus Bank | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 355,853 USD | (34,123 | ) | ||||||||||||||||||||
Oracle Corp. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 173,914 USD | 1,256 | |||||||||||||||||||||
OrbComm, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 71,039 USD | (1,173 | ) | ||||||||||||||||||||
Orbital ATK, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 50,683 USD | (317 | ) | ||||||||||||||||||||
Ormat Technologies, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 658,580 USD | (25,425 | ) | ||||||||||||||||||||
Oshkosh Corp. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 92,901 USD | (4,579 | ) | ||||||||||||||||||||
Outfront Media, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 27,859 USD | (4,572 | ) |
See Notes to Consolidated Financial Statements.
232
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2017 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Owens Illinois, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 314,855 USD | $ | (7,596 | ) | |||||||||||||||||||
PACCAR, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 498,071 USD | (15,760 | ) | ||||||||||||||||||||
Pacific Biosciences of California | 04/22/19 | M | 0.13% | Morgan Stanley Capital Services LLC | 306,644 USD | 4,218 | |||||||||||||||||||||
Pacific Continental Corp. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 2,503 USD | (273 | ) | ||||||||||||||||||||
Pacira Pharmaceuticals, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 149,052 USD | (2,012 | ) | ||||||||||||||||||||
Pacwest BanCorp | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 21,046 USD | (1,482 | ) | ||||||||||||||||||||
Palo Alto Networks, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 475,446 USD | (4,695 | ) | ||||||||||||||||||||
Pandora Media, Inc. | 04/22/19 | M | 1.50% | Morgan Stanley Capital Services LLC | 165,215 USD | 4,347 | |||||||||||||||||||||
Panhandle Oil and Gas, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 93 USD | (2 | ) | ||||||||||||||||||||
Papa John’s International, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 351,644 USD | (1,284 | ) | ||||||||||||||||||||
Paramount Group, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 19,580 USD | 12 | |||||||||||||||||||||
Paratek Pharmaceuticals, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 29,246 USD | (849 | ) | ||||||||||||||||||||
Parker Hannifin Corp. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 741,535 USD | (14,026 | ) | ||||||||||||||||||||
Parsley Energy, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 1,154,994 USD | (30,832 | ) | ||||||||||||||||||||
Party City Holdco, Inc. | 04/22/19 | M | 0.30% | Morgan Stanley Capital Services LLC | 114,982 USD | 2,083 | |||||||||||||||||||||
Patrick Industries, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 153,973 USD | (15,740 | ) | ||||||||||||||||||||
Patterson UTI Energy, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 73,020 USD | (5,254 | ) | ||||||||||||||||||||
Paylocity Holding Corp. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 44,489 USD | (1,793 | ) | ||||||||||||||||||||
Paypal Holdings, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 465,605 USD | (9,881 | ) | ||||||||||||||||||||
PDC Energy, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 496,257 USD | (52,487 | ) | ||||||||||||||||||||
PDF Solutions, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 11,591 USD | (723 | ) | ||||||||||||||||||||
Peabody Energy Corp. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 213,508 USD | 4,114 | |||||||||||||||||||||
Pebblebrook Hotel Trust | 04/22/19 | M | 0.50% | Morgan Stanley Capital Services LLC | 11,350 USD | (612 | ) | ||||||||||||||||||||
Pembina Pipeline Corp. | 08/07/18 | M | 1.05% | Deutsche Bank AG | 4,610,214 CAD | (82,100 | ) |
See Notes to Consolidated Financial Statements.
233
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2017 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Penn National Gaming, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 100,686 USD | $ | (2,441 | ) | |||||||||||||||||||
Penn Real Estate Investment Trust | 04/22/19 | M | 0.40% | Morgan Stanley Capital Services LLC | 291,870 USD | 5,073 | |||||||||||||||||||||
Penn Virginia Corp. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 216,735 USD | (3,874 | ) | ||||||||||||||||||||
PennyMac Financial Service, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 23,804 USD | (902 | ) | ||||||||||||||||||||
Pentair PLC | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 52,961 USD | (1,678 | ) | ||||||||||||||||||||
People’s United Financial | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 64,985 USD | (4,727 | ) | ||||||||||||||||||||
Perrigo Co. PLC | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 27,320 USD | 232 | |||||||||||||||||||||
Peugeot SA | 03/28/18 | M | 0.40% | Credit Suisse Securities (Europe) Limited | 464,033 EUR | (36,582 | ) | ||||||||||||||||||||
PG&E Corp. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 572,187 USD | 7,857 | |||||||||||||||||||||
PGT Innovations, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 97,704 USD | (6,259 | ) | ||||||||||||||||||||
PHH Corp. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 12,943 USD | (583 | ) | ||||||||||||||||||||
Physicians Realty Trust | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 63,079 USD | 3,400 | |||||||||||||||||||||
Pilgrim’s Pride Corp. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 324,329 USD | 11,194 | |||||||||||||||||||||
Pinnacle Foods, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 47,991 USD | 654 | |||||||||||||||||||||
Pinnacle West Capital | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 256,666 USD | 3,916 | |||||||||||||||||||||
Pioneer Natural Resources Co. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 979,565 USD | (54,395 | ) | ||||||||||||||||||||
Planet Fitness, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 49,169 USD | (1,418 | ) | ||||||||||||||||||||
Ply Gem Holdings, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 173,568 USD | (11,390 | ) | ||||||||||||||||||||
PNC Financial Services Group, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 44,007 USD | (197 | ) | ||||||||||||||||||||
Polaris Industries, Inc. | 04/22/19 | M | 1.65% | Morgan Stanley Capital Services LLC | 146,916 USD | (194 | ) | ||||||||||||||||||||
Pool Corp. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 146,997 USD | (3,143 | ) | ||||||||||||||||||||
Popular, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 13,722 USD | 1,287 | |||||||||||||||||||||
Portland General Electric Co. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 8,632 USD | 6 | |||||||||||||||||||||
Portola Pharmaceuticals, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 218,643 USD | (1,529 | ) |
See Notes to Consolidated Financial Statements.
234
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2017 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Post Holdings, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 256,668 USD | $ | (7,083 | ) | |||||||||||||||||||
Power Integrations, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 4,815 USD | (16 | ) | ||||||||||||||||||||
PPG Industries, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 510,220 USD | (8,306 | ) | ||||||||||||||||||||
PPL Corp. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 229,356 USD | 2,567 | |||||||||||||||||||||
PRA Group, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 297,379 USD | (180 | ) | ||||||||||||||||||||
Praxair, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 325,630 USD | (9,606 | ) | ||||||||||||||||||||
Presidio, Inc. | 04/22/19 | M | 0.25% | Morgan Stanley Capital Services LLC | 44,082 USD | (1,481 | ) | ||||||||||||||||||||
Priceline Group, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 742,495 USD | 2,844 | |||||||||||||||||||||
Primerica, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 48,717 USD | (3,312 | ) | ||||||||||||||||||||
Primo Water Corp. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 307,329 USD | 1,291 | |||||||||||||||||||||
Principal Financial Group | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 455,020 USD | (8,743 | ) | ||||||||||||||||||||
Proassurance Corp. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 127,594 USD | (779 | ) | ||||||||||||||||||||
Progenics Pharmaceuticals, Inc. | 04/22/19 | M | 0.65% | Morgan Stanley Capital Services LLC | 316,608 USD | (49,206 | ) | ||||||||||||||||||||
Progressive Corp. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 135,408 USD | (4,139 | ) | ||||||||||||||||||||
Proofpoint, Inc. | 04/22/19 | M | 0.65% | Morgan Stanley Capital Services LLC | 186,113 USD | 3,561 | |||||||||||||||||||||
Propetro Holding Corp. | 04/22/19 | M | 0.50% | Morgan Stanley Capital Services LLC | 241,950 USD | (50,059 | ) | ||||||||||||||||||||
Prosperity Bancshares, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 129,994 USD | (10,603 | ) | ||||||||||||||||||||
Protagonist Therapeutics, Inc. | 04/22/19 | M | 3.15% | Morgan Stanley Capital Services LLC | 165,202 USD | (20,139 | ) | ||||||||||||||||||||
Prothena Corp. PLC | 04/22/19 | M | 0.00% | Morgan Stanley Capital Services LLC | 286,854 USD | 829 | |||||||||||||||||||||
Proto Labs, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 195,815 USD | (15,535 | ) | ||||||||||||||||||||
Proximus | 03/28/18 | M | 0.40% | Credit Suisse Securities (Europe) Limited | 1,206,424 EUR | (19,583 | ) | ||||||||||||||||||||
Prudential Financial, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 568,949 USD | (11,452 | ) | ||||||||||||||||||||
PTC, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 24,483 USD | (730 | ) | ||||||||||||||||||||
Public Service Enterprise Group, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 551,131 USD | (1,788 | ) |
See Notes to Consolidated Financial Statements.
235
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2017 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Public Storage | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 88,955 USD | $ | (279 | ) | |||||||||||||||||||
Puma Biotechnology, Inc. | 04/22/19 | M | 0.65% | Morgan Stanley Capital Services LLC | 528,908 USD | (76,668 | ) | ||||||||||||||||||||
Pure Storage, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 74,266 USD | (6,627 | ) | ||||||||||||||||||||
PVH Corp. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 297,137 USD | (365 | ) | ||||||||||||||||||||
Pzena Investment Management, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 120 USD | (22 | ) | ||||||||||||||||||||
Q2 Holdings, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 24,200 USD | (873 | ) | ||||||||||||||||||||
QEP Resources, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 61,507 USD | (4,713 | ) | ||||||||||||||||||||
Qorvo, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 232,406 USD | 10,046 | |||||||||||||||||||||
Qualcomm, Inc. | 06/22/18 | T | 0.83% | Skandinaviska Enskilda Banken AB (publ) | 22,558,884 USD | 1,851,655 | |||||||||||||||||||||
Quanta Services, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 166,406 USD | (3,739 | ) | ||||||||||||||||||||
Quantenna Communications, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 96,477 USD | 6,628 | |||||||||||||||||||||
Quintiles Ims Holdings, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 416,967 USD | (2,767 | ) | ||||||||||||||||||||
Quotient Technology, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 70,093 USD | 3,409 | |||||||||||||||||||||
Ra Pharmaceuticals, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 274,226 USD | 8,681 | |||||||||||||||||||||
Ramco Gershenson Properties | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 92,774 USD | 3,500 | |||||||||||||||||||||
Range Resources Corp. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 556,845 USD | (27,515 | ) | ||||||||||||||||||||
Re/Max Holdings, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 98,146 USD | (3,852 | ) | ||||||||||||||||||||
Realogy Holdings Corp. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 422,624 USD | 10,123 | |||||||||||||||||||||
Realty Income Corp. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 50,510 USD | (46 | ) | ||||||||||||||||||||
Reckitt Benckiser Group PLC | 03/28/18 | M | 0.25% | Credit Suisse Securities (Europe) Limited | 314,699 GBP | (2,365 | ) | ||||||||||||||||||||
Reckitt Benckiser Group PLC | 03/13/18 | M | 0.05% | JPMorgan Chase Bank, N.A. | 3,387,500 GBP | (25,460 | ) | ||||||||||||||||||||
Red Electrica Corp.oracion SA | 03/28/18 | M | 0.40% | Credit Suisse Securities (Europe) Limited | 440,819 EUR | 1,848 | |||||||||||||||||||||
Red Hat, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 382,367 USD | (10,410 | ) |
See Notes to Consolidated Financial Statements.
236
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2017 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Red Robin Gourmet Burgers | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 100,294 USD | $ | (3,891 | ) | |||||||||||||||||||
Red Rock Resorts, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 78,728 USD | (1,822 | ) | ||||||||||||||||||||
Regency Centers Corp. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 81,138 USD | 362 | |||||||||||||||||||||
Regeneron Pharmaceuticals | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 470,172 USD | (13,165 | ) | ||||||||||||||||||||
REGENXBIO, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 170,383 USD | (16,246 | ) | ||||||||||||||||||||
Regions Financial Corp. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 58,066 USD | (6,250 | ) | ||||||||||||||||||||
Reinsurance Group of America | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 468,953 USD | (8,379 | ) | ||||||||||||||||||||
Reliance Steel & Aluminum | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 83,820 USD | (653 | ) | ||||||||||||||||||||
RELX NV | 03/28/18 | M | 0.40% | Credit Suisse Securities (Europe) Limited | 4,348,779 EUR | (7,903 | ) | ||||||||||||||||||||
RELX NV | 05/09/18 | M | 0.77% | JPMorgan Chase Bank, N.A. | 901,750 EUR | 1,477 | |||||||||||||||||||||
RELX PLC | 03/28/18 | M | 0.25% | Credit Suisse Securities (Europe) Limited | 1,139,665 GBP | (7,105 | ) | ||||||||||||||||||||
RELX PLC | 08/08/18 | M | 0.05% | JPMorgan Chase Bank, N.A. | 1,225,500 GBP | (3,015 | ) | ||||||||||||||||||||
Renaissancere Holdings Ltd. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 194,278 USD | (865 | ) | ||||||||||||||||||||
Repligen Corp. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 235,549 USD | 10,726 | |||||||||||||||||||||
Resolute Energy Corp. | 04/22/19 | M | 0.65% | Morgan Stanley Capital Services LLC | 582,289 USD | 7,758 | |||||||||||||||||||||
Resource Capital Corp. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 209,899 USD | (13,689 | ) | ||||||||||||||||||||
Retail Opportunity Investments Corp. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 80,114 USD | 3,352 | |||||||||||||||||||||
Retail Properties of America, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 86,800 USD | 3,307 | |||||||||||||||||||||
REV Group Inc | 04/22/19 | M | 0.65% | Morgan Stanley Capital Services LLC | 6,084 USD | (416 | ) | ||||||||||||||||||||
Rexnord Corp. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 82,690 USD | (2,967 | ) | ||||||||||||||||||||
Rice Energy, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 874,547 USD | (8,354 | ) | ||||||||||||||||||||
Rignet, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 15,033 USD | — | |||||||||||||||||||||
Rite Aid Corp. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 615,524 USD | 128,450 | |||||||||||||||||||||
RLI Corp. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 250,455 USD | (15,409 | ) | ||||||||||||||||||||
Rmr Group Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 28,862 USD | (305 | ) |
See Notes to Consolidated Financial Statements.
237
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2017 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Rockwell Automation, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 248,499 USD | $ | (3,490 | ) | |||||||||||||||||||
Rockwell Collins, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 322,359 USD | 812 | |||||||||||||||||||||
Ross Stores, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 542,003 USD | (30,475 | ) | ||||||||||||||||||||
Royal Bank Of Scotland Group | 03/28/18 | M | 0.25% | Credit Suisse Securities (Europe) Limited | 2,430,610 GBP | (202,239 | ) | ||||||||||||||||||||
Royal Bank Of Scotland Group | 05/10/18 | M | 0.05% | JPMorgan Chase Bank, N.A. | 1,258,500 GBP | (111,220 | ) | ||||||||||||||||||||
Royal Caribbean Cruises Ltd | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 550,556 USD | 1,716 | |||||||||||||||||||||
Royal Gold, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 84,100 USD | 2,275 | |||||||||||||||||||||
RSP Permian, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 488,857 USD | (51,266 | ) | ||||||||||||||||||||
Ryerson Holding Corp. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 333,835 USD | (70,870 | ) | ||||||||||||||||||||
Safeguard Scientifics, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 25,597 USD | (689 | ) | ||||||||||||||||||||
Safety Insurance Group, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 5,212 USD | (358 | ) | ||||||||||||||||||||
Sage Therapeutics, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 52,251 USD | 417 | |||||||||||||||||||||
Sainsbury PLC | 03/28/18 | M | 0.25% | Credit Suisse Securities (Europe) Limited | 1,179,330 GBP | (1,330 | ) | ||||||||||||||||||||
Salesforce.com, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 155,046 USD | 2,491 | |||||||||||||||||||||
Sally Beauty Holdings, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 73,835 USD | 2,231 | |||||||||||||||||||||
Sandvik AB | 03/28/18 | M | 0.52% | Credit Suisse Securities (Europe) Limited | 20,871,639 SEK | (96,521 | ) | ||||||||||||||||||||
Sarepta Therapeutics, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 768,297 USD | 13,960 | |||||||||||||||||||||
Scana Corp. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 278,874 USD | 33,079 | |||||||||||||||||||||
Schwab (Charles) Corp. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 17,934 USD | (1,574 | ) | ||||||||||||||||||||
Scientific Games Corp. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 198,260 USD | (29,798 | ) | ||||||||||||||||||||
Scripps Networks Interactive, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 420,600 USD | 83 | |||||||||||||||||||||
Sealed Air Corp. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 308,589 USD | (277 | ) | ||||||||||||||||||||
Seattle Genetics, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 489,796 USD | (5,988 | ) | ||||||||||||||||||||
Select Comfort Corporation | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 300,186 USD | (16,431 | ) |
See Notes to Consolidated Financial Statements.
238
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2017 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Selecta Biosciences, Inc. | 04/22/19 | M | 0.25% | Morgan Stanley Capital Services LLC | 319,338 USD | $ | (6,425 | ) | |||||||||||||||||||
Selective Insurance Group | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 7,420 USD | (173 | ) | ||||||||||||||||||||
Sempra Energy | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 885,266 USD | 25,753 | |||||||||||||||||||||
Semtech Corp. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 3,412 USD | (230 | ) | ||||||||||||||||||||
Senior Housing Prop Trust | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 38,872 USD | 1,101 | |||||||||||||||||||||
Sensata Technologies Holding | 09/10/18 | T | 0.83% | Skandinaviska Enskilda Banken AB (publ) | 11,429,586 USD | (802,066 | ) | ||||||||||||||||||||
Sensata Technologies Holding | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 395,132 USD | (7,454 | ) | ||||||||||||||||||||
Sequential Brands Group, Inc. | 04/22/19 | M | 0.45% | Morgan Stanley Capital Services LLC | 63,877 USD | (1,086 | ) | ||||||||||||||||||||
Servicemaster Global Holding | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 313,071 USD | (206 | ) | ||||||||||||||||||||
Servicenow, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 400,945 USD | (5,356 | ) | ||||||||||||||||||||
Servicesource International | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 967 USD | 32 | |||||||||||||||||||||
Shake Shack, Inc. | 04/22/19 | M | 1.25% | Morgan Stanley Capital Services LLC | 191,013 USD | (6,971 | ) | ||||||||||||||||||||
Shenandoah Telecommunication | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 674,754 USD | (51,353 | ) | ||||||||||||||||||||
Sherwin Williams Co. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 678,228 USD | (24,963 | ) | ||||||||||||||||||||
Shiloh Industries, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 111,948 USD | (16,700 | ) | ||||||||||||||||||||
Shutterfly, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 123,796 USD | (410 | ) | ||||||||||||||||||||
SI Green Realty Corp. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 134,844 USD | (1,026 | ) | ||||||||||||||||||||
Siemens AG | 03/28/18 | M | 0.40% | Credit Suisse Securities (Europe) Limited | 1,864,012 EUR | (61,891 | ) | ||||||||||||||||||||
Signature Bank | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 9,189 USD | (414 | ) | ||||||||||||||||||||
Signet Jewelers Ltd. | 04/22/19 | M | 0.15% | Morgan Stanley Capital Services LLC | 223,045 USD | 5,027 | |||||||||||||||||||||
Silicon Laboratories, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 121,262 USD | (106 | ) | ||||||||||||||||||||
Silver Spring Networks, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 2,231 USD | (1 | ) | ||||||||||||||||||||
Simon Property Group, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 239,718 USD | 618 |
See Notes to Consolidated Financial Statements.
239
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2017 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Sinclair Broadcast Group, Inc. | 04/22/19 | M | 0.25% | Morgan Stanley Capital Services LLC | 84,267 USD | $ | (12,203 | ) | |||||||||||||||||||
Siteone Landscape Supply, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 236,514 USD | (22,612 | ) | ||||||||||||||||||||
Skechers USA, Inc. | 06/06/18 | T | 0.83% | Skandinaviska Enskilda Banken AB (publ) | 28,563,363 USD | 1,689,891 | |||||||||||||||||||||
Skechers USA, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 55,061 USD | (87 | ) | ||||||||||||||||||||
SKF AB | 03/28/18 | M | 0.52% | Credit Suisse Securities (Europe) Limited | 14,117,281 SEK | (127,924 | ) | ||||||||||||||||||||
Skyworks Solutions, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 664,324 USD | 28,876 | |||||||||||||||||||||
SLM Corp. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 11,556 USD | (820 | ) | ||||||||||||||||||||
SM Energy Co. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 146,828 USD | (16,398 | ) | ||||||||||||||||||||
Smart & Final Stores, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 86,509 USD | (5,885 | ) | ||||||||||||||||||||
Smart Sand, Inc. | 04/22/19 | M | 0.10% | Morgan Stanley Capital Services LLC | 156,304 USD | (7,236 | ) | ||||||||||||||||||||
Snam SpA | 04/04/18 | M | 0.40% | Credit Suisse Securities (Europe) Limited | 1,495,160 EUR | 13,765 | |||||||||||||||||||||
Snap-on, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 172,809 USD | (2,427 | ) | ||||||||||||||||||||
Solvay SA | 03/28/18 | M | 0.40% | Credit Suisse Securities (Europe) Limited | 986,067 EUR | 921 | |||||||||||||||||||||
Sothebys | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 561,885 USD | (16,426 | ) | ||||||||||||||||||||
South Jersey Industries | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 142 USD | 4 | |||||||||||||||||||||
Southern Co. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 385,029 USD | 6,406 | |||||||||||||||||||||
Southern Copper Corp. | 04/22/19 | M | 0.65% | Morgan Stanley Capital Services LLC | 771,062 USD | (6,167 | ) | ||||||||||||||||||||
Southwest Airlines Co. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 274,212 USD | (2,106 | ) | ||||||||||||||||||||
Southwestern Energy Co. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 548,990 USD | (30,341 | ) | ||||||||||||||||||||
Spark Therapeutics, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 467,729 USD | (31,032 | ) | ||||||||||||||||||||
Spirit Aerosystems Hold | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 62,738 USD | (59 | ) | ||||||||||||||||||||
Spirit Airlines, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 261,024 USD | 1,361 | |||||||||||||||||||||
Spirit Realty Capital, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 223,683 USD | 4,351 | |||||||||||||||||||||
Splunk, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 391,496 USD | 3,677 | |||||||||||||||||||||
Sportsman’s Warehouse Holding, Inc. | 04/22/19 | M | 1.40% | Morgan Stanley Capital Services LLC | 496,067 USD | (9,973 | ) |
See Notes to Consolidated Financial Statements.
240
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2017 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Sprint Corp. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 884,159 USD | $ | (8,347 | ) | |||||||||||||||||||
Sprouts Farmers Market, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 119,055 USD | 1,424 | |||||||||||||||||||||
SPX Corp. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 248,853 USD | (25,593 | ) | ||||||||||||||||||||
Square, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 435,909 USD | (4,769 | ) | ||||||||||||||||||||
St. Joe Co. | 04/22/19 | M | 0.65% | Morgan Stanley Capital Services LLC | 9,061 USD | (402 | ) | ||||||||||||||||||||
Stamps.com, Inc. | 04/22/19 | M | 0.05% | Morgan Stanley Capital Services LLC | 88,316 USD | 1,784 | |||||||||||||||||||||
Standard Chartered PLC | 03/28/18 | M | 0.25% | Credit Suisse Securities (Europe) Limited | 218,868 GBP | (2,714 | ) | ||||||||||||||||||||
Stanley Black & Decker, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 321,295 USD | (2,385 | ) | ||||||||||||||||||||
Starbucks Corp. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 737,528 USD | 13,088 | |||||||||||||||||||||
State Street Corp. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 2,197 USD | (1 | ) | ||||||||||||||||||||
Steel Dynamics, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 273,143 USD | (6,374 | ) | ||||||||||||||||||||
Stemline Therapeutics, Inc. | 04/22/19 | M | 0.65% | Morgan Stanley Capital Services LLC | 159,116 USD | (10,159 | ) | ||||||||||||||||||||
Stepan Co. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 1,933 USD | 9 | |||||||||||||||||||||
Stericycle, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 272,277 USD | 1,482 | |||||||||||||||||||||
Sterling Bancorp | 08/06/18 | M | 0.95% | Deutsche Bank AG | 2,006,068 USD | (110,750 | ) | ||||||||||||||||||||
Sterling Construction Co. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 45,961 USD | (1,496 | ) | ||||||||||||||||||||
Stewart Information Services | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 210,890 USD | (6,607 | ) | ||||||||||||||||||||
Stone Energy Corp. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 303,237 USD | (14,389 | ) | ||||||||||||||||||||
Stoneridge, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 55,921 USD | (5,589 | ) | ||||||||||||||||||||
Store Capital Corp. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 93,714 USD | 4,107 | |||||||||||||||||||||
Storebrand ASA | 03/28/18 | M | 0.68% | Credit Suisse Securities (Europe) Limited | 5,801,356 NOK | (72,248 | ) | ||||||||||||||||||||
Storebrand ASA | 03/13/18 | M | 0.19% | JPMorgan Chase Bank, N.A. | 12,300,000 NOK | (153,180 | ) | ||||||||||||||||||||
Straight Path Comm | 04/22/19 | M | 0.75% | Morgan Stanley Capital Services LLC | 695,516 USD | (2,774 | ) | ||||||||||||||||||||
Stryker Corp. | 03/16/18 | M | 1.23% | Credit Suisse Securities (Europe) Limited | 464,301 USD | 6,002 |
See Notes to Consolidated Financial Statements.
241
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2017 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Summit Hotel Properties, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 7,905 USD | $ | (250 | ) | |||||||||||||||||||
Sun Hydraulics Corp. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 210,605 USD | (11,929 | ) | ||||||||||||||||||||
Suncoke Energy, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 298,588 USD | (22,674 | ) | ||||||||||||||||||||
Sunrun, Inc. | 04/22/19 | M | 1.15% | Morgan Stanley Capital Services LLC | 3,750 USD | 653 | |||||||||||||||||||||
Superior Energy Services, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 150,560 USD | (9,704 | ) | ||||||||||||||||||||
SuperValu, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 326,243 USD | (13,253 | ) | ||||||||||||||||||||
Surgery Partners, Inc. | 04/22/19 | M | 0.50% | Morgan Stanley Capital Services LLC | 688,400 USD | (21,258 | ) | ||||||||||||||||||||
Swiss Life Holding AG | 03/28/18 | M | 0.79% | Credit Suisse Securities (Europe) Limited | 462,870 CHF | (11,627 | ) | ||||||||||||||||||||
Swisscom AG | 03/28/18 | M | 0.79% | Credit Suisse Securities (Europe) Limited | 1,115,811 CHF | (33,455 | ) | ||||||||||||||||||||
Symantec Corp. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 618,390 USD | 7,567 | |||||||||||||||||||||
Synaptics, Inc. | 04/22/19 | M | 0.65% | Morgan Stanley Capital Services LLC | 157,947 USD | 5,262 | |||||||||||||||||||||
Synchronoss Technologies, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 426,569 USD | 106,466 | |||||||||||||||||||||
Synchrony Financial | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 5,630 USD | 10 | |||||||||||||||||||||
Syndax Pharmaceuticals, Inc. | 04/22/19 | M | 0.65% | Morgan Stanley Capital Services LLC | 15,881 USD | 27 | |||||||||||||||||||||
Synergy Pharmaceuticals, Inc. | 04/22/19 | M | 2.60% | Morgan Stanley Capital Services LLC | 100,013 USD | (7,408 | ) | ||||||||||||||||||||
Syros Pharmaceuticals, Inc. | 04/22/19 | M | 0.45% | Morgan Stanley Capital Services LLC | 168,568 USD | 5,721 | |||||||||||||||||||||
Sysco Corp. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 170,887 USD | (1,051 | ) | ||||||||||||||||||||
T Rowe Price Group, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 5,549 USD | (253 | ) | ||||||||||||||||||||
T-Mobile Us, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 658,188 USD | 7,182 | |||||||||||||||||||||
Take Two Interactive Software, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 43,884 USD | (1,199 | ) | ||||||||||||||||||||
Tanger Factory Outlet Center, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 257,922 USD | 5,883 | |||||||||||||||||||||
Targa Resources Corp. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 41,428 USD | 230 | |||||||||||||||||||||
Target Corp. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 560,771 USD | 6,077 |
See Notes to Consolidated Financial Statements.
242
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2017 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Taubman Centers, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 182,528 USD | $ | 8,130 | ||||||||||||||||||||
Taylor Morrison Home Corp. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 5,413 USD | (387 | ) | ||||||||||||||||||||
Team, Inc. | 04/22/19 | M | 0.50% | Morgan Stanley Capital Services LLC | 197,842 USD | 2,198 | |||||||||||||||||||||
Tech Data Corp. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 92,307 USD | (364 | ) | ||||||||||||||||||||
Tejon Ranch Co. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 106,344 USD | (2,110 | ) | ||||||||||||||||||||
Teladoc, Inc. | 04/22/19 | M | 0.20% | Morgan Stanley Capital Services LLC | 117,754 USD | 4,248 | |||||||||||||||||||||
Tele2 AB | 03/28/18 | M | 0.52% | Credit Suisse Securities (Europe) Limited | 10,100,043 SEK | 8,588 | |||||||||||||||||||||
Tele2 AB | 10/10/18 | M | 0.81% | JPMorgan Chase Bank, N.A. | 18,770,000 SEK | 15,961 | |||||||||||||||||||||
Telefonica Brasil | 03/16/18 | M | 1.23% | Credit Suisse Securities (Europe) Limited | 2,086,069 USD | 87,077 | |||||||||||||||||||||
Telefonica S.A. | 03/28/18 | M | 0.40% | Credit Suisse Securities (Europe) Limited | 5,077,848 EUR | 24,708 | |||||||||||||||||||||
Telenor ASA | 03/28/18 | M | 0.68% | Credit Suisse Securities (Europe) Limited | 5,071,169 NOK | (22,712 | ) | ||||||||||||||||||||
Telia Co. AB | 03/28/18 | M | 0.52% | Credit Suisse Securities (Europe) Limited | 2,649,866 SEK | (340 | ) | ||||||||||||||||||||
Tempur Sealy International, Inc. | 04/22/19 | M | 0.40% | Morgan Stanley Capital Services LLC | 275,918 USD | (13,647 | ) | ||||||||||||||||||||
Tenet Healthcare Corp. | 04/22/19 | M | 2.05% | Morgan Stanley Capital Services LLC | 139,311 USD | 2,498 | |||||||||||||||||||||
Tenneco, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 239,064 USD | (11,807 | ) | ||||||||||||||||||||
Teradyne, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 17,855 USD | (678 | ) | ||||||||||||||||||||
Terna SpA | 04/04/18 | M | 0.40% | Credit Suisse Securities (Europe) Limited | 1,678,585 EUR | 7,996 | |||||||||||||||||||||
Terraform Power, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 157,233 USD | 2,162 | |||||||||||||||||||||
Tesaro, Inc. | 04/22/19 | M | 0.40% | Morgan Stanley Capital Services LLC | 985,214 USD | (88,123 | ) | ||||||||||||||||||||
Tesco PLC | 03/28/18 | M | 0.25% | Credit Suisse Securities (Europe) Limited | 562,634 GBP | (23,469 | ) | ||||||||||||||||||||
Tesco PLC | 07/06/18 | M | 0.25% | Merrill Lynch International | 2,579,974 GBP | (284,993 | ) | ||||||||||||||||||||
Tesla, Inc. | 04/22/19 | M | 0.20% | Morgan Stanley Capital Services LLC | 1,516,849 USD | 137,099 | |||||||||||||||||||||
Texas Capital Bancshares, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 20,817 USD | (1,663 | ) | ||||||||||||||||||||
Texas Instruments, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 577,199 USD | (10,481 | ) | ||||||||||||||||||||
Texas Roadhouse, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 50,130 USD | 154 |
See Notes to Consolidated Financial Statements.
243
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2017 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Textron, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 292,478 USD | $ | (12,267 | ) | |||||||||||||||||||
TG Therapeutics, Inc. | 04/22/19 | M | 1.50% | Morgan Stanley Capital Services LLC | 308,809 USD | (1,401 | ) | ||||||||||||||||||||
Theravance Biopharma, Inc. | 04/22/19 | M | 1.25% | Morgan Stanley Capital Services LLC | 190,874 USD | (14,840 | ) | ||||||||||||||||||||
Thermo Fisher Scientific, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 95,325 USD | (221 | ) | ||||||||||||||||||||
Thermon Group Holdings, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 25,280 USD | (590 | ) | ||||||||||||||||||||
Third Point Reinsurance Ltd | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 21,427 USD | (1,786 | ) | ||||||||||||||||||||
Thor Industries, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 388,630 USD | (39,716 | ) | ||||||||||||||||||||
Tiffany & Co. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 236,321 USD | (4,693 | ) | ||||||||||||||||||||
Tile Shop Holdings, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 162,635 USD | 28,523 | |||||||||||||||||||||
Tilly’s, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 125,944 USD | (4,459 | ) | ||||||||||||||||||||
Timkensteel Corp. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 120,524 USD | (9,298 | ) | ||||||||||||||||||||
Titan International, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 282,027 USD | (4,863 | ) | ||||||||||||||||||||
TJX Companies, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 401,695 USD | (281 | ) | ||||||||||||||||||||
Torchmark Corp. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 498,663 USD | (9,588 | ) | ||||||||||||||||||||
TPI Composites, Inc. | 04/22/19 | M | 0.25% | Morgan Stanley Capital Services LLC | 483,480 USD | (30,117 | ) | ||||||||||||||||||||
Tractor Supply Company | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 428,301 USD | (932 | ) | ||||||||||||||||||||
Trade Desk, Inc. | 04/22/19 | M | 0.40% | Morgan Stanley Capital Services LLC | 666,284 USD | (20,659 | ) | ||||||||||||||||||||
Transdigm Group, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 571,311 USD | 1,211 | |||||||||||||||||||||
Transunion | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 170,325 USD | (12,902 | ) | ||||||||||||||||||||
Travelers Cos., Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 647,808 USD | (4,611 | ) | ||||||||||||||||||||
Treehouse Foods, Inc. | 04/22/19 | M | 0.60% | Morgan Stanley Capital Services LLC | 320,491 USD | (2,717 | ) | ||||||||||||||||||||
Trevena, Inc. | �� | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 39,266 USD | (626 | ) | |||||||||||||||||||
Trex Company, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 35,447 USD | (3,464 | ) | ||||||||||||||||||||
Trinet Group, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 155,340 USD | 1,125 | |||||||||||||||||||||
Trinseo SA | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 242,057 USD | 2,510 |
See Notes to Consolidated Financial Statements.
244
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2017 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
TripAdvisor, Inc. | 04/22/19 | M | 0.50% | Morgan Stanley Capital Services LLC | 704,482 USD | $ | 46,235 | ||||||||||||||||||||
Triumph Group, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 263,361 USD | (15,843 | ) | ||||||||||||||||||||
Tronox Ltd. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 49,240 USD | 3,116 | |||||||||||||||||||||
Tucows, Inc. | 04/22/19 | M | 2.00% | Morgan Stanley Capital Services LLC | 250,379 USD | (36,223 | ) | ||||||||||||||||||||
Turning Point Brands, Inc. | 04/22/19 | M | 0.25% | Morgan Stanley Capital Services LLC | 64,656 USD | (1,083 | ) | ||||||||||||||||||||
Tutor Perini Corp. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 49,636 USD | (3,359 | ) | ||||||||||||||||||||
Twenty First Century Fox, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 605,380 USD | 14,521 | |||||||||||||||||||||
Twilio, Inc. | 04/22/19 | M | 1.50% | Morgan Stanley Capital Services LLC | 994,556 USD | 28,580 | |||||||||||||||||||||
Twitter, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 573,020 USD | 33,433 | |||||||||||||||||||||
Tyson Foods, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 635,127 USD | (29,709 | ) | ||||||||||||||||||||
UBI Banca SpA | 04/04/18 | M | 0.40% | Credit Suisse Securities (Europe) Limited | 1,732,453 EUR | (166,602 | ) | ||||||||||||||||||||
UBI Banca SpA | 03/09/18 | M | 2.22% | JPMorgan Chase Bank, N.A. | 782,659 EUR | (88,758 | ) | ||||||||||||||||||||
UGI Corp. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 113,661 USD | 2,697 | |||||||||||||||||||||
Ulta Beauty, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 954,664 USD | (7,899 | ) | ||||||||||||||||||||
Ultimate Software Group, Inc. | 04/22/19 | M | 0.65% | Morgan Stanley Capital Services LLC | 75,041 USD | (1,368 | ) | ||||||||||||||||||||
Ultra Petroleum Corp. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 143,800 USD | 2,765 | |||||||||||||||||||||
Ultragenyx Pharmaceutical, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 410,033 USD | 9,571 | |||||||||||||||||||||
Unilever NV CVA | 03/28/18 | M | 0.40% | Credit Suisse Securities (Europe) Limited | 828,864 EUR | 11,416 | |||||||||||||||||||||
Union Pacific Corp. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 340,231 USD | (5,708 | ) | ||||||||||||||||||||
Unit Corp. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 234,011 USD | (11,117 | ) | ||||||||||||||||||||
United Bankshares, Inc. | 04/22/19 | M | 0.50% | Morgan Stanley Capital Services LLC | 87,514 USD | (6,996 | ) | ||||||||||||||||||||
United Continental Holdings, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 972,779 USD | (14,086 | ) | ||||||||||||||||||||
United Fire Group, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 43,421 USD | (3,682 | ) | ||||||||||||||||||||
United Insurance Holdings Co. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 314,467 USD | (3,546 | ) | ||||||||||||||||||||
United Natural Foods, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 35,223 USD | 2,201 |
See Notes to Consolidated Financial Statements.
245
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2017 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
United Rentals, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 560,757 USD | $ | (43,317 | ) | |||||||||||||||||||
United States Steel Corp. | 04/22/19 | M | 0.25% | Morgan Stanley Capital Services LLC | 570,115 USD | (12,727 | ) | ||||||||||||||||||||
United Technologies Corp. | 08/06/18 | M | 0.95% | Deutsche Bank AG | 1,678,607 USD | (78,960 | ) | ||||||||||||||||||||
Uniti Group, Inc. | 04/22/19 | M | 0.44% | Morgan Stanley Capital Services LLC | 245,877 USD | 44,757 | |||||||||||||||||||||
Univar, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 40,633 USD | (1,200 | ) | ||||||||||||||||||||
Universal Display Corp. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 227,949 USD | 3,750 | |||||||||||||||||||||
Universal Electronics Inc | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 192,708 USD | (8,904 | ) | ||||||||||||||||||||
Universal Insurance Holdings | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 292,417 USD | (24,776 | ) | ||||||||||||||||||||
Unum Group | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 488,926 USD | (15,676 | ) | ||||||||||||||||||||
Urban Edge Properties | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 82,489 USD | 3,785 | |||||||||||||||||||||
Urban Outfitters, Inc. | 04/22/19 | M | 0.50% | Morgan Stanley Capital Services LLC | 501,013 USD | (23,090 | ) | ||||||||||||||||||||
Urstadt Biddle | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 46,069 USD | 608 | |||||||||||||||||||||
US BanCorp. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 13,325 USD | 34 | |||||||||||||||||||||
US Concrete, Inc. | 04/22/19 | M | 0.15% | Morgan Stanley Capital Services LLC | 308,722 USD | (20,284 | ) | ||||||||||||||||||||
US Foods Holding Corp. | 06/22/18 | T | 0.83% | Skandinaviska Enskilda Banken AB (publ) | 18,779,354 USD | 537,540 | |||||||||||||||||||||
US Silica Holdings, Inc. | 04/22/19 | M | 0.50% | Morgan Stanley Capital Services LLC | 687,740 USD | (42,902 | ) | ||||||||||||||||||||
USG Corp. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 67,201 USD | (5,021 | ) | ||||||||||||||||||||
Vail Resorts, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 422,347 USD | (359 | ) | ||||||||||||||||||||
Valeo SA | 03/28/18 | M | 0.40% | Credit Suisse Securities (Europe) Limited | 237,766 EUR | (4,133 | ) | ||||||||||||||||||||
Validus Holdings Ltd. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 172,698 USD | (6,181 | ) | ||||||||||||||||||||
Valvoline, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 27,550 USD | (1,176 | ) | ||||||||||||||||||||
Vantiv, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 130,910 USD | 2,514 | |||||||||||||||||||||
Vantiv, Inc. | 08/14/18 | M | 0.95% | Deutsche Bank AG | 4,812,187 USD | (32,061 | ) | ||||||||||||||||||||
Varex Imaging Corp. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 5,202 USD | (280 | ) |
See Notes to Consolidated Financial Statements.
246
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2017 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Vasco Data Security International, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 20,155 USD | $ | (1,824 | ) | |||||||||||||||||||
Vectren Corp. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 29,626 USD | 95 | |||||||||||||||||||||
VEECO Instruments, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 42,848 USD | (615 | ) | ||||||||||||||||||||
Vereit, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 80,507 USD | 3,617 | |||||||||||||||||||||
Verizon Communications, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 54,090 USD | 96 | |||||||||||||||||||||
Vertex Pharmaceuticals, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 616,913 USD | 1,760 | |||||||||||||||||||||
VF Corp. | 04/04/19 | T | 0.89% | Barclays Bank plc | 6,716,705 USD | (150,762 | ) | ||||||||||||||||||||
VF Corp. | 06/06/18 | T | 0.83% | Skandinaviska Enskilda Banken AB (publ) | 24,875,426 USD | (3,851,539 | ) | ||||||||||||||||||||
Viacom, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 688,525 USD | (5,192 | ) | ||||||||||||||||||||
Vinci SA | 03/28/18 | M | 0.40% | Credit Suisse Securities (Europe) Limited | 604,523 EUR | (1,336 | ) | ||||||||||||||||||||
Virtus Investment Partners | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 90,019 USD | (3,401 | ) | ||||||||||||||||||||
Visa, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 291,478 USD | (247 | ) | ||||||||||||||||||||
Vista Outdoor, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 124,956 USD | (779 | ) | ||||||||||||||||||||
Visteon Corp. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 60,598 USD | (173 | ) | ||||||||||||||||||||
Vistra Energy Corp. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 319,751 USD | (14,856 | ) | ||||||||||||||||||||
Vitamin Shoppe, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 63,247 USD | 7,318 | |||||||||||||||||||||
VMware, Inc. | 04/22/19 | M | 0.25% | Morgan Stanley Capital Services LLC | 135,018 USD | 387 | |||||||||||||||||||||
Vonage Holdings Corp. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 419,302 USD | (1,772 | ) | ||||||||||||||||||||
Vornado Realty Trust | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 59,704 USD | (109 | ) | ||||||||||||||||||||
Voya Financial, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 20,555 USD | (1,066 | ) | ||||||||||||||||||||
Voyager Therapeutics, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 22,225 USD | (5,530 | ) | ||||||||||||||||||||
Vulcan Materials Co. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 101,227 USD | (3,303 | ) | ||||||||||||||||||||
Wabco Holdings, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 309,851 USD | (8,941 | ) |
See Notes to Consolidated Financial Statements.
247
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2017 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Wabtec Corp. | 04/22/19 | M | 0.60% | Morgan Stanley Capital Services LLC | 616,106 USD | $ | (23,376 | ) | |||||||||||||||||||
Waddell & Reed Financial, Inc. | 04/22/19 | M | 0.40% | Morgan Stanley Capital Services LLC | 87,701 USD | (8,313 | ) | ||||||||||||||||||||
Wageworks, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 237,852 USD | (9,743 | ) | ||||||||||||||||||||
Walgreens Boots Alliance, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 356,814 USD | 6,158 | |||||||||||||||||||||
Walt Disney Co. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 286,428 USD | 575 | |||||||||||||||||||||
Washington Prime Group, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 128,235 USD | 2,268 | |||||||||||||||||||||
Wayfair, Inc. | 04/22/19 | M | 0.50% | Morgan Stanley Capital Services LLC | 368,211 USD | 45,230 | |||||||||||||||||||||
Weatherford International PLC | 04/22/19 | M | 0.00% | Morgan Stanley Capital Services LLC | 1,043,886 USD | (36,192 | ) | ||||||||||||||||||||
Webster Financial Corp. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 1,366 USD | (105 | ) | ||||||||||||||||||||
Wec Energy Group, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 676,880 USD | 24,345 | |||||||||||||||||||||
Weight Watchers International, Inc. | 04/22/19 | M | 0.25% | Morgan Stanley Capital Services LLC | 297,035 USD | (10,471 | ) | ||||||||||||||||||||
Weingarten Realty Investors | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 127,951 USD | 6,577 | |||||||||||||||||||||
Welbilt, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 65,105 USD | (1,740 | ) | ||||||||||||||||||||
Wells Fargo & Co. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 293,086 USD | (10,901 | ) | ||||||||||||||||||||
Wendy’s Co. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 312 USD | 2 | |||||||||||||||||||||
Wesco Aircraft Holdings, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 86,606 USD | (5,382 | ) | ||||||||||||||||||||
WESCO International, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 8,300 USD | (612 | ) | ||||||||||||||||||||
Westar Energy, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 138,229 USD | 93 | |||||||||||||||||||||
Western Digital Corp. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 428,124 USD | 6,492 | |||||||||||||||||||||
Westlake Chemical Corp. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 564,189 USD | (20,349 | ) | ||||||||||||||||||||
WEX, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 102,220 USD | (1,022 | ) | ||||||||||||||||||||
Weyerhaeuser Co. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 29,955 USD | (944 | ) | ||||||||||||||||||||
Whirlpool Corp. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 151,403 USD | (206 | ) | ||||||||||||||||||||
White Mountains Insurance Group | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 73,525 USD | (177 | ) | ||||||||||||||||||||
Whitestone REIT | 04/22/19 | M | 0.25% | Morgan Stanley Capital Services LLC | 44,287 USD | 270 |
See Notes to Consolidated Financial Statements.
248
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2017 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Whiting Petroleum Corp. | 04/22/19 | M | 0.60% | Morgan Stanley Capital Services LLC | 141,264 USD | $ | (17,431 | ) | |||||||||||||||||||
WildHorse Resource Development Corp. | 04/22/19 | M | 0.40% | Morgan Stanley Capital Services LLC | 348,008 USD | (31,079 | ) | ||||||||||||||||||||
Williams Companies, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 224,248 USD | 2,054 | |||||||||||||||||||||
Willis Towers Watson PLC | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 37,678 USD | 200 | |||||||||||||||||||||
Wingstop, Inc. | 04/22/19 | M | 0.50% | Morgan Stanley Capital Services LLC | 6,722 USD | 105 | |||||||||||||||||||||
Winnebago Industries | 04/22/19 | M | 0.65% | Morgan Stanley Capital Services LLC | 238,338 USD | (27,970 | ) | ||||||||||||||||||||
WisdomTree Investments, Inc. | 04/22/19 | M | 0.20% | Morgan Stanley Capital Services LLC | 146,242 USD | (17,717 | ) | ||||||||||||||||||||
WM Morrison Supermarkets | 03/28/18 | M | 0.25% | Credit Suisse Securities (Europe) Limited | 341,855 GBP | (5,746 | ) | ||||||||||||||||||||
Wood Group (John) PLC | 07/30/18 | M | 0.05% | Deutsche Bank AG | 8,027 GBP | (1,098 | ) | ||||||||||||||||||||
Wood Group (John) PLC | 07/06/18 | M | 0.25% | Merrill Lynch International | 2,666,497 GBP | (504,667 | ) | ||||||||||||||||||||
Workday, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 674,181 USD | (8,324 | ) | ||||||||||||||||||||
Workday, Inc. | 08/07/18 | T | 0.83% | Skandinaviska Enskilda Banken AB (publ) | 19,437,586 USD | (896,150 | ) | ||||||||||||||||||||
World Acceptance Corp. | 04/22/19 | M | 0.65% | Morgan Stanley Capital Services LLC | 262,014 USD | (8,705 | ) | ||||||||||||||||||||
World Wrestiling Entertainment, Inc. | 04/22/19 | M | 0.30% | Morgan Stanley Capital Services LLC | 172,653 USD | (8,540 | ) | ||||||||||||||||||||
Worthington Industries | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 101,690 USD | 7,988 | |||||||||||||||||||||
WPP PLC | 03/28/18 | M | 0.25% | Credit Suisse Securities (Europe) Limited | 1,594,873 GBP | (22,896 | ) | ||||||||||||||||||||
WPX Energy, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 280,824 USD | (24,708 | ) | ||||||||||||||||||||
WR Berkley Corp. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 329,748 USD | (4,286 | ) | ||||||||||||||||||||
WW Grainger, Inc. | 04/22/19 | M | 0.65% | Morgan Stanley Capital Services LLC | 291,306 USD | (13,550 | ) | ||||||||||||||||||||
Wyndham Worldwide Corp. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 477,188 USD | (13,601 | ) | ||||||||||||||||||||
Wynn Resorts Ltd. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 1,105,372 USD | (35,057 | ) | ||||||||||||||||||||
Xcel Energy, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 469,362 USD | 5,909 | |||||||||||||||||||||
Xencor, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 470,958 USD | (25,764 | ) |
See Notes to Consolidated Financial Statements.
249
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2017 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Xilinx, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 4,002 USD | $ | (35 | ) | |||||||||||||||||||
XL Group Ltd. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 314,743 USD | (305 | ) | ||||||||||||||||||||
Xperi Corp. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 144,697 USD | 6,812 | |||||||||||||||||||||
Xylem, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 116,785 USD | 1,546 | |||||||||||||||||||||
Yelp, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 20,995 USD | (93 | ) | ||||||||||||||||||||
YRC Worldwide, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 188,202 USD | (22,097 | ) | ||||||||||||||||||||
Yum China Holdings, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 785,194 USD | (39,187 | ) | ||||||||||||||||||||
Zayo Group Holdings, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 418,262 USD | 8,011 | |||||||||||||||||||||
Zendesk, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 92,056 USD | (1,445 | ) | ||||||||||||||||||||
Zillow Group, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 191,596 USD | (200 | ) | ||||||||||||||||||||
Zimmer Bioment Holdings, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 174,765 USD | (3,915 | ) | ||||||||||||||||||||
Zions Bancorporation | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 68,945 USD | (6,213 | ) | ||||||||||||||||||||
Zoetis, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 223,931 USD | 1,217 | |||||||||||||||||||||
Zumiez, Inc. | 04/22/19 | M | 0.91% | Morgan Stanley Capital Services LLC | 210,688 USD | (14,295 | ) | ||||||||||||||||||||
|
| ||||||||||||||||||||||||||
Total Sells | $ | (7,147,906 | ) | ||||||||||||||||||||||||
|
| ||||||||||||||||||||||||||
Total OTC Total Return Swaps Outstanding | $ | 12,380,091 | |||||||||||||||||||||||||
|
|
See Notes to Consolidated Financial Statements.
250
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2017 (Unaudited)
Centrally Cleared Interest Rate Swaps Outstanding at September 30, 2017
|
| |||||||||||||||||||||||||||||
The | Floating | Fixed | Pay/ Receive | Maturity | Counterparty | Notional | Market | Upfront | Unrealized | |||||||||||||||||||||
Pays | BRL-CDI | 9.38% | 1T/1T | 01/04/21 | Credit Suisse Securities (USA) LLC | 31,028,461 BRL | $ | 234,961 | $ | — | $ | 234,961 | ||||||||||||||||||
Pays | BRL-CDI | 9.94% | 1T/1T | 01/04/21 | Credit Suisse Securities (USA) LLC | 19,774,399 BRL | 270,352 | — | 270,352 | |||||||||||||||||||||
Pays | 3-Month USD LIBOR | 1.90% | 3M/6M | 09/25/24 | Morgan Stanley & Co. LLC | 5,029,000 USD | (81,620 | ) | — | (81,620 | ) | |||||||||||||||||||
Pays | 3-Month USD LIBOR | 1.93% | 3M/6M | 09/25/24 | Morgan Stanley & Co. LLC | 12,651,000 USD | (181,277 | ) | — | (181,277 | ) | |||||||||||||||||||
Pays | 3-Month USD LIBOR | 1.95% | 3M/6M | 06/26/24 | Morgan Stanley & Co. LLC | 6,282,000 USD | (72,942 | ) | (9,026 | ) | (63,916 | ) | ||||||||||||||||||
Pays | 3-Month USD LIBOR | 1.96% | 3M/6M | 06/26/24 | Morgan Stanley & Co. LLC | 6,581,000 USD | (73,244 | ) | — | (73,244 | ) | |||||||||||||||||||
Pays | 3-Month USD LIBOR | 1.97% | 3M/6M | 06/26/24 | Morgan Stanley & Co. LLC | 6,445,000 USD | (67,033 | ) | — | (67,033 | ) | |||||||||||||||||||
Pays | 3-Month USD LIBOR | 1.98% | 3M/6M | 07/25/24 | Morgan Stanley & Co. LLC | 3,506,000 USD | (35,913 | ) | — | (35,913 | ) | |||||||||||||||||||
Pays | 3-Month USD LIBOR | 1.98% | 3M/6M | 09/25/24 | Morgan Stanley & Co. LLC | 5,839,000 USD | (64,914 | ) | — | (64,914 | ) | |||||||||||||||||||
Pays | 3-Month USD LIBOR | 1.99% | 3M/6M | 06/26/24 | Morgan Stanley & Co. LLC | 8,038,000 USD | (74,737 | ) | — | (74,737 | ) | |||||||||||||||||||
Pays | 3-Month USD LIBOR | 1.99% | 3M/6M | 05/25/24 | Morgan Stanley & Co. LLC | 3,193,000 USD | (27,472 | ) | (1,176 | ) | (26,296 | ) | ||||||||||||||||||
Pays | 3-Month USD LIBOR | 1.99% | 3M/6M | 09/25/24 | Morgan Stanley & Co. LLC | 4,571,000 USD | (46,922 | ) | — | (46,922 | ) | |||||||||||||||||||
Pays | 3-Month USD LIBOR | 2.01% | 3M/6M | 04/25/24 | Morgan Stanley & Co. LLC | 3,441,000 USD | (24,248 | ) | — | (24,248 | ) | |||||||||||||||||||
Pays | 3-Month USD LIBOR | 2.03% | 3M/6M | 05/25/24 | Morgan Stanley & Co. LLC | 11,661,000 USD | (71,998 | ) | — | (71,998 | ) | |||||||||||||||||||
Pays | 3-Month USD LIBOR | 2.03% | 3M/6M | 06/26/24 | Morgan Stanley & Co. LLC | 4,027,000 USD | (25,319 | ) | — | (25,319 | ) | |||||||||||||||||||
Pays | 3-Month USD LIBOR | 2.05% | 3M/6M | 04/25/24 | Morgan Stanley & Co. LLC | 21,022,000 USD | (101,297 | ) | — | (101,297 | ) | |||||||||||||||||||
Pays | 3-Month USD LIBOR | 2.06% | 3M/6M | 08/25/24 | Morgan Stanley & Co. LLC | 5,354,000 USD | (28,348 | ) | (1,540 | ) | (26,808 | ) |
See Notes to Consolidated Financial Statements.
251
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2017 (Unaudited)
The | Floating | Fixed | Pay/ Receive | Maturity | Counterparty | Notional | Market | Upfront | Unrealized | |||||||||||||||||||||
Pays | 3-Month USD LIBOR | 2.07% | 3M/6M | 05/25/24 | Morgan Stanley & Co. LLC | 3,462,000 USD | $ | (13,019 | ) | $ | — | $ | (13,019 | ) | ||||||||||||||||
Pays | 3-Month USD LIBOR | 2.07% | 3M/6M | 07/25/24 | Morgan Stanley & Co. LLC | 1,877,000 USD | (8,220 | ) | (168 | ) | (8,052 | ) | ||||||||||||||||||
Pays | 3-Month USD LIBOR | 2.08% | 3M/6M | 05/25/24 | Morgan Stanley & Co. LLC | 5,886,000 USD | (16,598 | ) | — | (16,598 | ) | |||||||||||||||||||
Pays | 3-Month USD LIBOR | 2.09% | 3M/6M | 08/25/24 | Morgan Stanley & Co. LLC | 7,052,000 USD | (24,759 | ) | — | (24,759 | ) | |||||||||||||||||||
Pays | 3-Month USD LIBOR | 2.13% | 3M/6M | 05/25/24 | Morgan Stanley & Co. LLC | 15,250,000 USD | 3,368 | — | 3,368 | |||||||||||||||||||||
Pays | 3-Month USD LIBOR | 2.13% | 3M/6M | 04/25/24 | Morgan Stanley & Co. LLC | 10,293,000 USD | 6,145 | — | 6,145 | |||||||||||||||||||||
Pays | 3-Month USD LIBOR | 2.17% | 3M/6M | 04/25/24 | Morgan Stanley & Co. LLC | 2,609,000 USD | 8,219 | — | 8,219 | |||||||||||||||||||||
Pays | 3-Month USD LIBOR | 2.20% | 3M/6M | 01/30/24 | Morgan Stanley & Co. LLC | 34,029,500 USD | 183,156 | (25,588 | ) | 208,744 | ||||||||||||||||||||
Pays | 3-Month USD LIBOR | 2.22% | 3M/6M | 03/27/24 | Morgan Stanley & Co. LLC | 10,599,000 USD | 64,407 | — | 64,407 | |||||||||||||||||||||
Pays | 3-Month USD LIBOR | 2.24% | 3M/6M | 02/25/24 | Morgan Stanley & Co. LLC | 2,350,000 USD | 18,098 | — | 18,098 | |||||||||||||||||||||
Pays | 3-Month USD LIBOR | 2.26% | 3M/6M | 04/26/24 | Morgan Stanley & Co. LLC | 3,000,000 USD | 25,439 | — | 25,439 | |||||||||||||||||||||
Pays | 3-Month USD LIBOR | 2.32% | 3M/6M | 03/27/24 | Morgan Stanley & Co. LLC | 376,000 USD | 4,566 | — | 4,566 | |||||||||||||||||||||
Pays | 3-Month USD LIBOR | 2.40% | 3M/6M | 03/27/24 | Morgan Stanley & Co. LLC | 378,000 USD | 6,637 | — | 6,637 | |||||||||||||||||||||
Pays | 6-Month HUF BUBOR | 3.78% | 6M/1Y | 07/26/27 | Credit Suisse Securities (USA) LLC | 1,560,311,261 USD | 69,743 | — | 69,743 | |||||||||||||||||||||
Pays | 6-Month HUF BUBOR | 3.87% | 6M/1Y | 07/12/27 | Credit Suisse Securities (USA) LLC | 1,082,047,460 USD | 67,813 | — | 67,813 | |||||||||||||||||||||
Pays | 28-Day MXN-TIIE- Banxico | 6.82% | 28D/28D | 07/15/22 | Credit Suisse Securities (USA) LLC | 122,384,134 USD | 3,335 | — | 3,335 | |||||||||||||||||||||
Pays | 28-Day MXN-TIIE- Banxico | 7.28% | 28D/28D | 05/26/27 | Credit Suisse Securities (USA) LLC | 75,364,833 MXN | 63,499 | — | 63,499 | |||||||||||||||||||||
Pays | 28-Day MXN-TIIE- Banxico | 7.30% | 28D/28D | 05/26/27 | Credit Suisse Securities (USA) LLC | 75,371,993 MXN | 71,060 | — | 71,060 |
See Notes to Consolidated Financial Statements.
252
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2017 (Unaudited)
The | Floating | Fixed | Pay/ Receive | Maturity | Counterparty | Notional | Market | Upfront | Unrealized | |||||||||||||||||||||
Receives | 3-Month USD LIBOR | 1.18% | 6M/3M | 02/22/20 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 23,000,000 USD | $ | 323,375 | $ | — | $ | 323,375 | ||||||||||||||||||
Receives | 6-Month GBP LIBOR | 1.37% | 6M/6M | 01/05/67 | Credit Suisse Securities (USA) LLC | 2,693,653 GBP | 219,313 | 95 | 219,218 | |||||||||||||||||||||
Receives | 6-Month GBP LIBOR | 1.41% | 6M/6M | 08/04/67 | Credit Suisse Securities (USA) LLC | 3,461,000 USD | 211,734 | 123 | 211,611 | |||||||||||||||||||||
Receives | 6-Month GBP LIBOR | 1.44% | 6M/6M | 01/07/47 | Credit Suisse Securities (USA) LLC | 3,507,681 GBP | 246,821 | — | 246,821 | |||||||||||||||||||||
Receives | 3-Month USD LIBOR | 1.52% | 6M/3M | 05/25/19 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 18,200,000 USD | 47,944 | — | 47,944 | |||||||||||||||||||||
Receives | 3-Month USD LIBOR | 1.52% | 6M/3M | 08/25/28 | Morgan Stanley & Co. LLC | 1,500,000 USD | 121,014 | — | 121,014 | |||||||||||||||||||||
Receives | 6-Month GBP LIBOR | 1.56% | 6M/6M | 11/29/46 | Credit Suisse Securities (USA) LLC | 2,761,160 GBP | 87,811 | — | 87,811 | |||||||||||||||||||||
Receives | 3-Month USD LIBOR | 1.56% | 6M/3M | 09/26/26 | Morgan Stanley & Co. LLC | 3,600,000 USD | 208,947 | — | 208,947 | |||||||||||||||||||||
Receives | 6-Month GBP LIBOR | 1.60% | 6M/6M | 12/03/46 | Credit Suisse Securities (USA) LLC | 1,791,270 GBP | 33,977 | — | 33,977 | |||||||||||||||||||||
Receives | 3-Month USD LIBOR | 1.62% | 6M/3M | 07/25/26 | Morgan Stanley & Co. LLC | 1,900,000 USD | 97,492 | 4,658 | 92,834 | |||||||||||||||||||||
Receives | 3-Month USD LIBOR | 1.77% | 6M/3M | 10/24/21 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 18,500,000 USD | 115,828 | — | 115,828 | |||||||||||||||||||||
Receives | 3-Month USD LIBOR | 1.86% | 6M/3M | 12/11/20 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 15,000,000 USD | (1,434 | ) | — | (1,434 | ) | |||||||||||||||||||
Receives | 3-Month USD LIBOR | 1.86% | 6M/3M | 05/25/22 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 8,200,000 USD | 40,809 | — | 40,809 | |||||||||||||||||||||
Receives | 3-Month USD LIBOR | 1.95% | 6M/3M | 09/25/24 | Morgan Stanley & Co. LLC | 12,504,000 USD | 165,647 | — | 165,647 | |||||||||||||||||||||
Receives | 3-Month USD LIBOR | 1.96% | 6M/3M | 11/25/26 | Morgan Stanley & Co. LLC | 1,100,000 USD | 28,593 | — | 28,593 | |||||||||||||||||||||
Receives | 3-Month USD LIBOR | 1.99% | 6M/3M | 06/26/24 | Morgan Stanley & Co. LLC | 5,718,000 USD | 53,166 | 55,940 | (2,774 | ) | ||||||||||||||||||||
Receives | 3-Month USD LIBOR | 2.04% | 6M/3M | 10/26/25 | Morgan Stanley & Co. LLC | 3,900,000 USD | 49,659 | — | 49,659 | |||||||||||||||||||||
Receives | 3-Month USD LIBOR | 2.18% | 6M/3M | 06/26/27 | Morgan Stanley & Co. LLC | 5,600,000 USD | 57,969 | — | 57,969 |
See Notes to Consolidated Financial Statements.
253
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2017 (Unaudited)
The | Floating | Fixed | Pay/ Receive | Maturity | Counterparty | Notional | Market | Upfront | Unrealized | |||||||||||||||||||||
Receives | 3-Month USD LIBOR | 2.19% | 6M/3M | 05/25/27 | Morgan Stanley & Co. LLC | 1,500,000 USD | $ | 13,081 | $ | — | $ | 13,081 | ||||||||||||||||||
Receives | 3-Month USD LIBOR | 2.27% | 6M/3M | 01/25/26 | Morgan Stanley & Co. LLC | 2,000,000 USD | (6,384 | ) | — | (6,384 | ) | |||||||||||||||||||
Receives | 3-Month USD LIBOR | 2.30% | 6M/3M | 01/26/25 | Morgan Stanley & Co. LLC | 2,430,000 USD | (22,240 | ) | — | (22,240 | ) | |||||||||||||||||||
Receives | 3-Month USD LIBOR | 2.33% | 6M/3M | 08/25/25 | Morgan Stanley & Co. LLC | 37,250,000 USD | (349,792 | ) | 313,806 | (663,598 | ) | |||||||||||||||||||
Receives | 3-Month USD LIBOR | 2.34% | 6M/3M | 01/25/27 | Morgan Stanley & Co. LLC | 1,000,000 USD | (5,119 | ) | — | (5,119 | ) | |||||||||||||||||||
Receives | 3-Month USD LIBOR | 2.40% | 6M/3M | 01/25/27 | Morgan Stanley & Co. LLC | 5,900,000 USD | (59,914 | ) | — | (59,914 | ) | |||||||||||||||||||
Receives | 3-Month USD LIBOR | 2.41% | 6M/3M | 02/27/27 | Morgan Stanley & Co. LLC | 2,300,000 USD | (25,175 | ) | — | (25,175 | ) | |||||||||||||||||||
Receives | 3-Month USD LIBOR | 2.41% | 6M/3M | 12/22/22 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 50,000,000 USD | (861,182 | ) | — | (861,182 | ) | |||||||||||||||||||
Receives | 3-Month USD LIBOR | 2.53% | 6M/3M | 09/25/24 | Morgan Stanley & Co. LLC | 2,130,000 USD | (53,666 | ) | — | (53,666 | ) | |||||||||||||||||||
Receives | 3-Month USD LIBOR | 2.58% | 6M/3M | 03/27/27 | Morgan Stanley & Co. LLC | 300,000 USD | (7,631 | ) | — | (7,631 | ) | |||||||||||||||||||
|
| |||||||||||||||||||||||||||||
Total Centrally Cleared Interest Rate Swaps Outstanding | $ | 791,561 | $ | 337,124 | $ | 454,437 | ||||||||||||||||||||||||
|
|
Abbreviation Legend: | ||||
M | Monthly | |||
T | At Maturity | |||
1Y | Yearly | |||
3M | Quarterly | |||
6M | Semi-Annually | |||
28D | 28 Days | |||
ADR | American Depository Receipt | |||
BADLARPP | BADLAR Private Banks | |||
CBOT | Chicago Board of Trade | |||
CDE | Montreal Exchange | |||
CME | Chicago Mercantile Exchange | |||
COMEX | Commodities Exchange Center | |||
Eurex | Eurex Exchange | |||
EURIBOR | Euro Interbank Offered Rate | |||
Euronext | Euronext Paris | |||
HKFE | Hong Kong Futures Exchange Ltd. |
See Notes to Consolidated Financial Statements.
254
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2017 (Unaudited)
ICE | Ice Futures Europe | |||
IDEM | Italian Derivatives Exchange Market | |||
ISE | Istanbul Stock Exchange | |||
KRX FM | Korea Exchange (Futures Market) | |||
LIBOR | London Interbank Offered Rate | |||
LME | London Metal Exchange | |||
MTN | Medium Term Note | |||
MYX | Bursa Malaysia | |||
Nasdaq OMX | Nasdaq OMX Nordic | |||
NYMEX | New York Mercantile Exchange | |||
OSE | Osaka Exchange | |||
OTC | Over the Counter | |||
PIK | Denotes that all or a portion of the income is paid in-kind in the form of additional principal. | |||
REG S | Regulation-S | |||
REIT | Real Estate Investment Trust | |||
Safex | South African Futures Exchange | |||
SFE | ASX Trade24 | |||
SGX | Singapore Exchange | |||
TFEX | Thailand Futures Exchange | |||
Currency Legend: | ||||
ARS | Argentine Peso | |||
AUD | Australian Dollar | |||
BRL | Brazilian Real | |||
CAD | Canadian Dollar | |||
CHF | Swiss Franc | |||
CLP | Chilean Peso | |||
CNH | Chinese Renminbi | |||
COP | Colombian Peso | |||
CZK | Czech Koruna | |||
DKK | Danish Krone | |||
EGP | Egyptian Pound | |||
EUR | Euro | |||
GBP | British Pound | |||
HKD | Hong Kong Dollar | |||
HUF | Hungarian Forint | |||
IDR | Indonesian Rupiah | |||
ILS | Israeli Shekel | |||
INR | Indian Rupee | |||
JPY | Japanese Yen | |||
KRW | South Korean Won | |||
MXN | Mexican Peso | |||
MYR | Malaysian Ringgit | |||
NOK | Norwegian Krone | |||
NZD | New Zealand Dollar | |||
PHP | Philippine Peso | |||
PLN | Polish Zloty | |||
RUB | Russian Ruble |
See Notes to Consolidated Financial Statements.
255
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2017 (Unaudited)
SEK | Swedish Krona | |||
SGD | Singapore Dollar | |||
THB | Thai Baht | |||
TRY | Turkish Lira | |||
TWD | Taiwanese Dollar | |||
USD | United States Dollar | |||
UYU | Uruguayan Peso | |||
ZAR | South African Rand |
See Notes to Consolidated Financial Statements.
256
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Statement of Assets and Liabilities
As of September 30, 2017 (Unaudited)
Assets: |
| |||
Investments in securities, at fair value (cost of $4,719,322,493)1 | $ | 5,027,871,304 | ||
Cash | 204,815,219 | |||
Cash denominated in foreign currencies (cost of $37,111,787) | 37,300,217 | |||
Segregated cash balance with counterparties for securities sold short | 1,082,411,068 | |||
Segregated cash balance with counterparties for options | 1,773,869 | |||
Segregated cash balance with counterparties for swaps | 363,713,677 | |||
Segregated cash balance with counterparties for forward foreign currency exchange contracts | 32,387,111 | |||
Segregated cash balance with broker for futures contracts | 173,882,575 | |||
Segregated cash balance with broker for reverse repurchase agreements | 13,608,451 | |||
Unrealized appreciation on forward foreign currency exchange contracts | 8,015,722 | |||
Income receivable | 13,405,380 | |||
Receivable for investments sold | 573,338,073 | |||
Receivable for Fund shares sold | 8,638,426 | |||
Receivable for periodic payments from swap contracts | 9,720,947 | |||
Variation margin receivable on futures | 15,580,274 | |||
Swap contracts, premium paid | 4,996,246 | |||
Unrealized appreciation on swap contracts | 54,120,062 | |||
Prepaid expenses and other assets | 1,073,594 | |||
|
| |||
Total assets | 7,626,652,215 | |||
|
| |||
Liabilities: | ||||
Securities sold short, at fair value (proceeds of $1,353,085,711) | 1,416,362,407 | |||
Securities lending collateral payable | 21,956,320 | |||
Cash received as collateral from counterparty for options | 606,648 | |||
Cash received as collateral from counterparty for swaps | 154,248 | |||
Cash received as collateral from counterparty for forward foreign currency exchange contracts | 1,699,624 | |||
Options written, at fair value (premiums received $9,189,201) | 8,886,140 | |||
Unrealized depreciation on forward foreign currency exchange contracts | 6,928,754 | |||
Payable for reverse repurchase agreements | 171,945,041 | |||
Payable for investments purchased | 837,608,807 | |||
Payable for Fund shares redeemed | 2,564,682 | |||
Payable for periodic payments from swap contracts | 1,627,638 | |||
Variation margin payable on futures | 16,696,662 | |||
Variation margin payable on centrally cleared swaps | 12,541,604 | |||
Swap contracts, premium received | 17,648,469 | |||
Unrealized depreciation on swap contracts | 45,180,478 | |||
Dividend and interest income payable on securities sold short | 1,081,305 | |||
Management fee payable | 22,556,666 | |||
Accrued expenses and other liabilities | 6,497,805 | |||
|
| |||
Total liabilities | 2,592,543,298 | |||
|
| |||
Net assets | $ | 5,034,108,917 | ||
|
| |||
Net Assets Consist of: | ||||
Paid-in capital | $ | 4,787,478,395 | ||
Accumulated undistributed net investment income | 1,930,841 | |||
Accumulated net realized loss | (15,925,179 | ) | ||
Net unrealized appreciation | 260,624,860 | |||
|
| |||
Net assets | $ | 5,034,108,917 | ||
|
|
See Notes to Consolidated Financial Statements.
257
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Statement of Assets and Liabilities (Continued)
As of September 30, 2017 (Unaudited)
Net Asset Value: | ||||
Class I Shares | ||||
Net Assets | $ | 4,355,098,711 | ||
Class I Shares outstanding, no par value, unlimited shares authorized | 398,932,827 | |||
|
| |||
Net asset value per share | $ | 10.92 | ||
|
| |||
Class D Shares | ||||
Net Assets | $ | 210,696,874 | ||
Class D Shares outstanding, no par value, unlimited shares authorized | 19,393,633 | |||
|
| |||
Net asset value per share | $ | 10.86 | ||
|
| |||
Class Y Shares | ||||
Net Assets | $ | 468,313,332 | ||
Class Y Shares outstanding, no par value, unlimited shares authorized | 43,192,631 | |||
|
| |||
Net asset value per share | $ | 10.84 | ||
|
|
1 | Includes $21,561,553, of investments in securities, at fair value, on loan. |
See Notes to Consolidated Financial Statements.
258
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Statement of Operations
For the Six-Months Ended September 30, 2017 (Unaudited)
Investment Income: | ||||
Interest (including net foreign taxes withheld of $61) | $ | 63,951,218 | ||
Dividends (including net foreign taxes withheld of $575,498) | 11,692,484 | |||
|
| |||
Total income | 75,643,702 | |||
|
| |||
Expenses: | ||||
Management fees | $ | 43,426,058 | ||
Administration fees | 2,225,681 | |||
Custodian fees | 1,150,900 | |||
Trustees’ fees | 179,528 | |||
Distribution and service fees—Class D | 272,318 | |||
Shareholder service fees | 2,653,769 | |||
Registration fees | 103,420 | |||
Printing and postage fees | 237,606 | |||
Professional fees | 858,668 | |||
Dividends and interest on securities sold short | 10,462,073 | |||
Financing fees on securities sold short | 1,141,024 | |||
Line of credit fee | 113,288 | |||
Interest fees | 3,159,445 | |||
Other | 123,496 | |||
|
| |||
Total expenses | 66,107,274 | |||
|
| |||
Net investment income | 9,536,428 | |||
|
| |||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain on investments in securities | 148,812,241 | |||
Net realized loss on securities sold short | (46,373,924 | ) | ||
Net realized loss on forward foreign currency exchange contracts | (21,654,668 | ) | ||
Net realized loss on foreign currency transactions | (2,379,838 | ) | ||
Net realized loss on futures contracts | (29,674,226 | ) | ||
Net realized gain on options written | 2,231,056 | |||
Net realized gain on swap contracts | 40,183,187 | |||
Net change in unrealized appreciation on investments in securities | 75,308,912 | |||
Net change in unrealized depreciation on securities sold short | (29,359,414 | ) | ||
Net change in unrealized appreciation on forward foreign currency exchange contracts | 3,983,455 | |||
Net change in unrealized depreciation on foreign currency translations | (865,167 | ) | ||
Net change in unrealized appreciation on futures contracts | 250,655 | |||
Net change in unrealized depreciation on options written | (483,477 | ) | ||
Net change in unrealized depreciation on swap contracts | (366,538 | ) | ||
|
| |||
Net realized and unrealized gain | 139,612,254 | |||
|
| |||
Net increase in net assets resulting from operations | $ | 149,148,682 | ||
|
|
See Notes to Consolidated Financial Statements.
259
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Statement of Changes in Net Assets
Six-Months | Year | |||||||
Increase (Decrease) in Net Assets | ||||||||
Operations: | ||||||||
Net investment income | $ | 9,536,428 | $ | 31,254,328 | ||||
Net realized gain | 91,143,828 | 73,472,613 | ||||||
Net change in unrealized appreciation | 48,468,426 | 240,552,440 | ||||||
|
|
|
| |||||
Net increase in net assets resulting from operations | 149,148,682 | 345,279,381 | ||||||
|
|
|
| |||||
Distributions: | ||||||||
Distributions from net investment income: | ||||||||
Class I Shares | — | (16,162,497 | ) | |||||
Class D Shares | — | (1,677,393 | ) | |||||
Class Y Shares | — | (2,232,284 | ) | |||||
|
|
|
| |||||
Total distributions to shareholders | — | (20,072,174 | ) | |||||
|
|
|
| |||||
Capital Transactions: | ||||||||
Shareholder subscriptions: | ||||||||
Proceeds from sale of Class I Shares | 1,018,580,840 | 1,349,759,049 | ||||||
Proceeds from sale of Class D Shares | 26,467,798 | 612,319,359 | ||||||
Proceeds from sale of Class Y Shares | 39,370,305 | 224,058,828 | ||||||
Distributions from net realized capital gains: | ||||||||
Net asset value of Class I Shares issued to shareholders in payment of distributions declared | — | 11,716,838 | ||||||
Net asset value of Class D Shares issued to shareholders in payment of distributions declared | — | 1,671,266 | ||||||
Net asset value of Class Y Shares issued to shareholders in payment of distributions declared | — | 2,190,011 | ||||||
Shareholder redemptions: | ||||||||
Cost of Class I Shares redeemed | (387,918,581 | ) | (1,952,529,789 | ) | ||||
Cost of Class D Shares redeemed | (139,204,747 | ) | (348,796,647 | ) | ||||
Cost of Class Y Shares redeemed | (18,608,697 | ) | (162,772,964 | ) | ||||
|
|
|
| |||||
Net increase (decrease) in net assets resulting from capital transactions | 538,686,918 | (262,384,049 | ) | |||||
|
|
|
| |||||
Net increase in net assets | 687,835,600 | 62,823,158 | ||||||
|
|
|
| |||||
Net Assets: | ||||||||
Beginning of period | 4,346,273,317 | 4,283,450,159 | ||||||
|
|
|
| |||||
End of period | $ | 5,034,108,917 | $ | 4,346,273,317 | ||||
|
|
|
| |||||
Accumulated undistributed (distributions in excess of) net investment income | $ | 1,930,841 | $ | (7,605,587 | ) | |||
|
|
|
|
See Notes to Consolidated Financial Statements.
260
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Statement of Changes in Net Assets (Continued)
Six-Months | Year | |||||||
Share Transactions: | ||||||||
Class I Shares | ||||||||
Beginning of period | 340,734,104 | 399,185,175 | ||||||
Shares issued | 94,120,638 | 132,971,298 | ||||||
Reinvestment in Shares | — | 1,152,094 | ||||||
Shares redeemed | (35,921,915 | ) | (192,574,463 | ) | ||||
|
|
|
| |||||
Net change in shares resulting from share transactions | 58,198,723 | (58,451,071 | ) | |||||
|
|
|
| |||||
End of period | 398,932,827 | 340,734,104 | ||||||
|
|
|
| |||||
Class D Shares | ||||||||
Beginning of period | 30,032,248 | 2,325,127 | ||||||
Shares issued | 2,454,993 | 61,462,720 | ||||||
Reinvestment in Shares | — | 164,648 | ||||||
Shares redeemed | (13,093,608 | ) | (33,920,247 | ) | ||||
|
|
|
| |||||
Net change in shares resulting from share transactions | (10,638,615 | ) | 27,707,121 | |||||
|
|
|
| |||||
End of period | 19,393,633 | 30,032,248 | ||||||
|
|
|
| |||||
Class Y Shares | ||||||||
Beginning of period | 41,247,352 | 34,829,511 | ||||||
Shares issued | 3,675,577 | 22,324,054 | ||||||
Reinvestment in Shares | — | 217,048 | ||||||
Shares redeemed | (1,730,298 | ) | (16,123,261 | ) | ||||
|
|
|
| |||||
Net change in shares resulting from share transactions | 1,945,279 | 6,417,841 | ||||||
|
|
|
| |||||
End of period | 43,192,631 | 41,247,352 | ||||||
|
|
|
|
See Notes to Consolidated Financial Statements.
261
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Statement of Cash Flows
For the Six-Months Ended September 30, 2017 (Unaudited)
Cash Flows from Operating Activities: | ||||
Net increase in net assets resulting from operations | $ | 149,148,682 | ||
Adjustments to reconcile net increase in net assets resulting from operations to net cash used in operating activities: | ||||
Purchases of investments in securities | (5,835,734,185 | ) | ||
Proceeds from disposition of investments in securities | 5,880,817,781 | |||
Proceeds from securities sold short | 1,982,122,434 | |||
Payments to cover securities sold short | (1,994,670,988 | ) | ||
Premiums paid on closing options written | (14,615,853 | ) | ||
Proceeds from premiums received from options written | 11,645,363 | |||
Net realized gain on investments in securities | (148,812,241 | ) | ||
Net realized gain (loss) on securities sold short | 46,373,924 | |||
Net realized gain on options written | (2,231,056 | ) | ||
Accretion of bond discount and amortization of bond premium | (5,399,120 | ) | ||
Net change in unrealized appreciation on investments | (75,308,912 | ) | ||
Net change in unrealized depreciation on securities sold short | 29,359,414 | |||
Net change in unrealized depreciation on options written | 483,477 | |||
Changes in assets and liabilities: | ||||
(Increase) decrease in assets: | ||||
Segregated cash balance with counterparties for securities sold short | (26,197,235 | ) | ||
Segregated cash balance with counterparties for options | (1,773,869 | ) | ||
Segregated cash balance with counterparties for swaps | (247,905,197 | ) | ||
Segregated cash balance with counterparties for forward foreign currency exchange contracts | (32,387,111 | ) | ||
Segregated cash balance with broker for futures contracts | (23,768,378 | ) | ||
Segregated cash balance with broker for reverse repurchase agreements | 48,912,770 | |||
Unrealized appreciation on forward foreign currency exchange contracts | (4,439,133 | ) | ||
Income receivable | 1,336,993 | |||
Receivable for periodic payments from swap contracts | 3,741,074 | |||
Variation margin receivable on futures | (11,448,172 | ) | ||
Swap contracts, premium paid | 103,201 | |||
Unrealized appreciation on swap contracts | (33,528,499 | ) | ||
Prepaid expenses and other assets | (969,629 | ) | ||
Increase (decrease) in liabilities: | ||||
Securities lending collateral payable | (14,507,883 | ) | ||
Cash received as collateral from counterparty for options | 606,648 | |||
Cash received as collateral from counterparty for swaps | (5,752 | ) | ||
Cash received as collateral from counterparty for forward foreign currency exchange contracts | 1,699,624 | |||
Unrealized depreciation on forward foreign currency exchange contracts | 455,678 | |||
Swap contracts, premium received | 582,886 | |||
Unrealized depreciation on swap contracts | 32,540,359 | |||
Variation margin payable on futures | 6,740,234 | |||
Variation margin payable on centrally cleared swaps | 12,541,604 | |||
Payable for periodic payments from swap contracts | 310,090 | |||
Dividend and interest income payable on securities sold short | (559,023 | ) | ||
Interest payable on reverse repurchase agreements | (483,304 | ) | ||
Management fee payable | 2,139,724 | |||
Accrued expenses and other liabilities | 844,841 | |||
|
| |||
Net cash used in operating activities | (262,238,739 | ) | ||
|
| |||
Cash Flows from Financing Activities | ||||
Proceeds from shares sold | 1,083,225,470 | |||
Cost of shares repurchased | (550,352,258 | ) | ||
Proceeds from reverse repurchase agreements | 885,626,000 | |||
Repayment of reverse repurchase agreements | (1,005,315,008 | ) | ||
|
| |||
Net cash provided by financing activities | 413,184,204 | |||
|
| |||
Net increase (decrease) in cash and foreign currency | 150,945,465 | |||
Cash and foreign currency, beginning of period | 91,169,971 | |||
|
| |||
Cash and foreign currency, end of period | $ | 242,115,436 | ||
|
| |||
Supplemental disclosure of cash flow information: | ||||
Cash paid during the period for interest | $ | 2,591,423 | ||
|
|
See Notes to Consolidated Financial Statements.
262
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Financial Highlights
(For Shares Outstanding Throughout the Period)
Class I | ||||||||||||||||
Six-Months | Year | Year | Period | |||||||||||||
Net Asset Value, Beginning of Period | $ | 10.56 | $ | 9.82 | $ | 10.38 | $ | 10.00 | ||||||||
Income From Investment Operations: | ||||||||||||||||
Net investment income (loss)2 | 0.02 | 0.07 | (0.05 | ) | (0.09 | ) | ||||||||||
Net realized and unrealized gain (loss) | 0.34 | 0.72 | (0.26 | ) | 0.53 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total From Investment Operations | 0.36 | 0.79 | (0.31 | ) | 0.44 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Less Distributions to Shareholders: | ||||||||||||||||
From net investment income | — | (0.05 | ) | (0.01 | ) | (0.02 | ) | |||||||||
From net realized capital gains | — | — | (0.24 | ) | (0.04 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Distributions | — | (0.05 | ) | (0.25 | ) | (0.06 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Net Asset Value, End of Period | $ | 10.92 | $ | 10.56 | $ | 9.82 | $ | 10.38 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Return | 3.41 | %3 | 8.03 | % | (3.01 | )% | 4.43 | %3 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Ratios to Average Net Assets:4 | ||||||||||||||||
Total expenses before recoupment (reimbursement) from Investment Adviser | 0.97 | %5 | 1.15 | % | 1.30 | % | 1.46 | %5 | ||||||||
Management Fees | 1.88 | %5 | 1.88 | % | 1.92 | % | 1.95 | %5 | ||||||||
Recoupment (reimbursement) from Investment Adviser | — | — | 0.05 | % | (0.24 | )%5 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net expenses after recoupment (reimbursement) from Investment Adviser | 2.85 | %5 | 3.03 | % | 3.27 | % | 3.17 | %5 | ||||||||
Excluded expenses6 | (0.66 | )%5 | (0.81 | )% | (0.93 | )% | (0.77 | )%5 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Expenses, net of impact of excluded expenses | 2.19 | %5 | 2.22 | % | 2.34 | % | 2.40 | %5 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net investment income (loss) | 0.42 | %5 | 0.71 | % | (0.45 | )% | (1.11 | )%5 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Supplemental Data: | ||||||||||||||||
Net assets, end of period (in thousands) | $ | 4,355,099 | $ | 3,597,704 | $ | 3,921,027 | $ | 1,097,917 | ||||||||
Portfolio turnover | 107 | %3 | 237 | % | 172 | % | 194 | %3 |
1 | For the period June 16, 2014 (commencement of operations) to March 31, 2015. |
2 | Calculated using average shares outstanding during the period. |
3 | Percentage represents the results for the period and is not annualized. |
4 | The ratios do not reflect the Fund’s share of the income and expenses of the underlying Investee Funds. |
5 | Financial ratios have been annualized except for non-recurring costs. |
6 | Represents expenses excluded from reimbursement by the Investment Adviser, as defined in the Expense Limitation and Reimbursement Agreement, except for Management Fees. See Note 7. |
See Notes to Consolidated Financial Statements.
263
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Financial Highlights
(For Shares Outstanding Throughout the Period)
Class D | ||||||||||||||||
Six-Months | Year | Year | Period | |||||||||||||
Net Asset Value, Beginning of Period | $ | 10.53 | $ | 9.81 | $ | 10.38 | $ | 10.00 | ||||||||
Income From Investment Operations: | ||||||||||||||||
Net investment income (loss)2 | 0.00 | 3 | 0.05 | (0.07 | ) | (0.05 | ) | |||||||||
Net realized and unrealized gain (loss) | 0.33 | 0.70 | (0.26 | ) | 0.48 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total From Investment Operations | 0.33 | 0.75 | (0.33 | ) | 0.43 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Less Distributions to Shareholders: | ||||||||||||||||
From net investment income | — | (0.03 | ) | — | (0.01 | ) | ||||||||||
From net realized capital gains | — | — | (0.24 | ) | (0.04 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Distributions | — | (0.03 | ) | (0.24 | ) | (0.05 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Net Asset Value, End of Period | $ | 10.86 | $ | 10.53 | $ | 9.81 | $ | 10.38 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Return | 3.13 | %4 | 7.70 | % | (3.22 | )% | 4.32 | %4 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Ratios to Average Net Assets:5 | ||||||||||||||||
Total expenses before recoupment (reimbursement) from Investment Adviser | 1.39 | %6 | 1.40 | % | 1.55 | % | 1.59 | %6 | ||||||||
Management Fees | 1.88 | %6 | 1.88 | % | 1.92 | % | 1.95 | %6 | ||||||||
Recoupment (reimbursement) from Investment Adviser | — | — | 0.02 | % | (0.14 | )%6 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net expenses after recoupment (reimbursement) from Investment Adviser | 3.27 | %6 | 3.28 | % | 3.49 | % | 3.40 | %6 | ||||||||
Excluded expenses7 | (0.90 | )%6 | (1.06 | )% | (1.18 | )% | (1.00 | )%6 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Expenses, net of impact of excluded expenses | 2.37 | %6 | 2.22 | % | 2.31 | % | 2.40 | %6 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net investment income (loss) | 0.01 | %6 | 0.48 | % | (0.66 | )% | (1.29 | )%6 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Supplemental Data: | ||||||||||||||||
Net assets, end of period (in thousands) | $ | 210,697 | $ | 316,243 | $ | 22,811 | $ | 6,012 | ||||||||
Portfolio turnover | 107 | %4 | 237 | % | 172 | % | 194 | %4 |
1 | For the period November 17, 2014 (commencement of operations) to March 31, 2015. |
2 | Calculated using average shares outstanding during the period. |
3 | Rounds to less than $0.01. |
4 | Percentage represents the results for the period and is not annualized. |
5 | The ratios do not reflect the Fund’s share of the income and expenses of the underlying Investee Funds. |
6 | Financial ratios have been annualized except for non-recurring costs. |
7 | Represents expenses excluded from reimbursement by the Investment Adviser, as defined in the Expense Limitation and Reimbursement Agreement, except for Management Fees. See Note 7. |
See Notes to Consolidated Financial Statements.
264
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Financial Highlights
(For Shares Outstanding Throughout the Period)
Class Y | ||||||||||||||||
Six-Months | Year | Year | Period | |||||||||||||
Net Asset Value, Beginning of Period | $ | 10.48 | $ | 9.75 | $ | 10.29 | $ | 10.00 | ||||||||
Income From Investment Operations: | ||||||||||||||||
Net investment income (loss)2 | 0.03 | 0.08 | (0.03 | ) | (0.02 | ) | ||||||||||
Net realized and unrealized gain (loss) | 0.33 | 0.71 | (0.25 | ) | 0.31 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total From Investment Operations | 0.36 | 0.79 | (0.28 | ) | 0.29 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Less Distributions to Shareholders: | ||||||||||||||||
From net investment income | — | (0.06 | ) | (0.02 | ) | — | ||||||||||
From net realized capital gains | — | — | (0.24 | ) | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Distributions | — | (0.06 | ) | (0.26 | ) | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Asset Value, End of Period | $ | 10.84 | $ | 10.48 | $ | 9.75 | $ | 10.29 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Return | 3.44 | %3 | 8.10 | % | (2.90 | )% | 2.90 | %3 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Ratios to Average Net Assets:4 | ||||||||||||||||
Total expenses before recoupment (reimbursement) from Investment Adviser | 0.87 | %5 | 1.05 | % | 1.20 | % | 1.31 | %5 | ||||||||
Management Fees | 1.88 | %5 | 1.88 | % | 1.92 | % | 1.95 | %5 | ||||||||
Recoupment (reimbursement) from Investment Adviser | — | — | 0.00 | %6 | (0.07 | )%5 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net expenses after recoupment (reimbursement) from Investment Adviser | 2.75 | %5 | 2.93 | % | 3.12 | % | 3.19 | %5 | ||||||||
Excluded expenses7 | (0.66 | )%5 | (0.81 | )% | (0.92 | )% | (0.79 | )%5 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Expenses, net of impact of excluded expenses | 2.09 | %5 | 2.12 | % | 2.20 | % | 2.40 | %5 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net investment income (loss) | 0.53 | %5 | 0.78 | % | (0.34 | )% | (1.03 | )%3 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Supplemental Data: | ||||||||||||||||
Net assets, end of period (in thousands) | $ | 468,313 | $ | 432,327 | $ | 339,613 | $ | 105,624 | ||||||||
Portfolio turnover | 107 | %3 | 237 | % | 172 | % | 194 | %3 |
1 | For the period January 28, 2015 (commencement of operations) to March 31, 2015. |
2 | Calculated using average shares outstanding during the period. |
3 | Percentage represents the results for the period and is not annualized. |
4 | The ratios do not reflect the Fund’s share of the income and expenses of the underlying Investee Funds. |
5 | Financial ratios have been annualized except for non-recurring costs. |
6 | Represents less than 0.01%. |
7 | Represents expenses excluded from reimbursement by the Investment Adviser, as defined in the Expense Limitation and Reimbursement Agreement, except for Management Fees. See Note 7. |
See Notes to Consolidated Financial Statements.
265
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Notes to Consolidated Financial Statements
For the Six-Months Ended September 30, 2017 (Unaudited)
1. Organization
Blackstone Alternative Investment Funds (the “Trust”) is a Massachusetts business trust authorized to issue an unlimited number of shares of beneficial interest, which may be divided into different series and classes. The Trust is registered as an open-end management investment company under the Investment Company Act of 1940, as amended (the “1940 Act”) that commenced operations offering Class I Shares on June 16, 2014. The Trust consists of a single series, Blackstone Alternative Multi-Strategy Fund (the “Fund”). The Fund also offers Class D Shares, Class Y Shares and Class R Shares, of which, Class D Shares and Class Y Shares commenced operations on November 17, 2014 and January 28, 2015, respectively. As of September 30, 2017, the Fund had not issued any Class R Shares. The Fund operates as a diversified open-end investment company as defined in the 1940 Act.
The investment adviser of the Fund is Blackstone Alternative Investment Advisors LLC (“BAIA” or the “Investment Adviser”), a registered investment adviser under the Investment Advisers Act of 1940, as amended. The Board of Trustees (the “Board” and each member a “Trustee”) of the Trust supervises the conduct of the Fund’s affairs and, pursuant to an investment management agreement, has engaged BAIA to manage the Fund’s day-to-day investment activities. The Fund’s investment objective is to seek capital appreciation. The Investment Adviser seeks to achieve the Fund’s objectives by allocating the Fund’s assets among a variety of non-traditional, or “alternative,” investment strategies. The Investment Adviser determines the allocations of the Fund’s assets and allocates a majority of the Fund’s assets among the sub-advisers (the “Sub-Advisers”) with experience managing alternative investment strategies and among investment funds, and may also manage a portion of the Fund’s assets directly. In pursuing the Fund’s investment objective, the Adviser focuses on the preservation of capital and seeks to maintain an investment portfolio with, on average, lower volatility relative to the broker equity markets. Each discretionary Sub-Adviser is responsible for the day-to-day management of the Fund’s assets that the Investment Adviser allocates to it. The Investment Adviser has the responsibility to oversee each Sub-Adviser (subject to the oversight of the Board).
The Fund’s assets may be invested in three wholly-owned and controlled subsidiaries of the Fund (collectively, the “Subsidiaries”), each of which has the same investment objective as the Fund. One of the Fund’s Subsidiaries, Blackstone Alternative Multi-Strategy Sub Fund II Ltd. (the “Cayman Subsidiary”), is a Cayman Islands exempted company. Both of the other Subsidiaries, Blackstone Alternative Multi-Strategy Sub Fund III L.L.C. (the “Domestic Subsidiary III”) and Blackstone Alternative Multi-Strategy Sub Fund IV L.L.C. (the “Domestic Subsidiary IV”), are Delaware limited liability companies. The Cayman Subsidiary invests, directly or indirectly through the use of derivatives, in securities and commodity interests. The Domestic Subsidiary III and the Domestic Subsidiary IV invest, directly or indirectly through the use of derivatives, almost entirely in securities (with only de minimis exposure to commodity interests). The consolidated financial statements include the financial statements of the Fund and the three Subsidiaries. Except where context otherwise requires, the term “Fund” refers to the Fund together with the applicable Subsidiaries.
The Fund and the Cayman Subsidiary are each a commodity pool subject to regulation by the Commodity Futures Trading Commission (“CFTC”). BAIA, the commodity pool operator of the Fund and the Cayman Subsidiary, is registered as such with the CFTC, but has claimed relief under Rules 4.12(c)(3) and 4.7 of the Commodity Exchange Act (“CEA”), respectively, from certain disclosure, reporting, and recordkeeping requirements otherwise applicable to commodity pools. Neither the Domestic Subsidiary III nor the Domestic Subsidiary IV intends to invest more than a de minimis level of its net assets in “commodity interests” (as defined under the CEA). Accordingly, BAIA has claimed an exemption under Rule 4.13(a)(3) from
registration as a commodity pool operator with respect to the Domestic Subsidiary III and the Domestic Subsidiary IV, and such pools are not subject to regulation by the CFTC.
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Notes to Consolidated Financial Statements (Continued)
For the Six-Months Ended September 30, 2017 (Unaudited)
Capitalized terms used, but not defined herein, shall have the meaning assigned to them in the Prospectus of the Fund.
2. Basis of Presentation
The Fund’s consolidated financial statements are prepared in accordance with accounting principles generally accepted in the United States of America (“U.S. GAAP”) and are stated in U.S. dollars, except as otherwise noted. The preparation of financial statements in accordance with U.S. GAAP requires management to make certain estimates and assumptions that affect the reported amount of assets and liabilities, the disclosure of contingent assets and liabilities, and the reported amounts of income and expenses during the period. Actual results could differ from these estimates and these differences could be material.
The Fund is an investment company in accordance with Accounting Standards Codification 946, Financial Services—Investment Companies (“ASC 946”), which defines investment companies and prescribes specialized accounting and reporting requirements for investment companies.
Consolidation
The Fund consolidates its investment in the Subsidiaries. Accordingly, the consolidated financial statements include the assets and liabilities and the results of operations of the Subsidiaries. All material intercompany balances and transactions have been eliminated.
3. Significant Accounting Policies
The net asset value (“NAV”) of the Fund’s shares is calculated as of the close of regular trading on the New York Stock Exchange (“NYSE”) (generally 4:00 pm Eastern Time) on each day that the NYSE is open for business (a “Business Day”).
Valuation Policy
For purposes of calculating the NAV for each class of shares, the Fund values its investments in securities, securities sold short, derivative financial instruments and other investments at fair value. The Board has established procedures for determining the fair value of securities, including securities sold short, derivative financial instruments and other investments (together, the “investments”) (the “Valuation Procedures”). The Board has delegated to the Investment Adviser day-to-day responsibility for implementing the Valuation Procedures. The Investment Adviser’s management has formed the Fair Value Committee (the “FVC”), to which the Board has delegated responsibility for providing oversight of the valuation and pricing function of the Fund for all investments. Pursuant to the Valuation Procedures, if market quotations are not readily available (or are otherwise not reliable for a particular investment), the fair value will be determined by the FVC in good faith, and such determinations shall be reported to the Board. Due to the inherent uncertainty, estimates of fair value may differ from the values that would have been used had a ready market for these investments existed and the differences could be material.
Market quotes are considered not readily available in circumstances where there is an absence of current or reliable market-based data (e.g., trade information, bid/ask information, or broker-dealer quotations), including where events occur after the close of the relevant market, but prior to the close of the NYSE, that materially affect the value of the Fund’s investments. In addition, market quotes are considered not readily available when, due to extraordinary circumstances, the exchanges or markets on which securities trade do not open for trading for the entire day and no other market prices are available. The Board has delegated to the FVC and the Investment Adviser the responsibility for monitoring significant events that may materially
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Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Notes to Consolidated Financial Statements (Continued)
For the Six-Months Ended September 30, 2017 (Unaudited)
affect the values of the Fund’s investments and for determining whether the value of the applicable investments should be re-evaluated in light of such significant events. There were no instances of such determination made during the six-months ended September 30, 2017.
Fair Value Measurements
Fair value guidance defines fair value, establishes a framework for measuring fair value, and expands disclosures about fair value measurements. U.S. GAAP defines fair value as the price that the Fund would receive to sell an asset or pay to transfer a liability (i.e., the exit price) in an orderly transaction between market participants at the measurement date.
The availability of observable inputs can vary from security to security and is affected by a wide variety of factors, including, for example, the type of security, whether the security is new and not yet established in the marketplace, the liquidity of markets, and other characteristics particular to the security. To the extent that valuation is based on models or inputs that are less observable or unobservable in the market, the determination of fair value requires more judgment. Accordingly, the degree of judgment exercised in determining fair value is greatest for investments categorized in Level 3. The inputs or methodology used for valuing an investment are not necessarily an indication of the risk associated with investing in those securities.
Investments measured and reported at fair value are classified and disclosed in one of the following levels within the fair value hierarchy based on the lowest level of input that is significant to the fair value measurement:
Level 1 – quoted prices are available in active markets for identical investments as of the measurement date. The Fund does not adjust the quoted price for these investments.
The types of investments categorized within Level 1 generally include actively traded domestic and certain foreign equity securities, short-term investments and derivative financial instruments actively traded on recognized exchanges.
Level 2 – quoted prices are available in markets that are not active or model inputs are based on inputs that are either directly or indirectly observable as of the measurement date.
The types of investments categorized within Level 2 generally include certain foreign equities; fixed income securities including corporate and convertible bonds, loans, trade claims, sovereign debt obligations, U.S. Treasury obligations, and asset-backed and mortgage-backed securities; over-the-counter (“OTC”) derivative financial instruments such as total return swaps, interest rate swaps, credit default swaps, OTC options; and forward foreign currency exchange contracts (“Forwards”).
Level 3 – pricing inputs are unobservable and include instances where there is little, if any, market activity for the investment. Inputs reflect the best estimate of what market participants would use in determining fair value of investments as of the measurement date.
Changes in valuation techniques may result in transfers in or out of an investment’s assigned level within the fair value hierarchy.
A description of the valuation techniques applied to the Fund’s major categories of investments measured at fair value on a recurring basis are as follows:
Exchange-Traded Securities
Equity securities, including common stock, listed preferred stock, exchange-traded funds, and derivative financial instruments, such as futures contracts and option contracts, that are traded on a recognized securities
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Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Notes to Consolidated Financial Statements (Continued)
For the Six-Months Ended September 30, 2017 (Unaudited)
exchange or on the NASDAQ Global Market System (“NASDAQ”) are valued at the last reported sales price (or the official closing price of certain foreign exchanges) or the NASDAQ official closing price, as applicable. For securities traded on more than one exchange, the last reported sales price on the exchange where the security is primarily traded is used. To the extent these securities and derivative financial instruments are actively traded and adjustments are not applied, they are categorized as Level 1 within the fair value hierarchy.
The Fund may use a third-party fair valuation service provider to value foreign equity securities that are primarily traded outside of North America and South America. The third-party fair valuation service provider calculates a factor (“Fair Value Factor”) that is applied to adjust the last price of each such security in the event that there is movement in excess of a specified trigger (“Fair Value Trigger”), as measured by the movement between the prior close and the current close of the U.S. market. Foreign equities for which the last price has been adjusted by such factor will generally be categorized as Level 2 within the fair value hierarchy. As of September 30, 2017, no such adjustments have been made.
Short-Term Investments
The Fund considers short-term, highly liquid investments with original maturities of 90 days or less when acquired to be short-term investments. At September 30, 2017, the Fund had $691,265,276 invested in State Street Institutional U.S. Government Money Market Fund (GVMXX—Premier Class). Investments in money market funds are categorized as Level 1 within the fair value hierarchy and are valued at net asset value.
Effective October 14, 2016, money market funds are required to comply with certain rules adopted by the Securities and Exchange Commission (“SEC”) in July 2014. The rules establish new definitions for money market fund classifications and certain money market funds are required to move from a stable $1.00 price per share to a floating net asset value. Money market funds that meet certain criteria can maintain a fixed $1.00 share price. The State Street Institutional U.S. Government Money Market Fund invests only in obligations issued or guaranteed as to principal and/or interest, as applicable, by the U.S. government or its agencies and instrumentalities, as well as repurchase agreements secured by such instruments and maintains a fixed $1.00 share price. Additionally, the State Street Institutional U.S. Government Money Market Fund is not subject to liquidity fees or redemption gates.
Derivative Financial Instruments
OTC derivative financial instruments, such as Forwards, OTC options contracts, or swap agreements, derive their value from underlying referenced instruments or obligations, indices, reference rates, and other inputs or a combination thereof. These contracts are normally valued by pricing service providers or based on broker-dealer quotations. Depending on the nature of the instruments and the terms of the transaction, the value of OTC derivative financial instruments can be estimated by a pricing service provider using a series of techniques, including industry standard pricing models. The pricing models use inputs that are observed from actively quoted markets such as issuer details, indices, spreads, yield curves, dividends and exchange rates. Derivative financial instruments that use similar valuation techniques and inputs as described above are categorized as Level 2 within the fair value hierarchy.
Centrally cleared swaps listed or traded on a multilateral or trade facility platform, such as a registered exchange, are valued at the daily settlement price determined by the clearing exchange. For centrally cleared credit default swaps, the clearing facility requires its members to provide actionable levels across complete term structures. These levels along with external third-party prices are used to produce daily settlement prices. Centrally cleared interest rate swaps are valued using a pricing model that references the underlying rates to produce the daily settlement price. These securities are categorized as Level 2 within the fair value hierarchy.
269
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Notes to Consolidated Financial Statements (Continued)
For the Six-Months Ended September 30, 2017 (Unaudited)
Fixed Income Securities
Fixed income securities, including corporate and convertible bonds, U.S. Treasury obligations, foreign debt obligations, and bank debt are normally valued by pricing service providers on the basis of last available bid price or ask price for securities sold short. In determining the value of a particular investment, pricing service providers may use broker-dealer quotations, reported trades or valuation estimates from their internal pricing models to determine the reported price that consider observable inputs. The pricing service providers’ internal models use observable inputs such as issuer details, interest rates, yield curves, prepayment speeds, credit risks/spreads, default rates and quoted prices for similar assets. Securities that use similar valuation techniques and inputs as described above are categorized as Level 2 within the fair value hierarchy.
Mortgage-related securities (“MBS”) and asset-backed securities (“ABS”) are usually issued as separate tranches, or classes, of securities within each deal. These securities are also generally valued by pricing service providers that use broker-dealer quotations or valuation estimates from their internal pricing models. The pricing models for these securities usually consider tranche-level attributes, current market data, estimated cash flows and market-based yield spreads for each tranche, and incorporate deal collateral performance, as available. MBS and ABS that use similar valuation techniques and inputs as described above are categorized as Level 2 within the fair value hierarchy.
Level 3 investments are valued by broker quotes, fair value models, or pricing services that may employ valuation techniques with unobservable inputs. At September 30, 2017, the total fair value of Level 3 investments was $25,241,632. The appropriateness of fair values for these securities are monitored on an ongoing basis which may include results of backtesting, results of pricing due diligence, unchanged price review, use of specialists, and consideration of macro security specific events.
Investments in Investee Funds
The fair value of investments in unaffiliated hedge funds, (collectively, the “Investee Funds”) is generally determined using the reported net asset value per share of the Investee Fund, or its equivalent, as a practical expedient for fair value, unless the investment in the Investee Fund is traded on a recognized securities exchange and a quoted price is available as of the measurement date. If the Investee Fund is not traded on an exchange, the Fund may, as a practical expedient, estimate the fair value of an Investee Fund based on the reported net asset value per share or its equivalent if the reported net asset value per share or its equivalent of the Investee Fund is calculated in a manner consistent with the measurement principles applied to investment companies, in accordance with ASC 946.
Securities and Other Investments
Bank Debt
The Fund may invest in bank debt including, for example, corporate loans, trade claims, loan participations, direct debt, revolvers, bank loans, and bridge loans. The Fund invests in loans through novations, assignments, and participation interests. In a novation, the Fund typically assumes all of the rights of a lending institution, including the right to receive payments of principal and interest and other amounts directly from the borrower and to enforce its rights as a lender directly against the borrower. When the Fund takes an assignment of a loan, the Fund acquires some or all of the interest of another lender (or assignee) in the loan. In such cases, the Fund may be required generally to rely upon the assignor to demand payment and enforce rights under the loan. If the Fund acquires a participation in the loan, the Fund purchases an indirect interest in a loan held by a third-party and the Fund typically will have a contractual relationship only with the third-party loan investor, not with the borrower. As a result, the Fund may have the right to receive payments of principal, interest, and any fees to which it is entitled only from the loan investor selling the
270
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Notes to Consolidated Financial Statements (Continued)
For the Six-Months Ended September 30, 2017 (Unaudited)
participation and only upon receipt by such loan investor of such payments from the borrower. In such cases, the Fund assumes the credit risk of both the borrower and the loan investor selling the participation, and the Fund may be unable to realize some or all of the value of its interest in the loan in the event of the insolvency of the third-party. Changes in the financial condition of the borrower or economic conditions or other circumstances may reduce the capacity of the borrower to make principal and interest payments on such instruments and may lead to defaults. Certain types of bank debt may have an associated partially funded or unfunded commitment. The unfunded commitments may or may not be funded by the Fund. At September 30, 2017, the Fund had an outstanding commitment of $43,261 related to held bank debt.
Mortgage-Related and Other Asset-Backed Securities
The Fund may invest in MBS (residential and commercial) and other ABS. These securities include mortgage pass-through securities, collateralized mortgage obligations, commercial mortgage-backed securities, residential mortgage-backed securities, collateralized debt obligations and other securities that directly or indirectly represent a participation in, or are secured by and payable from, mortgage loans on real property. MBS and other ABS represent interests in pools of mortgages, loans or other assets. MBS are created from pools of residential or commercial mortgage loans, including loans made by savings and loans institutions, mortgage bankers, commercial banks and others. These securities typically provide a monthly payment which consists of principal and/or interest payments. Interest payments may be determined by fixed or adjustable rates. MBS and ABS are subject to credit, interest rate, prepayment and extension risks.
Securities Sold Short
The Fund may sell securities short (a “Short Sale”). A Short Sale is a transaction whereby the Fund sells securities it does not own in anticipation of a decline in the market price of those securities, whereby the Fund’s broker will execute a borrow transaction to deliver the securities resulting from the Fund’s Short Sale. The Fund is obligated to repurchase the securities at the market price at the time of replacement. The Fund’s obligations to replace the securities in connection with a Short Sale are secured by collateral.
Upon entering into a Short Sale, the Fund establishes a liability which is recorded as securities sold short in the Consolidated Statement of Assets and Liabilities to represent securities due under the Short Sale agreement. The Fund is liable to pay any dividends declared and/or interest income earned during the period the Short Sale is open. These dividends and interest are recorded as dividend and interest expense on securities sold short in the Consolidated Statement of Operations.
Investment Transactions and Related Investment Income
Investment transactions are recorded as of the trade date. Dividend income is recorded on the ex-dividend date or, for certain foreign securities, as of the date notified. Interest income, which includes amortization of premiums and accretion of discounts on non-defaulted fixed income securities, is recorded on an accrual basis and is accrued daily. Realized gains and losses on investments are determined on the identified cost basis, which is the same basis used for federal income tax purposes. Foreign income and foreign capital gains on some foreign securities may be subject to foreign taxes, which are accrued as applicable.
Allocation of Income and Expenses
The Fund uses each class of share’s adjusted prior day net assets, adjusted for capital activity, to allocate Fund-level income and expenses and unrealized capital gains and losses pro-rata to each class of shares. Class-specific income and expenses are allocated directly to the applicable class.
271
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Notes to Consolidated Financial Statements (Continued)
For the Six-Months Ended September 30, 2017 (Unaudited)
Cash
At September 30, 2017, the Fund had $204,815,219 in domestic cash and $37,300,217 in foreign cash held at State Street Bank and Trust.
Foreign Currency
The functional currency of the Fund is the U.S. dollar. Assets and liabilities denominated in foreign currencies are translated into U.S. dollars at the closing prices of such currencies on each Business Day. Purchases and sales of investments and income and expenses are translated on the respective dates of such transactions or when accrued. The Fund does not isolate the portion of realized or unrealized gains or losses resulting from changes in the foreign exchange rate on investments from fluctuations arising from changes in the fair value of the investments. Such gains and losses are included with net realized and unrealized gain or loss on investments. Net realized gains and losses on foreign currency transactions represent net realized exchange gains or losses on disposition of foreign currencies and currency gains and losses realized between trade and settlement dates on investment transactions. Net unrealized appreciation and deprecation of assets and liabilities, other than investments, attributable to foreign currency fluctuations are recorded as net unrealized appreciation or depreciation on foreign currency translations in the Consolidated Statement of Operations.
Contingencies
Under the Trust’s Amended and Restated Agreement and Declaration of Trust (the “Declaration of Trust”), the Fund’s officers and Trustees are indemnified against certain liabilities that may arise out of the performance of their duties to the Fund. Additionally, in the normal course of business, the Fund may enter into contracts that contain a variety of representations and indemnifications. To date, the Fund has not had claims or losses pursuant to these contracts, although there is no assurance that it will not incur losses in connection with these indemnifications in the future.
Income Taxes
The Fund’s policy is to comply with the provisions of the Internal Revenue Code, as amended, applicable to regulated investment companies and to distribute all of its investment company taxable income and net long-term capital gains to its shareholders. Therefore, no federal income tax provision is expected to be required. The Fund plans to file U.S. federal and various state and local tax returns.
For the current open tax years ending in October 31, 2014, October 31, 2015 and October 31, 2016 and all major jurisdictions, management of the Fund has concluded that there are no significant uncertain tax positions that would require recognition in the consolidated financial statements. As a result, no income tax liability or expense, including interest and penalties, has been recorded within these consolidated financial statements.
Dividends and Distributions to Shareholders
Dividends from net investment income and distributions of net realized capital gains of the Fund, if any, are generally declared and paid in December; however, the Fund may make additional distributions at other times. Dividends and capital gain distributions paid by the Fund will be reinvested in additional Shares (see Note 6) of the Fund or, if elected by the Shareholder, paid in cash.
272
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Notes to Consolidated Financial Statements (Continued)
For the Six-Months Ended September 30, 2017 (Unaudited)
Segregation and Collateralization
In cases in which the 1940 Act and the interpretive positions of the SEC and its staff require that the Fund either delivers collateral or segregates assets in connection with certain investments (e.g., futures contracts, forward foreign currency exchange contracts, swaps and options written), or transactions considered to reflect borrowings (e.g., reverse repurchase agreements), the Fund will, consistent with SEC rules and/or certain interpretive guidance issued by the SEC, segregate collateral or designate on its books and records cash or liquid securities having a market value at least equal to the amount that would otherwise be required to be physically segregated. Furthermore, based on requirements and agreements with certain exchanges and third party broker-dealers, the Fund engaging in such transactions may have requirements to deliver/deposit securities to/with an exchange or broker-dealer as collateral for certain investments to the extent consistent with the 1940 Act and interpretive positions of the SEC and its staff. The Fund may mitigate counterparty risk by procuring collateral and through netting provisions included within an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA Master Agreement”) implemented between the Fund and each of its respective counterparties. An ISDA Master Agreement may contain certain provisions regarding, among other things, the parties’ general obligations, representations, agreements, collateral requirements, events of default and early termination. Certain ISDA Master Agreements, or similar agreements, may allow the Fund to offset certain derivative financial instruments’ with collateral. At September 30, 2017, the Fund used the gross method of presentation in its consolidated financial statements and did not elect to offset amounts eligible for offset under enforceable master netting arrangements or similar agreements (“MNA”). The amount of collateral moved to/from applicable counterparties is generally based upon minimum transfer amounts of up to $250,000. Collateral pledged by the Fund is segregated by the Fund’s’ custodian and identified as such in the Fund’s portfolio. Collateral can be in the form of cash or securities as agreed to by the Fund and the applicable counterparty. Typically, the Fund and counterparties are not permitted to sell, repledge or use the collateral they receive unless explicitly permitted by each respective governing agreement.
The Fund manages counterparty risk by entering into agreements only with counterparties that the Investment Adviser believes to have the financial resources to honor its obligations and by monitoring the financial stability of those counterparties. The agreements entered into by the Fund may contain credit risk related contingent features that may be triggered in certain circumstances to protect either party from a deterioration in creditworthiness of the other. Such circumstances may include a decrease in credit rating or, in the case of the Fund, a decrease in net asset value. If triggered, the Fund or counterparty may be entitled to additional cash margin and/or to terminate the contract. See Note 9 for a further discussion of the risks of the Fund, including credit and counterparty risk.
Reverse Repurchase Agreements
The Fund may enter into reverse repurchase agreements. In a reverse repurchase agreement, the Fund sells a security in exchange for cash to a financial institution, the counterparty, with a simultaneous agreement to repurchase the same or substantially the same security at an agreed upon price and date, under the terms of a Master Repurchase Agreement (“MRA”). The Fund is entitled to receive principal and interest payments, if any, made on the security delivered to the counterparty during the term of the agreement. Cash received in exchange for securities delivered plus accrued interest payments to be made by the Fund to counterparties is reflected as a liability. Reverse repurchase agreements involve the risk that the market value of the securities purchased with the proceeds from the sale of securities received by the Fund may decline below the price of the securities the Fund is obligated to repurchase. Reverse repurchase agreements also involve credit risk with the counterparty to the extent that the value of securities subject to repurchase exceed the Fund’s liability under the reverse repurchase agreement. Securities subject to repurchase under reverse repurchase agreements, if any, are designated as such in the Consolidated Schedule of Investments. Due to the short term
273
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Notes to Consolidated Financial Statements (Continued)
For the Six-Months Ended September 30, 2017 (Unaudited)
nature of the reverse repurchase agreements, face value approximates fair value. As of September 30, 2017, the face value of open reverse repurchase agreements for the Fund was $171,529,000. The weighted average daily balances of reverse repurchase agreements outstanding during the six-months ended September 30, 2017 for the Fund was approximately $231,799,887, at a weighted average weekly interest rate of 2.77%.
An MRA contains provisions for, among other things, initiation, income payments, events of default and maintenance of securities for repurchase agreements. An MRA also permits offsetting with collateral to create one single net payment in the event of default or similar events, including the bankruptcy or insolvency of a counterparty. The Fund may not use reverse repurchase agreements and related collateral governed by an MRA to offset derivatives contracts and related collateral governed by an ISDA (see Note 4) or securities lending agreements and related collateral governed by a securities lending agreement (“SLA”) (see below).
The following tables present the reverse repurchase agreements, which are subject to enforceable MRAs, as well as the collateral delivered related to those reverse repurchase agreements by class of collateral and summarized by the remaining contractual maturity of the transactions.
Counterparty | Reverse Repurchase Agreements | Fair Value of Non-Cash Collateral(1) | Cash Collateral Pledged(1) | Net Amount | ||||||||||||||||
BNP Paribas Securities Corp. | $ | (4,803,357 | ) | $ | 4,803,357 | $ | — | $ | — | |||||||||||
Credit Suisse Securities (USA) LLC | (11,422,403 | ) | 11,422,403 | — | — | |||||||||||||||
JPMorgan Chase Bank, N.A. | (27,593,506 | ) | 27,593,506 | — | — | |||||||||||||||
Merrill Lynch, Pierce, Fenner & Smith, Inc. | (47,261,259 | ) | 47,261,259 | — | — | |||||||||||||||
Royal Bank of Canada | (80,864,516 | ) | 80,864,516 | — | — | |||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total | $ | (171,945,041 | ) | $ | 171,945,041 | $ | — | $ | — | |||||||||||
|
|
|
|
|
|
|
|
(1) | Additional required collateral pledged is not shown for financial reporting purposes. The total fair value of non-cash and cash collateral pledged at September 30, 2017 was $206,335,793 and $13,589,638, respectively. |
Remaining Contractual Maturity of the Agreements As of September 30, 2017 | |||||||||||||||||||||||||
Overnight and Continuous | <30 days | Between 30 & 90 days | >90 days | Total | |||||||||||||||||||||
Reverse Repurchase Agreements |
| ||||||||||||||||||||||||
Mortgage-Backed Securities | $ | — | $ | (133,035,166 | ) | $ | (23,666,973 | ) | $ | — | $ | (156,702,139 | ) | ||||||||||||
Asset-Backed Securities | — | — | (4,618,070 | ) | — | (4,618,070 | ) | ||||||||||||||||||
Cash | (10,624,832 | ) | — | — | — | (10,624,832 | ) | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Total | $ | (10,624,832 | ) | $ | (133,035,166 | ) | $ | (28,285,043 | ) | $ | — | $ | (171,945,041 | ) | |||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Gross amount of recognized liabilities for reverse repurchase agreements |
| $ | (171,945,041 | ) | |||||||||||||||||||||
|
|
Securities Lending
The Fund may lend securities, through its agent, to certain qualified financial institutions. The loans are collateralized by cash in an amount at least equal to the market value of the securities loaned. The market
274
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Notes to Consolidated Financial Statements (Continued)
For the Six-Months Ended September 30, 2017 (Unaudited)
value of securities loaned is determined daily and any additional required collateral is allocated to the Fund on the next Business Day. The initial collateral received by the Fund should have a value of at least 102% of the current value of loaned securities for U.S. securities and at least 105% for all other securities. The risk of borrower default will be borne by the Fund’s agent; the Fund will bear the risk of loss with respect to the investment of the cash collateral. The advantage of such loans is that the Fund continues to receive income on loaned securities while earning returns on the cash amounts which may be reinvested for the purchase of investments in securities. Income from securities lending is included in investment income in the Consolidated Statement of Operations. As of September 30, 2017, the market value of securities loaned for the Fund amounted to $21,561,553 and the Fund had received cash collateral of $21,956,320. The market value of securities on loan are classified as common stock, corporate and convertible bonds and notes in the Fund’s Consolidated Schedule of Investments and as a component of investments in securities, at fair value in the Consolidated Statement of Assets and Liabilities. In addition, the value of the related collateral is shown separately as securities lending collateral payable in the Consolidated Statement of Assets and Liabilities. All of the security lending agreements are continuous.
The SLA entered into by the Fund provides the right, in the event of default, for the non-defaulting party to liquidate the collateral and calculate a net exposure to the defaulting party or request additional collateral. Under the agreement, the Fund can reinvest cash collateral.
The following table presents the SLA by borrower/counterparty, which are subject to offset under the SLA, as well as the collateral delivered related to those SLA by class of collateral and summarized by the remaining contractual maturity of the transactions. The Fund may not use collateral governed by an SLA to offset reverse repurchase agreements and related collateral governed by an MRA (see above) or derivatives contracts and related collateral governed by an ISDA (see Note 4).
Borrower/Counterparty | Securities Loaned at Value | Cash Collateral Received(1) | Net Amount | ||||||||||||
BNP Paribas Securities Corp. | $ | 56,617 | $ | (56,617 | ) | $ | — | ||||||||
Citigroup Global Markets, Inc. | 625,992 | (625,992 | ) | — | |||||||||||
Janney Montgomery Scott LLC | 1,566,363 | (1,566,363 | ) | — | |||||||||||
JP Morgan Securities LLC | 11,265,490 | (11,265,490 | ) | — | |||||||||||
Merrill Lynch, Pierce, Fenner & Smith, Inc. | 2,556 | (2,556 | ) | — | |||||||||||
Morgan Stanley & Co. LLC | 2,852,644 | (2,852,644 | ) | — | |||||||||||
National Financial Services LLC | 211,980 | (211,980 | ) | — | |||||||||||
Pershing LLC | 1,006,599 | (1,006,599 | ) | — | |||||||||||
Societe Generale SA | 2,495,827 | (2,495,827 | ) | — | |||||||||||
UBS Securities LLC | 1,087,752 | (1,087,752 | ) | — | |||||||||||
Wedbush Securities, Inc. | 21,844 | (21,844 | ) | — | |||||||||||
Wells Fargo Securities LLC | 367,889 | (367,889 | ) | — | |||||||||||
|
|
|
|
|
| ||||||||||
Total | $ | 21,561,553 | $ | (21,561,553 | ) | $ | — | ||||||||
|
|
|
|
|
|
(1) | Additional required collateral received from the individual counterparty is not shown for financial reporting purposes. |
275
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Notes to Consolidated Financial Statements (Continued)
For the Six-Months Ended September 30, 2017 (Unaudited)
Remaining Contractual Maturity of the Agreements As of September 30, 2017 | |||||||||||||||||||||||||
Overnight and Continuous | <30 days | Between 30 & 90 days | >90 days | Total | |||||||||||||||||||||
Securities Lending Agreements |
| ||||||||||||||||||||||||
Common Stock | $ | (21,561,553 | ) | $ | — | $ | — | $ | — | $ | (21,561,553 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Total | $ | (21,561,553 | ) | $ | — | $ | — | $ | — | $ | (21,561,553 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Gross amount of recognized liabilities for securities lending agreements | $ | (21,561,553 | ) | ||||||||||||||||||||||
|
|
When-Issued and Delayed-Delivery Transactions
The Fund may engage in when-issued or delayed-delivery transactions. The Fund records when-issued or delayed-delivery securities on the trade date and maintains security positions such that sufficient liquid assets will be available to make payment for the securities purchased. Securities purchased on a when-issued or delayed-delivery basis are marked-to-market daily and begin earning interest on the settlement date. Losses may occur on these transactions due to changes in market conditions or the failure of counterparties to perform under the contract.
The Fund may transact in To Be Announced Securities (“TBAs”). As with other delayed-delivery transactions, a seller agrees to issue TBAs at a future date. However, the seller does not specify the particular securities to be delivered. Instead, the Fund agrees to accept any security that meets specified terms such as issuer, interest rate and terms of underlying mortgages. The Fund records TBAs on the trade date utilizing information associated with the specified terms of the transaction as opposed to the specific mortgages. TBAs are marked-to-market daily and begin earning interest on the settlement date. Losses may occur due to the fact that the actual underlying mortgages received may be less favorable than those anticipated by the Fund.
Restricted Securities
The Fund may purchase securities which are considered restricted. Restricted securities are securities that cannot be offered for public sale without first being registered under the Securities Act of 1933, as amended, or are subject to contractual restrictions on public sales. Many such restricted securities may be resold in the secondary market in transactions exempt from registration. The Fund will not incur any registration costs upon such resales. The Fund cannot demand registration of restricted securities. The Fund’s restricted securities, like other securities, are priced in accordance with the Valuation Procedures. Restricted securities are identified in the Consolidated Schedule of Investments.
Recent Accounting Pronouncements and Regulatory Updates
In November 2016, the Financial Accounting Standards Board (“FASB”) issued Accounting Standards Update (“ASU”) No. 2016-18, Statement of Cash Flows (Topic 230)—Restricted Cash. The new guidance is intended to change the presentation of restricted cash on the statement of cash flows. The new standard affects all entities that have restricted cash or restricted cash equivalents and are required to present a statement of cash flows under Topic 230. The new guidance is effective for fiscal years beginning after December 15, 2018, including interim periods within those years. Early adoption is permitted. The adoption of ASU No. 2016-18 is not expected to have a material impact in the consolidated financial statements.
In October 2016, the SEC issued a new rule, Investment Company Reporting Modernization, which, among other provisions, amends Regulation S-X to require standardized, enhanced disclosures, particularly relating
276
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Notes to Consolidated Financial Statements (Continued)
For the Six-Months Ended September 30, 2017 (Unaudited)
to derivatives, in investment company financial statements. In addition, the rule introduces two new regulatory reporting forms for investment companies, which will be used after June 1, 2018: Form N-PORT and Form N-CEN. Compliance with the amendments to Regulation S-X became effective for financial statements with period-ends filed with the SEC on or after August 1, 2017. The Fund is still evaluating the potential impacts of adopting Form N-PORT and Form N-CEN.
4. Derivative Financial Instruments
In the normal course of business, the Fund enters into derivative financial instrument contracts for trading and/or economic hedging purposes to increase the returns of the Fund or to protect against exposure to certain risks such as credit risk, equity risk, interest rate risk, foreign currency exchange risk or other risk (e.g., inflation risk). These contracts may be transacted on a recognized exchange or OTC. The following disclosures contain information on how the Fund uses derivative financial instruments. The derivative financial instruments outstanding as of period end are disclosed in the Consolidated Schedule of Investments.
Forward Foreign Currency Exchange Contracts
The Fund may enter into Forwards to obtain investment exposure, seek to enhance return or hedge or protect its portfolio holdings against the risk of future movements in certain foreign currency exchange rates. Forwards are agreements between two parties to receive or deliver a fixed quantity of foreign currency for an agreed-upon price on an agreed upon future date. The market value of a Forward fluctuates with the changes in foreign currency exchange rates. These contracts are valued daily and the change in market value is recorded as an unrealized gain or loss on forward foreign currency exchange contracts. When a contract is closed, the Fund recognizes a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed.
The use of forward foreign currency exchange contracts does not eliminate fluctuations in the underlying prices of the securities of the Fund, but it does establish a rate of exchange that can be achieved in the future. Although forward foreign currency exchange contracts may limit the risk of loss due to a decline in the value of the currency holdings, they also limit any potential gain that might result should the value of the currency increase. In addition, the Fund could be exposed to losses if the counterparties to the contracts are unable to meet the terms of the contracts. The Fund’s maximum potential loss from such contracts is the aggregate face value in U.S. dollars at the time the contract was opened. These contracts involve market and/or credit risk in excess of the amount recognized in the Consolidated Statement of Assets and Liabilities.
Futures Contracts
The Fund may enter into futures contracts to maintain investment exposure to a target asset class or to seek to enhance return. The Fund may be subject to fluctuations in equity prices, interest rates, commodity prices and foreign currency exchange rates in the normal course of pursuing its investment objective. Futures contracts are standardized agreements to buy or sell a security, or deliver a final cash settlement price in connection with an index, interest rate, currency, or other asset. The Fund must deposit an amount (“initial margin”) equal to a certain percentage of the face value of the futures contract. The initial margin may be in the form of cash or securities which is returned when the Fund’s obligations under the contract have been satisfied. If cash is deposited as the initial margin, it is shown as segregated cash balance with broker for futures contracts in the Consolidated Statement of Assets and Liabilities. Futures contracts are marked-to-market daily and subsequent payments (“variation margin”) are made or received by the Fund depending on whether unrealized gains or losses are incurred. When the contract is closed or expires, the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. The potential risk to the Fund is that the change in value of futures contracts may not correspond to the change in the value of the hedge investments. In addition, losses may arise from
277
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Notes to Consolidated Financial Statements (Continued)
For the Six-Months Ended September 30, 2017 (Unaudited)
changes in the value of the underlying instrument, if interest or exchange rates move unexpectedly or if the counterparty is unable to perform. With futures, there is minimal counterparty credit risk to the Fund since futures are exchange traded and the exchanges’ clearinghouse, as counterparty to all exchange traded futures, guarantees the futures against default.
Options Contracts
The Fund may purchase and write call and put options. An option contract purchased by the Fund gives the Fund the right, but not the obligation, to buy (call) or sell (put) an underlying instrument at a fixed exercise price during a specified period. Call options written by the Fund give the holder the right to buy the underlying instrument from the Fund at a fixed exercise price; put options written by the Fund give the holder the right to sell the underlying instrument to the Fund at a fixed exercise price. The Fund may use options to hedge against changes in values of securities or currencies it owns or expects to own, to gain or to maintain exposure to interest rates, currencies or broad equity markets, to generate additional income or to enhance returns.
Options trading involve certain additional risks. Specific market movements of the option and the instruments underlying the option cannot be predicted. No assurance can be given that a liquid secondary market will exist for any particular option or at any particular time. The Fund might not be able to enter into a closing transaction for the option as a result of an illiquid market for the option. To realize any profit in the case of an option, therefore, the option holder would need to exercise the option and comply with margin requirements for the underlying instrument. A writer could not terminate the obligation until the option expired or the writer was assigned an exercise notice. The purchaser of an option is subject to the risk of losing the entire purchase price of the option. The writer of an option is subject to the risk of loss resulting from the difference between the premium received for the option and the price of the futures contract underlying the option that the writer must purchase or deliver upon exercise of the option. The writer of a naked option may have to purchase the underlying contract in the market for substantially more than the exercise price of the option in order to satisfy his delivery obligations. This could result in a large net loss.
Equity, foreign currency or index options that may be purchased or sold by the Fund may include options not traded on a securities exchange. The risk of nonperformance by the counterparty on such option may be greater and the ability of the Fund to enter into a closing transaction with respect to such option may be less than in the case of an exchange traded option.
The Fund may purchase or write interest rate swaption agreements which are options to enter into a predefined swap agreement by some specific date in the future. The writer of the swaption becomes the counterparty to the swap if the buyer exercises. The interest rate swaption agreement will specify whether the buyer of the swaption will be a fixed-rate receiver or a fixed-rate payer upon exercise.
Purchases of put and call options are recorded as investments, the value of which are marked-to-market daily. When a purchased option expires without being exercised, the Fund will realize a loss equal to the premium paid. When the Fund enters into a closing sale transaction, the Fund will realize a gain or loss depending on whether the sales proceeds from the closing sale transaction are greater or less than the premium initially paid for the option. When the Fund exercises a put option, it will realize a gain or loss from the sale of the underlying instrument and the proceeds from such sale will be decreased by the premium originally paid for the put option. When the Fund exercises a call option, the cost of the security which the Fund purchases upon exercise will be increased by the premium originally paid for the call option. Realized gains and losses on purchased options are included in realized gains and losses on investments.
278
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Notes to Consolidated Financial Statements (Continued)
For the Six-Months Ended September 30, 2017 (Unaudited)
The premium received for a written option is recorded as an asset and an equivalent liability. The liability is marked-to-market daily in accordance with the option’s valuation policy. When a written option expires without being exercised or the Fund enters into a closing purchase transaction, the Fund realizes a gain (or loss if the cost of the closing purchase transaction exceeds the premium received when the option was sold) without regard to any unrealized gain or loss on the underlying instrument and the liability related to such option is eliminated. When a written call option is exercised, the Fund realizes a gain or loss, as adjusted for the premium received, from the sale of the underlying instrument. When a written put option is exercised, the premium received is offset against the amount paid for the purchase of the underlying instrument.
Swap Agreements
The Fund may enter into total return, interest rate, and credit default swap agreements (“Swaps”). Swaps are bilaterally negotiated agreements between the Fund and a counterparty in which the Fund and counterparty agree to make either periodic net payments on a specified notional amount or a net payment upon termination. Swap agreements are privately negotiated in the OTC market or may be executed in a multilateral or other trade facility platform, such as a registered exchange (“centrally cleared swaps”). The Fund may enter into swap agreements for the purposes of managing exposure to interest rate, credit or market risk, or for other purposes. In connection with these agreements, securities or cash (“segregated cash” or “collateral”) may be paid or received, as applicable, by the Fund as collateral or margin in accordance with the terms of the respective swap agreements to provide assets of value and recourse in the event of default or bankruptcy/insolvency. Securities posted by the Fund as collateral for swaps are identified in the Consolidated Schedule of Investments and segregated cash, if any, is reflected in the Consolidated Statement of Assets and Liabilities.
Swap transactions involve, to varying degrees, elements of interest rate, credit and market risk in excess of the amounts recognized in the Consolidated Statement of Assets and Liabilities. Such risks involve the possibility that there will be no liquid market for these agreements, that the counterparty to the agreements may default on its obligation to perform, or that there may be unfavorable changes in market conditions or interest rates. In addition, entering into swap agreements involves documentation risk resulting from the possibility that the parties to a swap agreement may disagree as to the meaning of contractual terms in the agreement. The Fund’s maximum risk of loss from counterparty credit risk is the discounted value of the net cash flows to be received from the counterparty over the contract’s remaining life, to the extent that amount is positive, or the fair value of the contract. The risk may be mitigated by having an MNA between the Fund and the counterparty and by the posting of collateral by the counterparty to cover the Fund’s exposure to the counterparty. Counterparty risk related to centrally cleared swaps is mitigated due to the protection against defaults provided by the exchange on which these contracts trade.
Interest Rate Swaps: The Fund may enter into OTC and/or centrally cleared interest rate swap contracts to hedge interest rate risk, to gain exposure on interest rates and to hedge prepayment risk. The Fund is subject to interest rate risk exposure in the normal course of pursuing their investment objectives. The Fund may hold fixed rate bonds, and the value of these bonds may decrease if interest rates rise. Interest rate swaps are agreements in which one party pays a stream of interest payments, either fixed or floating rate, for another party’s stream of interest payments, either fixed or floating, on the same notional amount for a specified period of time. The Fund’s maximum risk of loss from counterparty credit risk, as opposed to investment and other types of risk, in respect of interest rate swaps is typically the discounted net value of the cash flows to be received from the counterparty over the contracts remaining life, to the extent that amount is positive.
Interest rate swaps can be purchased or sold with an upfront premium. An upfront payment received by the Fund is recorded as a liability on the Fund’s Consolidated Statement of Assets and Liabilities and an upfront payment made by the Fund is recorded as an asset in the Consolidated Statement of Assets and Liabilities.
279
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Notes to Consolidated Financial Statements (Continued)
For the Six-Months Ended September 30, 2017 (Unaudited)
Interest rate swaps are marked-to-market daily and any change is recorded as an unrealized gain or loss on swaps. Daily fluctuations in the value of centrally cleared interest rate swaps are recorded as a receivable or payable for variation margin on the Fund’s Consolidated Statement of Assets and Liabilities. Payments, including upfront premiums, received or made are recorded as realized gains or losses at the closing of the contract.
Total Return Swaps: The Fund may enter into total return swap agreements to obtain exposure to a security, index or market without owning such security or investing directly in that security, index or market or to transfer the risk/return of one market (e.g., fixed income) to another market (e.g., equity) (equity risk and/or interest rate risk). Total return swaps are agreements in which one party agrees to make periodic payments to another party based on the change in market value of the underlying instrument, which may include a specified security, index, basket of securities or securities indices during the specific period, in return for periodic payments based on a fixed or floating rate or the total return from other underlying assets. To the extent the total return of the instrument underlying the transaction exceeds or falls short of the offsetting interest rate obligation, the Fund will receive a payment from or make a payment to the counterparty. Total return swaps can also be structured without an interest payment, so that one party pays the other party if the value of the underlying instrument increases and receives payment from the other party if the value of the underlying asset decreases.
Credit Default Swaps: The Fund may enter into OTC and/or centrally cleared credit default swap contracts to hedge credit risk, to hedge market risk, or to gain exposure on single-name issues and/or baskets of securities.
In a credit default swap contract, the protection buyer typically makes an upfront payment and a periodic stream of payments to a counterparty, the protection seller, in exchange for the right to receive a contingent payment upon the occurrence of a credit event on the reference obligation or all other equally ranked obligations of the reference entity. Credit events are contract specific but may include bankruptcy, failure to pay, restructurings and obligation acceleration. An upfront payment received by the Fund or made by the Fund is recorded as a liability or asset, respectively, in the Consolidated Statement of Assets and Liabilities. Periodic payments received or paid by the Fund are recorded as realized gains or losses. Credit default swap contracts are marked-to-market daily and the change is recorded as an unrealized gain or loss on swaps. Upon the occurrence of a credit event, the difference between the par value and the market value of the reference obligation, net of any proportional amount of upfront payment, is recorded as a realized gain or loss on swaps.
280
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Notes to Consolidated Financial Statements (Continued)
For the Six-Months Ended September 30, 2017 (Unaudited)
Interest rate swaps, total return swaps and credit default swaps outstanding at period end are listed at the end of the Fund’s Consolidated Schedule of Investments.
Asset Derivatives | Liability Derivatives | |||||||||||
Risk Exposure | Consolidated Statement of | Fair Value | Consolidated Statement of | Fair Value | ||||||||
Interest Rate | Centrally cleared swaps, at fair value (c) | $ | 3,223,978 | Centrally cleared swaps, at fair value (c) | $ | (2,432,417 | ) | |||||
Unrealized appreciation on futures contracts (c) | 7,176,075 | Unrealized depreciation on futures contracts (c) | (12,334,831 | ) | ||||||||
Equity | Swap contracts, at fair value (b) | 50,112,746 | Swap contracts, at fair value (b) | (37,732,655 | ) | |||||||
Unrealized appreciation on futures contracts (c) | 19,884,387 | Unrealized depreciation on futures contracts (c) | (18,720,564 | ) | ||||||||
Purchased options, at fair value (d) | 10,977,495 | Options written, at value | (8,885,361 | ) | ||||||||
Commodity | Unrealized appreciation on futures contracts (c) | 14,430,438 | Unrealized depreciation on futures contracts (c) | (8,865,685 | ) | |||||||
Credit | Swap contracts, at fair value (b) | 348,543 | Swap contracts, at fair value (b) | (16,373,568 | ) | |||||||
Centrally cleared swaps, at fair value (c) | 18,363,666 | Centrally cleared swaps, at fair value (c) | (6,261,031 | ) | ||||||||
Foreign Exchange | Swap contracts, at fair value (b) | — | Swap contracts, at fair value (b) | (67,705 | ) | |||||||
Unrealized appreciation on forward foreign currency exchange contracts | 8,015,722 | Unrealized depreciation on forward foreign currency exchange contracts | (6,928,754 | ) | ||||||||
Unrealized appreciation on futures contracts (c) | 7,870,996 | Unrealized depreciation on futures contracts (c) | (14,038,473 | ) | ||||||||
Purchased options, at fair value (d) | 18,464 | Options written, at value | (779 | ) | ||||||||
|
|
|
| |||||||||
Total | $ | 140,422,510 | $ | (132,641,823 | ) | |||||||
|
|
|
| |||||||||
Amounts not subject to MNA (1) | (80,510,578 | ) | 63,341,644 | |||||||||
|
|
|
| |||||||||
Total gross amounts subject to MNA | $ | 59,911,932 | $ | (69,300,179 | ) | |||||||
|
|
|
|
(1) | See below for disclosure of financial instruments assets and liabilities subject to offset under enforceable MNA. |
281
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Notes to Consolidated Financial Statements (Continued)
For the Six-Months Ended September 30, 2017 (Unaudited)
The following tables present information about the amount of net realized gain (loss) and net unrealized appreciation (depreciation) on derivative financial instruments for the six-months ended September 30, 2017:
Primary Underlying Risk | Average Number of Contracts (a) | Average Notional USD (a) | Net Realized Gain (Loss) | Net Change in Unrealized Appreciation (Depreciation) | ||||||||||||||||
Interest Rate | ||||||||||||||||||||
Swap contracts | — | $ | 899,701,180 | 761,019 | $ | 313,084 | ||||||||||||||
Future contracts | — | 2,637,504,497 | 769,899 | (4,321,881 | ) | |||||||||||||||
Purchased options (d) | — | 3,100,000 | (685,680 | ) | 675,602 | |||||||||||||||
Options written | — | 2,933,333 | — | — | ||||||||||||||||
Equity | ||||||||||||||||||||
Swap contracts | — | 1,992,547,571 | 20,499,991 | 5,106,380 | ||||||||||||||||
Future contracts | — | 1,539,387,646 | (19,238,671 | ) | 7,243,847 | |||||||||||||||
Purchased options (d) | 826,248 | — | (17,091,617 | ) | (33,448 | ) | ||||||||||||||
Options written | 428,940 | — | 2,231,056 | (497,020 | ) | |||||||||||||||
Commodity | ||||||||||||||||||||
Future contracts | — | 610,804,173 | (8,303,875 | ) | 5,982,472 | |||||||||||||||
Credit | ||||||||||||||||||||
Swap contracts | — | 985,804,124 | 17,588,588 | (5,718,297 | ) | |||||||||||||||
Foreign Exchange | ||||||||||||||||||||
Swap contracts | — | 14,721,341 | 1,333,589 | (67,705 | ) | |||||||||||||||
Forward foreign currency exchange contracts | — | 1,195,498,152 | (21,654,668 | ) | 3,983,455 | |||||||||||||||
Future contracts | — | 1,037,403,667 | (2,901,579 | ) | (8,653,783 | ) | ||||||||||||||
Purchased options | — | 3,200,000 | — | (12,780 | ) | |||||||||||||||
Options written | — | — | — | 13,543 | ||||||||||||||||
|
|
|
| |||||||||||||||||
Total | (26,691,948 | ) | $ | 4,013,470 | ||||||||||||||||
|
|
|
|
(a) | Averages are based on monthly activity levels during the six-months ended September 30, 2017. |
(b) | Includes swap contracts premium paid/received and unrealized appreciation/depreciation on swap contracts. |
(c) | Includes unrealized appreciation/depreciation of futures contracts and centrally cleared swaps as reported in the Notes to Consolidated Schedule of Investments. Only the current day’s variation margin is reported in the Consolidated Statement of Assets and Liabilities. |
(d) | Includes purchased options that are part of investments in securities as shown in the Consolidated Statement of Assets and Liabilities and net realized gain on investments in securities and net unrealized appreciation on investments in securities as shown in the Consolidated Statement of Operations. |
Netting Arrangements
The Fund enters into ISDA Master Agreements which contain MNA’s that provide for payment netting and, in the case of default or similar event with respect to the counterparty to the MNA, can provide for netting across transactions. Generally, upon counterparty default, the Fund can terminate all transactions under the MNA and set-off amounts it owes across all transactions under a particular MNA and against collateral under such MNA. The Fund may not use derivatives contracts and related collateral governed by an ISDA to offset reverse repurchase agreements and related collateral governed by an MRA or securities lending agreements and related collateral governed by an SLA (see Note 3).
282
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Notes to Consolidated Financial Statements (Continued)
For the Six-Months Ended September 30, 2017 (Unaudited)
The following table represents the Fund’s derivative financial instrument assets and liabilities by counterparty net of amounts available for offset under an MNA and net of related collateral received/pledged by the Fund as of September 30, 2017:
Gross Amounts Not Offset in the Consolidated Statement of Assets and Liabilities | |||||||||||||||||||||||||
Gross Amounts of | Derivative | Cash | Non-Cash | Net | |||||||||||||||||||||
By Counterparty(1) | |||||||||||||||||||||||||
Bank of America, N.A. | $ | 1,204,019 | $ | (309,981 | ) | $ | (894,038 | ) | $ | — | $ | — | |||||||||||||
Barclays Bank plc | 3,625,796 | (973,913 | ) | — | — | 2,651,883 | |||||||||||||||||||
Citibank N.A. | 532,144 | — | — | — | 532,144 | ||||||||||||||||||||
Credit Suisse Securities (Europe) Limited | 11,163,261 | (6,725,525 | ) | — | — | 4,437,736 | |||||||||||||||||||
Deutsche Bank AG | 473,617 | (219,875 | ) | — | — | 253,742 | |||||||||||||||||||
J.P. Morgan Securities LLC | 3,383 | (3,383 | ) | — | — | — | |||||||||||||||||||
JPMorgan Chase Bank, N.A. | 7,572,494 | (7,572,494 | ) | — | — | — | |||||||||||||||||||
Morgan Stanley & Co. International plc | 1,344,630 | (513,657 | ) | — | — | 830,973 | |||||||||||||||||||
Morgan Stanley Capital Services LLC | 3,096,642 | (2,753,036 | ) | — | — | 343,606 | |||||||||||||||||||
Skandinaviska Enskilda Banken AB (publ) | 7,219,563 | (7,219,563 | ) | — | — | — | |||||||||||||||||||
State Street Bank and Trust Company | 46,578 | (3,374 | ) | — | — | 43,204 | |||||||||||||||||||
UBS AG | 145,038 | — | — | — | 145,038 | ||||||||||||||||||||
Cayman Subsidiary | |||||||||||||||||||||||||
Credit Suisse International | 49,273 | (49,273 | ) | — | — | — | |||||||||||||||||||
Merrill Lynch International | 333,949 | (333,949 | ) | — | — | — | |||||||||||||||||||
Morgan Stanley Capital Services LLC | 14,938,963 | (11,012,765 | ) | — | — | 3,926,198 | |||||||||||||||||||
State Street Bank and Trust Company | 2,569,698 | (1,573,544 | ) | (996,154 | ) | — | — | ||||||||||||||||||
Domestic Subsidiary IV | |||||||||||||||||||||||||
Credit Suisse Securities (Europe) Limited | 149 | — | — | — | 149 | ||||||||||||||||||||
Deutsche Bank AG | 3,484,311 | (3,484,311 | ) | — | — | — | |||||||||||||||||||
Merrill Lynch International | 1,016,704 | (789,661 | ) | — | — | 227,043 | |||||||||||||||||||
Morgan Stanley Capital Services LLC | 1,023,560 | (1,023,560 | ) | — | — | — | |||||||||||||||||||
State Street Bank and Trust Company | 68,160 | (3,342 | ) | — | — | 64,818 | |||||||||||||||||||
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| ||||||||||||||||
$ | 59,911,932 | $ | (44,565,206 | ) | $ | (1,890,192 | ) | $ | — | $ | 13,456,534 | ||||||||||||||
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|
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283
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Notes to Consolidated Financial Statements (Continued)
For the Six-Months Ended September 30, 2017 (Unaudited)
Gross Amounts Not Offset in the Consolidated Statement of Assets and Liabilities | |||||||||||||||||||||||||
Gross Amounts | Derivative | Cash | Non-Cash | Net | |||||||||||||||||||||
By Counterparty(1) | |||||||||||||||||||||||||
Bank of America, N.A. | $ | (309,981 | ) | $ | 309,981 | $ | — | $ | — | $ | — | ||||||||||||||
Barclays Bank plc | (973,913 | ) | 973,913 | — | — | — | |||||||||||||||||||
Credit Suisse International | (103,797 | ) | — | 103,797 | — | — | |||||||||||||||||||
Credit Suisse Securities (Europe) Limited | (6,725,525 | ) | 6,725,525 | — | — | — | |||||||||||||||||||
Deutsche Bank AG | (219,875 | ) | 219,875 | — | — | — | |||||||||||||||||||
Goldman Sachs International | (1,598,520 | ) | — | 1,598,520 | — | — | |||||||||||||||||||
J.P. Morgan Securities LLC | (1,958,749 | ) | 3,383 | 1,955,366 | — | — | |||||||||||||||||||
JPMorgan Chase Bank, N.A. | (11,797,514 | ) | 7,572,494 | 4,225,020 | — | — | |||||||||||||||||||
Merrill Lynch Capital Services, Inc. | (2,350,214 | ) | — | 2,350,214 | — | — | |||||||||||||||||||
Morgan Stanley & Co. International plc | (513,657 | ) | 513,657 | — | — | — | |||||||||||||||||||
Morgan Stanley Capital Services LLC | (2,753,036 | ) | 2,753,036 | — | — | — | |||||||||||||||||||
Skandinaviska Enskilda Banken AB (publ) | (8,517,829 | ) | 7,219,563 | 1,298,266 | — | — | |||||||||||||||||||
State Street Bank and Trust Company | (3,374 | ) | 3,374 | — | — | — | |||||||||||||||||||
Cayman Subsidiary | |||||||||||||||||||||||||
Credit Suisse International | (3,250,997 | ) | 49,273 | 3,201,724 | — | — | |||||||||||||||||||
Merrill Lynch International | (3,460,012 | ) | 333,949 | 3,126,063 | — | — | |||||||||||||||||||
Morgan Stanley Capital Services LLC | (11,012,765 | ) | 11,012,765 | — | — | — | |||||||||||||||||||
State Street Bank and Trust Company | (1,573,544 | ) | 1,573,544 | — | — | — | |||||||||||||||||||
Domestic Subsidiary III | |||||||||||||||||||||||||
Credit Suisse International | (3,577,341 | ) | — | 3,577,341 | — | — | |||||||||||||||||||
Morgan Stanley Capital Services LLC | (780,882 | ) | — | 780,882 | — | — |
284
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Notes to Consolidated Financial Statements (Continued)
For the Six-Months Ended September 30, 2017 (Unaudited)
Gross Amounts Not Offset in the Consolidated Statement of Assets and Liabilities | |||||||||||||||||||||||||
Gross Amounts | Derivative | Cash | Non-Cash | Net | |||||||||||||||||||||
Domestic Subsidiary IV | |||||||||||||||||||||||||
Deutsche Bank AG | $ | (3,674,771 | ) | $ | 3,484,311 | $ | 190,460 | $ | — | $ | — | ||||||||||||||
Merrill Lynch International | (789,661 | ) | 789,661 | — | — | — | |||||||||||||||||||
Morgan Stanley Capital Services LLC | (3,350,880 | ) | 1,023,560 | — | — | (2,327,320 | ) | ||||||||||||||||||
State Street Bank and Trust Company | (3,342 | ) | 3,342 | — | — | — | |||||||||||||||||||
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| ||||||||||||||||
Total | $ | (69,300,179 | ) | $ | 44,565,206 | $ | 22,407,653 | $ | — | $ | (2,327,320 | ) | |||||||||||||
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(1) | The Fund and each Subsidiary are subject to separate MNA’s with each individual counterparty. |
(2) | Net amount represents the net amount receivable from the counterparty in the event of default. |
(3) | Net amount represents the net amount payable to the individual counterparty in the event of default. |
(4) | Additional required collateral received from the individual counterparty is not shown for financial reporting purposes. |
(5) | Additional required collateral pledged to the individual counterparty is not shown for financial reporting purposes. |
285
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Notes to Consolidated Financial Statements (Continued)
For the Six-Months Ended September 30, 2017 (Unaudited)
5. Fair Value Measurements
The following table presents information about the classification of the Fund’s investments measured at fair value within the fair value hierarchy as of September 30, 2017:
Assets: | Level 1 | Level 2 | Level 3 | Total | ||||||||||||||||
Investments in Securities: | ||||||||||||||||||||
Common Stock | $ | 1,432,110,355 | $ | — | $ | 2,757,604 | $ | 1,434,867,959 | ||||||||||||
Preferred Stock | 169,093,058 | 3,532,000 | 172,625,058 | |||||||||||||||||
Asset-Backed Securities | — | 235,801,559 | — | 235,801,559 | ||||||||||||||||
Convertible Bonds | — | 76,694,275 | — | 76,694,275 | ||||||||||||||||
Bank Debt | — | 20,015,730 | 4,069,304 | 24,085,034 | ||||||||||||||||
Corporate Bonds & Notes | — | 162,963,019 | 14,882,724 | 177,845,743 | ||||||||||||||||
Sovereign Debt | — | 284,547,160 | — | 284,547,160 | ||||||||||||||||
Mortgage-Backed Securities | — | 1,394,678,433 | — | 1,394,678,433 | ||||||||||||||||
U.S. Government Sponsored Agency Securities | — | 28,277,978 | — | 28,277,978 | ||||||||||||||||
U.S. Treasury Obligations | — | 87,085,496 | — | 87,085,496 | ||||||||||||||||
Exchange-Traded Funds | 86,354,673 | — | — | 86,354,673 | ||||||||||||||||
Purchased Options | 9,148,146 | 1,847,813 | — | 10,995,959 | ||||||||||||||||
Short-Term Investment—Money Market Fund | 691,265,276 | — | — | 691,265,276 | ||||||||||||||||
Subtotal | $ | 2,387,971,508 | $ | 2,291,911,463 | $ | 25,241,632 | $ | 4,705,124,603 | ||||||||||||
Investments Valued at NAV | 322,746,701 | |||||||||||||||||||
Total Investments in Securities | 2,387,971,508 | 2,291,911,463 | 25,241,632 | $ | 5,027,871,304 | |||||||||||||||
Forward Foreign Currency Exchange Contracts | — | 8,015,722 | — | 8,015,722 | ||||||||||||||||
Futures Contracts | 49,361,896 | — | — | 49,361,896 | ||||||||||||||||
Centrally Cleared Credit Default Swaps | — | 18,363,666 | — | 18,363,666 | ||||||||||||||||
OTC Credit Default Swaps | — | 348,543 | — | 348,543 | ||||||||||||||||
OTC Total Return Swaps | — | 50,112,746 | — | 50,112,746 | ||||||||||||||||
Centrally Cleared Interest Rate Swaps | — | 3,223,978 | — | 3,223,978 | ||||||||||||||||
Total Assets | $ | 2,437,333,404 | $ | 2,371,976,118 | $ | 25,241,632 | $ | 5,157,297,855 | ||||||||||||
Liabilities: | Level 1 | Level 2 | Level 3 | Total | ||||||||||||||||
Securities Sold Short | $ | 1,295,437,967 | $ | 120,924,440 | $ | — | $ | 1,416,362,407 | ||||||||||||
Options Written | 219,544 | 8,666,596 | — | 8,886,140 | ||||||||||||||||
Reverse Repurchase Agreements | — | 171,945,041 | — | 171,945,041 | ||||||||||||||||
Securities Lending Collateral Payable | — | 21,956,320 | — | 21,956,320 | ||||||||||||||||
Forward Foreign Currency Exchange Contracts | — | 6,928,754 | — | 6,928,754 | ||||||||||||||||
Futures Contracts | 53,959,553 | — | — | 53,959,553 | ||||||||||||||||
Centrally Cleared Credit Default Swaps | — | 6,261,031 | — | 6,261,031 | ||||||||||||||||
OTC Credit Default Swaps | — | 16,373,568 | — | 16,373,568 | ||||||||||||||||
OTC Cross Currency | 67,705 | 67,705 | ||||||||||||||||||
OTC Total Return Swaps | — | 37,732,655 | — | 37,732,655 | ||||||||||||||||
Centrally Cleared Interest Rate Swaps | — | 2,432,417 | — | 2,432,417 | ||||||||||||||||
Total Liabilities | $ | 1,349,617,064 | $ | 393,288,527 | $ | — | $ | 1,742,905,591 | ||||||||||||
286
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Notes to Consolidated Financial Statements (Continued)
For the Six-Months Ended September 30, 2017 (Unaudited)
Investments that are measured at fair value using NAV as a practical expedient have not been classified in the fair value hierarchy. The fair value amounts presented in this table are intended to permit reconciliation of the fair value hierarchy to the amounts presented in the Consolidated Statement of Assets and Liabilities.
Investments in Investee Funds that are non-redeemable or subject to other restrictions such as a lockup at the measurement date or have the ability to limit the individual amount of investor redemptions shall be classified as having a redemption restriction.
The following table summarizes investments in Investee Funds, by investment strategy, the unfunded commitment of each strategy (if applicable), and the amount of the investment in Investee Fund that cannot be redeemed because of redemption restrictions put in place by the Investee Fund.
Investments in | Unfunded Commitment $ | Non-Redeemable Investments (A) | Other Restricted Investments (B) | Investments Subject to No Restrictions | �� | Total $ | ||||||||
Amount $ | Redemption Commencement | Amount $ | Redemption Restriction Term | Amount $ | ||||||||||
Equity (1)(2) | N/A | — | N/A | — | 12 months | 322,746,701 | 322,746,701 |
(1) The Equity strategy generally includes equity-focused Investee Funds with a bottom-up analysis that do not actively trade exposures, with trading strategies focusing on shorter-term dynamics and appreciation for market technicals, top-down thematic/macro views, and technically driven statistical arbitrage with fundamental quantitative long/short strategies.
(2) Investments are redeemable quarterly upon 30—45 days written notice.
(A) Investments in Investee Funds cannot currently be redeemed and the remaining redemption restriction period is not known. The date the redemption restriction commenced is disclosed.
(B) Investments subject to other restrictions include investments in Investee Funds that are subject to a lockup at the measurement date and/or have the ability to limit the individual amount of investor redemptions. The redemption restriction term is based on the restriction period (or range of restriction periods) for Investee Funds as defined in each respective Investee Fund’s governing legal agreement without consideration of the length of time elapsed from the date of investments in Investee Funds. The Fund’s investment in a particular Investee Fund classified within the strategies above may be comprised of investments with differing liquidity terms or investments which were made at differing points in time.
During the six-months ended September 30, 2017, there were no transfers between Level 1 and Level 2. As of September 30, 2017, no Fair Value Factor was applied as price movements did not meet the Fair Value Trigger. For more detail on the fair value of foreign equity securities, please refer to the discussion of fair value measurements for exchange-traded securities in Note 3.
The Fund recognizes transfers within the fair value hierarchy as of the beginning of the period. Transfers into Level 3 were primarily related to a decrease in observable activity and inputs and transfers out of Level 3 were primarily related to an update to the valuation methodology that is based on observable inputs.
287
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Notes to Consolidated Financial Statements (Continued)
For the Six-Months Ended September 30, 2017 (Unaudited)
The changes in investments measured at fair value for which the Fund used Level 3 inputs to determine fair value are as follows:
Assets: Investments in Securities | Common Stock | Preferred Stock | Bank Debt | Corporate Bonds & Notes | Total | ||||||||||||||||||||
Balance as of March 31, 2017 | $ | — | $ | — | $ | 2,879,336 | $ | — | $ | 2,879,336 | |||||||||||||||
Transfers In | — | — | — | 4,054,506 | 4,054,506 | ||||||||||||||||||||
Transfers Out | — | — | (24,254 | ) | — | (24,254 | ) | ||||||||||||||||||
Purchases | 2,206,083 | 3,532,000 | 3,549,013 | 10,135,232 | 19,422,328 | ||||||||||||||||||||
Sales | — | — | (1,749,354 | ) | — | (1,749,354 | ) | ||||||||||||||||||
Amortization | — | — | 308,495 | 692,986 | 1,001,481 | ||||||||||||||||||||
Net realized gain | — | — | 3,945 | — | 3,945 | ||||||||||||||||||||
Net change in unrealized appreciation (depreciation) | 551,521 | — | (897,877 | ) | — | (346,356 | ) | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Balance as of September 30, 2017 | $ | 2,757,604 | $ | 3,532,000 | $ | 4,069,304 | $ | 14,882,724 | $ | 25,241,632 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Net change in unrealized appreciation (depreciation) related to investments still held as of September 30, 2017 | $ | 551,521 | $ | — | $ | (897,877 | ) | $ | — | $ | (346,356 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
The following table summarizes the quantitative inputs and assumptions used for investments in securities classified within Level 3 of the fair value hierarchy as of September 30, 2017.
Assets | Fair Value at | Valuation Technique | Unobservable Inputs | Range of inputs (Weighted | ||||||||||
Investments in Securities: | ||||||||||||||
Common Stock | $ | 2,757,604 | Weighted Average of Income Approach, Market Multiple Approach and Comparable Transaction Approach | Discount Rate and Price to Tangible Book Value | | 9% to 11% and 7.50x to 9x | | |||||||
Preferred Stock | 3,532,000 | Weighted Average of Income Approach, Market Multiple Approach and Comparable Transaction Approach | Discount Rate and Price to Tangible Book Value | | 9% to 11% and 7.50x to 9x | | ||||||||
Bank Debt | 4,069,304 | Broker-dealer Quotations | Indicative Bid | N/A | ||||||||||
Corporate Bonds & Notes | 14,882,724 | Broker-dealer Quotations | Indicative Bid | N/A | ||||||||||
|
| |||||||||||||
Total Investments in Securities | $ | 25,241,632 | ||||||||||||
|
|
288
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Notes to Consolidated Financial Statements (Continued)
For the Six-Months Ended September 30, 2017 (Unaudited)
6. Purchase and Sale of Fund Shares
The Fund currently offers Class D Shares, Class I Shares, Class R Shares and Class Y Shares. As of September 30, 2017, only Class D Shares, Class I Shares and Class Y Shares are outstanding.
The Fund’s Class D Shares are offered primarily through broker-dealers and other financial intermediaries that have entered into an agreement with the Distributor for the use of the Fund in investment products, programs, or accounts such as mutual fund supermarkets or other no transaction fee platforms. The Fund’s Class I Shares are offered to institutional investors and individual investors who are clients of investment advisors, broker-dealers, financial institutions or registered investment advisors that: (a) may charge such clients fees for advisory, investment, consulting or similar services and (b) have entered into an arrangement approved by the Distributor to provide certain administrative services to investors. The Fund’s Class Y Shares are offered for institutional investors and individuals (including through individual retirement accounts) who purchase directly from the Fund. Class Y Shares of the Fund may also be offered to employees, officers and directors/trustees of the Adviser, the Fund or their respective affiliates and to institutional investors and individual investors who are clients of investment advisors, broker-dealers, financial institutions or registered investment advisors that: (a) do not charge a fee to the Fund and (b) have entered into an arrangement approved by the Distributor. The minimum investment in Class D Shares of the Fund by an investor is $25,000, and the minimum subsequent investment in Class D Shares of the Fund by an investor is $5,000. The minimum investment in Class I Shares of the Fund by an investor is $1,000,000, and the minimum subsequent investment in Class I Shares of the Fund by an investor is $200,000. Class Y Shares have no investment minimum requirements. The Fund’s Class R Shares have no minimum investment requirement and are generally available only to special benefit plans.
Shares of the Fund may be purchased or redeemed each Business Day.
7. Investment Adviser Fees and Other Transactions with Affiliates
Pursuant to the investment management agreement between the Investment Adviser and the Trust, on behalf of the Fund, the Fund pays the Investment Adviser a management fee (the “Fund Management Fee”) at an annual rate based on the Fund’s average daily net assets, excluding the net assets of the applicable Subsidiaries. The Fund’s Management Fee accrues daily in arrears and is paid quarterly. The Investment Adviser receives additional compensation at an annual rate based on each Subsidiary’s average daily net assets for providing management services to the Subsidiaries. For collective net assets of the Fund and the respective Subsidiaries up to $2.5 billion, the Fund Management Fee is calculated at a rate of 1.95% (annualized) and for collective net assets greater than or equal to $2.5 billion, the Fund Management Fee is calculated at a rate of 1.80% (annualized). During the period ended September 30, 2017, the Fund paid the Investment Adviser $43,426,058 in management fees. From this amount, the Investment Adviser paid $22,044,254 in sub-advisory fees to non-affiliated Sub-Advisers with respect to the Fund, which amounted to 0.95% (annualized) of the Fund’s average daily net assets.
Sub-Advisory Fees
Pursuant to the sub-advisory agreements between the Investment Adviser and the Sub-Advisers, the Sub-Advisers are compensated for the services they provide to the Fund by the Investment Adviser from the Management Fee received by the Investment Adviser.
Distribution and Service Fees
Pursuant to the amended and restated Distribution and Service Plan, the Fund’s Class D Shares bear distribution and service fees at an annual rate of 0.25% of the average daily net assets of the Fund attributable
289
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Notes to Consolidated Financial Statements (Continued)
For the Six-Months Ended September 30, 2017 (Unaudited)
to Class D Shares. Payments of the distribution and service fee may be made without regard to expenses actually incurred. The Fund’s Class I Shares, Class Y Shares and Class R Shares are not subject to distribution and service fees.
Expense Limitation and Reimbursement
The Investment Adviser has entered into an Expense Limitation and Reimbursement Agreement with the Fund to limit the amount of Specified Expenses (as defined below) of the Fund to 2.40% per annum of the Fund’s net assets for Class D Shares, Class I Shares and Class Y Shares and 2.55% per annum of the Fund’s net assets for Class R Shares (collectively, the “Total Expense Cap”). Specified Expenses include all expenses incurred by the Fund with the exception of (i) the distribution or servicing fees, (ii) acquired fund fees and expenses, (iii) brokerage and trading costs, (iv) interest payments (including any interest expenses, commitment fees, or other expenses related to any line of credit of the Fund), (v) taxes, (vi) dividends and interest on short positions, and (vii) extraordinary expenses (as determined in the sole discretion of BAIA) (together, the “Excluded Expenses”).
To the extent the estimated annualized specified expenses for any month exceeds the total expense cap, the Investment Adviser will waive its fees and/or make payments to the Fund for expenses to the extent necessary to eliminate such excess. The Investment Adviser may discontinue its obligations under the agreements at any time in its sole discretion after August 31, 2019 upon written notice to the Fund. The Fund has agreed to repay the amounts borne by the Investment Adviser under their respective agreements within the thirty-six month period after the Investment Adviser bears the expense, to the extent the estimated annualized Specified Expenses for a given month are less than the lower of the Total Expense Cap or any expense limitation agreement then in effect. The repayment may not raise the level of estimated annualized specified expenses in the month of repayment to exceed the total expense cap. During the six-months ended September 30, 2017, there were no repayments or potential repayments to the Investment Adviser.
Related Party Transactions
Blackstone Holdings Finance Co. L.L.C. (“FINCO”), an affiliate of the Fund, pays expenses on behalf of the Fund. The Fund reimburses FINCO for such expenses paid on behalf of the Fund. FINCO does not charge any fees for providing such administrative services. At six-month end the fund had $257,191 payable to FINCO recorded in accrued expenses and other liabilities in the Consolidated Statement of Assets and Liabilities.
8. Other Agreements
State Street Bank and Trust Company serves as the administrator, custodian and transfer agent to the Fund. Blackstone Advisory Partners L.P., an affiliate of the Investment Adviser, serves as the Fund’s distributor.
9. Financial Instruments and Off-Balance Sheet Risk
Market Risk: In the normal course of business, the Fund invests in securities and enters into transactions where risks exist due to fluctuations in the market (market risk) or failure of the other party to a transaction to perform (credit and counterparty risk). The value of securities held by the Fund may decline in response to certain events, including those directly involving the companies whose securities are owned by the Fund; conditions affecting the general economy; overall market changes; local, regional or global political, social or economic instability; and currency and interest rate and price fluctuations.
290
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Notes to Consolidated Financial Statements (Continued)
For the Six-Months Ended September 30, 2017 (Unaudited)
Credit and Counterparty Risk: The Fund may be exposed to counterparty risk, or the risk that an entity with which the Fund has unsettled or open transactions may default. The potential loss could exceed the value of the financial assets and liabilities recorded in the consolidated financial statements. Financial assets that potentially expose the Fund to credit and counterparty risk consist principally of cash due from counterparties and investments. The Fund manages counterparty risk by entering into agreements only with counterparties that it believes has the financial resources to honor its obligations and by monitoring the financial stability of those counterparties. The Fund’s Investment Adviser attempts to mitigate counterparty risk by (i) periodically assessing the creditworthiness of its trading partners, (ii) monitoring and/or limiting the amount of its net exposure to each individual counterparty based on its assessment and (iii) requiring collateral from the counterparty for certain transactions. In order to preserve certain safeguards for non-standard settlement trades, the Fund restricts exposure to credit and counterparty losses by entering into MNA’s with counterparties (approved brokers) with whom it undertakes a significant volume of transactions. Collateral requirements may differ by type of derivative or investment, as applicable. Collateral or margin requirements are set by the broker or exchange clearing house for exchange traded derivatives (e.g., futures contracts and exchange traded options) while collateral terms are contract specific for OTC traded derivatives (e.g., forward foreign currency exchange contracts, swap agreements and OTC options). For derivatives traded under an ISDA Master Agreement or similar master agreement, the collateral requirements may be netted across all transactions traded under such agreement and certain counterparties may allow one amount to be posted from one party to the other to collateralized such obligations. The ISDA Master Agreement gives each party to the agreement the right to terminate all transactions traded under such agreement if there is a certain deterioration in the credit quality of the other party. The ISDA Master Agreement gives the Fund the right, upon an event of default by the applicable counterparty or a termination of the agreement, to close out all transactions traded under such agreement and may permit net amounts owed under each transaction to be netted to derive one net amount payable by one party to the other. This right to close out and net payments across all transactions traded under the ISDA Master Agreement could result in a reduction of the Fund’s credit risk to such counterparty equal to any amounts payable by the Fund under the applicable transactions, if any. The enforceability of the right to offset may vary by jurisdiction. Cash collateral that has been pledged to cover obligations of the Fund under derivative financial instrument contracts, if any, will be reported separately in the Consolidated Statement of Assets and Liabilities. Securities pledged as collateral, if any, for the same purpose are noted in the Consolidated Schedule of Investments.
At September 30, 2017, the Fund had counterparty concentration of credit risk primarily with State Street Bank and Trust Company, Morgan Stanley & Co. LLC, Morgan Stanley Capital Services LLC, Morgan Stanley & Co. International plc, Credit Suisse Securities (USA) LLC, Credit Suisse Securities (Europe) Limited and Credit Suisse International.
Foreign Investment Risk: The investments by the Fund in foreign securities may involve risks not present in domestic investments. Since securities may be denominated in, require settlement in and pay interest or dividends in foreign currencies, changes in the relationship of these foreign currencies to the U.S. dollar can significantly affect the value of the investments and earnings of the Fund. Foreign investments may also subject the Fund to foreign government exchange restrictions, expropriation, taxation or other political, social or economic developments, all of which could affect the market and/or credit risk of the investments. In addition to the risks described above, risks may arise from forward foreign currency exchange contracts with respect to the potential inability of counterparties to meet the terms of their contracts.
Liquidity Risk: Some securities held by the Fund, including, but not limited to, restricted, distressed, nonexchange traded, and/or privately placed securities, may be difficult to sell, or illiquid, particularly during times of market turmoil. Investments in Investment Funds are generally illiquid and some Investment Funds may not permit withdrawals or may make in-kind distributions of illiquid securities when the Fund desires to
291
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Notes to Consolidated Financial Statements (Continued)
For the Six-Months Ended September 30, 2017 (Unaudited)
divest. Illiquid securities may be difficult to value. If the Fund is forced to sell an illiquid asset to meet redemption requests or other cash needs, the Fund may be forced to sell at a loss.
Money Market Funds Risk: The investments in money market funds are not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. In addition, money market funds are exposed to market risk, credit risk and liquidity risk.
Additional risks associated with each type of investment are described within the respective security type notes. The Fund’s Prospectus includes a discussion of the principal risks of investing in the Fund.
10. Investment Transactions
The aggregate cost of purchases and proceeds of sales of investments in securities (excluding U.S. Treasury Obligations, U.S. Government Sponsored Agency Securities and other short-term debt securities with maturities at the time of acquisition of one year or less (if applicable)), for the six-months ended September 30, 2017 were as follows:
Purchases | $ | 4,468,352,679 | |||
Sales | $ | 4,592,463,446 |
11. Income Tax Information
The Fund intends to qualify each tax year as a regulated investment company under Subchapter M of the Internal Revenue Code of 1986, as amended (the “Code”). The Fund has adopted a tax year-end of October 31, therefore the consolidated financial statements, unless otherwise indicated, reflect tax adjusted balances as of October 31, 2016. The Fund intends to distribute substantially all of its net investment income and all of its net realized short-term and long-term capital gain, if any, after giving effect to any available capital loss carryforwards for U.S. federal income tax purposes. Therefore, the Fund makes no provision for U.S. federal income or excise taxes.
The Fund’s policy is to declare and pay distributions from net investment income and from net realized short-term and long-term capital gain, if any, at least annually. All distributions are reinvested in additional shares of the Fund, at net asset value, unless the shareholder elects to receive cash distributions. Distributions to shareholders are recorded by the Fund on the ex-dividend date.
The Fund is subject to authoritative guidance related to the accounting and disclosure of uncertain tax positions under U.S. GAAP. This guidance sets forth a minimum threshold for the financial statement recognition of tax positions taken based on the technical merits of such positions. United States and non-U.S. tax rules (including the interpretation and application of tax laws) are subject to change. The Fund files tax returns and/or adopts certain tax positions in various jurisdictions. Non-U.S. taxes are provided for based on the Fund’s understanding of the prevailing tax rules of the non-U.S. markets in which they invest. Recently enacted tax rules, including interpretations of tax laws (e.g., regulations pertaining to the U.S. Foreign Account Tax Compliance Act) and proposed legislation currently under consideration in various jurisdictions, including the U.S., might affect the way the Fund and its investors are taxed prospectively and/or retroactively. Prior to the expiration of the relevant statutes of limitations, if any, the Fund is subject to examination by U.S. federal, state, local and non-U.S. jurisdictions with respect to the tax returns they have filed and the tax positions they have adopted. The Fund’s U.S. federal income tax returns are generally subject to examination by the Internal Revenue Service for a period of three years after they were filed. State, local and/or non-U.S. tax returns and/or other filings may be subject to examination for different periods, depending upon the tax rules of each applicable jurisdiction.
292
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Notes to Consolidated Financial Statements (Continued)
For the Six-Months Ended September 30, 2017 (Unaudited)
As of September 30, 2017, the approximate cost for U.S. federal income tax purposes and gross and net unrealized appreciation (depreciation) in value of investments, securities sold short, and derivatives were as follows:
Aggregate Cost | Gross Unrealized | Gross Unrealized | Net Unrealized | |||
$5,376,315,945 | $457,301,097 | $(262,808,765) | $194,492,332 |
12. Borrowings Under Credit Facility
The Fund has a secured revolving borrowing facility (the “Facility”) with State Street Bank and Trust Company (the “Bank”) in an aggregate principal amount of up to $60,000,000, subject to a maximum loan value of not more than 25% of the Fund’s NAV (the “Aggregate Commitment Amount”). Borrowings under the Facility are used primarily for bridge financing purposes and are secured by the assets of the Fund. Under the terms of the agreement, the Aggregate Commitment Amount may be terminated or reduced from time to time upon written notice from the Fund to the Bank. Outstanding borrowings bear interest at a rate equal to 1.25% plus the One-Month USD LIBOR Rate per annum (2.48% at September 30, 2017). A commitment fee is charged in the amount of 0.25% per annum as well as an upfront underwriting fee equal to 0.10% of the Commitment Amount per annum. Commitment fees accrued through the end of each calendar quarter are due no later than the 15th day of the immediately succeeding calendar month during the term of the Facility. Accrued interest is due no later than January 29, 2018, the termination date of the Facility at which time the Fund and the Bank can agree to extend the existing agreement. For the six-months ended September 30, 2017, the Fund made no borrowings under the Facility.
13. Subsequent Events
The Investment Adviser has evaluated the impact of subsequent events through the date of financial statement issuance, and determined there were no subsequent events outside the normal course of business requiring adjustment to or disclosure in the consolidated financial statements.
293
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Shareholder Fee Example (Unaudited)
As a shareholder of the Multi-Strategy Fund, you incur ongoing costs, including management fees and to the extent applicable, distribution (12b-1) fees and/or shareholder services fees and other Fund expenses. This Example is intended to help you to understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
Actual Expenses
The actual expense example is based on an investment of $1,000 invested at the beginning of a six month period and held through the six-months ended September 30, 2017. The first line in the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The hypothetical expense example is based on an investment of $1,000 invested at the beginning of a six month period. The second line of the table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the actual return of the Fund. The hypothetical amount account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads) or redemption/exchange fees. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
Beginning Account Value 4/1/2017 | Ending Account Value 9/30/2017 | Expenses Paid During Period1 | Annualized Expense Ratio | |||||||||||||||||
Class I | ||||||||||||||||||||
Actual | $1,000.00 | $1,034.10 | $14.45 | 2.85% | ||||||||||||||||
Hypothetical (assuming a 5% return before expenses) | $1,000.00 | $1,010.72 | $14.29 | 2.85% | ||||||||||||||||
Class D | ||||||||||||||||||||
Actual | $1,000.00 | $1,031.30 | $16.56 | 3.27% | ||||||||||||||||
Hypothetical (assuming a 5% return before expenses) | $1,000.00 | $1,008.63 | $16.38 | 3.27% | ||||||||||||||||
Class Y | ||||||||||||||||||||
Actual | $1,000.00 | $1,034.40 | $13.95 | 2.75% | ||||||||||||||||
Hypothetical (assuming a 5% return before expenses) | $1,000.00 | $1,011.22 | $13.79 | 2.75% |
1 | Expenses are calculated using the annualized expense ratio, multiplied by the average account value over the period, multiplied by 183/365 (to reflect the one-half-year period). |
294
Blackstone Alternative Investment Funds and Subsidiaries
September 30, 2017 (Unaudited)
Management of the Fund
The Fund’s operations are managed by the Investment Adviser and the Sub-Advisers (defined below), under the direction and oversight of the Board. A majority of the Trustees are not “interested persons” (as defined in the 1940 Act) of the Fund (the “Independent Trustees”). The Trustees and the Fund’s officers are subject to removal or replacement in accordance with Massachusetts law and the Trust’s Amended and Restated Declaration of Trust. Five of the six Trustees were elected by the initial shareholder of the Trust.
Sub-Advisers
During the period covered by this report, the Investment Adviser engaged the following entities as sub-advisers (each, a “Sub-Adviser”, and together, the “Sub-Advisers”) to provide investment management services to the Fund or to one or more Subsidiaries.
Discretionary Sub-Advisers:
• | Bayview Asset Management, LLC |
• | Boussard & Gavaudan Investment Management, LLP |
• | Caspian Capital LP |
• | Cerberus Sub-Advisory I, LLC |
• | Chatham Asset Management, LLC |
• | D. E. Shaw Investment Management, L.L.C. |
• | Emso Asset Management Limited |
• | FT AlphaParity, LLC (until June 23, 2017) |
• | Good Hill Partners LP |
• | GS Investment Strategies, LLC |
• | GSA Capital Partners LLP (effective May 26, 2017) |
• | H2O AM LLP (effective June 7, 2017) |
• | HealthCor Management, L.P. |
• | IPM Informed Portfolio Management AB |
• | Magnetar Asset Management LLC (effective June 23, 2017) |
• | Nephila Capital, Ltd. |
• | Sorin Capital Management, LLC |
• | Two Sigma Advisers, LP |
• | Waterfall Asset Management, LLC |
Non-Discretionary Sub-Advisers:
• | Gracian Capital LLC (effective May 26, 2017) |
Compensation for Trustees
Each of the Independent Trustees are paid by the Trust $72,000 per fiscal year in aggregate for their services to the Trust, and the Chairpersons of the Board and the Audit Committee are each paid by the Trust an additional $3,000 per fiscal year. Mr. Coates (a Trustee being treated as an “interested person” (as defined in the 1940 Act) due to his employment by Envestnet, Inc., which conducts business with certain intermediaries of the Fund and may conduct business with the Investment Adviser and its affiliates in the future) is paid $57,000 per fiscal year. The Trust also pays for the Trustees’ travel expenses related to Board meetings, continuing education and conferences. The Trustees do not receive any pension or retirement benefits from the Fund.
295
Blackstone Alternative Investment Funds and Subsidiaries
Supplemental Information (Continued)
September 30, 2017 (Unaudited)
Form N-Q Filings
The Fund files a complete schedule of the Fund’s portfolio holdings with the Securities and Exchange Commission (“SEC”) for the first and third quarters of each fiscal year on Form N-Q. The Fund’s Form N-Q is available on the SEC’s website at http://www.sec.gov within 60 days after the Fund’s first and third fiscal quarters. The Fund’s Form N-Q may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C., and information regarding the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. Holdings and allocations shown on any Form N-Q are as of the date indicated in the filing and may not be representative of future investments. Holdings and allocations should not be considered research or investment advice and should not be relied upon in making investment decisions.
Proxy Voting Policies
A description of the policies and procedures used to vote proxies related to the Fund’s portfolio securities and information regarding how the Fund voted proxies relating to its portfolio securities during the 12-month period ended June 30, 2017 will be available (1) without charge, upon request, by calling toll free, 1-855-890-7725 and (2) on the SEC’s website at http://www.sec.gov.
Board Approval of the Sub-Advisory Agreements
At meetings of the Board held in person on May 16-17, 2017 and August 15-16, 2017, the Board, including all of the Independent Trustees, considered and unanimously approved investment sub-advisory agreements for the Fund (“New Sub-Advisory Agreements” and “Continued Sub-Advisory Agreements,” together the “Sub-Advisory Agreements”) between BAIA and each of the following Sub-Advisers:
Continued Sub-Advisory Agreements (approved at May meeting)
• | Caspian Capital LP |
• | Good Hill Partners LP |
• | Nephila Capital, Ltd |
• | Two Sigma Advisers, LP |
New Sub-Advisory Agreements (approved at May meeting)
• | Gracian Capital LLC (as a non-discretionary Sub-Adviser) |
• | H2O AM LLP |
• | Magnetar Asset Management LLC |
Continued Sub-Advisory Agreements (approved at August meeting)
• | Bayview Asset Management, LLC |
• | D. E. Shaw Investment Management, L.L.C |
• | Emso Asset Management Limited |
• | GS Investment Strategies, LLC |
• | IPM Informed Portfolio Management AB |
The Independent Trustees were assisted in their review of the Sub-Advisory Agreements by independent legal counsel. The Board requested and evaluated all the information it deemed reasonably necessary under the circumstances in connection with the approval of the Sub-Advisory Agreements. The Board noted that BAIA and the Fund would rely on an exemptive order from the SEC that permitted the Fund to add or replace discretionary or non-discretionary sub-advisers without a shareholder vote, provided that the Board, including a majority of Independent Trustees, approves the new sub-advisers and certain other conditions are met.
296
Blackstone Alternative Investment Funds and Subsidiaries
Supplemental Information (Continued)
September 30, 2017 (Unaudited)
Before the meetings, the Board received materials prepared by independent legal counsel regarding the relevant factors to consider in connection with the approval of the Sub-Advisory Agreements. The Board had requested and received materials prepared by BAIA relating to each Sub-Adviser, including (1) summary information regarding: the investment thesis; strengths; performance and positioning; a firm-wide risk evaluation and a strategy risk evaluation; an assessment of business infrastructure, valuation, liquidity, trade execution, and allocation, and compliance; and a summary of the key terms of the Sub-Advisory Agreements; (2) a Back Office Review, which covered, among other things, information regarding the Sub-Adviser’s product offerings and personnel, business viability, related entities, product and operational complexity, valuation, internal controls, counterparties, service providers, and regulatory and compliance infrastructure. The Board also received for each of Caspian Capital LP (“Caspian”), Good Hill Partners LP (“Good Hill”), and Two Sigma Advisers, LP (“Two Sigma”) a Sub-Adviser Tear Sheet which covered in greater detail each Sub-Adviser’s performance, returns, and investment exposure. The information the Board received for H2O AM LLP (“H2O”) also included a Manager Investment Review, which covered, in greater detail, the Sub-Adviser’s investment thesis, organizational history and ownership, personnel, peer group analysis, risk review, and business financial evaluation. Before the meetings, the Board received each Sub-Adviser’s responses to Information Requests under Section 15(c) of the 1940 Act that addressed, among other things: (i) general financial information; (ii) material business dealings with Blackstone and the Fund’s service providers; (iii) the Sub-Adviser’s business plan for the Fund for the coming year; (iv) costs, fees, other benefits, and profitability; and (v) risk management and regulatory compliance matters.
The Sub-Advisory Agreement with Magnetar Asset Management LLC (“Magnetar”) was initially approved by the Board at the May 2016 meeting, was reconsidered at the May 2017 meeting, and was executed in June 2017. With respect to that Sub-Advisory Agreement, the Board received, among other things, information about the changes since the May 2016 meeting, as well as copies of the information reviewed in connection with that approval.
At the meetings, there was discussion regarding the materials that had been provided to the Board, the terms of the Sub-Advisory Agreements, and other relevant considerations. Additionally, the Board (and separately, the Independent Trustees) conferred with their independent legal counsel to consider the information provided. In evaluating the Sub-Advisory Agreements, the Board took into account the fact that the compensation paid to the Sub-Advisers would be paid by BAIA from the investment management fee it receives from the Fund and would not increase the fees or expenses otherwise incurred by the Fund or its shareholders. In the case of the Amended and Restated Sub-Advisory Agreements, the Board also took into account its most recent consideration and approval of the agreements with those Sub-Advisers, and the fact that the proposed changes to the agreements were not expected to result in any change in the nature, extent or quality of the services provided to the Fund.
Following this discussion, the Board, including all of the Independent Trustees, determined to approve all of the Sub-Advisory Agreements on the basis of the following considerations, among others:
Nature, Extent, and Quality of the Services
The Board discussed and considered with respect to each Sub-Adviser (1) personnel, operations, and financial condition; (2) investment expertise and strengths; (3) percentage of assets that are or potentially would be allocated to the Sub-Adviser; (4) investment return on the assets that are managed by the Sub-Adviser and related investment risks; (5) the Sub-Adviser’s experience and performance as a hedge fund manager, where applicable, and the extent to which the Sub-Adviser’s strategy for the Fund overlapped or would overlap with its hedge fund strategy; (6) where applicable, the Sub-Adviser’s experience and performance as a sub-adviser to the Fund; and (7) the experience and depth of the Sub-Adviser’s portfolio management team managing hedge fund and other products and its ability to manage risk. The Board
297
Blackstone Alternative Investment Funds and Subsidiaries
Supplemental Information (Continued)
September 30, 2017 (Unaudited)
concluded that the nature, extent, and quality of the sub-advisory services to be provided by each Sub-Adviser were appropriate and thus supported a decision to approve the Sub-Advisory Agreements.
Costs of Services and Profitability
In analyzing the cost of services and profitability of each Sub-Adviser, the Board discussed the following factors: each Sub-Adviser’s sub-advisory fee (proposed sub-advisory fee in the case of Gracian Capital LLC, H2O AM LLP, and Magnetar) for managing the allocated Fund assets, including any breakpoints, each Sub-Adviser’s resources devoted or that would be devoted to the Fund; and each Sub-Advisers response, if any, to inquiries regarding profitability to the Sub-Adviser from providing sub-advisory services to the Fund. The Board considered the specific resources that each Sub-Adviser devoted or would devote to the Fund for investment analysis, risk management, compliance, and order execution, and the extent to which each Sub-Adviser’s investment process is or would be scalable. The Board noted that the compensation paid to the Sub-Adviser was paid by BAIA, not the Fund, and, accordingly, that the retention of the Sub-Adviser did not increase the fees or expenses otherwise incurred by shareholders of the Fund. It also noted that the terms of each Sub-Adviser’s Sub-Advisory Agreement were the result of separate arm’s-length negotiations between BAIA and the Sub-Adviser. The Board considered information comparing the sub-advisory fees to the fees that each Sub-Adviser, other than Gracian, charges for providing investment advisory services to certain other clients. The Board also considered information regarding the impact that retaining or hiring the Sub-Advisers as sub-advisers to the Fund has or would have on BAIA’s profitability, as well as information about the blended average of all sub-advisory fees that BAIA pays the sub-advisers based on allocations of Fund assets among the sub-advisers.
The Board concluded that the level of investment sub-advisory fees was appropriate in light of the services to be provided.
Economies of Scale
The Board discussed various financial and economic considerations relating to the proposed arrangement with each Sub-Adviser, including economies of scale and the current and proposed breakpoints in place for certain Sub-Advisers, including certain breakpoints in the sub-advisory fees payable to certain Sub-Advisers which are based on the amount of allocated assets of the Fund (together with other Blackstone allocations). The Board further noted that it would have the opportunity to periodically re-examine whether the Fund had achieved economies of scale, as well as the appropriateness of sub-advisory fees payable to each Sub-Adviser, with respect to different asset sizes of the portfolio, in the future. The Board also noted that, although not directly related to the sub-advisory fees payable to each Sub-Adviser, certain Fund expenses were subject to an expense cap, an undertaking by BAIA intended to limit the Fund’s overall expenses at smaller asset levels.
Investment Performance of the Sub-Advisers
The Board considered the investment performance of the Sub-Advisers. Where applicable, the Board considered information about the year-to-date, 2016, and inception-to-date investment return of the Fund’s assets that are managed by each Sub-Adviser (net of trading expenses but gross of investment management fees and fund operating expenses), all as compared to the investment returns of (i) a custom index defined by BAIA and (ii) in the case of certain Sub-Advisers, such Sub-Adviser’s hedge fund strategy. In addition, for Sub-Advisers currently engaged by BAIA, the Board considered information about performance risk measurements of the assets that are managed by the Sub-Adviser, the custom index and, for certain Sub-Advisers, such Sub-Adviser’s hedge fund strategy, such as annualized return, standard deviation (which is a measure of volatility), Sharpe ratio, beta statistics, and alpha statistics.
298
Blackstone Alternative Investment Funds and Subsidiaries
Supplemental Information (Continued)
September 30, 2017 (Unaudited)
On the basis of the Board’s assessment, while recognizing that there can be no assurance of any particular investment outcome, the Board concluded that the investment performance generated by the Sub-Advisers currently engaged by BAIA was generally satisfactory and that each of the Sub-Advisers was capable of reasonable investment performance to the Fund.
Other Benefits
The Board discussed other potential benefits that each Sub-Adviser may receive from the Fund, including soft dollar arrangements, receipt of brokerage and research services, and the opportunity to offer additional products and services to Fund shareholders. The Board noted that each Sub-Adviser benefited from its relationship with BAIA/BAAM. The Board concluded that any other ancillary or “fall out” benefits derived by each Sub-Adviser from its relationship with BAIA, BAAM, or the Fund, to the extent such benefits were identifiable or determinable, were reasonable and fair, resulted from the provision of appropriate services to the Fund and its shareholders, and were consistent with industry practice and the best interests of the Fund and its shareholders.
Other Considerations
The Board reviewed and considered certain terms and conditions of the Sub-Advisory Agreements. After discussion, the Board concluded that the terms of the Sub-Advisory Agreements were reasonable and fair. It was noted that the Board would have the opportunity to periodically re-examine the terms of each Sub-Advisory Agreement in the future.
Conclusion
The Board, including all of the Independent Trustees, concluded that the fees payable under each of the Sub-Advisory Agreements were fair and reasonable with respect to the services that the relevant Sub-Adviser would provide to the Fund and in light of the other factors described above that the Board deemed relevant. The Board noted that both BAIA and the Board had determined that each Sub-Adviser’s compliance program was reasonably designed to prevent the violation of the federal securities laws within the meaning of Rule 38a-1 under the 1940 Act and that each Sub-Adviser’s code of ethics was reasonably designed to prevent “access persons” (as defined in Rule 17j-1 under the 1940 Act) from engaging in any act, practice, or course of business prohibited by Rule 17j-1 under the 1940 Act. The Board based its approval of the Sub-Advisory Agreements on a comprehensive consideration of all information presented to the Board at its meetings throughout the year and not as a result of any single controlling factor. The Board was also assisted by the advice of independent legal counsel in making these determinations.
Additional Information
The Fund’s Statement of Additional Information includes additional information about the Trustees. The Statement of Additional Information is available upon request, without charge, by calling toll free 1-855-890-7725.
299
Blackstone
|
Blackstone Registered Funds
Privacy Notice
Rev May, 2016
FACTS | WHAT DO BLACKSTONE REGISTERED FUNDS DO WITH YOUR PERSONAL INFORMATION? |
Why? | Financial companies choose how they share your personal information. Federal law gives consumers the right to limit some but not all sharing. Federal law also requires us to tell you how we collect, share, and protect your personal information. Please read this notice carefully to understand what we do. |
What? | The types of personal information we collect and share depend on the product or service you have with us. This information can include:
∎ Social Security number and income
∎ Assets and investment experience
∎ Risk tolerance and transaction history |
How? | All financial companies need to share customers’ personal information to run their everyday business. In the section below, we list the reasons financial companies can share their customers’ personal information; the reasons Blackstone Registered Funds (as defined below) choose to share; and whether you can limit this sharing. |
Reasons we can share your personal information | Do Blackstone Registered Funds share? | Can you limit this sharing? | ||
For our everyday business purposes— such as to process your transactions, maintain your account(s), respond to court orders and legal investigations, or report to credit bureaus | Yes | No | ||
For our marketing purposes— to offer our products and services to you | Yes | No | ||
For joint marketing with other financial companies | No | We don’t share | ||
For our affiliates’ everyday business purposes— information about your transactions and experiences | No | We don’t share | ||
For our affiliates’ everyday business purposes— information about your creditworthiness | No | We don’t share | ||
For our affiliates to market to you | No | We don’t share | ||
For nonaffiliates to market to you | No | We don’t share |
Questions? | Email us at GLB.privacy@blackstone.com |
300
Who we are | ||
Who is providing this notice? | Blackstone Registered Funds include Blackstone Alternative Alpha Fund, Blackstone Alternative Alpha Fund II, Blackstone Real Estate Income Fund, Blackstone Real Estate Income Fund II, Blackstone Alternative Investment Funds, on behalf of its series Blackstone Alternative Multi-Strategy Fund, Blackstone Diversified Multi-Strategy Fund, a sub-fund of Blackstone Alternative Investment Funds plc, and the GSO Funds, consisting of Blackstone / GSO Senior Floating Rate Term Fund, Blackstone / GSO Long-Short Credit Income Fund and Blackstone / GSO Strategic Income Fund | |
What we do | ||
How do Blackstone Registered Funds protect my personal information? | To protect your personal information from unauthorized access and use, we use security measures that comply with federal law. These measures include computer safeguards and secured files and buildings. | |
How do Blackstone Registered Funds collect my personal information? | We collect your personal information, for example, when you:
∎ open an account or give us your income information
∎ provide employment information or give us your contact information
∎ tell us about your investment or retirement portfolio
We also collect your personal information from others, such as credit bureaus, affiliates, or other companies. | |
Why can’t I limit all sharing? | Federal law gives you the right to limit only:
∎ sharing for affiliates’ everyday business purposes—information about your creditworthiness
∎ affiliates from using your information to market to you
∎ sharing for nonaffiliates to market to you
State laws and individual companies may give you additional rights to limit sharing. See below for more on your rights under state law. | |
What happens when I limit sharing for an account I hold jointly with someone else? | Your choices will apply to everyone on your account—unless you tell us otherwise. | |
Definitions | ||
Affiliates | Companies related by common ownership or control. They can be financial and nonfinancial companies.
∎ Our affiliates include companies with a Blackstone name and financial companies such as GSO Capital Partners LP and Strategic Partners Fund Solutions. | |
Nonaffiliates | Companies not related by common ownership or control. They can be financial and nonfinancial companies.
∎ Blackstone Registered Funds do not share with nonaffiliates so they can market to you. | |
Joint marketing | A formal agreement between nonaffiliated financial companies that together market financial products or services to you.
∎ Our joint marketing partners include financial services companies. | |
Other important information | ||
California Residents—In accordance with California law, we will not share information we collect about California residents with nonaffiliates except as permitted by law, such as with the consent of the customer or to service the customer’s accounts. We will also limit the sharing of information about you with our affiliates to the extent required by applicable California law. Vermont Residents—In accordance with Vermont law, we will not share information we collect about Vermont residents with nonaffiliates except as permitted by law, such as with the consent of the customer or to service the customer’s accounts. We will not share creditworthiness information about Vermont residents among Blackstone Registered Funds’ affiliates except with the authorization or consent of the Vermont resident. |
301
Blackstone Alternative Multi-Strategy Fund
a series of Blackstone Alternative Investment Funds
Trustees
John M. Brown, Chairman
Frank J. Coates
Paul J. Lawler
Kristen M. Leopold
Peter Koffler
Peter M. Gilbert
Investment Adviser
Blackstone Alternative Investment Advisors LLC
345 Park Avenue
New York, New York 10154
Administrator and Custodian
State Street Bank and Trust Company
One Lincoln Street
Boston, MA 02111
Transfer Agent
State Street Bank and Trust Company
One Lincoln Street
Boston, MA 02111
Officers
Brian F. Gavin, President and Principal Executive Officer
Arthur Liao, Treasurer and Principal Financial and Accounting Officer
James Hannigan, Chief Legal Officer, Chief Compliance Officer and Anti-Money Laundering Officer
Stephen Buehler, Secretary
Independent Registered Public Accounting Firm
Deloitte & Touche LLP
30 Rockefeller Plaza
New York, New York 10112
Legal Counsel
Ropes & Gray LLP
Prudential Tower
800 Boylston Street
Boston, Massachusetts 02199-3600
This report, including the financial information herein, is transmitted to the shareholders of Blackstone Alternative Multi-Strategy Fund for their information. It is not a prospectus or representation intended for use in the purchase of shares of the Fund or any securities mentioned in this report.
You can find the Fund’s prospectus and other information about the Fund, including the Fund’s statement of additional information, on the Fund’s website at www.blackstone.com/bamsf. You can also get this information at no cost by calling the Fund at 1-855-890-7725.
Item 2. | Code of Ethics. |
Not applicable to this semi-annual report.
Item 3. | Audit Committee Financial Expert. |
Not applicable to this semi-annual report.
Item 4. | Principal Accountant Fees and Services. |
Not applicable to this semi-annual report.
Item 5. | Audit Committee of Listed Registrants. |
Not applicable.
Item 6. | Investments. |
(a) | The registrant’s Consolidated Schedule of Investments as of the close of the reporting period is included in the Report to Shareholders filed under Item 1 of this form. |
(b) | Not applicable. |
Item 7. | Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies. |
Not applicable.
Item 8. | Portfolio Managers of Closed-End Management Investment Companies. |
Not applicable.
Item 9. | Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers. |
Not applicable.
Item 10. | Submission of Matters to a Vote of Security Holders. |
There have been no material changes to procedures by which the shareholders may recommend nominees to the registrant’s Board of Trustees.
Item 11. | Controls and Procedures. |
(a) | The registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant’s disclosure controls and procedures as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”), are effective as of the date within 90 days of the filing date of this report based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as amended. |
(b) | There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the second fiscal quarter of the period covered by this report that have materially affected or are reasonably likely to materially affect, the registrant’s internal control over financial reporting. |
Item 12. | Disclosure of Securities Lending Activities for Closed-End Management Investment Companies. |
(a) | Not applicable. |
(b) | Not applicable. |
Item 13. | Exhibits. |
(a)(1) | Not applicable to this semi-annual report. |
(a)(2) | Certifications pursuant to Rule 30a-2(a) are attached hereto. |
(a)(3) | Not applicable. |
(b) | Certifications pursuant to Rule 30a-2(b) are attached hereto. |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
(Registrant) | Blackstone Alternative Investment Funds |
By (Signature and Title) | /s/ Brian F. Gavin | |
Brian F. Gavin, President (Principal Executive Officer) |
Date | November 22, 2017 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By (Signature and Title) | /s/ Brian F. Gavin | |
Brian F. Gavin, President (Principal Executive Officer) |
Date | November 22, 2017 |
By (Signature and Title) | /s/ Arthur Liao | |
Arthur Liao, Treasurer (Principal Financial and Accounting Officer) |
Date | November 22, 2017 |