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, 2018
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, 2018
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TABLE OF CONTENTS
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295 | |||||
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301 | |||||
329 | |||||
330 |
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
September 30, 2018 (Unaudited)
Geographic Breakdown | Percentage of Total Net Assets | ||||
North America | 76.4 | % | |||
Europe | 4.7 | ||||
Asia | 3.1 | ||||
South America | 0.9 | ||||
Middle East | 0.5 | ||||
Africa | 0.1 | ||||
Other1 | 16.3 | ||||
Securities Sold Short | (21.4 | ) | |||
Other Assets and Liabilities2 | 19.4 | ||||
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| ||||
Total | 100.0 | % | |||
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1 | Includes Sovereign Debt, Exchange-Traded Funds, Short-Term Investment—Money Market Funds and 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. |
Portfolio Composition | Percentage of Total Net Assets | ||||
Common Stock | 29.4 | % | |||
Mortgage-Backed Securities | 26.6 | ||||
Investments in Investee Funds | 9.8 | ||||
Sovereign Debt | 8.4 | ||||
U.S. Treasury Obligations | 6.0 | ||||
Short-Term Investment—Money Market Funds | 5.4 | ||||
Asset-Backed Securities | 5.1 | ||||
Corporate Bonds & Notes | 4.0 | ||||
Preferred Stock | 2.9 | ||||
Exchange-Traded Funds | 2.5 | ||||
Convertible Bonds | 0.7 | ||||
Bank Debt | 0.6 | ||||
U.S. Government Sponsored Agency Securities | 0.6 | ||||
Other1 | 0.0 | 2 | |||
Securities Sold Short | (21.4 | ) | |||
Other Assets and Liabilities3 | 19.4 | ||||
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Total | 100.0 | % | |||
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1 | Includes Purchased Options. |
2 | Represents less than 0.1% |
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. |
Credit Quality Allocation1 | Percentage of Total Investments in Securities | ||||
AAA/Aaa2 | 7.8 | % | |||
AA/Aa | 2.1 | ||||
A | 0.9 | ||||
BBB/Baa | 6.3 | ||||
BB/Ba | 4.9 | ||||
B | 7.0 | ||||
CCC/Caa | 2.0 | ||||
CC/Ca | — | ||||
Not Rated | 22.8 | ||||
Other3 | 46.2 | ||||
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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 Funds and Purchased Options. |
See Notes to Consolidated Financial Statements.
1
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Portfolio Information (Continued)
September 30, 2018 (Unaudited)
Industry | Percentage of Total Net Assets | ||||
Banking | 3.8 | % | |||
Medical Equipment & Devices | 3.5 | ||||
Financial Services | 3.3 | ||||
Health Care Facilities & Services | 2.8 | ||||
Software | 2.7 | ||||
Biotechnology & Pharmaceuticals | 2.4 | ||||
Retail—Discretionary | 2.2 | ||||
Wireless Telecommunications Services | 1.5 | ||||
Consumer Products | 1.4 | ||||
Integrated Oils | 1.2 | ||||
Gaming, Lodging & Restaurants | 1.0 | ||||
Specialty Finance | 1.0 | ||||
Media | 0.9 | ||||
Semiconductors | 0.8 | ||||
Hardware | 0.7 | ||||
Insurance | 0.6 | ||||
Oil, Gas & Coal | 0.6 | ||||
Aerospace & Defense | 0.5 | ||||
Real Estate | 0.5 | ||||
Retail—Consumer Staples | 0.5 | ||||
Chemicals | 0.4 | ||||
Technology Services | 0.4 | ||||
Apparel & Textile Products | 0.3 | ||||
Asset Management | 0.3 | ||||
Passenger Transportation | 0.3 | ||||
Pharmaceuticals | 0.3 | ||||
Transportation & Logistics | 0.3 | ||||
Utilities | 0.3 | ||||
Home & Office Products | 0.2 | ||||
Machinery | 0.2 | ||||
Oil & Gas Services & Equipment | 0.2 | ||||
Telecommunications | 0.2 | ||||
Transportation Equipment | 0.2 | ||||
Waste & Environmental Services & Equipment | 0.2 | ||||
Wireline Telecommunication Services | 0.2 | ||||
Advertising & Marketing | 0.1 | ||||
Automotive | 0.1 | ||||
Casinos & Gaming | 0.1 | ||||
Commercial Finance | 0.1 | ||||
Commercial Services | 0.1 | ||||
Consumer Finance | 0.1 | ||||
Containers & Packaging | 0.1 | ||||
Design, Manufacturing & Distribution | 0.1 | ||||
Distributors—Consumer Staples | 0.1 | ||||
Electrical Equipment | 0.1 | ||||
Exploration & Production | 0.1 |
See Notes to Consolidated Financial Statements.
2
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Portfolio Information (Continued)
September 30, 2018 (Unaudited)
Industry | Percentage of Total Net Assets | ||||
Institutional Financial Services | 0.1 | ||||
Iron & Steel | 0.1 | ||||
Machinery Manufacturing | 0.1 | ||||
Pipeline | 0.1 | ||||
Property & Casualty Insurance | 0.1 | ||||
Retail—Consumer Discretionary | 0.1 | ||||
Banks | 0.0 | 1 | |||
Coal Operations | 0.0 | 1 | |||
Construction Materials | 0.0 | 1 | |||
Consumer Services | 0.0 | 1 | |||
Distributors—Discretionary | 0.0 | 1 | |||
Educational Services | 0.0 | 1 | |||
Electrical Equipment Manufacturing | 0.0 | 1 | |||
Engineering & Construction Services | 0.0 | 1 | |||
Food & Beverage | 0.0 | 1 | |||
Forest & Paper Products | 0.0 | 1 | |||
Industrial Other | 0.0 | 1 | |||
Industrial Services | 0.0 | 1 | |||
Internet Media | 0.0 | 1 | |||
Leisure Products | 0.0 | 1 | |||
Manufactured Goods | 0.0 | 1 | |||
Medical Equipment & Devices Manufacturing | 0.0 | 1 | |||
Metals & Mining | 0.0 | 1 | |||
Publishing & Broadcasting | 0.0 | 1 | |||
Recreation Facilities & Services | 0.0 | 1 | |||
Refining & Marketing | 0.0 | 1 | |||
Renewable Energy | 0.0 | 1 | |||
Software & Services | 0.0 | 1 | |||
Other2 | 64.4 | ||||
Securities Sold Short | (21.4 | ) | |||
Other Assets and Liabilities3 | 19.4 | ||||
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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 Funds 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, 2018 (Unaudited)
Security Description | Shares | Value | ||||||||||
INVESTMENTS IN SECURITIES — 102.0% | ||||||||||||
COMMON STOCK — 29.4% | ||||||||||||
Africa — 0.0% | ||||||||||||
Metals & Mining — 0.0% | ||||||||||||
Gold Fields Ltd., ADR | 50,300 | $ | 121,726 | |||||||||
Harmony Gold Mining Co. Ltd., ADR | 2,300 | 3,818 | ||||||||||
|
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125,544 | ||||||||||||
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| |||||||||||
Oil, Gas & Coal — 0.0% | ||||||||||||
Ocean Rig UDW, Inc. (a) | 12,800 | 443,136 | ||||||||||
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| |||||||||||
Specialty Finance — 0.0% | ||||||||||||
Net 1 UEPS Technologies, Inc. (a),(b) | 14,500 | 116,000 | ||||||||||
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Total Africa | 684,680 | |||||||||||
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| |||||||||||
Asia — 0.1% | ||||||||||||
Biotechnology & Pharmaceuticals — 0.0% | ||||||||||||
Sinovac Biotech Ltd. (a) | 200 | 1,538 | ||||||||||
|
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Consumer Services — 0.0% | ||||||||||||
New Oriental Education & Technology Group, Inc., ADR (a) | 13,700 | 1,013,937 | ||||||||||
Tarena International, Inc., ADR | 7,400 | 60,088 | ||||||||||
|
| |||||||||||
1,074,025 | ||||||||||||
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Design, Manufacturing & Distribution — 0.0% | ||||||||||||
Fabrinet (a) | 100 | 4,626 | ||||||||||
|
| |||||||||||
Gaming, Lodging & Restaurants — 0.0% | ||||||||||||
GreenTree Hospitality Group Ltd., ADR (a) | 1,400 | 17,780 | ||||||||||
Melco Crown Entertainment Ltd., ADR | 68,900 | 1,457,235 | ||||||||||
Yum China Holdings, Inc. | 23,400 | 821,574 | ||||||||||
|
| |||||||||||
2,296,589 | ||||||||||||
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Hardware — 0.0% | ||||||||||||
Canon, Inc., ADR | 11,800 | 373,470 | ||||||||||
|
| |||||||||||
Health Care Facilities & Services — 0.0% | ||||||||||||
Global Cord Blood Corp. | 3,629 | 25,367 | ||||||||||
|
| |||||||||||
Machinery — 0.0% | ||||||||||||
China Yuchai International Ltd. (b) | 3,845 | 66,403 | ||||||||||
Hollysys Automation Technologies Ltd. (b) | 5,600 | 119,672 | ||||||||||
|
| |||||||||||
186,075 | ||||||||||||
|
|
See Notes to Consolidated Financial Statements.
4
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Security Description | Shares | Value | ||||||||||
Media — 0.0% | ||||||||||||
Leju Holdings Ltd., ADR (a) | 800 | $ | 1,392 | |||||||||
Phoenix New Media Ltd., ADR (a) | 2,100 | 8,862 | ||||||||||
SINA Corp. (a) | 20,800 | 1,445,184 | ||||||||||
Sohu.com Ltd., ADR (a) | 100 | 1,988 | ||||||||||
Yandex NV, A Shares (a) | 900 | 29,601 | ||||||||||
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1,487,027 | ||||||||||||
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Oil, Gas & Coal — 0.0% | ||||||||||||
China Petroleum & Chemical Corp., ADR | 700 | 70,308 | ||||||||||
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Passenger Transportation — 0.0% | ||||||||||||
China Southern Airlines Co. Ltd., ADR (b) | 600 | 19,224 | ||||||||||
Guangshen Railway Co. Ltd., ADR (b) | 100 | 2,310 | ||||||||||
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21,534 | ||||||||||||
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| |||||||||||
Real Estate — 0.0% | ||||||||||||
Xinyuan Real Estate Co. Ltd., ADR (b) | 5,000 | 22,550 | ||||||||||
|
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Renewable Energy — 0.0% | ||||||||||||
Highpower International, Inc. (a) | 200 | 540 | ||||||||||
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Retail—Discretionary — 0.0% | ||||||||||||
Alibaba Group Holding Ltd., ADR (a) | 1 | 165 | ||||||||||
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Semiconductors — 0.1% | ||||||||||||
Kulicke & Soffa Industries, Inc. (b) | 30,500 | 727,120 | ||||||||||
Magnachip Semiconductor Corp. (a) | 12,500 | 123,750 | ||||||||||
Taiwan Semiconductor Manufacturing Co. Ltd., ADR | 35,100 | 1,550,016 | ||||||||||
United Microelectronics Corp., ADR | 35,700 | 92,106 | ||||||||||
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2,492,992 | ||||||||||||
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Software — 0.0% | ||||||||||||
Changyou.com Ltd., ADR (b) | 7,700 | 101,640 | ||||||||||
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Technology Services — 0.0% | ||||||||||||
WNS Holdings Ltd., ADR (a) | 8,400 | 426,300 | ||||||||||
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Telecommunications — 0.0% | ||||||||||||
Aspire Holdings LLC, Class A (a),(d) | 1,502,082 | 1 | ||||||||||
China Telecom Corp. Ltd., ADR | 300 | 14,826 | ||||||||||
China Unicom Hong Kong Ltd., ADR | 900 | 10,521 | ||||||||||
|
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25,348 | ||||||||||||
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Total Asia | 8,610,094 | |||||||||||
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See Notes to Consolidated Financial Statements.
5
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Security Description | Shares | Value | ||||||||||
Europe — 0.8% | ||||||||||||
Automotive — 0.1% | ||||||||||||
Fiat Chrysler Automobiles NV (a) | 75,500 | $ | 1,322,005 | |||||||||
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Biotechnology & Pharmaceuticals — 0.0% | ||||||||||||
AstraZeneca PLC, ADR | 22,400 | 886,368 | ||||||||||
CRISPR Therapeutics AG (a) | 3,400 | 150,790 | ||||||||||
|
| |||||||||||
1,037,158 | ||||||||||||
|
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Chemicals — 0.1% | ||||||||||||
Koninklijke DSM NV | 12,600 | 1,334,772 | ||||||||||
Orion Engineered Carbons SA (b) | 21,600 | 693,360 | ||||||||||
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2,028,132 | ||||||||||||
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Commercial Services — 0.0% | ||||||||||||
Cimpress NV (a) | 6,000 | 819,660 | ||||||||||
|
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Consumer Products — 0.0% | ||||||||||||
Coca-Cola European Partners PLC | 6,800 | 309,196 | ||||||||||
Nomad Foods Ltd. (a) | 29,100 | 589,566 | ||||||||||
Unilever NV | 24 | 1,333 | ||||||||||
|
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900,095 | ||||||||||||
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Hardware — 0.0% | ||||||||||||
Telefonaktiebolaget LM Ericsson, ADR | 800 | 7,040 | ||||||||||
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Iron & Steel — 0.0% | ||||||||||||
Ternium SA, ADR | 1,400 | 42,406 | ||||||||||
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Media — 0.0% | ||||||||||||
Central European Media Enterprises Ltd., A Shares (a) | 4,500 | 16,875 | ||||||||||
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Medical Equipment & Devices — 0.4% | ||||||||||||
Koninklijke Philips NV (d) | 270,810 | 12,336,429 | ||||||||||
Lonza Group AG (d) | 35,240 | 12,029,142 | ||||||||||
Trinity Biotech PLC, ADR (a),(b) | 1,700 | 6,800 | ||||||||||
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24,372,371 | ||||||||||||
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Metals & Mining — 0.0% | ||||||||||||
Randgold Resources Ltd., ADR | 16,200 | 1,142,910 | ||||||||||
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Oil, Gas & Coal — 0.0% | ||||||||||||
Aegean Marine Petroleum Network, Inc. (b) | 1,500 | 2,145 | ||||||||||
Seadrill Ltd. (a) | 500 | 12,390 | ||||||||||
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| |||||||||||
14,535 | ||||||||||||
|
|
See Notes to Consolidated Financial Statements.
6
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Security Description | Shares | Value | ||||||||||
Recreation Facilities & Services — 0.0% | ||||||||||||
Manchester United PLC, Class A | 1,200 | $ | 27,000 | |||||||||
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Semiconductors — 0.1% | ||||||||||||
NXP Semiconductor NV (d) | 85,000 | 7,267,500 | ||||||||||
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Software — 0.1% | ||||||||||||
InterXion Holding NV (a),(d) | 84,598 | 5,693,445 | ||||||||||
Micro Focus International plc, ADR | 3,500 | 64,680 | ||||||||||
SAP SE | 12,600 | 1,550,699 | ||||||||||
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7,308,824 | ||||||||||||
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Technology Services — 0.0% | ||||||||||||
Atento SA | 200 | 1,500 | ||||||||||
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Transportation & Logistics — 0.0% | ||||||||||||
Safe Bulkers, Inc. (a) | 20,400 | 58,752 | ||||||||||
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Utilities — 0.0% | ||||||||||||
Atlantica Yield PLC | 82 | 1,688 | ||||||||||
Innogy SE | 3,277 | 146,445 | ||||||||||
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148,133 | ||||||||||||
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Total Europe | 46,514,896 | |||||||||||
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Middle East — 0.1% | ||||||||||||
Electrical Equipment — 0.0% | ||||||||||||
Camtek Ltd. | 3,500 | 29,995 | ||||||||||
Orbotech Ltd. (a),(b) | 15,300 | 909,432 | ||||||||||
|
| |||||||||||
939,427 | ||||||||||||
|
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Hardware — 0.0% | ||||||||||||
Ceragon Networks Ltd. (a) | 7,000 | 23,590 | ||||||||||
Radware Ltd. (a),(b) | 12,300 | 325,581 | ||||||||||
Silicom Ltd. (a) | 200 | 8,112 | ||||||||||
|
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357,283 | ||||||||||||
|
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Home & Office Products — 0.0% | ||||||||||||
SodaStream International Ltd. (a) | 3,100 | 443,548 | ||||||||||
|
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Media — 0.1% | ||||||||||||
Wix.com Ltd. (a) | 19,900 | 2,382,030 | ||||||||||
|
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Semiconductors — 0.0% | ||||||||||||
Mellanox Technologies Ltd. (a) | 20,800 | 1,527,760 | ||||||||||
Tower Semiconductor Ltd. (a) | 30,900 | 672,384 | ||||||||||
|
| |||||||||||
2,200,144 | ||||||||||||
|
|
See Notes to Consolidated Financial Statements.
7
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Security Description | Shares | Value | ||||||||||
Software — 0.0% | ||||||||||||
Attunity Ltd. (a) | 4,900 | $ | 92,561 | |||||||||
Check Point Software Technologies Ltd. (a) | 300 | 35,301 | ||||||||||
CyberArk Software Ltd. (a) | 15,900 | 1,269,456 | ||||||||||
NICE-Systems Ltd., ADR (a) | 1,200 | 137,364 | ||||||||||
Sapiens International Corp. NV | 900 | 11,889 | ||||||||||
|
| |||||||||||
1,546,571 | ||||||||||||
|
| |||||||||||
Technology Services — 0.0% | ||||||||||||
Magic Software Enterprises Ltd. (b) | 600 | 5,100 | ||||||||||
|
| |||||||||||
Telecommunications — 0.0% | ||||||||||||
Allot Communications Ltd. (a) | 900 | 5,562 | ||||||||||
Turkcell Iletisim Hizmetleri AS, ADR | 700 | 3,374 | ||||||||||
|
| |||||||||||
8,936 | ||||||||||||
|
| |||||||||||
Total Middle East | 7,883,039 | |||||||||||
|
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North America — 28.4% | ||||||||||||
Aerospace & Defense — 0.5% | ||||||||||||
AAR Corp. | 600 | 28,734 | ||||||||||
American Outdoor Brands Corp. (a) | 22,800 | 354,084 | ||||||||||
Boeing Co. (b) | 24,500 | 9,111,550 | ||||||||||
Ducommun, Inc. (a),(b) | 900 | 36,756 | ||||||||||
Harris Corp. | 4,082 | 690,715 | ||||||||||
HEICO Corp. | 1,488 | 137,804 | ||||||||||
L3 Technologies, Inc. | 300 | 63,786 | ||||||||||
Lockheed Martin Corp. (b) | 39,099 | 13,526,690 | ||||||||||
Moog, Inc., Class A (b) | 3,000 | 257,910 | ||||||||||
Northrop Grumman Corp. | 3,300 | 1,047,321 | ||||||||||
Raytheon Co. | 7,200 | 1,487,952 | ||||||||||
Spirit AeroSystems Holdings, Inc., Class A | 900 | 82,503 | ||||||||||
TransDigm Group, Inc. (a) | 8,900 | 3,313,470 | ||||||||||
|
| |||||||||||
30,139,275 | ||||||||||||
|
| |||||||||||
Apparel & Textile Products — 0.3% | ||||||||||||
Albany International Corp., Class A | 300 | 23,850 | ||||||||||
Canada Goose Holdings, Inc. (a) | 3,800 | 245,252 | ||||||||||
Cherokee, Inc. (a) | 100 | 74 | ||||||||||
Columbia Sportswear Co. | 6,400 | 595,648 | ||||||||||
Crocs, Inc. (a) | 41,400 | 881,406 | ||||||||||
Culp, Inc. | 500 | 12,100 | ||||||||||
Michael Kors Holdings Ltd. (a) | 11,300 | 774,728 | ||||||||||
Nike, Inc., Class B | 71,200 | 6,032,064 | ||||||||||
Perry Ellis International, Inc. (a),(b) | 2,300 | 62,859 | ||||||||||
Skechers U.S.A., Inc., Class A (a) | 42,300 | 1,181,439 | ||||||||||
Steven Madden Ltd. | 9,700 | 513,130 |
See Notes to Consolidated Financial Statements.
8
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Security Description | Shares | Value | ||||||||
Unifi, Inc. (a) | 1,200 | $ | 33,996 | |||||||
VF Corp. | 82,700 | 7,728,315 | ||||||||
Vince Holding Corp. (a) | 306 | 4,513 | ||||||||
|
| |||||||||
18,089,374 | ||||||||||
|
| |||||||||
Asset Management — 0.3% | ||||||||||
Ameriprise Financial, Inc. | 12,400 | 1,830,984 | ||||||||
Apollo Investment Corp. | 44,297 | 240,976 | ||||||||
Ares Capital Corp. | 92,200 | 1,584,918 | ||||||||
Ares Management LP | 600 | 13,920 | ||||||||
BlackRock Kelso Capital Corp. (b) | 19,200 | 113,280 | ||||||||
BlackRock TCP Capital Corp. | 11,200 | 159,376 | ||||||||
BlackRock, Inc. (d) | 22,547 | 10,627,077 | ||||||||
Blucora, Inc. (a) | 2,800 | 112,700 | ||||||||
Capital Southwest Corp. | 200 | 3,796 | ||||||||
Capitala Finance Corp. | 4,200 | 36,582 | ||||||||
Federated Investors, Inc., Class B | 800 | 19,296 | ||||||||
Fidus Investment Corp. (b) | 5,000 | �� | 73,100 | |||||||
FS Investment Corp. | 1,700 | 11,985 | ||||||||
Garrison Capital, Inc. (b) | 1,300 | 10,764 | ||||||||
Gladstone Capital Corp. (b) | 6,400 | 60,800 | ||||||||
Gladstone Investment Corp. (b) | 8,700 | 99,441 | ||||||||
Golub Capital BDC, Inc. | 3,200 | 60,000 | ||||||||
Hercules Technology Growth Capital, Inc. | 11,200 | 147,392 | ||||||||
Horizon Technology Finance Corp. (b) | 3,400 | 38,794 | ||||||||
Invesco Ltd. | 34,000 | 777,920 | ||||||||
KCAP Financial, Inc. (b) | 4,800 | 15,888 | ||||||||
KKR & Co., Inc., Class A (d) | 40,040 | 1,091,891 | ||||||||
Manning & Napier, Inc. | 1,600 | 4,720 | ||||||||
Medallion Financial Corp. (a),(b) | 3,600 | 23,940 | ||||||||
Monroe Capital Corp. | 3,800 | 51,566 | ||||||||
MVC Capital, Inc. (b) | 1,300 | 12,545 | ||||||||
New Mountain Finance Corp. | 7,700 | 103,950 | ||||||||
Newtek Business Services Corp. | 3,913 | 81,938 | ||||||||
Oaktree Specialty Lending Corp. | 1,000 | 4,960 | ||||||||
OM Asset Management plc | 9,700 | 120,280 | ||||||||
Oppenheimer Holdings, Inc., Class A (b) | 2,900 | 91,640 | ||||||||
Oxford Square Capital Corp. (b) | 10,800 | 76,896 | ||||||||
PennantPark Floating Rate Capital Ltd. | 62 | 815 | ||||||||
PennantPark Investment Corp. (b) | 12,700 | 94,742 | ||||||||
Prospect Capital Corp. | 15,900 | 116,547 | ||||||||
Solar Capital Ltd. (b) | 4,000 | 85,520 | ||||||||
Solar Senior Capital Ltd. | 1,800 | 30,078 | ||||||||
Stellus Capital Investment Corp. (b) | 3,800 | 51,832 | ||||||||
THL Credit, Inc. (b) | 7,400 | 59,718 |
See Notes to Consolidated Financial Statements.
9
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Security Description | Shares | Value | ||||||||
TriplePoint Venture Growth BDC Corp. | 9,600 | $ | 130,464 | |||||||
WhiteHorse Finance, Inc. (b) | 2,700 | 37,530 | ||||||||
|
| |||||||||
18,310,561 | ||||||||||
|
| |||||||||
Automotive — 0.0% | ||||||||||
Altra Industrial Motion Corp. | 9,100 | 375,830 | ||||||||
Dana Holding Corp. | 25,700 | 479,819 | ||||||||
Magna International, Inc. | 300 | 15,759 | ||||||||
Miller Industries, Inc. | 100 | 2,690 | ||||||||
Modine Manufacturing Co. (a) | 11,900 | 177,310 | ||||||||
Tower International, Inc. (b) | 2,900 | 87,725 | ||||||||
|
| |||||||||
1,139,133 | ||||||||||
|
| |||||||||
Banking — 3.8% | ||||||||||
Access National Corp. | 400 | 10,844 | ||||||||
Allegiance Bancshares, Inc. (a),(d) | 30,638 | 1,277,605 | ||||||||
Arrow Financial Corp. (b) | 369 | 13,653 | ||||||||
Associated Banc-Corp | 34 | 884 | ||||||||
Atlantic Capital Bancshares, Inc. (a) | 2,900 | 48,575 | ||||||||
Banco Latinoamericano de Comercio Exterior SA, E Shares | 100 | 2,092 | ||||||||
Bancorp, Inc. (a),(b) | 8,500 | 81,515 | ||||||||
Bank of Marin Bancorp | 300 | 25,170 | ||||||||
Bank of Nova Scotia | 1,900 | 113,297 | ||||||||
Bank of NT Butterfield & Son Ltd. | 10,400 | 539,344 | ||||||||
BankFinancial Corp. | 1,155 | 18,411 | ||||||||
Beneficial Bancorp, Inc. | 4,682 | 79,126 | ||||||||
Bridge Bancorp, Inc. | 200 | 6,640 | ||||||||
Bridgewater Bancshares, Inc. (a) | 700 | 9,114 | ||||||||
Byline Bancorp, Inc. (a),(d) | 239,872 | 5,445,094 | ||||||||
Cadence BanCorp | 21,400 | 558,968 | ||||||||
Cathay General Bancorp | 400 | 16,576 | ||||||||
Centerstate Banks, Inc. (d) | 321,617 | 9,021,357 | ||||||||
Central Pacific Financial Corp. (b) | 5,000 | 132,150 | ||||||||
Citizens Financial Group, Inc. | 81,000 | 3,124,170 | ||||||||
City Holding Co. (b) | 100 | 7,680 | ||||||||
Comerica, Inc. | 11,800 | 1,064,360 | ||||||||
Commerce Bancshares, Inc. | 16 | 1,056 | ||||||||
ConnectOne Bancorp, Inc. (d) | 195,987 | 4,654,691 | ||||||||
CVB Financial Corp. | 12,300 | 274,536 | ||||||||
Eagle Bancorp, Inc. (a),(d) | 137,453 | 6,955,122 | ||||||||
East West Bancorp, Inc. | 14,600 | 881,402 | ||||||||
Enterprise Financial Services Corp. (d) | 30,676 | 1,627,362 | ||||||||
FCB Financial Holdings, Inc., Class A (a) | 1,600 | 75,840 | ||||||||
Fidelity Southern Corp. (b) | 2,600 | 64,428 | ||||||||
Fifth Third Bancorp | 18,800 | 524,896 |
See Notes to Consolidated Financial Statements.
10
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Security Description | Shares | Value | ||||||||
Financial Institutions, Inc. (b) | 1,800 | $ | 56,520 | |||||||
First BanCorp (a),(b) | 66,800 | 607,880 | ||||||||
First Business Financial Services, Inc. | 400 | 9,272 | ||||||||
First Community Bancshares, Inc. (b) | 800 | 27,104 | ||||||||
First Defiance Financial Corp. | 1,800 | 54,198 | ||||||||
First Financial Corp. | 400 | 20,080 | ||||||||
First Financial Northwest, Inc. (b) | 600 | 9,942 | ||||||||
First Hawaiian, Inc. | 49,200 | 1,336,272 | ||||||||
First Interstate BancSystem, Inc., Class A (b) | 500 | 22,400 | ||||||||
First Midwest Bancorp, Inc. (d) | 358,365 | 9,528,925 | ||||||||
Flushing Financial Corp. | 1,400 | 34,160 | ||||||||
FS Bancorp, Inc. | 100 | 5,572 | ||||||||
Green Bancorp, Inc. | 1,800 | 39,780 | ||||||||
Hancock Holding Co. | 800 | 38,040 | ||||||||
Heritage Commerce Corp. | 4,000 | 59,680 | ||||||||
Home BancShares, Inc. | 1,215 | 26,609 | ||||||||
HomeTrust Bancshares, Inc. (a) | 200 | 5,830 | ||||||||
Independent Bank Corp. (b) | 2,400 | 56,760 | ||||||||
Investors Bancorp, Inc. | 12,800 | 157,056 | ||||||||
JPMorgan Chase & Co. (d) | 99,600 | 11,238,864 | ||||||||
Lakeland Bancorp, Inc. | 1,000 | 18,050 | ||||||||
M&T Bank Corp. (b) | 31,800 | 5,232,372 | ||||||||
Macatawa Bank Corp. | 100 | 1,171 | ||||||||
MB Financial, Inc. | 664 | 30,617 | ||||||||
Mercantile Bank Corp. | 1,100 | 36,707 | ||||||||
Merchants Bancorp (d) | 7,657 | 194,641 | ||||||||
Meridian Bancorp, Inc. | 600 | 10,200 | ||||||||
Midland States Bancorp, Inc. (d) | 224,826 | 7,216,915 | ||||||||
MidWestOne Financial Group, Inc. | 300 | 9,993 | ||||||||
National Bankshares, Inc. (b) | 100 | 4,545 | ||||||||
Northrim BanCorp, Inc. | 400 | 16,620 | ||||||||
OceanFirst Financial Corp. (d) | 466,832 | 12,707,167 | ||||||||
OFG Bancorp | 200 | 3,230 | ||||||||
Opus Bank (d) | 323,101 | 8,852,967 | ||||||||
Oritani Financial Corp. | 8,300 | 129,065 | ||||||||
PacWest Bancorp (d) | 266,810 | 12,713,496 | ||||||||
Peapack Gladstone Financial Corp. | 800 | 24,712 | ||||||||
People’s United Financial, Inc. | 1,300 | 22,256 | ||||||||
Peoples Bancorp, Inc. | 500 | 17,515 | ||||||||
PNC Financial Services Group, Inc. (d) | 141,028 | 19,206,603 | ||||||||
Popular, Inc. | 490 | 25,113 | ||||||||
Preferred Bank (b) | 1,400 | 81,900 | ||||||||
QCR Holdings, Inc. (d) | 169,847 | 6,938,250 | ||||||||
RBB Bancorp | 200 | 4,900 | ||||||||
Regions Financial Corp. | 214,500 | 3,936,075 | ||||||||
Signature Bank (d) | 132,487 | 15,214,807 |
See Notes to Consolidated Financial Statements.
11
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Security Description | Shares | Value | ||||||||
Simmons First National Corp., Class A (d) | 120,884 | $ | 3,560,034 | |||||||
Southside Bancshares, Inc. | 15 | 522 | ||||||||
State Bank Financial Corp. | 6,600 | 199,188 | ||||||||
Sterling Bancorp (d) | 316,928 | 6,972,416 | ||||||||
Stock Yards Bancorp, Inc. | 1,100 | 39,930 | ||||||||
SunTrust Banks, Inc. (d) | 210,012 | 14,026,701 | ||||||||
SVB Financial Group (a),(d) | 22,848 | 7,101,844 | ||||||||
Synovus Financial Corp. | 15,800 | 723,482 | ||||||||
TCF Financial Corp. | 1,200 | 28,572 | ||||||||
Territorial Bancorp, Inc. | 400 | 11,820 | ||||||||
Towne Bank (d) | 82,321 | 2,539,603 | ||||||||
Trico Bancshares (b) | 1,700 | 65,654 | ||||||||
TriState Capital Holdings, Inc. (a),(b) | 3,600 | 99,360 | ||||||||
TrustCo Bank Corp. | 700 | 5,950 | ||||||||
Umpqua Holdings Corp. (d) | 255,953 | 5,323,822 | ||||||||
United Community Financial Corp. | 3,600 | 34,812 | ||||||||
Univest Corp. of Pennsylvania (d) | 365,861 | 9,677,023 | ||||||||
Veritex Holdings, Inc. (a),(d) | 448,952 | 12,687,384 | ||||||||
Washington Trust Bancorp, Inc. | 900 | 49,770 | ||||||||
Waterstone Financial, Inc. | 900 | 15,435 | ||||||||
WesBanco, Inc. | 5 | 223 | ||||||||
Western Alliance Bancorp (a),(d) | 78,192 | 4,448,343 | ||||||||
WSFS Financial Corp. (d) | 121,637 | 5,735,185 | ||||||||
Zions BanCorp. (d) | 291,229 | 14,605,134 | ||||||||
|
| |||||||||
240,592,996 | ||||||||||
|
| |||||||||
Biotechnology & Pharmaceuticals — 2.4% | ||||||||||
AbbVie, Inc. | 2,500 | 236,450 | ||||||||
Aceto Corp. | 11,500 | 25,990 | ||||||||
Acorda Therapeutics, Inc. (a),(b) | 1,400 | 27,510 | ||||||||
Adverum Biotechnollogies, Inc. (a) | 900 | 5,445 | ||||||||
Akorn, Inc. (a) | 400 | 5,192 | ||||||||
Allergan PLC (d) | 95,410 | 18,173,697 | ||||||||
Amgen, Inc. | 51,900 | 10,758,351 | ||||||||
Anika Therapeutics, Inc. (a) | 5,300 | 223,554 | ||||||||
Antares Pharma, Inc. (a) | 7,000 | 23,520 | ||||||||
Athersys, Inc. (a) | 1,700 | 3,570 | ||||||||
BioCryst Pharmaceuticals, Inc. (a) | 600 | 4,578 | ||||||||
Biogen Idec, Inc. (a),(d) | 6,720 | 2,374,243 | ||||||||
BioSpecifics Technologies Corp. (a),(b) | 100 | 5,849 | ||||||||
Blueprint Medicines Corp. (a) | 1,000 | 78,060 | ||||||||
Bristol-Myers Squibb Co. | 1,200 | 74,496 | ||||||||
Catalyst Biosciences, Inc. (a) | 1,600 | 17,248 | ||||||||
Celgene Corp. (a),(b),(d) | 196,091 | 17,548,183 | ||||||||
Celldex Therapeutics, Inc. (a) | 15,900 | 7,171 | ||||||||
ChemoCentryx, Inc. (a) | 7,800 | 98,592 |
See Notes to Consolidated Financial Statements.
12
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Security Description | Shares | Value | ||||||||
Chimerix, Inc. (a) | 3,600 | $ | 14,004 | |||||||
Concert Pharmaceuticals, Inc. (a) | 400 | 5,936 | ||||||||
Corium International, Inc. (a) | 2,300 | 21,873 | ||||||||
CTI BioPharma Corp. (a) | 4,300 | 9,288 | ||||||||
Curis, Inc. (a) | 4,160 | 7,405 | ||||||||
Cytokinetics, Inc. (a) | 500 | 4,925 | ||||||||
CytomX Therapeutics, Inc. (a) | 900 | 16,650 | ||||||||
Dicerna Pharmaceuticals, Inc. (a) | 5,300 | 80,878 | ||||||||
Durect Corp. (a) | 100 | 110 | ||||||||
Edge Therapeutics, Inc. (a) | 800 | 656 | ||||||||
Eiger BioPharmaceuticals, Inc. (a) | 20 | 240 | ||||||||
Eli Lilly & Co. | 15,100 | 1,620,381 | ||||||||
Fate Therapeutics, Inc. (a) | 11,800 | 192,222 | ||||||||
Five Prime Therapeutics, Inc. (a) | 4,900 | 68,208 | ||||||||
Gilead Sciences, Inc. (d) | 32,020 | 2,472,264 | ||||||||
Halozyme Therapeutics, Inc. (a) | 11,200 | 203,504 | ||||||||
Horizon Pharma PLC (a) | 26,500 | 518,870 | ||||||||
Immune Design Corp. (a) | 1,800 | 6,210 | ||||||||
Incyte Corp. (a) | 300 | 20,724 | ||||||||
Intercept Pharmaceuticals, Inc. (a) | 500 | 63,180 | ||||||||
Ionis Pharmaceuticals, Inc. (a) | 5,100 | 263,058 | ||||||||
Jazz Pharmaceuticals PLC (a) | 13,200 | 2,219,316 | ||||||||
Johnson & Johnson | 500 | 69,133 | ||||||||
Jounce Therapeutics, Inc. (a) | 3,100 | 20,150 | ||||||||
KemPharm, Inc. (a) | 100 | 480 | ||||||||
Lexicon Pharmaceuticals, Inc. (a) | 15 | 160 | ||||||||
Ligand Pharmaceuticals, Inc. (a) | 5,000 | 1,372,450 | ||||||||
Menlo Therapeutics, Inc. (a) | 300 | 2,955 | ||||||||
Merck & Co., Inc. (b),(d) | 358,840 | 25,456,110 | ||||||||
Natural Health Trends Corp. | 100 | 2,328 | ||||||||
Nektar Therapeutics (a) | 10,500 | 640,080 | ||||||||
Neurocrine Biosciences, Inc. (a) | 23,200 | 2,852,440 | ||||||||
OncoMed Pharmaceuticals, Inc. (a) | 700 | 1,484 | ||||||||
Otonomy, Inc. (a) | 6,900 | 18,975 | ||||||||
PDL BioPharma, Inc. (a),(b) | 34,100 | 89,683 | ||||||||
Phibro Animal Health Corp., Class A | 400 | 17,160 | ||||||||
Protagonist Therapeutics, Inc. (a) | 4,800 | 49,392 | ||||||||
Recro Pharma, Inc. (a) | 2,000 | 14,220 | ||||||||
Regeneron Pharmaceuticals, Inc. (a),(b),(d) | 107,470 | 43,422,179 | ||||||||
REGENXBIO, Inc. (a) | 200 | 15,100 | ||||||||
Seattle Genetics, Inc. (a) | 2,400 | 185,088 | ||||||||
Selecta Biosciences, Inc. (a) | 900 | 13,995 | ||||||||
Sierra Oncology, Inc. (a) | 2,300 | 3,910 | ||||||||
Stemline Therapeutics, Inc. (a) | 3,800 | 63,080 | ||||||||
Sunesis Pharmaceuticals, Inc. (a) | 67 | 134 | ||||||||
Syros Pharmaceuticals, Inc. (a) | 600 | 7,146 |
See Notes to Consolidated Financial Statements.
13
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Security Description | Shares | Value | ||||||||
United Therapeutics Corp. (a) | 600 | $ | 76,728 | |||||||
USANA Health Sciences, Inc. (a),(b) | 1,700 | 204,935 | ||||||||
Vanda Pharmaceuticals, Inc. (a) | 800 | 18,360 | ||||||||
Versartis, Inc. (a) | 11,400 | 15,960 | ||||||||
Vertex Pharmaceuticals, Inc. (a),(d) | 96,600 | 18,618,684 | ||||||||
Voyager Therapeutics, Inc. (a) | 100 | 1,892 | ||||||||
|
| |||||||||
150,755,992 | ||||||||||
|
| |||||||||
Chemicals — 0.2% | ||||||||||
AdvanSix, Inc. (a) | 5,700 | 193,515 | ||||||||
Air Products & Chemicals, Inc. | 6,600 | 1,102,530 | ||||||||
Albemarle Corp. | 25 | 2,494 | ||||||||
American Vanguard Corp. | 200 | 3,600 | ||||||||
Axalta Coating Systems Ltd. (a) | 34,600 | 1,008,936 | ||||||||
Celanese Corp. | 14,800 | 1,687,200 | ||||||||
Haynes International, Inc. | 600 | 21,300 | ||||||||
Huntsman Corp. (b) | 87,500 | 2,382,625 | ||||||||
Ingevity Corp. (a) | 2,600 | 264,888 | ||||||||
Koppers Holdings, Inc. (a) | 100 | 3,115 | ||||||||
Landec Corp. (a) | 200 | 2,880 | ||||||||
Lydall, Inc. (a) | 2,200 | 94,820 | ||||||||
LyondellBasell Industries NV, Class A | 16,000 | 1,640,160 | ||||||||
OMNOVA Solutions, Inc. (a) | 5,400 | 53,190 | ||||||||
PPG Industries, Inc. | 100 | 10,913 | ||||||||
Praxair, Inc. | 3,800 | 610,774 | ||||||||
Stepan Co. (b) | 2,200 | 191,422 | ||||||||
Univar, Inc. (a) | 12,200 | 374,052 | ||||||||
Valhi, Inc. | 200 | 456 | ||||||||
Venator Materials plc (a) | 2,900 | 26,100 | ||||||||
Versum Materials, Inc. | 7,200 | 259,272 | ||||||||
|
| |||||||||
9,934,242 | ||||||||||
|
| |||||||||
Commercial Services — 0.1% | ||||||||||
ABM Industries, Inc. | 13,800 | 445,050 | ||||||||
Acacia Research Corp. (a) | 2,700 | 8,640 | ||||||||
ARAMARK Holdings Corp. | 2,000 | 86,040 | ||||||||
ARC Document Solutions, Inc. (a),(b) | 8,500 | 24,140 | ||||||||
Barrett Business Services, Inc. | 600 | 40,068 | ||||||||
Brady Corp., Class A | 2,900 | 126,875 | ||||||||
Care.com, Inc. (a) | 1,700 | 37,587 | ||||||||
Civeo Corp. (a) | 26,600 | 110,390 | ||||||||
Collectors Universe, Inc. (b) | 700 | 10,360 | ||||||||
CorVel Corp. (a) | 800 | 48,200 | ||||||||
CRA International, Inc. (b) | 1,700 | 85,374 | ||||||||
Cross Country Healthcare, Inc. (a) | 2,500 | 21,825 | ||||||||
GP Strategies Corp. (a),(b) | 100 | 1,685 |
See Notes to Consolidated Financial Statements.
14
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Security Description | Shares | Value | ||||||||
Hackett Group, Inc. (b) | 4,000 | $ | 80,600 | |||||||
Healthcare Services Group, Inc. | 5,600 | 227,472 | ||||||||
Heidrick & Struggles International, Inc. | 600 | 20,310 | ||||||||
Huron Consulting Group, Inc. (a) | 3,600 | 177,840 | ||||||||
Insperity, Inc. | 1,800 | 212,310 | ||||||||
Kelly Services, Inc., Class A | 1,300 | 31,239 | ||||||||
Kforce, Inc. | 1,200 | 45,120 | ||||||||
Manpowergroup, Inc. | 31,100 | 2,673,356 | ||||||||
Navigant Consulting, Inc. (b) | 6,200 | 142,972 | ||||||||
Resources Connection, Inc. (b) | 1,000 | 16,600 | ||||||||
Rollins, Inc. | 50 | 3,034 | ||||||||
ServiceMaster Global Holdings, Inc. (a) | 2,300 | 142,669 | ||||||||
SP Plus Corp. (a) | 3,400 | 124,100 | ||||||||
TriNet Group, Inc. (a) | 3,600 | 202,752 | ||||||||
TrueBlue, Inc. (a) | 1,200 | 31,260 | ||||||||
Vectrus, Inc. (a) | 1,200 | 37,428 | ||||||||
Viad Corp. | 500 | 29,625 | ||||||||
|
| |||||||||
5,244,921 | ||||||||||
|
| |||||||||
Construction Materials — 0.0% | ||||||||||
Advanced Drainage Systems, Inc. | 4,200 | 129,780 | ||||||||
Apogee Enterprises, Inc. | 300 | 12,396 | ||||||||
Carlisle Cos., Inc. | 2,700 | 328,860 | ||||||||
Continental Building Products, Inc. (a),(b) | 11,300 | 424,315 | ||||||||
Forterra, Inc. (a) | 500 | 3,730 | ||||||||
Norbord, Inc. | 100 | 3,317 | ||||||||
Owens Corning | 5,200 | 282,204 | ||||||||
Universal Forest Products, Inc. | 4,600 | 162,518 | ||||||||
|
| |||||||||
1,347,120 | ||||||||||
|
| |||||||||
Consumer Products — 1.4% | ||||||||||
Altria Group, Inc. (b) | 141,500 | 8,533,865 | ||||||||
Boston Beer Co., Inc., Class A (a) | 5,200 | 1,495,000 | ||||||||
Cal-Maine Foods, Inc. | 3,600 | 173,880 | ||||||||
Central Garden and Pet Co., Class A (a),(b) | 300 | 9,942 | ||||||||
Clearwater Paper Corp. (a) | 300 | 8,910 | ||||||||
Coca-Cola Co. (b) | 288,500 | 13,325,815 | ||||||||
Colgate-Palmolive Co. (b) | 140,400 | 9,399,780 | ||||||||
ConAgra Foods, Inc. | 29,300 | 995,321 | ||||||||
Constellation Brands, Inc., Class A (b) | 51,800 | 11,169,116 | ||||||||
Craft Brew Alliance, Inc. (a) | 400 | 6,540 | ||||||||
DavidsTea, Inc. (a) | 400 | 1,080 | ||||||||
Flowers Foods, Inc. | 300 | 5,598 | ||||||||
Herbalife Ltd. (a) | 52,300 | 2,852,965 | ||||||||
Hershey Co. | 2 | 204 | ||||||||
Ingredion, Inc. | 2,700 | 283,392 |
See Notes to Consolidated Financial Statements.
15
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Security Description | Shares | Value | ||||||||
Keurig Dr Pepper, Inc. | 66,100 | $ | 1,531,537 | |||||||
Kimberly-Clark Corp. (b) | 21,700 | 2,465,988 | ||||||||
Lamb Weston Holdings, Inc. | 31,200 | 2,077,920 | ||||||||
Monster Beverage Corp. (a),(b) | 101,600 | 5,921,248 | ||||||||
PepsiCo, Inc. (b) | 57,900 | 6,473,220 | ||||||||
Philip Morris International, Inc. | 16,500 | 1,345,410 | ||||||||
Pilgrim’s Pride Corp. (a) | 13,000 | 235,170 | ||||||||
Primo Water Corp. (a) | 16,700 | 301,435 | ||||||||
Procter & Gamble Co. (b) | 244,300 | 20,333,089 | ||||||||
Rosetta Stone, Inc. (a) | 7,400 | 147,186 | ||||||||
Senomyx, Inc. (a) | 3,500 | 5,180 | ||||||||
Simply Good Foods Co. (a) | 10,000 | 194,500 | ||||||||
Vector Group Ltd. (b) | 7,978 | 109,937 | ||||||||
Veru, Inc. (a),(b) | 500 | 710 | ||||||||
|
| |||||||||
89,403,938 | ||||||||||
|
| |||||||||
Consumer Services — 0.0% | ||||||||||
American Public Education, Inc. (a),(b) | 2,300 | 76,015 | ||||||||
Bridgepoint Education, Inc. (a),(b) | 9,900 | 100,584 | ||||||||
Cambium Learning Group, Inc. (a) | 100 | 1,184 | ||||||||
Career Education Corp. (a) | 300 | 4,479 | ||||||||
Carriage Services, Inc. | 3,500 | 75,425 | ||||||||
Grand Canyon Education, Inc. (a) | 6,100 | 688,080 | ||||||||
K12, Inc. (a),(b) | 7,000 | 123,900 | ||||||||
Laureate Education, Inc., Class A (a) | 2,301 | 35,528 | ||||||||
Matthews International Corp., Class A | 300 | 15,045 | ||||||||
Regis Corp. (a) | 5,400 | 110,322 | ||||||||
Strategic Education, Inc. | 1,575 | 215,822 | ||||||||
Universal Technical Institute, Inc. (a),(b) | 900 | 2,394 | ||||||||
|
| |||||||||
1,448,778 | ||||||||||
|
| |||||||||
Containers & Packaging — 0.0% | ||||||||||
Berry Plastics Group, Inc. (a),(b) | 21,797 | 1,054,757 | ||||||||
Blackhawk Network Holdings, Inc., Class C (d) | 27 | 0 | ||||||||
Myers Industries, Inc. | 400 | 9,300 | ||||||||
|
| |||||||||
1,064,057 | ||||||||||
|
| |||||||||
Design, Manufacturing & Distribution — 0.1% | ||||||||||
Benchmark Electronics, Inc. | 3,300 | 77,220 | ||||||||
Celestica, Inc. (a) | 8,100 | 87,723 | ||||||||
Flextronics International Ltd. (a),(b) | 174,300 | 2,286,816 | ||||||||
Sanmina Corp. (a),(b) | 8,800 | 242,880 | ||||||||
SYNNEX Corp. | 4,600 | 389,620 | ||||||||
|
| |||||||||
3,084,259 | ||||||||||
|
|
See Notes to Consolidated Financial Statements.
16
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Security Description | Shares | Value | ||||||||
Distributors—Consumer Staples — 0.1% | ||||||||||
Andersons, Inc. (b) | 300 | $ | 11,295 | |||||||
Chefs’ Warehouse, Inc. (a) | 700 | 25,445 | ||||||||
Core-Mark Holding Co., Inc. | 5,700 | 193,572 | ||||||||
Performance Food Group Co. (a) | 27,000 | 899,100 | ||||||||
Sysco Corp. | 69,300 | 5,076,225 | ||||||||
United Natural Foods, Inc. (a) | 1,400 | 41,930 | ||||||||
US Foods Holding Corp. (a) | 40,700 | 1,254,374 | ||||||||
|
| |||||||||
7,501,941 | ||||||||||
|
| |||||||||
Distributors—Discretionary — 0.0% | ||||||||||
ePlus, Inc. (a) | 100 | 9,270 | ||||||||
Essendant, Inc. | 5,000 | 64,100 | ||||||||
FTD Cos., Inc. (a) | 6,000 | 15,780 | ||||||||
G-III Apparel Group Ltd. (a) | 6,900 | 332,511 | ||||||||
Insight Enterprises, Inc. (a) | 3,200 | 173,088 | ||||||||
KAR Auction Services, Inc. | 28,200 | 1,683,258 | ||||||||
PCM, Inc. (a) | 2,600 | 50,830 | ||||||||
ScanSource, Inc. (a),(b) | 1,200 | 47,880 | ||||||||
|
| |||||||||
2,376,717 | ||||||||||
|
| |||||||||
Electrical Equipment — 0.1% | ||||||||||
Alarm.com Holdings, Inc. (a) | 200 | 11,480 | ||||||||
AO Smith Corp. | 13,800 | 736,506 | ||||||||
Atkore International Group, Inc. (a) | 22,700 | 602,231 | ||||||||
Bel Fuse, Inc., Class B | 100 | 2,650 | ||||||||
Eaton Corp. PLC | 100 | 8,673 | ||||||||
Emerson Electric Co. | 1,300 | 99,554 | ||||||||
FARO Technologies, Inc. (a) | 1,300 | 83,655 | ||||||||
Generac Holdings, Inc. (a) | 200 | 11,282 | ||||||||
Honeywell International, Inc. | 200 | 33,280 | ||||||||
Houston Wire & Cable Co. (a),(b) | 1,200 | 9,240 | ||||||||
Ingersoll-Rand PLC | 37,900 | 3,877,170 | ||||||||
Keysight Technologies, Inc. (a) | 1,800 | 119,304 | ||||||||
Kimball Electronics, Inc. (a) | 100 | 1,965 | ||||||||
LSI Industries, Inc. | 3,500 | 16,100 | ||||||||
OSI Systems, Inc. (a) | 100 | 7,631 | ||||||||
Powell Industries, Inc. | 500 | 18,130 | ||||||||
TE Connectivity Ltd. | 2,800 | 246,204 | ||||||||
|
| |||||||||
5,885,055 | ||||||||||
|
| |||||||||
Engineering & Construction Services — 0.0% | ||||||||||
Aegion Corp. (a),(b) | 3,600 | 91,368 | ||||||||
Comfort Systems USA, Inc. | 500 | 28,200 | ||||||||
EMCOR Group, Inc. | 100 | 7,511 | ||||||||
Exponent, Inc. | 2,300 | 123,280 |
See Notes to Consolidated Financial Statements.
17
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Security Description | Shares | Value | ||||||||
Great Lakes Dredge & Dock Corp. (a) | 2,300 | $ | 14,260 | |||||||
Mistras Group, Inc. (a) | 2,800 | 60,676 | ||||||||
MYR Group, Inc. (a),(b) | 3,200 | 104,448 | ||||||||
Orion Marine Group, Inc. (a),(b) | 4,000 | 30,200 | ||||||||
Quanta Services, Inc. (a) | 61,200 | 2,042,856 | ||||||||
Sterling Construction Co., Inc. (a) | 7,300 | 104,536 | ||||||||
|
| |||||||||
2,607,335 | ||||||||||
|
| |||||||||
Forest & Paper Products — 0.0% | ||||||||||
Mercer International, Inc. (b) | 8,900 | 149,520 | ||||||||
Resolute Forest Products, Inc. (a) | 16,500 | 213,675 | ||||||||
Verso Corp. (a) | 20,200 | 680,134 | ||||||||
|
| |||||||||
1,043,329 | ||||||||||
|
| |||||||||
Gaming, Lodging & Restaurants — 1.0% | ||||||||||
BBX Capital Corp. | 1,200 | 8,904 | ||||||||
BJ’s Restaurants, Inc. | 11,700 | 844,740 | ||||||||
Bojangles’, Inc. (a) | 9,600 | 150,720 | ||||||||
Boyd Gaming Corp. | 17,600 | 595,760 | ||||||||
Brinker International, Inc. | 22,700 | 1,060,771 | ||||||||
Cannae Holdings, Inc. (a) | 500 | 10,475 | ||||||||
Carnival Corp. (b) | 164,000 | 10,458,280 | ||||||||
Carnival PLC, ADR | 100 | 6,308 | ||||||||
Carrols Restaurant Group, Inc. (a) | 6,100 | 89,060 | ||||||||
Century Casinos, Inc. (a) | 300 | 2,238 | ||||||||
Cheesecake Factory, Inc. (The) | 8,400 | 449,736 | ||||||||
Chipotle Mexican Grill, Inc. (a),(b) | 17,499 | 7,953,646 | ||||||||
Darden Restaurants, Inc. (b) | 51,101 | 5,681,920 | ||||||||
Del Frisco’s Restaurant Group, Inc. (a),(b) | 9,200 | 76,360 | ||||||||
Denny’s Corp. (a) | 500 | 7,360 | ||||||||
Domino’s Pizza, Inc. (b) | 19,100 | 5,630,680 | ||||||||
Eldorado Resorts, Inc. (a) | 31,865 | 1,548,639 | ||||||||
Famous Dave’s of America, Inc. (a) | 791 | 5,181 | ||||||||
Fiesta Restaurant Group, Inc. (a) | 1,800 | 48,150 | ||||||||
Habit Restaurants, Inc., Class A (a) | 10,000 | 159,500 | ||||||||
Hilton Grand Vacations, Inc. (a) | 30,000 | 993,000 | ||||||||
Hyatt Hotels Corp., Class A | 19,900 | 1,583,841 | ||||||||
J Alexander’s Holdings, Inc. (a) | 1,100 | 13,090 | ||||||||
Kona Grill, Inc. (a) | 1,000 | 2,300 | ||||||||
Las Vegas Sands Corp. (b) | 196,200 | 11,640,546 | ||||||||
Lindblad Expeditions Holdings, Inc. (a) | 300 | 4,461 | ||||||||
MGM Resorts International | 31,300 | 873,583 | ||||||||
Monarch Casino & Resort, Inc. (a) | 1,800 | 81,810 | ||||||||
Noodles & Co. (a) | 15,100 | 182,710 | ||||||||
Norwegian Cruise Line Holdings Ltd. (a),(b) | 83,900 | 4,818,377 | ||||||||
Potbelly Corp. (a), | 4,500 | 55,350 |
See Notes to Consolidated Financial Statements.
18
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Security Description | Shares | Value | ||||||||
Red Robin Gourmet Burgers, Inc. (a) | 1,500 | $ | 60,225 | |||||||
Royal Caribbean Cruises Ltd. | 21,600 | 2,806,704 | ||||||||
Ruth’s Hospitality Group, Inc. | 5,300 | 167,215 | ||||||||
Wingstop, Inc. | 6,600 | 450,582 | ||||||||
Yum! Brands, Inc. (b) | 62,300 | 5,663,693 | ||||||||
|
| |||||||||
64,185,915 | ||||||||||
|
| |||||||||
Hardware — 0.7% | ||||||||||
A10 Networks, Inc. (a) | 13,700 | 83,296 | ||||||||
ADTRAN, Inc. | 1,800 | 31,770 | ||||||||
Aerohive Networks, Inc. (a) | 1,300 | 5,356 | ||||||||
Ambarella, Inc. (a) | 100 | 3,868 | ||||||||
Arista Networks, Inc. (a),(b) | 23,500 | 6,247,710 | ||||||||
CalAmp Corp. (a) | 6,300 | 150,948 | ||||||||
Casa Systems, Inc. (a) | 15,400 | 227,150 | ||||||||
Ciena Corp. (a) | 1,700 | 53,108 | ||||||||
Cisco Systems, Inc. | 8,300 | 403,795 | ||||||||
Clearfield, Inc. (a) | 1,100 | 14,795 | ||||||||
CommScope Holding Co., Inc. (a) | 19,800 | 609,048 | ||||||||
Corning, Inc. | 1,100 | 38,830 | ||||||||
Daktronics, Inc. (b) | 5,100 | 39,984 | ||||||||
Dolby Laboratories, Inc., Class A (b) | 8,300 | 580,751 | ||||||||
Electronics For Imaging, Inc. (a) | 14,600 | 497,568 | ||||||||
Emcore Corp. (a) | 9,200 | 43,700 | ||||||||
Finisar Corp. (a) | 10,100 | 192,405 | ||||||||
FLIR Systems, Inc. | 37,000 | 2,274,390 | ||||||||
Garmin Ltd. | 2 | 140 | ||||||||
Harmonic, Inc. (a) | 4,600 | 25,300 | ||||||||
Hewlett Packard Enterprise Co. | 297,300 | 4,848,963 | ||||||||
HP, Inc. (b) | 145,600 | 3,752,112 | ||||||||
Infinera Corp. (a) | 17,900 | 130,670 | ||||||||
InterDigital, Inc. | 3,200 | 256,000 | ||||||||
Juniper Networks, Inc. | 146,800 | 4,399,596 | ||||||||
KVH Industries, Inc. (a) | 600 | 7,860 | ||||||||
LightPath Technologies, Inc., Class A (a) | 600 | 1,209 | ||||||||
Mitel Networks Corp. (a) | 22 | 242 | ||||||||
NetApp, Inc. (b) | 46,700 | 4,011,063 | ||||||||
PlayAGS, Inc. (a) | 2,600 | 76,622 | ||||||||
Pure Storage, Inc., Class A (a),(b) | 121,500 | 3,152,925 | ||||||||
Quantenna Communications, Inc. (a) | 1,500 | 27,675 | ||||||||
Quantum Corp. (a) | 637 | 1,529 | ||||||||
Radisys Corp. (a) | 15,100 | 24,613 | ||||||||
Ribbon Communications, Inc. (a) | 8,400 | 57,372 | ||||||||
Seagate Technology PLC | 114,500 | 5,421,575 | ||||||||
Sierra Wireless, Inc. (a) | 2,000 | 40,200 | ||||||||
Stratasys Ltd. (a) | 271 | 6,263 |
See Notes to Consolidated Financial Statements.
19
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Security Description | Shares | Value | ||||||||
Turtle Beach Corp. (a) | 8,600 | $ | 171,484 | |||||||
Viavi Solutions, Inc. (a),(b) | 22,000 | 249,480 | ||||||||
Vishay Precision Group, Inc. (a),(b) | 1,300 | 48,620 | ||||||||
Vocera Communications, Inc. (a) | 10,600 | 387,748 | ||||||||
VOXX International Corp. (a),(b) | 3,200 | 16,640 | ||||||||
Xerox Corp. | 25 | 675 | ||||||||
Zebra Technologies Corp., Class A (a) | 10,600 | 1,874,398 | ||||||||
|
| |||||||||
40,489,446 | ||||||||||
|
| |||||||||
Health Care Facilities & Services — 2.6% | ||||||||||
Addus HomeCare Corp. (a),(b) | 100 | 7,015 | ||||||||
Amedisys, Inc. (a) | 300 | 37,488 | ||||||||
Anthem, Inc. (b),(d) | 84,716 | 23,216,420 | ||||||||
BioScrip, Inc. (a) | 9,000 | 27,900 | ||||||||
Cardinal Health, Inc. (b) | 118,600 | 6,404,400 | ||||||||
Catalent, Inc. (a) | 4,800 | 218,640 | ||||||||
Centene Corp. (a) | 34,915 | 5,054,994 | ||||||||
Cigna Corp. (b),(d) | 91,286 | 19,010,309 | ||||||||
Civitas Solutions, Inc. (a) | 1,400 | 20,650 | ||||||||
CVS Health Corp. (d) | 175,740 | 13,834,253 | ||||||||
Digirad Corp. (b) | 1,900 | 2,850 | ||||||||
Encompass Health Corp. | 16,000 | 1,247,200 | ||||||||
Ensign Group, Inc. | 600 | 22,752 | ||||||||
Enzo Biochem, Inc. (a) | 6,600 | 27,192 | ||||||||
Five Star Quality Care, Inc. (a) | 1,778 | 1,529 | ||||||||
HCA Holdings, Inc. (d) | 167,980 | 23,369,378 | ||||||||
HealthEquity, Inc. (a) | 800 | 75,528 | ||||||||
Humana, Inc. | 13,400 | 4,536,168 | ||||||||
Laboratory Corp. of America Holdings (a),(b),(d) | 102,397 | 17,784,311 | ||||||||
Magellan Health, Inc. (a) | 6,300 | 453,915 | ||||||||
Medpace Holdings, Inc. (a) | 9,300 | 557,163 | ||||||||
Molina Healthcare, Inc. (a) | 35,300 | 5,249,110 | ||||||||
Natera, Inc. (a) | 8,000 | 191,520 | ||||||||
NeoGenomics, Inc. (a) | 4,100 | 62,935 | ||||||||
OvaScience, Inc. (a) | 4,700 | 3,430 | ||||||||
Owens & Minor, Inc. | 19,100 | 315,532 | ||||||||
Patterson Cos., Inc. | 59,700 | 1,459,665 | ||||||||
PRA Health Sciences, Inc. (a) | 2,600 | 286,494 | ||||||||
Premier, Inc., Class A (a) | 24,900 | 1,139,922 | ||||||||
Providence Service Corp. (a) | 400 | 26,912 | ||||||||
Quest Diagnostics, Inc. (d) | 125,710 | 13,565,366 | ||||||||
Quorum Health Corp. (a) | 7,100 | 41,606 | ||||||||
R1 RCM, Inc. (a) | 10,500 | 106,680 | ||||||||
RadNet, Inc. (a),(b) | 10,300 | 155,015 | ||||||||
Tivity Health, Inc. (a),(b) | 8,700 | 279,705 |
See Notes to Consolidated Financial Statements.
20
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Security Description | Shares | Value | ||||||||
Triple-S Management Corp., B Shares (a),(b) | 5,500 | $ | 103,895 | |||||||
UnitedHealth Group, Inc. (b),(d) | 79,430 | 21,131,557 | ||||||||
WellCare Health Plans, Inc. (a) | 9,700 | 3,108,753 | ||||||||
|
| |||||||||
163,138,152 | ||||||||||
|
| |||||||||
Home & Office Products — 0.2% | ||||||||||
ACCO Brands Corp. | 5,600 | 63,280 | ||||||||
Armstrong Flooring, Inc. (a) | 4,600 | 83,260 | ||||||||
Caesarstone Sdot-Yam Ltd. | 10,200 | 189,210 | ||||||||
CSS Industries, Inc. | 300 | 4,269 | ||||||||
HNI Corp. | 600 | 26,544 | ||||||||
Kimball International, Inc., Class B (b) | 3,400 | 56,950 | ||||||||
Knoll, Inc. | 2,600 | 60,970 | ||||||||
Libbey, Inc. | 200 | 1,750 | ||||||||
Masco Corp. (b) | 131,900 | 4,827,540 | ||||||||
Mohawk Industries, Inc. (a) | 29,300 | 5,137,755 | ||||||||
PGT, Inc. (a) | 4,700 | 101,520 | ||||||||
Quanex Building Products Corp. | 2,200 | 40,040 | ||||||||
Steelcase, Inc., Class A | 5,900 | 109,150 | ||||||||
Toll Brothers, Inc. | 14,400 | 475,632 | ||||||||
|
| |||||||||
11,177,870 | ||||||||||
|
| |||||||||
Industrial Services — 0.0% | ||||||||||
AMERCO | 300 | 106,995 | ||||||||
DXP Enterprises, Inc. (a) | 400 | 16,028 | ||||||||
H&E Equipment Services, Inc. | 6,500 | 245,570 | ||||||||
Ritchie Bros Auctioneers, Inc. | 2,100 | 75,873 | ||||||||
Titan Machinery, Inc. (a) | 7,100 | 109,943 | ||||||||
United Rentals, Inc. (a) | 2,200 | 359,920 | ||||||||
WESCO International, Inc. (a),(b) | 4,600 | 282,670 | ||||||||
|
| |||||||||
1,196,999 | ||||||||||
|
| |||||||||
Institutional Financial Services — 0.1% | ||||||||||
CME Group, Inc. | 200 | 34,042 | ||||||||
Cowen Group, Inc., Class A (a) | 225 | 3,667 | ||||||||
Houlihan Lokey, Inc. (d) | 60,246 | 2,706,853 | ||||||||
INTL. FCStone, Inc. (a),(b) | 100 | 4,832 | ||||||||
LPL Financial Holdings, Inc. | 1,000 | 64,510 | ||||||||
Morgan Stanley | 800 | 37,256 | ||||||||
Northern Trust Corp. (d) | 34,868 | 3,561,069 | ||||||||
SEI Investments Co. | 7,200 | 439,920 | ||||||||
State Street Corp. | 10,100 | 846,178 | ||||||||
|
| |||||||||
7,698,327 | ||||||||||
|
|
See Notes to Consolidated Financial Statements.
21
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Security Description | Shares | Value | ||||||||
Insurance — 0.6% | ||||||||||
Aflac, Inc. | 34,300 | $ | 1,614,501 | |||||||
Allstate Corp. (b) | 58,401 | 5,764,179 | ||||||||
AMERISAFE, Inc. | 1,200 | 74,340 | ||||||||
Arch Capital Group Ltd. (a) | 44,300 | 1,320,583 | ||||||||
Aspen Insurance Holdings Ltd. | 17,800 | 744,040 | ||||||||
Assured Guaranty Ltd. | 900 | 38,007 | ||||||||
Athene Holding Ltd., Class A (a) | 3,000 | 154,980 | ||||||||
Atlas Financial Holdings, Inc. (a) | 300 | 3,015 | ||||||||
Citizens, Inc. (a) | 200 | 1,680 | ||||||||
Crawford & Co., Class B | 100 | 921 | ||||||||
eHealth, Inc. (a) | 4,100 | 115,866 | ||||||||
Employers Holdings, Inc. (b) | 3,600 | 163,080 | ||||||||
FedNat Holding Co. | 200 | 5,096 | ||||||||
FGL Holdings (a),(d) | 1,077,299 | 9,641,826 | ||||||||
Genworth Financial, Inc., Class A (a) | 4,100 | 17,097 | ||||||||
Greenlight Capital Re Ltd., A Shares (a) | 3,000 | 37,200 | ||||||||
Hartford Financial Services Group, Inc. | 20,200 | 1,009,192 | ||||||||
Health Insurance Innovations, Inc., Class A (a) | 400 | 24,660 | ||||||||
Kinsale Capital Group, Inc. | 1,600 | 102,176 | ||||||||
Lincoln National Corp. (b) | 5,100 | 345,066 | ||||||||
Maiden Holdings Ltd. (b) | 15,300 | 43,605 | ||||||||
Mercury General Corp. | 900 | 45,144 | ||||||||
NMI Holdings, Inc., Class A (a) | 13,700 | 310,305 | ||||||||
Old Republic International Corp. | 17,500 | 391,650 | ||||||||
Principal Financial Group, Inc. | 45,100 | 2,642,409 | ||||||||
Progressive Corp. (b) | 91,000 | 6,464,640 | ||||||||
Protective Insurance Corp. | 600 | 13,770 | ||||||||
Prudential Financial, Inc. | 13,900 | 1,408,348 | ||||||||
State Auto Financial Corp. (b) | 82 | 2,504 | ||||||||
Torchmark Corp. | 51 | 4,421 | ||||||||
Travelers Cos., Inc. | 24,400 | 3,164,924 | ||||||||
Trupanion, Inc. (a) | 3,700 | 132,201 | ||||||||
Universal Insurance Holdings, Inc. | 900 | 43,695 | ||||||||
Unum Group | 54,800 | 2,141,036 | ||||||||
|
| |||||||||
37,986,157 | ||||||||||
|
| |||||||||
Iron & Steel — 0.1% | ||||||||||
Northwest Pipe Co. (a) | 1,200 | 23,700 | ||||||||
Nucor Corp. | 62,400 | 3,959,280 | ||||||||
Ryerson Holding Corp. (a) | 3,300 | 37,290 | ||||||||
Shiloh Industries, Inc. (a) | 600 | 6,600 | ||||||||
Warrior Met Coal, Inc. | 4,800 | 129,792 | ||||||||
|
| |||||||||
4,156,662 | ||||||||||
|
|
See Notes to Consolidated Financial Statements.
22
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Security Description | Shares | Value | ||||||||
Leisure Products — 0.0% | ||||||||||
Brunswick Corp. | 20,300 | $ | 1,360,506 | |||||||
Callaway Golf Co. | 6,300 | 153,027 | ||||||||
Clarus Corp. | 4,600 | 50,830 | ||||||||
JAKKS Pacific, Inc. (a) | 2,200 | 5,610 | ||||||||
Malibu Boats, Inc. (a) | 7,200 | 393,984 | ||||||||
MCBC Holdings, Inc. (a) | 6,200 | 222,456 | ||||||||
|
| |||||||||
2,186,413 | ||||||||||
|
| |||||||||
Machinery — 0.2% | ||||||||||
Briggs & Stratton Corp. | 7,000 | 134,610 | ||||||||
Caterpillar, Inc. | 24,600 | 3,751,254 | ||||||||
Columbus McKinnon Corp. | 1,500 | 59,310 | ||||||||
Crane Co. | 1,400 | 137,690 | ||||||||
CSW Industrials, Inc. (a) | 300 | 16,110 | ||||||||
Curtiss-Wright Corp. | 2,000 | 274,840 | ||||||||
Douglas Dynamics, Inc. | 200 | 8,780 | ||||||||
Eastman Kodak Co. (a) | 700 | 2,170 | ||||||||
Federal Signal Corp. | 500 | 13,390 | ||||||||
Gardner Denver Holdings, Inc. (a) | 17,400 | 493,116 | ||||||||
Graco, Inc. | 600 | 27,804 | ||||||||
Graham Corp. (b) | 800 | 22,536 | ||||||||
Hyster-Yale Materials Handling, Inc. (b) | 400 | 24,612 | ||||||||
Lincoln Electric Holdings | 13,100 | 1,224,064 | ||||||||
MTS Systems Corp. | 1,300 | 71,175 | ||||||||
Oshkosh Corp. | 13,100 | 933,244 | ||||||||
Parker-Hannifin Corp. | 18,300 | 3,365,919 | ||||||||
SPX FLOW, Inc. (a) | 3,300 | 171,600 | ||||||||
Toro Co. | 3,500 | 209,895 | ||||||||
Xerium Technologies, Inc. (a),(b) | 1,500 | 20,190 | ||||||||
|
| |||||||||
10,962,309 | ||||||||||
|
| |||||||||
Manufactured Goods — 0.0% | ||||||||||
Core Molding Technologies, Inc. | 400 | 2,668 | ||||||||
Gibraltar Industries, Inc. (a),(b) | 5,600 | 255,360 | ||||||||
Global Brass & Copper Holdings, Inc. | 4,100 | 151,290 | ||||||||
Insteel Industries, Inc. | 2,600 | 93,288 | ||||||||
LB Foster Co., Class A(a) | 1,100 | 22,605 | ||||||||
NCI Building Systems, Inc. (a) | 3,700 | 56,055 | ||||||||
Raven Industries, Inc. | 700 | 32,025 | ||||||||
|
| |||||||||
613,291 | ||||||||||
|
| |||||||||
Media — 0.8% | ||||||||||
Alphabet, Inc., Class A (a),(b) | 9,000 | 10,863,720 | ||||||||
ANGI Homeservices, Inc. (a) | 2,500 | 58,700 | ||||||||
AutoWeb, Inc. (a),(b) | 2,500 | 7,400 |
See Notes to Consolidated Financial Statements.
23
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Security Description | Shares | Value | ||||||||
Boingo Wireless, Inc. (a),(b) | 12,800 | $ | 446,720 | |||||||
Booking Holdings, Inc. (a) | 1 | 1,984 | ||||||||
Cargurus, Inc. (a) | 33,900 | 1,887,891 | ||||||||
Clear Channel Outdoor Holdings, Inc., Class A (b) | 3,800 | 22,610 | ||||||||
DHI Group, Inc. (a) | 13,300 | 27,930 | ||||||||
Entravision Communications Corp., Class A | 2,000 | 9,800 | ||||||||
GoDaddy, Inc., Class A (a) | 64,900 | 5,412,011 | ||||||||
GrubHub, Inc. (a) | 37,100 | 5,142,802 | ||||||||
Harte-Hanks, Inc. (a) | 390 | 2,781 | ||||||||
HealthStream, Inc. | 100 | 3,101 | ||||||||
IAC/InterActiveCorp (a),(b) | 31,800 | 6,891,696 | ||||||||
IMAX Corp. (a) | 6,500 | 167,700 | ||||||||
Lee Enterprises, Inc. (a) | 300 | 795 | ||||||||
Liberty SiriusXM Group, Class A (a),(b),(d) | 36,575 | 1,588,818 | ||||||||
Liberty SiriusXM Group, Class C (a),(b),(d) | 32,973 | 1,432,677 | ||||||||
Liberty TripAdvisor Holdings, Inc., Class A (a) | 13,500 | 200,475 | ||||||||
Marchex, Inc., Class B | 2,600 | 7,228 | ||||||||
Marin Software, Inc. (a) | 442 | 1,414 | ||||||||
Match Group, Inc. (a) | 42,100 | 2,438,011 | ||||||||
McClatchy Co., Class A (a) | 90 | 766 | ||||||||
MDC Partners, Inc., Class A (a) | 400 | 1,660 | ||||||||
Meet Group, Inc. (The) (a) | 400 | 1,980 | ||||||||
Netflix, Inc. (a) | 5,500 | 2,057,715 | ||||||||
News Corp., Class A (b) | 14,400 | 189,936 | ||||||||
Points International Ltd. (a) | 2,000 | 28,080 | ||||||||
Rubicon Project, Inc. (a) | 19,900 | 71,640 | ||||||||
Shutterstock, Inc. | 10,200 | 556,716 | ||||||||
Stamps.com, Inc. (a) | 5,800 | 1,311,960 | ||||||||
TechTarget, Inc. (a),(b) | 11,300 | 219,446 | ||||||||
Townsquare Media, Inc., Class A | 100 | 783 | ||||||||
Travelzoo, Inc. (a) | 100 | 1,185 | ||||||||
Tribune Media Co. | 1,900 | 73,017 | ||||||||
Tribune Publishing Co. | 500 | 8,165 | ||||||||
TrueCar, Inc. (a) | 37,500 | 528,750 | ||||||||
Twitter, Inc. (a) | 17,600 | 500,896 | ||||||||
VeriSign, Inc. (a),(b) | 21,500 | 3,442,580 | ||||||||
Viacom, Inc. | 6,900 | 232,944 | ||||||||
World Wrestling Entertainment, Inc., Class A | 17,700 | 1,712,121 | ||||||||
XO Group, Inc. (a),(b) | 7,100 | 244,808 | ||||||||
|
| |||||||||
47,801,412 | ||||||||||
|
| |||||||||
Medical Equipment & Devices — 3.1% | ||||||||||
ABIOMED, Inc. (a) | 25,800 | 11,603,550 | ||||||||
Accuray, Inc. (a) | 3,700 | 16,650 | ||||||||
Agilent Technologies, Inc. (b) | 72,800 | 5,135,312 | ||||||||
Align Technology, Inc. (a) | 7,300 | 2,855,906 |
See Notes to Consolidated Financial Statements.
24
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Security Description | Shares | Value | ||||||||
AngioDynamics, Inc. (a),(b) | 6,600 | $ | 143,484 | |||||||
AtriCure, Inc. (a) | 300 | 10,509 | ||||||||
AxoGen, Inc. (a) | 2,600 | 95,810 | ||||||||
Baxter International, Inc. (b) | 81,533 | 6,285,379 | ||||||||
Becton Dickinson and Co. | 1,800 | 469,800 | ||||||||
Boston Scientific Corp. (a),(b),(d) | 197,730 | 7,612,605 | ||||||||
Cardiovascular Systems, Inc. (a) | 2,200 | 86,108 | ||||||||
CareDx, Inc. (a) | 22,800 | 657,780 | ||||||||
Cerus Corp. (a) | 6,200 | 44,702 | ||||||||
ConforMIS, Inc. (a) | 4,400 | 4,664 | ||||||||
CryoLife, Inc. (a),(b) | 900 | 31,680 | ||||||||
Cutera, Inc. (a) | 700 | 22,785 | ||||||||
CytoSorbents Corp. (a) | 7,300 | 94,170 | ||||||||
Danaher Corp. (b),(d) | 237,100 | 25,763,286 | ||||||||
Dentsply Sirona, Inc. | 16 | 604 | ||||||||
Edwards Lifesciences Corp. (a),(b),(d) | 60,416 | 10,518,426 | ||||||||
Endologix, Inc. (a) | 2,300 | 4,393 | ||||||||
Fluidigm Corp. (a) | 3,800 | 28,462 | ||||||||
FONAR Corp. (a) | 400 | 9,960 | ||||||||
GenMark Diagnostics, Inc. (a) | 8,900 | 65,415 | ||||||||
Globus Medical, Inc. (a) | 1,000 | 56,760 | ||||||||
Harvard Bioscience, Inc. (a),(b) | 500 | 2,625 | ||||||||
Hill-Rom Holdings, Inc. | 900 | 84,960 | ||||||||
Hologic, Inc. (a) | 27,800 | 1,139,244 | ||||||||
IDEXX Laboratories, Inc. (a) | 17,000 | 4,244,220 | ||||||||
Inogen, Inc. (a) | 1,200 | 292,944 | ||||||||
Insulet Corp. (a) | 12,200 | 1,292,590 | ||||||||
Integer Holdings Corp. (a) | 700 | 58,065 | ||||||||
Intuitive Surgical, Inc. (a),(b),(d) | 36,900 | 21,180,600 | ||||||||
iRhythm Technologies, Inc. (a) | 1,600 | 151,456 | ||||||||
Lantheus Holdings, Inc. (a) | 6,700 | 100,165 | ||||||||
LivaNova PLC (a) | 200 | 24,794 | ||||||||
Masimo Corp. (a) | 6,800 | 846,872 | ||||||||
Medtronic PLC (d) | 319,250 | 31,404,622 | ||||||||
Meridian Bioscience, Inc. | 8,000 | 119,200 | ||||||||
MiMedx Group, Inc. (a) | 3,000 | 18,540 | ||||||||
NanoString Technologies, Inc. (a) | 300 | 5,349 | ||||||||
Novocure Ltd. (a) | 13,500 | 707,400 | ||||||||
Nuvectra Corp. (a) | 800 | 17,584 | ||||||||
OraSure Technologies, Inc. (a) | 500 | 7,725 | ||||||||
Orthofix Medical, Inc. (a) | 4,000 | 231,240 | ||||||||
Oxford Immunotec Global PLC (a) | 700 | 11,361 | ||||||||
Penumbra, Inc. (a) | 5,000 | 748,500 | ||||||||
QIAGEN NV (a) | 15,076 | 571,079 | ||||||||
Quidel Corp. (a) | 700 | 45,619 | ||||||||
Quotient Ltd. (a) | 800 | 6,040 |
See Notes to Consolidated Financial Statements.
25
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Security Description | Shares | Value | ||||||||
ResMed, Inc. | 2,300 | $ | 265,282 | |||||||
RTI Surgical, Inc. (a) | 6,200 | 27,900 | ||||||||
SeaSpine Holdings Corp. (a) | 200 | 3,112 | ||||||||
STAAR Surgical Co. (a) | 6,900 | 331,200 | ||||||||
Stryker Corp. (d) | 97,580 | 17,338,014 | ||||||||
SurModics, Inc. (a),(b) | 900 | 67,185 | ||||||||
T2 Biosystems, Inc. (a) | 1,500 | 11,175 | ||||||||
Tandem Diabetes Care, Inc. (a) | 35,663 | 1,527,803 | ||||||||
Teleflex, Inc. | 100 | 26,609 | ||||||||
Varian Medical Systems, Inc. (a) | 19,200 | 2,149,056 | ||||||||
Veracyte, Inc. (a) | 1,500 | 14,325 | ||||||||
Vericel Corp. (a) | 100 | 1,415 | ||||||||
Waters Corp. (a) | 3,900 | 759,252 | ||||||||
Zimmer Holdings, Inc. (d) | 287,890 | 37,848,898 | ||||||||
|
| |||||||||
195,302,220 | ||||||||||
|
| |||||||||
Metals & Mining — 0.0% | ||||||||||
Asanko Gold, Inc. (a) | 1,800 | 1,453 | ||||||||
Encore Wire Corp. (b) | 600 | 30,060 | ||||||||
Golden Star Resources Ltd. (a) | 5,100 | 3,697 | ||||||||
Harsco Corp. (a) | 3,300 | 94,215 | ||||||||
HudBay Minerals, Inc. | 2,000 | 10,100 | ||||||||
Kirkland Lake Gold Ltd. | 800 | 15,192 | ||||||||
Nevsun Resources Ltd. | 400 | 1,772 | ||||||||
New Gold, Inc. (a) | 30,000 | 23,799 | ||||||||
Newmont Mining Corp. | 2,100 | 63,420 | ||||||||
Silvercorp Metals, Inc. | 1,000 | 2,470 | ||||||||
Taseko Mines Ltd. (a) | 4,500 | 3,600 | ||||||||
Teck Resources Ltd., B Shares | 41,000 | 988,100 | ||||||||
|
| |||||||||
1,237,878 | ||||||||||
|
| |||||||||
Oil, Gas & Coal — 0.6% | ||||||||||
Abraxas Petroleum Corp. (a) | 50,200 | 116,966 | ||||||||
Advanced Emissions Solutions, Inc. | 1,600 | 19,136 | ||||||||
Baker Hughes a GE Co. | 600 | 20,298 | ||||||||
Bellatrix Exploration Ltd. (a) | 60 | 63 | ||||||||
California Resources Corp. (a) | 690 | 33,486 | ||||||||
Centennial Resource Development, Inc., Class A (a) | 1,900 | 41,515 | ||||||||
Cheniere Energy, Inc. (a) | 1,398 | 97,147 | ||||||||
Chevron Corp. (b) | 54,800 | 6,700,944 | ||||||||
Concho Resources, Inc. (a) | 2,016 | 307,944 | ||||||||
CONSOL Energy, Inc. (a) | 2,200 | 89,782 | ||||||||
Continental Resources, Inc. (a) | 56,500 | 3,857,820 | ||||||||
Dawson Geophysical Co. (a),(b) | 882 | 5,460 | ||||||||
Denbury Resources, Inc. (a) | 12,100 | 75,020 | ||||||||
DMC Global, Inc. (b) | 2,800 | 114,240 |
See Notes to Consolidated Financial Statements.
26
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Security Description | Shares | Value | ||||||||
Energy XXI Gulf Coast, Inc. (a) | 10,600 | $ | 88,616 | |||||||
EOG Resources, Inc. | 10,700 | 1,364,999 | ||||||||
Era Group, Inc. (a) | 300 | 3,705 | ||||||||
Evolution Petroleum Corp. (b) | 2,500 | 27,625 | ||||||||
Exxon Mobil Corp. | 1 | 85 | ||||||||
Geospace Technologies Corp. (a) | 100 | 1,370 | ||||||||
Gran Tierra Energy, Inc. (a) | 2,100 | 8,022 | ||||||||
Gulf Island Fabrication, Inc. (b) | 1,600 | 15,920 | ||||||||
Hallador Energy Co. | 1,400 | 8,708 | ||||||||
Halliburton Co. (b) | 41,200 | 1,669,836 | ||||||||
Helmerich & Payne, Inc. | 800 | 55,016 | ||||||||
Independence Contract Drilling, Inc. (a) | 4,900 | 24,206 | ||||||||
Lilis Energy, Inc. (a) | 1,400 | 6,860 | ||||||||
Marathon Petroleum Corp. | 3,900 | 311,883 | ||||||||
Matrix Service Co. (a),(b) | 7,400 | 182,410 | ||||||||
Midstates Petroleum Co., Inc. (a) | 200 | 1,782 | ||||||||
Murphy USA, Inc. (a) | 16,300 | 1,392,998 | ||||||||
NACCO Industries, Inc., Class A | 100 | 3,275 | ||||||||
Natural Gas Services Group, Inc. (a) | 1,200 | 25,320 | ||||||||
Occidental Petroleum Corp. (b) | 99,100 | 8,143,047 | ||||||||
Parker Drilling Co. (a) | 206 | 614 | ||||||||
Peabody Energy Corp. | 25,400 | 905,256 | ||||||||
Penn Virginia Corp. (a) | 2,000 | 161,080 | ||||||||
PHI, Inc. (a) | 1,200 | 11,208 | ||||||||
Phillips 66 | 15,200 | 1,713,344 | ||||||||
Pioneer Energy Services Corp. (a) | 15,400 | 45,430 | ||||||||
Pioneer Natural Resources Co. (b) | 39,400 | 6,863,086 | ||||||||
SEACOR Holdings, Inc. (a) | 200 | 9,882 | ||||||||
SilverBow Resources, Inc. (a) | 500 | 13,335 | ||||||||
Tidewater, Inc. (a) | 2,953 | 92,104 | ||||||||
TransGlobe Energy Corp. (b) | 1,500 | 5,010 | ||||||||
Transocean Ltd. (a) | 185,200 | 2,583,540 | ||||||||
TravelCenters of America LLC (a) | 5,300 | 30,210 | ||||||||
Unit Corp. (a) | 200 | 5,212 | ||||||||
VAALCO Energy, Inc. (a) | 2,900 | 7,917 | ||||||||
Valero Energy Corp. | 2,400 | 273,000 | ||||||||
Whiting Petroleum Corp. (a) | 14 | 742 | ||||||||
WildHorse Resource Development Corp. (a) | 7,400 | 174,936 | ||||||||
World Fuel Services Corp. | 13,300 | 368,144 | ||||||||
|
| |||||||||
38,079,554 | ||||||||||
|
| |||||||||
Passenger Transportation — 0.3% | ||||||||||
Copa Holdings SA, Class A | 9,700 | 774,448 | ||||||||
Delta Air Lines, Inc. | 34,400 | 1,989,352 | ||||||||
Hawaiian Holdings, Inc. (b) | 13,800 | 553,380 | ||||||||
JetBlue Airways Corp. (a) | 3,400 | 65,824 |
See Notes to Consolidated Financial Statements.
27
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Security Description | Shares | Value | ||||||||
Southwest Airlines Co. (b) | 102,700 | $ | 6,413,615 | |||||||
United Continental Holdings, Inc. (a),(b) | 90,200 | 8,033,212 | ||||||||
|
| |||||||||
17,829,831 | ||||||||||
|
| |||||||||
Real Estate — 0.5% | ||||||||||
Agree Realty Corp. | 1,100 | 58,432 | ||||||||
American Tower Corp. | 1 | 145 | ||||||||
AvalonBay Communities, Inc. (b),(d) | 3,682 | 666,994 | ||||||||
Boston Properties, Inc. (b),(d) | 3,824 | 470,696 | ||||||||
CareTrust REIT, Inc. | 2,000 | 35,420 | ||||||||
Colliers International Group, Inc. | 1,100 | 85,305 | ||||||||
CoreCivic, Inc. | 13,200 | 321,156 | ||||||||
CyrusOne, Inc. (d) | 86,756 | 5,500,331 | ||||||||
Digital Realty Trust, Inc. (d) | 7,217 | 811,768 | ||||||||
EPR Properties | 100 | 6,841 | ||||||||
Equinix, Inc. (b),(d) | 1,826 | 790,457 | ||||||||
Equity Residential (b),(d) | 10,317 | 683,605 | ||||||||
Essex Property Trust, Inc. (d) | 3,345 | 825,245 | ||||||||
First Industrial Realty Trust, Inc. | 11,800 | 370,520 | ||||||||
FirstService Corp. | 1,000 | 84,660 | ||||||||
Gaming and Leisure Properties, Inc. | 5,745 | 202,511 | ||||||||
Geo Group, Inc. (The) | 50 | 1,258 | ||||||||
Getty Realty Corp. | 200 | 5,712 | ||||||||
Gladstone Commercial Corp. (b) | 5,600 | 107,240 | ||||||||
HCP, Inc. (d) | 32,196 | 847,399 | ||||||||
Host Hotels & Resorts, Inc. (d) | 37,783 | 797,221 | ||||||||
InfraREIT, Inc. (a) | 4,200 | 88,830 | ||||||||
Investors Real Estate Trust (d) | 801,038 | 4,790,207 | ||||||||
JBG SMITH Properties (b),(d) | 1,481 | 54,545 | ||||||||
LTC Properties, Inc. | 18 | 794 | ||||||||
Marcus & Millichap, Inc. (a) | 1,900 | 65,949 | ||||||||
McGrath RentCorp | 3,500 | 190,645 | ||||||||
MedEquities Realty Trust, Inc. | 4,400 | 42,768 | ||||||||
Monmouth Real Estate Investment Corp., Class A | 8,600 | 143,792 | ||||||||
One Liberty Properties, Inc. | 1,600 | 44,448 | ||||||||
Paramount Group, Inc. | 8,000 | 120,720 | ||||||||
Prologis, Inc. (b),(d) | 15,075 | 1,021,934 | ||||||||
Public Storage (b),(d) | 4,028 | 812,166 | ||||||||
RE/MAX Holdings, Inc., Class A | 323 | 14,325 | ||||||||
Realty Income Corp. (d) | 14,624 | 831,960 | ||||||||
Sabra Health Care REIT, Inc. | 10 | 231 | ||||||||
Saul Centers, Inc. | 100 | 5,600 | ||||||||
SBA Communications Corp. (a),(b) | 37,700 | 6,055,751 | ||||||||
Simon Property Group, Inc. (b),(d) | 8,420 | 1,488,235 | ||||||||
Spirit MTA REIT | 100 | 1,152 | ||||||||
STORE Capital Corp. | 4,700 | 130,613 |
See Notes to Consolidated Financial Statements.
28
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Security Description | Shares | Value | ||||||||
Terreno Realty Corp. | 100 | $ | 3,770 | |||||||
Urstadt Biddle Properties, Inc., Class A (b) | 3,200 | 68,128 | ||||||||
Ventas, Inc. (b),(d) | 9,606 | 522,374 | ||||||||
VICI Properties, Inc. | 500 | 10,810 | ||||||||
Vornado Realty Trust (b),(d) | 4,398 | 321,054 | ||||||||
Welltower, Inc. (b),(d) | 9,827 | 632,073 | ||||||||
Weyerhaeuser Co. | 680 | 21,944 | ||||||||
WP Carey, Inc. | 3,800 | 244,378 | ||||||||
Xenia Hotels & Resorts, Inc. | 21,700 | 514,290 | ||||||||
|
| |||||||||
30,916,402 | ||||||||||
|
| |||||||||
Recreation Facilities & Services — 0.0% | ||||||||||
Marcus Corp. | 1,400 | 58,870 | ||||||||
Planet Fitness, Inc., Class A (a) | 9,700 | 524,091 | ||||||||
SeaWorld Entertainment, Inc. (a) | 55,300 | 1,738,079 | ||||||||
Speedway Motorsports, Inc. (b) | 900 | 16,065 | ||||||||
|
| |||||||||
2,337,105 | ||||||||||
|
| |||||||||
Renewable Energy — 0.0% | ||||||||||
Ameresco, Inc., Class A (a),(b) | 3,200 | 43,680 | ||||||||
FutureFuel Corp. | 2,400 | 44,496 | ||||||||
Renewable Energy Group, Inc. (a),(b) | 6,200 | 178,560 | ||||||||
Sunrun, Inc. (a) | 1,800 | 22,392 | ||||||||
TPI Composites, Inc. (a) | 5,400 | 154,170 | ||||||||
|
| |||||||||
443,298 | ||||||||||
|
| |||||||||
Retail—Consumer Staples — 0.5% | ||||||||||
BJ’s Wholesale Club Holdings, Inc. (a) | 500 | 13,390 | ||||||||
Casey’s General Stores, Inc. | 2,300 | 296,953 | ||||||||
Costco Wholesale Corp. (b) | 12,600 | 2,959,488 | ||||||||
Five Below, Inc. (a) | 35,100 | 4,565,106 | ||||||||
Ingles Markets, Inc., Class A | 4,500 | 154,125 | ||||||||
Natural Grocers by Vitamin Cottage, Inc. (a) | 1,600 | 27,024 | ||||||||
Ollie’s Bargain Outlet Holdings, Inc. (a) | 2,400 | 230,640 | ||||||||
Smart & Final Stores, Inc. (a) | 5,800 | 33,060 | ||||||||
SpartanNash Co. | 200 | 4,012 | ||||||||
Target Corp. (b) | 230,600 | 20,341,226 | ||||||||
Village Super Market, Inc., Class A | 700 | 19,040 | ||||||||
|
| |||||||||
28,644,064 | ||||||||||
|
| |||||||||
Retail—Discretionary — 2.2% | ||||||||||
1-800-Flowers.com, Inc., Class A (a) | 2,500 | 29,500 | ||||||||
Advance Auto Parts, Inc. | 4,400 | 740,652 | ||||||||
Amazon.com, Inc. (a) | 12,400 | 24,837,200 | ||||||||
American Eagle Outfitters, Inc. | 30,700 | 762,281 | ||||||||
AutoZone, Inc. (a) | 4,300 | 3,335,510 |
See Notes to Consolidated Financial Statements.
29
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Security Description | Shares | Value | ||||||||
Barnes & Noble Education, Inc. (a) | 8,600 | $ | 49,536 | |||||||
Bassett Furniture Industries, Inc. (b) | 1,100 | 23,375 | ||||||||
Boot Barn Holdings, Inc. (a) | 17,600 | 500,016 | ||||||||
Build-A-Bear Workshop, Inc. (a) | 100 | 905 | ||||||||
Christopher & Banks Corp. (a) | 100 | 76 | ||||||||
Citi Trends, Inc. (b) | 4,200 | 120,834 | ||||||||
Container Store Group, Inc. (a) | 3,900 | 43,290 | ||||||||
Destination XL Group, Inc. (a) | 2,499 | 6,247 | ||||||||
DSW, Inc., Class A | 45,700 | 1,548,316 | ||||||||
Etsy, Inc. (a) | 65,500 | 3,365,390 | ||||||||
EVINE Live, Inc. (a),(b) | 1,700 | 1,955 | ||||||||
Ezcorp, Inc., Class A (a) | 7,100 | 75,970 | ||||||||
Freshpet, Inc. (a) | 100 | 3,670 | ||||||||
Genesco, Inc. (a) | 2,300 | 108,330 | ||||||||
Home Depot, Inc. (b) | 121,300 | 25,127,295 | ||||||||
Hudson Ltd., Class A (a) | 13,400 | 302,304 | ||||||||
Kirkland’s, Inc. (a),(b) | 5,800 | 58,522 | ||||||||
Liquidity Services, Inc. (a),(b) | 2,800 | 17,780 | ||||||||
Lowe’s Cos., Inc. (b) | 93,500 | 10,735,670 | ||||||||
Lululemon Athletica, Inc. (a),(b) | 77,200 | 12,544,228 | ||||||||
Macy’s, Inc. (b) | 190,700 | 6,623,011 | ||||||||
Monro Muffler Brake, Inc. | 7,600 | 528,960 | ||||||||
National Vision Holdings, Inc. (a) | 1,500 | 67,710 | ||||||||
New York & Co., Inc. (a) | 3,100 | 11,966 | ||||||||
Nordstrom, Inc. | 14,901 | 891,229 | ||||||||
O’Reilly Automotive, Inc. (a),(b) | 27,000 | 9,377,640 | ||||||||
Office Depot, Inc. | 8,545 | 27,429 | ||||||||
PetMed Express, Inc. | 5,100 | 168,351 | ||||||||
Ross Stores, Inc. | 20,600 | 2,041,460 | ||||||||
Sears Hometown and Outlet Stores, Inc. (a) | 100 | 285 | ||||||||
Shoe Carnival, Inc. | 1,600 | 61,600 | ||||||||
Stein Mart, Inc. (a),(b) | 900 | 2,115 | ||||||||
Stitch Fix, Inc., Class A (a) | 9,166 | 401,196 | ||||||||
Tapestry, Inc. (b) | 123,200 | 6,193,264 | ||||||||
Tile Shop Holdings, Inc. | 17,100 | 122,265 | ||||||||
Tilly’s, Inc., Class A | 12,900 | 244,455 | ||||||||
TJX Cos., Inc. | 131,100 | 14,685,822 | ||||||||
Tuesday Morning Corp. (a) | 6,200 | 19,840 | ||||||||
Ulta Salon Cosmetics & Fragrance, Inc. (a) | 20,972 | 5,916,621 | ||||||||
Urban Outfitters, Inc. (a) | 64,700 | 2,646,230 | ||||||||
Vera Bradley, Inc. (a) | 400 | 6,104 | ||||||||
Wayfair, Inc., Class A (a) | 37,500 | 5,537,625 | ||||||||
Zumiez, Inc. (a) | 5,800 | 152,830 | ||||||||
|
| |||||||||
140,066,860 | ||||||||||
|
|
See Notes to Consolidated Financial Statements.
30
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Security Description | Shares | Value | ||||||||
Semiconductors — 0.6% | ||||||||||
Advanced Energy Industries, Inc. (a) | 1,700 | $ | 87,805 | |||||||
Alpha & Omega Semiconductor Ltd. (a),(b) | 3,600 | 41,868 | ||||||||
Amkor Technology, Inc. (a),(b) | 50,500 | 373,195 | ||||||||
Amtech Systems, Inc. (a) | 100 | 534 | ||||||||
Axcelis Technologies, Inc. (a) | 16,250 | 319,312 | ||||||||
Cabot Microelectronics Corp. | 2,900 | 299,193 | ||||||||
CEVA, Inc. (a),(b) | 6,100 | 175,375 | ||||||||
Cohu, Inc. (b) | 4,000 | 100,400 | ||||||||
Data I/O Corp. (a) | 100 | 523 | ||||||||
Diodes, Inc. (a) | 9,000 | 299,610 | ||||||||
DSP Group, Inc. (a),(b) | 2,000 | 23,800 | ||||||||
Entegris, Inc. | 1,200 | 34,740 | ||||||||
FormFactor, Inc. (a) | 2,061 | 28,339 | ||||||||
Integrated Device Technology, Inc. (a) | 12,200 | 573,522 | ||||||||
Intel Corp. | 115,819 | 5,477,081 | ||||||||
IPG Photonics Corp. (a) | 4,300 | 671,101 | ||||||||
KLA-Tencor Corp. (b) | 56,400 | 5,736,444 | ||||||||
Lattice Semiconductor Corp. (a) | 22,800 | 182,400 | ||||||||
M/A-COM Technology Solutions Holdings, Inc. (a) | 1,532 | 31,559 | ||||||||
Maxim Integrated Products, Inc. (b) | 87,500 | 4,934,125 | ||||||||
Micron Technology, Inc. (a) | 7,220 | 326,561 | ||||||||
Nanometrics, Inc. (a) | 9,500 | 356,440 | ||||||||
NVIDIA Corp. | 100 | 28,102 | ||||||||
Photronics, Inc. (a),(b) | 22,800 | 224,580 | ||||||||
Pixelworks, Inc. (a) | 8,700 | 39,237 | ||||||||
Qualcomm, Inc. (b) | 110,000 | 7,923,300 | ||||||||
Rambus, Inc. (a) | 35,700 | 389,487 | ||||||||
Rudolph Technologies, Inc. (a),(b) | 8,700 | 212,715 | ||||||||
Semtech Corp. (a) | 3,900 | 216,840 | ||||||||
Silicon Laboratories, Inc. (a) | 1,300 | 119,340 | ||||||||
Synaptics, Inc. (a) | 14,200 | 647,804 | ||||||||
Teradyne, Inc. (b) | 44,000 | 1,627,120 | ||||||||
Texas Instruments, Inc. | 16,550 | 1,775,649 | ||||||||
Veeco Instruments, Inc. (a) | 12,830 | 131,508 | ||||||||
Xcerra Corp. (a) | 10,200 | 145,554 | ||||||||
Xilinx, Inc. | 44,300 | 3,551,531 | ||||||||
Xperi Corp. | 2,700 | 40,095 | ||||||||
|
| |||||||||
37,146,789 | ||||||||||
|
| |||||||||
Software — 2.6% | ||||||||||
Adobe Systems, Inc. (a) | 14,800 | 3,995,260 | ||||||||
Agilysys, Inc. (a),(b) | 1,100 | 17,930 | ||||||||
Akamai Technologies, Inc. (a) | 8,000 | 585,200 | ||||||||
Altair Engineering, Inc. (a) | 15,100 | 656,095 | ||||||||
Alteryx, Inc., Class A (a) | 100 | 5,721 |
See Notes to Consolidated Financial Statements.
31
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Security Description | Shares | Value | ||||||||
Amber Road, Inc. (a) | 5,100 | $ | 49,062 | |||||||
Appfolio, Inc. (a) | 5,600 | 439,040 | ||||||||
Apptio, Inc., Class A (a) | 19,700 | 728,112 | ||||||||
Aspen Technology, Inc. (a) | 15,800 | 1,799,778 | ||||||||
Atlassian Corp. PLC, Class A (a) | 43,700 | 4,201,318 | ||||||||
Autodesk, Inc. (a) | 21,600 | 3,371,976 | ||||||||
Avid Technology, Inc. (a) | 6,100 | 36,173 | ||||||||
Benefitfocus, Inc. (a) | 1,200 | 48,540 | ||||||||
Black Knight, Inc. (a) | 27,400 | 1,423,430 | ||||||||
Blackline, Inc. (a) | 500 | 28,235 | ||||||||
Brightcove, Inc. (a) | 9,500 | 79,800 | ||||||||
Cadence Design Systems, Inc. (a) | 56,500 | 2,560,580 | ||||||||
Calix, Inc. (a),(b) | 3,900 | 31,590 | ||||||||
Carbonite, Inc. (a) | 2,000 | 71,300 | ||||||||
CDK Global, Inc. | 42,201 | 2,640,095 | ||||||||
Cerner Corp. (a),(d) | 149,440 | 9,625,430 | ||||||||
ChannelAdvisor Corp. (a) | 5,000 | 62,250 | ||||||||
Cision Ltd. (a) | 2,500 | 42,000 | ||||||||
Citrix Systems, Inc. (a),(b) | 53,800 | 5,980,408 | ||||||||
Cornerstone OnDemand, Inc. (a) | 23,400 | 1,327,950 | ||||||||
Coupa Software, Inc. (a) | 35,800 | 2,831,780 | ||||||||
Digi International, Inc. (a),(b) | 3,500 | 47,075 | ||||||||
Digital Turbine, Inc. (a) | 1,400 | 1,736 | ||||||||
eGain Corp. (a) | 400 | 3,240 | ||||||||
Everbridge, Inc. (a) | 11,600 | 668,624 | ||||||||
Finjan Holdings, Inc. (a) | 1,500 | 6,465 | ||||||||
Five9, Inc. (a) | 19,300 | 843,217 | ||||||||
ForeScout Technologies, Inc. (a) | 3,400 | 128,384 | ||||||||
Fortinet, Inc. (a) | 57,100 | 5,268,617 | ||||||||
GreenSky, Inc., Class A (a) | 600 | 10,800 | ||||||||
Guidewire Software, Inc. (a) | 100 | 10,101 | ||||||||
Hortonworks, Inc. (a) | 13,200 | 301,092 | ||||||||
HubSpot, Inc. (a) | 17,000 | 2,566,150 | ||||||||
Immersion Corp. (a) | 11,000 | 116,270 | ||||||||
Imperva, Inc. (a) | 900 | 41,805 | ||||||||
InnerWorkings, Inc. (a),(b) | 11,900 | 94,248 | ||||||||
Inseego Corp. (a) | 100 | 385 | ||||||||
Intuit, Inc. (b) | 48,100 | 10,937,940 | ||||||||
KEYW Holding Corp. (The) (a) | 700 | 6,062 | ||||||||
Limelight Networks, Inc. (a),(b) | 31,100 | 156,122 | ||||||||
LivePerson, Inc. (a) | 9,500 | 246,525 | ||||||||
Microsoft Corp. | 9,500 | 1,086,515 | ||||||||
MicroStrategy, Inc., Class A (a),(b) | 2,600 | 365,612 | ||||||||
Mimecast Ltd. (a) | 14,100 | 590,508 | ||||||||
MINDBODY, Inc., Class A (a) | 11,000 | 447,150 | ||||||||
Model N, Inc. (a),(b) | 9,200 | 145,820 |
See Notes to Consolidated Financial Statements.
32
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Security Description | Shares | Value | ||||||||
Monotype Imaging Holdings, Inc. (b) | 2,200 | $ | 44,440 | |||||||
New Relic, Inc. (a) | 35,200 | 3,316,896 | ||||||||
NextGen Healthcare, Inc. (a) | 2,600 | 52,208 | ||||||||
Okta, Inc. (a) | 27,400 | 1,927,864 | ||||||||
OneSpan, Inc. (a) | 700 | 13,335 | ||||||||
Oracle Corp. | 3,300 | 170,148 | ||||||||
Palo Alto Networks, Inc. (a),(b) | 58,500 | 13,177,710 | ||||||||
Paycom Software, Inc. (a) | 1,700 | 264,197 | ||||||||
Paylocity Holding Corp. (a) | 2,500 | 200,800 | ||||||||
PDF Solutions, Inc. (a),(b) | 5,600 | 50,568 | ||||||||
Pluralsight, Inc. (a) | 100 | 3,200 | ||||||||
Progress Software Corp. | 1,100 | 38,819 | ||||||||
Proofpoint, Inc. (a) | 25,200 | 2,679,516 | ||||||||
PROS Holdings, Inc. (a) | 5,900 | 206,618 | ||||||||
PTC, Inc. (a) | 10,200 | 1,083,138 | ||||||||
QAD, Inc., Class A (b) | 1,400 | 79,310 | ||||||||
Qualys, Inc. (a) | 1,300 | 115,830 | ||||||||
Rapid7, Inc. (a) | 12,600 | 465,192 | ||||||||
RealPage, Inc. (a) | 4,000 | 263,600 | ||||||||
Red Hat, Inc. (a) | 6,200 | 844,936 | ||||||||
SailPoint Technologies Holding, Inc. (a) | 700 | 23,814 | ||||||||
salesforce.com, Inc. (a) | 106,864 | 16,994,582 | ||||||||
Seachange International, Inc. (a) | 5,600 | 10,024 | ||||||||
SecureWorks Corp. (a) | 400 | 5,860 | ||||||||
SendGrid, Inc. (a) | 2,500 | 91,975 | ||||||||
ServiceNow, Inc. (a),(b) | 68,300 | 13,361,529 | ||||||||
Splunk, Inc. (a),(b) | 56,800 | 6,867,688 | ||||||||
SPS Commerce, Inc. (a) | 5,300 | 525,972 | ||||||||
Symantec Corp. | 119,600 | 2,545,088 | ||||||||
Synopsys, Inc. (a) | 6,100 | 601,521 | ||||||||
Tableau Software, Inc., Class A (a) | 22,600 | 2,525,324 | ||||||||
Tabula Rasa HealthCare, Inc. (a) | 100 | 8,119 | ||||||||
Telenav, Inc. (a),(b) | 2,500 | 12,625 | ||||||||
Ultimate Software Group, Inc. (The) (a) | 1,600 | 515,504 | ||||||||
Upland Software, Inc. (a) | 700 | 22,617 | ||||||||
Varonis Systems, Inc. (a) | 10,000 | 732,500 | ||||||||
Veeva Systems, Inc., Class A (a) | 41,600 | 4,528,992 | ||||||||
VMware, Inc., Class A (a),(b) | 53,500 | 8,349,210 | ||||||||
Workday, Inc., Class A (a),(b) | 42,100 | 6,145,758 | ||||||||
Workiva, Inc. (a) | 10,400 | 410,800 | ||||||||
Yext, Inc. (a) | 38,900 | 921,930 | ||||||||
Zendesk, Inc. (a) | 57,900 | 4,110,900 | ||||||||
Zynga, Inc., Class A (a) | 337,600 | 1,353,776 | ||||||||
|
| |||||||||
162,393,949 | ||||||||||
|
|
See Notes to Consolidated Financial Statements.
33
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Security Description | Shares | Value | ||||||||
Specialty Finance — 1.0% | ||||||||||
AG Mortgage Investment Trust, Inc. | 6,300 | $ | 114,534 | |||||||
AGNC Investment Corp. (b) | 300,938 | 5,606,475 | ||||||||
American Express Co. (d) | 68,332 | 7,276,674 | ||||||||
Annaly Capital Management, Inc. | 210,484 | 2,153,251 | ||||||||
Ares Commercial Real Estate Corp. | 3,900 | 54,483 | ||||||||
Capital One Financial Corp. (d) | 36,188 | 3,435,327 | ||||||||
Cardtronics PLC (a) | 14,900 | 471,436 | ||||||||
Cherry Hill Mortgage Investment Corp. | 2,700 | 48,870 | ||||||||
Consumer Portfolio Services, Inc. (a),(b) | 1,400 | 5,180 | ||||||||
Curo Group Holdings Corp. (a) | 3,100 | 93,713 | ||||||||
Dynex Capital, Inc. | 18,200 | 116,116 | ||||||||
Enova International, Inc. (a) | 3,500 | 100,800 | ||||||||
Essent Group Ltd. (a) | 26,800 | 1,185,900 | ||||||||
Euronet Worldwide, Inc. (a) | 600 | 60,132 | ||||||||
Everi Holdings, Inc. (a) | 36,400 | 333,788 | ||||||||
Exantas Capital Corp. | 8,000 | 87,840 | ||||||||
Fidelity National Information Services, Inc. (b) | 58,000 | 6,326,060 | ||||||||
First American Financial Corp. | 9,300 | 479,787 | ||||||||
Fiserv, Inc. (a) | 16,500 | 1,359,270 | ||||||||
FNF Group | 100 | 3,935 | ||||||||
General Finance Corp. (a) | 1,100 | 17,545 | ||||||||
Great Ajax Corp. | 300 | 4,083 | ||||||||
Green Dot Corp., Class A (a) | 4,800 | 426,336 | ||||||||
Invesco Mortgage Capital, Inc. | 33 | 522 | ||||||||
KKR Real Estate Finance Trust, Inc. | 6,500 | 131,105 | ||||||||
Ladder Capital Corp. | 42,255 | 715,800 | ||||||||
MasterCard, Inc., Class A | 1,300 | 289,393 | ||||||||
MFA Financial, Inc. | 82,600 | 607,110 | ||||||||
Navient Corp. | 1,400 | 18,872 | ||||||||
New York Mortgage Trust, Inc. | 1,100 | 6,688 | ||||||||
NewStar Financial, Inc. (e) | 100 | 0 | ||||||||
On Deck Capital, Inc. (a) | 1,500 | 11,355 | ||||||||
Ready Capital Corp. REIT | 355 | 5,911 | ||||||||
Regional Management Corp. (a) | 100 | 2,883 | ||||||||
Square, Inc. (a) | 189,900 | 18,801,999 | ||||||||
Starwood Property Trust, Inc. | 48,200 | 1,037,264 | ||||||||
Total System Services, Inc. | 29,200 | 2,883,208 | ||||||||
TPG RE Finance Trust, Inc. | 6,700 | 134,134 | ||||||||
Visa, Inc., A Shares | 3,800 | 570,342 | ||||||||
WEX, Inc. (a) | 1,200 | 240,912 | ||||||||
World Acceptance Corp. (a) | 400 | 45,744 | ||||||||
Worldpay, Inc., Class A (a),(d) | 73,538 | 7,447,193 | ||||||||
|
| |||||||||
62,711,970 | ||||||||||
|
|
See Notes to Consolidated Financial Statements.
34
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Security Description | Shares | Value | ||||||||
Technology Services — 0.4% | ||||||||||
Amdocs Ltd. | 400 | $ | 26,392 | |||||||
Automatic Data Processing, Inc. | 68,700 | 10,350,342 | ||||||||
Black Box Corp. (a) | 3,800 | 3,914 | ||||||||
Broadridge Financial Solutions, Inc. | 9,000 | 1,187,550 | ||||||||
CDW Corp. | 14,200 | 1,262,664 | ||||||||
Conduent, Inc. (a) | 55,400 | 1,247,608 | ||||||||
Convergys Corp. | 500 | 11,870 | ||||||||
CoStar Group, Inc. (a) | 400 | 168,336 | ||||||||
CPI Card Group, Inc. (a) | 320 | 1,085 | ||||||||
CSG Systems International, Inc. | 300 | 12,042 | ||||||||
Dell Technologies, Inc.—VMware, Inc., Class V (a) | 29,200 | 2,835,904 | ||||||||
DXC Technology Co. | 1 | 93 | ||||||||
Equifax, Inc. (b) | 5,500 | 718,135 | ||||||||
FactSet Research Systems, Inc. | 7,400 | 1,655,454 | ||||||||
Forrester Research, Inc. | 200 | 9,180 | ||||||||
Genpact Ltd. (b) | 27,200 | 832,592 | ||||||||
ICF International, Inc. | 900 | 67,905 | ||||||||
Information Services Group, Inc. (a) | 1,500 | 7,170 | ||||||||
Leidos Holdings, Inc. | 2,200 | 152,152 | ||||||||
Luxoft Holding, Inc. (a) | 8,100 | 383,535 | ||||||||
Moody’s Corp. | 2,300 | 384,560 | ||||||||
NIC, Inc. | 4,800 | 71,040 | ||||||||
Perficient, Inc. (a) | 6,600 | 175,890 | ||||||||
Perspecta, Inc. | 200 | 5,144 | ||||||||
PFSweb, Inc. (a) | 1,200 | 8,880 | ||||||||
Science Applications International Corp. | 100 | 8,060 | ||||||||
ServiceSource International, Inc. (a) | 14,400 | 41,040 | ||||||||
Sykes Enterprises, Inc. (a) | 100 | 3,049 | ||||||||
Syntel, Inc. (a) | 3,000 | 122,940 | ||||||||
TransUnion | 2,100 | 154,518 | ||||||||
TTEC Holdings | 500 | 12,950 | ||||||||
Unisys Corp. (a) | 100 | 2,040 | ||||||||
|
| |||||||||
21,924,034 | ||||||||||
|
| |||||||||
Telecommunications — 0.2% | ||||||||||
8x8, Inc. (a) | 3,900 | 82,875 | ||||||||
AT&T, Inc. (b) | 171,390 | 5,755,276 | ||||||||
Bandwidth, Inc., Class A (a) | 2,500 | 133,925 | ||||||||
Cogent Communications Holdings, Inc. | 3,000 | 167,400 | ||||||||
EchoStar Corp., Class A (a) | 200 | 9,274 | ||||||||
IDT Corp., Class B (b) | 2,400 | 12,816 | ||||||||
RigNet, Inc. (a) | 600 | 12,210 | ||||||||
RingCentral, Inc., Class A (a) | 28,900 | 2,689,145 | ||||||||
Spok Holdings, Inc. (b) | 2,100 | 32,340 |
See Notes to Consolidated Financial Statements.
35
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Security Description | Shares | Value | ||||||||
Twilio, Inc. (a) | 48,400 | $ | 4,175,952 | |||||||
Zayo Group Holdings, Inc. (a) | 18,700 | 649,264 | ||||||||
Zix Corp. (a),(b) | 8,600 | 47,730 | ||||||||
|
| |||||||||
13,768,207 | ||||||||||
|
| |||||||||
Transportation & Logistics — 0.3% | ||||||||||
Air Transport Services Group, Inc. (a),(b) | 10,100 | 216,847 | ||||||||
ArcBest Corp. | 3,300 | 160,215 | ||||||||
CH Robinson Worldwide, Inc. | 8,100 | 793,152 | ||||||||
Covenant Transportation Group, Inc., Class A (a) | 1,400 | 40,684 | ||||||||
CSX Corp. | 34,900 | 2,584,345 | ||||||||
Eagle Bulk Shipping, Inc. (a) | 13,985 | 78,596 | ||||||||
Echo Global Logistics, Inc. (a) | 1,000 | 30,950 | ||||||||
FedEx Corp. | 9,100 | 2,191,189 | ||||||||
Genco Shipping & Trading Ltd. (a) | 1,600 | 22,400 | ||||||||
JB Hunt Transport Services, Inc. | 8,000 | 951,520 | ||||||||
Landstar System, Inc. | 200 | 24,400 | ||||||||
Marten Transport Ltd. | 6,133 | 129,100 | ||||||||
Old Dominion Freight Line, Inc. | 200 | 32,252 | ||||||||
Overseas Shipholding Group, Inc. (a) | 900 | 2,835 | ||||||||
Radiant Logistics, Inc. (a) | 2,800 | 16,548 | ||||||||
Roadrunner Transportation Systems, Inc. (a) | 10,200 | 8,527 | ||||||||
Ryder System, Inc. (b) | 6,500 | 474,955 | ||||||||
Schneider National, Inc.,—Class B | 5,200 | 129,896 | ||||||||
Steel Connect, Inc. (a),(b) | 1,400 | 2,982 | ||||||||
United Parcel Service, Inc., Class B | 91,300 | 10,659,275 | ||||||||
Universal Logistics Holdings, Inc. | 300 | 11,040 | ||||||||
USA Truck, Inc. (a),(b) | 3,400 | 68,782 | ||||||||
YRC Worldwide, Inc. (a) | 200 | 1,796 | ||||||||
|
| |||||||||
18,632,286 | ||||||||||
|
| |||||||||
Transportation Equipment — 0.2% | ||||||||||
Allison Transmission Holdings, Inc. (b) | 65,300 | 3,396,253 | ||||||||
American Railcar Industries, Inc. | 1,100 | 50,710 | ||||||||
Blue Bird Corp. (a) | 2,700 | 66,150 | ||||||||
Commercial Vehicle Group, Inc. (a) | 9,600 | 87,936 | ||||||||
Cummins, Inc. (b) | 46,600 | 6,806,862 | ||||||||
Meritor, Inc. (a) | 15,500 | 300,080 | ||||||||
PACCAR, Inc. (b) | 13,700 | 934,203 | ||||||||
Spartan Motors, Inc. | 4,300 | 63,425 | ||||||||
Trinity Industries, Inc. | 2,100 | 76,944 | ||||||||
Wabash National Corp. | 3,600 | 65,628 | ||||||||
WABCO Holdings, Inc. (a) | 100 | 11,794 | ||||||||
|
| |||||||||
11,859,985 | ||||||||||
|
|
See Notes to Consolidated Financial Statements.
36
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Security Description | Shares | Value | ||||||||||
Utilities — 0.1% | ||||||||||||
Alliant Energy Corp. | 100 | $ | 4,257 | |||||||||
American Electric Power Co., Inc. | 11,900 | 843,472 | ||||||||||
CenterPoint Energy, Inc. | 123,300 | 3,409,245 | ||||||||||
CMS Energy Corp. | 2,200 | 107,800 | ||||||||||
Consolidated Water Co. Ltd. | 1,600 | 22,160 | ||||||||||
DTE Energy Co. | 10,300 | 1,124,039 | ||||||||||
Exelon Corp. | 100 | 4,366 | ||||||||||
Just Energy Group, Inc. | 3,200 | 9,920 | ||||||||||
NRG Energy, Inc. | 900 | 33,660 | ||||||||||
Pinnacle West Capital Corp. | 16,000 | 1,266,880 | ||||||||||
PPL Corp. | 2,600 | 76,076 | ||||||||||
Public Service Enterprise Group, Inc. | 3,000 | 158,370 | ||||||||||
WEC Energy Group, Inc. | 29 | 1,936 | ||||||||||
|
| |||||||||||
7,062,181 | ||||||||||||
|
| |||||||||||
Waste & Environmental Services & Equipment — 0.2% |
| |||||||||||
Advanced Disposal Services, Inc. (a) | 23,737 | 642,798 | ||||||||||
Casella Waste Systems, Inc., Class A (a),(b) | 9,400 | 291,964 | ||||||||||
Ceco Environmental Corp. | 4,500 | 35,460 | ||||||||||
Heritage-Crystal Clean, Inc. (a) | 1,400 | 29,890 | ||||||||||
Republic Services, Inc. | 22,700 | 1,649,382 | ||||||||||
Waste Connections, Inc. | 34 | 2,712 | ||||||||||
Waste Management, Inc. (b) | 70,400 | 6,361,344 | ||||||||||
|
| |||||||||||
9,013,550 | ||||||||||||
|
| |||||||||||
Total North America | 1,780,932,139 | |||||||||||
|
| |||||||||||
South America — 0.0% | ||||||||||||
Banking — 0.0% | ||||||||||||
Credicorp Ltd. | 3,500 | 780,780 | ||||||||||
|
| |||||||||||
Chemicals — 0.0% | ||||||||||||
Sociedad Quimica y Minera de Chile SA, ADR | 2,400 | 109,728 | ||||||||||
|
| |||||||||||
Consumer Products — 0.0% | ||||||||||||
AMBEV SA, ADR | 80,800 | 369,256 | ||||||||||
|
| |||||||||||
Gaming, Lodging & Restaurants — 0.0% | ||||||||||||
Arcos Dorados Holdings, Inc., A Shares | 24,400 | 152,500 | ||||||||||
|
| |||||||||||
Iron & Steel — 0.0% | ||||||||||||
Vale SA, ADR | 5,600 | 83,104 | ||||||||||
|
| |||||||||||
Oil, Gas & Coal — 0.0% | ||||||||||||
Geopark Ltd. (a) | 1,300 | 26,520 | ||||||||||
Ultrapar Participacoes SA, ADR | 100 | 926 | ||||||||||
|
| |||||||||||
27,446 | ||||||||||||
|
|
See Notes to Consolidated Financial Statements.
37
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Security Description | Shares | Value | ||||||||||
Technology Services — 0.0% | ||||||||||||
Globant SA (a) | 200 | $ | 11,798 | |||||||||
|
| |||||||||||
Utilities — 0.0% | ||||||||||||
Cia Energetica de Minas Gerais, ADR (b) | 5,700 | 9,747 | ||||||||||
|
| |||||||||||
Total South America | 1,544,359 | |||||||||||
|
| |||||||||||
TOTAL COMMON STOCK | 1,846,169,207 | |||||||||||
|
| |||||||||||
PREFERRED STOCK — 2.9% | ||||||||||||
Asia — 2.9% | ||||||||||||
Financial Services — 2.9% | ||||||||||||
Mandatory Exchangeable Trust, | 995,016 | 184,326,714 | ||||||||||
|
| |||||||||||
Total Asia | 184,326,714 | |||||||||||
|
| |||||||||||
TOTAL PREFERRED STOCK | 184,326,714 | |||||||||||
|
| |||||||||||
Security Description | Principal Amount | Value | ||||||||||
ASSET-BACKED SECURITIES — 5.1% | ||||||||||||
North America — 5.1% | ||||||||||||
ACIS CLO Ltd., Series 2015-6A, Class D, 3 mo. USD LIBOR + 3.77%, 6.11%, 05/01/27 (d),(f),(g) | $ | 2,000,000 | 1,996,536 | |||||||||
Adams Mill CLO Ltd., Series 2014-1A, Class D1, 3 mo. USD LIBOR + 3.50%, 5.84%, 07/15/26 (d),(f),(g) | 4,750,000 | 4,739,213 | ||||||||||
Allegro CLO II-S Ltd., Series 2014-1RA, Class C, 3 mo. USD LIBOR + 3.00%, 5.15%, 10/21/28 (d),(f),(g) | 3,000,000 | 3,000,000 | ||||||||||
Allegro CLO Ltd., | ||||||||||||
Series 2013-1A, Class C, 3 mo. USD LIBOR + 3.45%, 5.79%, 01/30/26 (d),(f),(g) | 5,000,000 | 4,995,690 | ||||||||||
Series 2015-1A, Class DR, 3 mo. USD LIBOR + 2.65%, 4.99%, 07/25/27 (d),(f),(g) | 1,500,000 | 1,483,736 | ||||||||||
ALM Loan Funding, Series 2013-7RA, Class CR, 3 mo. USD LIBOR + 4.04%, 6.38%, 10/15/28 (d),(f),(g) | 1,000,000 | 1,010,564 | ||||||||||
ALM XVIII Ltd., Series 2016-18A, Class CR, 3 mo. USD LIBOR + 3.00%, 5.34%, 01/15/28 (d),(f),(g) | 1,000,000 | 996,683 | ||||||||||
Apidos CLO, Series 2014-18A, Class D, 3 mo. USD LIBOR + 5.20%, 7.55%, 07/22/26 (d),(f),(g) | 3,600,000 | 3,591,659 |
See Notes to Consolidated Financial Statements.
38
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Security Description | Principal Amount | Value | ||||||||
Atlas Senior Loan Fund Ltd., Series 2014-1A, Class DR2, 3 mo. USD LIBOR + 4.00%, 6.34%, 07/16/29 (d),(f),(g) | $ | 2,000,000 | $ | 2,016,834 | ||||||
Avant Loans Funding Trust, Series 2018-A, Class C, | 1,161,000 | 1,158,652 | ||||||||
Avery Point CLO Ltd., Series 2014-5A, Class DR, 3 mo. USD LIBOR + 3.10%, 5.44%, 07/17/26 (d),(f),(g) | 1,000,000 | 997,474 | ||||||||
Babson CLO Ltd., Series 2013-IA, Class DR, 3 mo. USD LIBOR + 2.55%, 4.90%, 01/20/28 (d),(f),(g) | 2,000,000 | 1,987,510 | ||||||||
Battalion CLO Ltd., Series 2016-10A, Class C, 3 mo. USD LIBOR + 4.25%, 6.59%, 01/24/29 (d),(f),(g) | 7,500,000 | 7,513,732 | ||||||||
Bear Stearns Asset-Backed Securities Trust, | ||||||||||
Series 2007-1, Class A2, 1 mo. USD LIBOR + ..28%, 2.50%, 01/25/37 (d),(g) | 1,317,671 | 1,313,967 | ||||||||
Series 2007-2, Class A2, 1 mo. USD LIBOR + ..32%, 2.54%, 01/25/47 (d),(g) | 2,255,882 | 2,192,095 | ||||||||
Black Diamond CLO Ltd., Series 2017-1A, Class C, 3 mo. USD LIBOR + 3.95%, 6.29%, 04/24/29 (d),(f),(g) | 3,000,000 | 3,005,475 | ||||||||
Brookside Mill CLO Ltd., Series 2013-1A, Class DR, 3 mo. USD LIBOR + 2.65%, 4.99%, 01/17/28 (d),(f),(g) | 4,000,000 | 3,909,564 | ||||||||
Carlyle Global Market Strategies CLO Ltd., | ||||||||||
3 mo. USD LIBOR + 2.60%, | 3,000,000 | 2,940,423 | ||||||||
Series 2013-3A, Class CR, 3 mo. USD LIBOR + 2.45%, | 1,000,000 | 975,628 | ||||||||
Catamaran CLO Ltd., | ||||||||||
Series 2013-1A, Class DR, 3 mo. USD LIBOR + 2.80%, | 5,235,000 | 5,226,818 | ||||||||
Series 2014-1A, Class CR, 3 mo. USD LIBOR + 3.43%, | 3,100,000 | 3,105,949 | ||||||||
Series 2015-1A, Class DR, 3 mo. USD LIBOR + 2.80%, | 1,000,000 | 997,975 | ||||||||
Series 2015-1A, Class E, 3 mo. USD LIBOR + 5.15%, | 2,000,000 | 1,968,772 | ||||||||
CIFC Funding Ltd., | ||||||||||
Series 2013-1A, Class DR, 3 mo. USD LIBOR + 6.65%, | 2,000,000 | 2,003,056 | ||||||||
Series 2014-4A, Class D, 3 mo. USD LIBOR + 3.40%, | 1,200,000 | 1,197,368 |
See Notes to Consolidated Financial Statements.
39
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Security Description | Principal Amount | Value | ||||||||
Series 2015-4A, Class D, 3 mo. USD LIBOR + 5.50%, 7.85%, 10/20/27 (d),(f),(g) | $ | 1,000,000 | $ | 996,585 | ||||||
Series 2015-5A, Class CR, 3 mo. USD LIBOR + 2.95%, 5.29%, 10/25/27 (d),(f),(g) | 4,000,000 | 3,990,312 | ||||||||
Covenant Credit Partners CLO Ltd., | ||||||||||
Series 2014-2A, Class D, 3 mo. USD LIBOR + 3.65%, 5.99%, 10/17/26 (d),(f),(g) | 3,000,000 | 2,992,518 | ||||||||
Series 2017-1A, Class D, 3 mo. USD LIBOR + 3.75%, 6.09%, 10/15/29 (d),(f),(g) | 2,000,000 | 2,006,822 | ||||||||
Credit Suisse Mortgage Trust, Series 2015-RPL5, Class A1, | 27,546,176 | 27,472,931 | ||||||||
Denali Capital CLO Ltd., Series 2013-1A, Class B2LR, 3 mo. USD LIBOR + 4.75%, | 1,000,000 | 941,868 | ||||||||
Drive Auto Receivables Trust, | ||||||||||
Series 2015-AA, Class D, | 5,300,000 | 5,339,506 | ||||||||
Series 2015-DA, Class D, | 2,500,000 | 2,530,392 | ||||||||
Dryden Senior Loan Fund, Series 2014-36A, Class DR, 3 mo. USD LIBOR + 4.24%, | 5,000,000 | 5,023,020 | ||||||||
DT Auto Owner Trust, | ||||||||||
Series 2015-1A, Class D, | 623,274 | 625,398 | ||||||||
Series 2015-3A, Class D, | 4,061,816 | 4,093,779 | ||||||||
Series 2016-1A, Class D, 4.66%, 12/15/22 (d),(f) | 3,000,000 | 3,032,031 | ||||||||
Evans Grove CLO Ltd., Series 2018-1A, Class D, 3 mo. USD LIBOR + 3.20%, | 5,000,000 | 4,987,270 | ||||||||
Exeter Automobile Receivables Trust, | ||||||||||
Series 2014-2A, Class D, | 2,670,104 | 2,681,027 | ||||||||
Series 2016-3A, Class C, 4.22%, 06/15/22 (d),(f) | 2,450,000 | 2,478,381 | ||||||||
Figueroa CLO Ltd., Series 2013-2A, Class CRR, 3 mo. USD LIBOR + 3.05%, | 5,000,000 | 4,987,395 | ||||||||
Gallatin CLO IX Ltd., Series 2018-1A, Class D1, 3 mo. USD LIBOR + 3.10%, | 4,500,000 | 4,477,500 | ||||||||
Gallatin Loan Management, 3 mo. USD LIBOR + 3.25%, 5.59%, 07/15/27 (d),(f),(g) | 2,000,000 | 1,999,740 |
See Notes to Consolidated Financial Statements.
40
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Security Description | Principal Amount | Value | ||||||||
Garrison Funding Ltd., Series 2015-1A, Class CR, 3 mo. USD LIBOR + 3.90%, | $ | 4,000,000 | $ | 4,009,864 | ||||||
Greywolf CLO Ltd., | ||||||||||
Series 2014-1A, Class CR, 3 mo. USD LIBOR + 3.20%, | 5,000,000 | 4,990,555 | ||||||||
Series 2014-1A, Class D, 3 mo. USD LIBOR + 5.10%, | 6,300,000 | 6,284,137 | ||||||||
Harbourview CLO Ltd., Series 7RA, Class D, 3 mo. USD LIBOR + 3.36%, | 4,000,000 | 3,940,680 | ||||||||
ICG US CLO Ltd., Series 2016-1A, Class CR, 3 mo. USD LIBOR + 3.05%, | 1,000,000 | 1,001,424 | ||||||||
Jamestown CLO Ltd., | ||||||||||
Series 2014-4A, Class CR, 3 mo. USD LIBOR + 2.65%, | 5,000,000 | 4,947,345 | ||||||||
Series 2015-7A, Class CR, 3 mo. USD LIBOR + 2.60%, | 5,500,000 | 5,458,942 | ||||||||
Series 2018-11A, Class C, 3 mo. USD LIBOR + 3.25%, | 2,000,000 | 2,006,188 | ||||||||
JMP Credit Advisors CLO Ltd., Series 2014-1RA, Class D, 3 mo. USD LIBOR + 2.60%, | 5,310,000 | 5,203,349 | ||||||||
Madison Park Funding Ltd., | ||||||||||
Series 2012-10A, Class DR, 3 mo. USD LIBOR + 4.20%, | 1,000,000 | 1,003,303 | ||||||||
Series 2014-14A, Class DR, 3 mo. USD LIBOR + 3.25%, | 1,000,000 | 1,000,513 | ||||||||
Series 2016-20A, Class DR, 3 mo. USD LIBOR + 3.00%, | 4,000,000 | 3,999,524 | ||||||||
Series 2018-30A, Class D, 3 mo. USD LIBOR + 2.50%, | 4,605,000 | 4,525,274 | ||||||||
Mountain View CLO LLC, Series 2017-1A, Class D, 3 mo. USD LIBOR + 3.60%, | 2,000,000 | 2,007,664 | ||||||||
Mountain View CLO Ltd., | ||||||||||
Series 2015-10A, Class DR, 3 mo. USD LIBOR + 2.60%, | 2,500,000 | 2,449,837 | ||||||||
Series 2015-9A, Class CR, 3 mo. USD LIBOR + 3.12%, | 2,000,000 | 1,994,612 | ||||||||
Nationstar HECM Loan Trust, | ||||||||||
Series 2017-1A, Class M2, | 1,480,000 | 1,471,459 |
See Notes to Consolidated Financial Statements.
41
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Security Description | Principal Amount | Value | ||||||||
Series 2017-2A, Class M2, | $ | 4,070,000 | $ | 4,075,083 | ||||||
Northwoods Capital Ltd., Series 2018-12BA, Class D, 3 mo. USD LIBOR + 3.15%, | 3,000,000 | 2,991,924 | ||||||||
NYMT Residential LLC, Series 2016-RP1A, Class A, | 1,292,268 | 1,292,292 | ||||||||
Oaktree CLO Ltd., | ||||||||||
Series 2014-2A, Class D, 3 mo. USD LIBOR + 5.25%, | 4,500,000 | 4,483,107 | ||||||||
Series 2015-1A, Class DR, 3 mo. USD LIBOR + 5.20%, | 2,500,000 | 2,486,492 | ||||||||
Ocean Trails CLO, | ||||||||||
Series 2014-5A, Class DR, 3 mo. USD LIBOR + 3.60%, | 1,250,000 | 1,247,548 | ||||||||
Series 2014-5A, Class E, 3 mo. USD LIBOR + 5.35%, | 2,000,000 | 1,992,660 | ||||||||
OCP CLO Ltd., Series 2015-9A, Class CR, 3 mo. USD LIBOR + 2.70%, | 1,500,000 | 1,477,182 | ||||||||
Octagon Investment Partners Ltd., | ||||||||||
Series 2012-1A, Class CR, 3 mo. USD LIBOR + 4.00%, | 2,000,000 | 2,023,636 | ||||||||
Series 2014-1A, Class D, 3 mo. USD LIBOR + 6.60%, | 2,000,000 | 1,998,724 | ||||||||
OFSI Fund Ltd., | ||||||||||
Series 2013-5A, Class B2L, 3 mo. USD LIBOR + 5.25%, | 1,900,000 | 1,892,778 | ||||||||
Series 2014-6A, Class CR, 3 mo. USD LIBOR + 2.50%, | 5,000,000 | 4,986,770 | ||||||||
Series 2014-7A, Class DR, 3 mo. USD LIBOR + 3.20%, | 2,000,000 | 1,994,942 | ||||||||
OHA Credit Partners Ltd., Series 2013-9A, Class E, 3 mo. USD LIBOR + 5.00%, | 1,503,000 | 1,498,623 | ||||||||
OneMain Financial Issuance Trust, | ||||||||||
Series 2015-1A, Class D, | 1,500,000 | 1,508,513 | ||||||||
Series 2015-2A, Class D, | 3,000,000 | 3,025,362 | ||||||||
Series 2016-2A, Class C, | 3,500,000 | 3,548,485 | ||||||||
Series 2017-1A, Class D, | 3,500,000 | 3,434,319 |
See Notes to Consolidated Financial Statements.
42
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Security Description | Principal Amount | Value | ||||||||
OZLM Ltd., | ||||||||||
Series 2014-8A, Class CR, 3 mo. USD LIBOR + 3.40%, 5.74%, | $ | 2,250,000 | $ | 2,245,777 | ||||||
Series 2015-12A, Class D, 3 mo. USD LIBOR + 5.40%, 7.74%, | 7,333,000 | 7,333,000 | ||||||||
Series 2015-13A, Class D, 3 mo. USD LIBOR + 5.45%, 7.79%, | 1,100,000 | 1,100,000 | ||||||||
OZLM VI Ltd., Series 2014-6A, Class CS, 3 mo. USD LIBOR + 3.13%, | 2,000,000 | 2,003,874 | ||||||||
OZLM XII Ltd., Series 2015-12A, Class CR, 3 mo. USD LIBOR + 3.00%, 5.19%, 04/30/27 (d),(f),(g) | 1,500,000 | 1,491,773 | ||||||||
Parallel 2017-1 Ltd., Series 2017-1A, Class D, 3 mo. USD LIBOR + 3.60%, 5.95%, 07/20/29 (d),(f),(g) | 6,000,000 | 6,022,770 | ||||||||
Parallel Ltd., Series 2015-1A, Class DR, 3 mo. USD LIBOR + 2.55%, 4.90%, 07/20/27 (d),(f),(g) | 5,000,000 | 4,889,515 | ||||||||
Thacher Park CLO Ltd., Series 2014-1A, Class E2, 3 mo. USD LIBOR + 6.00%, 8.35%, 10/20/26 (d),(f),(g) | 1,000,000 | 997,353 | ||||||||
THL Credit Wind River CLO Ltd., Series 2014-3A, Class DR, 3 mo. USD LIBOR + 3.35%, 5.70%, 01/22/27 (d),(f),(g) | 4,000,000 | 4,000,000 | ||||||||
TICP CLO I-2 Ltd., Series 2018-IA, Class C, 3 mo. USD LIBOR + 3.04%, 5.40%, 04/26/28 (d),(f),(g) | 3,000,000 | 2,992,245 | ||||||||
TICP CLO Ltd., | ||||||||||
Series 2016-6A, Class D, 3 mo. USD LIBOR + 4.20%, 6.54%, 01/15/29 (d),(f),(g) | 1,000,000 | 1,001,704 | ||||||||
Series 2018-IIA, Class C, 3 mo. USD LIBOR + 2.95%, 5.95%, 04/20/28 (d),(f),(g) | 1,500,000 | 1,488,528 | ||||||||
TICP CLO VII Ltd., Series 2017-7A, Class D, 3 mo. USD LIBOR + 3.75%, 6.09%, 07/15/29 (d),(f),(g) | 2,000,000 | 2,001,264 | ||||||||
TruPS Financials Note Securitization Ltd., Series 2017-1A, Class B, 3 mo. USD LIBOR + 5.10%, 7.46%, 04/20/38 (d),(f),(e),(g) | 3,000,000 | 2,946,000 | ||||||||
Venture CDO Ltd., Series 2014-19A, Class D, 3 mo. USD LIBOR + 4.00%, 6.34%, 01/15/27 (b),(d),(f),(g) | 2,500,000 | 2,495,910 | ||||||||
Venture CLO Ltd., | ||||||||||
Series 2013-14A, Class DR, 3 mo. USD LIBOR + 4.00%, | 4,000,000 | 4,023,520 |
See Notes to Consolidated Financial Statements.
43
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Security Description | Principal Amount | Value | ||||||||||
Series 2014-16A, Class DRR, 3 mo. USD LIBOR + 2.51%, | $ | 4,000,000 | $ | 3,960,804 | ||||||||
Series 2014-18A, Class DR, 3 mo. USD LIBOR + 3.10%, | 1,000,000 | 997,983 | ||||||||||
Vericrest Opportunity Loan Trust, | ||||||||||||
Series 2017-NPL6 SEQ, Class A1, | 515,145 | 512,688 | ||||||||||
Series 2017-NPL7 SEQ, Class A1, | 645,585 | 640,324 | ||||||||||
Series 2017-NPL9 SEQ, Class A1, | 1,500,617 | 1,485,211 | ||||||||||
Vericrest Opportunity Loan Trust LLC, Series 2017-NP11 SEQ, Class A1, | 2,191,297 | 2,172,579 | ||||||||||
Vibrant CLO Ltd., | ||||||||||||
Series 2015-3A, Class C, 3 mo. USD LIBOR + 3.65%, 6.00%, | 3,000,000 | 3,000,000 | ||||||||||
Series 2018-8A, Class C, 3 mo. USD LIBOR + 2.85%, 5.20%, 01/20/31 (d),(f),(g) | 6,000,000 | 5,906,070 | ||||||||||
VOYA CLO 2017-2, Series 2017-2A, Class C, 3 mo. USD LIBOR + 3.70%, | 4,000,000 | 4,025,492 | ||||||||||
Voya CLO Ltd., Series 2014-3A, Class CR, 3 mo. USD LIBOR + 2.65%, | 1,000,000 | 994,760 | ||||||||||
WhiteHorse Ltd., Series 2015-10A, Class DR, 3 mo. USD LIBOR + 3.00%, | 1,250,000 | 1,243,831 | ||||||||||
|
| |||||||||||
Total North America |
| 319,207,933 | ||||||||||
|
| |||||||||||
TOTAL ASSET-BACKED SECURITIES |
| 319,207,933 | ||||||||||
|
| |||||||||||
CONVERTIBLE BONDS — 0.7% | ||||||||||||
Europe — 0.3% | ||||||||||||
Pharmaceuticals — 0.3% | ||||||||||||
Bayer Capital Corp. BV, 5.63%, 11/22/19 (d),(f) | 20,000,000 | EUR | 21,379,351 | |||||||||
Bayer Capital Corp. BV REG S, 5.63%, 11/22/19 | 500,000 | EUR | 534,484 | |||||||||
|
| |||||||||||
Total Europe | 21,913,835 | |||||||||||
|
| |||||||||||
Middle East — 0.3% | ||||||||||||
Financial Services — 0.3% | ||||||||||||
Volcan Holdings II PLC, 3.88%, 10/10/20 | 6,700,000 | GBP | 10,435,674 |
See Notes to Consolidated Financial Statements.
44
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Security Description | Principal Amount | Value | ||||||||||
Volcan Holdings PLC REG S, 4.13%, 04/11/20 | 3,700,000 | GBP | $ | 6,221,130 | ||||||||
|
| |||||||||||
Total Middle East | 16,656,804 | |||||||||||
|
| |||||||||||
North America — 0.1% | ||||||||||||
Wireless Telecommunications Services — 0.1% | ||||||||||||
America Movil SAB de CV, 0.01%, 05/28/20 | 6,600,000 | EUR | 7,543,085 | |||||||||
|
| |||||||||||
Total North America | 7,543,085 | |||||||||||
|
| |||||||||||
TOTAL CONVERTIBLE BONDS | 46,113,724 | |||||||||||
|
| |||||||||||
BANK DEBT — 0.6% | ||||||||||||
Asia — 0.0% | ||||||||||||
Transportation & Logistics — 0.0% | ||||||||||||
Hanjin International Corp., 2017 Term Loan B, 3 mo. LIBOR + 2.50%, 4.83%, 10/18/20 (d),(e),(g),(r) | $ | 483,006 | 482,402 | |||||||||
|
| |||||||||||
Total Asia | 482,402 | |||||||||||
|
| |||||||||||
Europe — 0.0% | ||||||||||||
Exploration & Production — 0.0% | ||||||||||||
Endeavour International Holding BV, Term Loan A1, 0.00%, 01/02/19 (d),(e),(j),(r) | 1,563,903 | 312,781 | ||||||||||
|
| |||||||||||
Medical Equipment & Devices Manufacturing — 0.0% |
| |||||||||||
Ortho-Clinical Diagnostics SA, 2018 Term Loan B, 1 mo. LIBOR + 3.25%, 5.49%, 06/30/25 (d),(e),(g) | 2,233,496 | 2,253,035 | ||||||||||
|
| |||||||||||
Wireless Telecommunications Services — 0.0% | ||||||||||||
Intelsat Jackson Holdings S.A., |
| |||||||||||
2017 Term Loan B4, 1 mo. LIBOR + 4.50%, 6.73%, 01/02/24 (d),(e),(g) | 17,354 | 18,211 | ||||||||||
2017 Term Loan B5, 6.63%, 01/02/24 (d),(e) | 202,215 | 210,455 | ||||||||||
|
| |||||||||||
228,666 | ||||||||||||
|
| |||||||||||
Total Europe | 2,794,482 | |||||||||||
|
| |||||||||||
North America — 0.6% | ||||||||||||
Advertising & Marketing — 0.1% | ||||||||||||
Advantage Sales & Marketing, Inc., 2014 1st Lien Term Loan, 1 mo. LIBOR + 3.25%, 5.49%, 07/23/21 (d),(e),(g) | 185,445 | 171,490 | ||||||||||
Getty Images, Inc., Term Loan B, 1 mo. LIBOR + 3.50%, 5.74%, 10/18/19 (d),(e),(g) | 2,592,955 | 2,572,341 | ||||||||||
|
| |||||||||||
2,743,831 | ||||||||||||
|
|
See Notes to Consolidated Financial Statements.
45
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Security Description | Principal Amount | Value | ||||||||
Aerospace & Defense — 0.0% | ||||||||||
Sequa Mezzanine Holdings LLC, | $ | 350,001 | $ | 343,876 | ||||||
|
| |||||||||
Chemicals — 0.0% | ||||||||||
LyondellBasell Industries NV, | ||||||||||
0.00%, 08/15/49 (d),(e),(j),(i) | 16,732,095 | 0 | ||||||||
1.00%, 08/15/15 (d),(e),(g),(i) | 980,468 | EUR | 0 | |||||||
|
| |||||||||
0 | ||||||||||
|
| |||||||||
Coal Operations — 0.0% | ||||||||||
Blackhawk Mining LLC, 2017 Term Loan B1, 3 mo. LIBOR + 10.00%, 12.35%, 02/17/22 (d),(e),(g) | $ | 1,106,060 | 915,265 | |||||||
|
| |||||||||
Commercial Services — 0.0% | ||||||||||
Aegis Sciences Corp., 2018 Term Loan, 3 mo. LIBOR + 5.50%, 7.84%, | 165,292 | 160,609 | ||||||||
|
| |||||||||
Consumer Finance — 0.0% | ||||||||||
Ocwen Financial Corp., 2016 Term Loan B, 1 mo. LIBOR + 5.00%, 7.17%, | 536,710 | 538,723 | ||||||||
|
| |||||||||
Consumer Products — 0.0% | ||||||||||
KIK Custom Products, Inc., 2015 Term Loan B, 1 mo. LIBOR + 4.00%, 6.24%, 05/15/23 (d),(e),(g) | 1,305,661 | 1,298,806 | ||||||||
Revlon Consumer Products Corp., | ||||||||||
2016 Term Loan B, 3 mo. LIBOR + 3.50%, 5.81%, 09/07/23 (d),(e),(g) | 671,312 | 510,869 | ||||||||
2016 Term Loan B, 3 mo. LIBOR + 3.50%, 5.89%, 09/07/23 (d),(e),(g) | 1,717 | 1,306 | ||||||||
|
| |||||||||
1,810,981 | ||||||||||
|
| |||||||||
Containers & Packaging — 0.1% | ||||||||||
BWAY Holding Co., 2017 Term Loan B, 3 mo. LIBOR + 3.25%, 5.58%, | 1,757,909 | 1,755,712 | ||||||||
Fort Dearborn Company, |
| |||||||||
2016 1st Lien Term Loan, 1 mo. LIBOR 4.00%, 6.10%, 10/19/23 (d),(e),(g),(r) | 4,569 | 4,294 | ||||||||
2016 1st Lien Term Loan, 3 mo. LIBOR 4.00%, 6.34%, 10/19/23 (d),(e),(g),(r) | 1,510,117 | 1,419,510 | ||||||||
|
| |||||||||
3,179,516 | ||||||||||
|
|
See Notes to Consolidated Financial Statements.
46
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Security Description | Principal Amount | Value | ||||||||
Educational Services — 0.0% | ||||||||||
SSH Group Holdings, Inc., 2018 1st Lien Term Loan, 3 mo. LIBOR + 4.25%, | $ | 596,668 | $ | 601,441 | ||||||
|
| |||||||||
Electrical Equipment Manufacturing — 0.0% | ||||||||||
Thermon Industries, Inc., Term Loan B, 2 mo. LIBOR + 3.75%, 5.85%, | 669,997 | 673,347 | ||||||||
|
| |||||||||
Financial Services — 0.0% | ||||||||||
UFC Holdings LLC, 1st Lien Term Loan, 1 mo. LIBOR + 3.25%, 5.50%, | 1,205,287 | 1,211,688 | ||||||||
|
| |||||||||
Food & Beverage — 0.0% | ||||||||||
Flavors Holdings, Inc., 1st Lien Term Loan, 3 mo. LIBOR + 5.75%, 8.14%, | 35,162 | 32,525 | ||||||||
|
| |||||||||
Health Care Facilities & Services — 0.1% | ||||||||||
New Millennium HoldCo, Inc., Exit Term Loan, 1 mo. LIBOR + 6.50%, | 145,636 | 80,391 | ||||||||
Pearl Intermediate Parent LLC, 2018 2nd Lien Term Loan, 1 mo. LIBOR + 6.25%, 8.42%, 02/13/26 (d),(e),(g),(r) | 184,860 | 184,860 | ||||||||
Prospect Medical Holdings, Inc., 2018 Term Loan B, 1 mo. LIBOR + 5.50%, 7.63%, 02/22/24 (d),(e),(g),(r) | 1,313,982 | 1,330,407 | ||||||||
Quorum Health Corporation, Term Loan B, 1 mo. LIBOR + 6.75%, 8.99%, | 1,149,600 | 1,165,407 | ||||||||
Wink Holdco, Inc, 2nd Lien Term Loan B, 1 mo. LIBOR + 6.75%, 9.00%, | 496,862 | 495,312 | ||||||||
|
| |||||||||
3,256,377 | ||||||||||
|
| |||||||||
Industrial Other — 0.0% | ||||||||||
Michael Baker International LLC, 2017 Term Loan B, 1 mo. LIBOR + 4.50%, | 535,681 | 537,021 | ||||||||
|
| |||||||||
Internet Media — 0.0% | ||||||||||
W3 Topco LLC, | ||||||||||
2017 Term Loan B, 1 mo. LIBOR + 6.00%, 8.24%, 03/08/22 (d),(e),(g) | 1,096,967 | 1,090,111 | ||||||||
2017 Term Loan B, 3 mo. LIBOR + 6.00%, 8.37%, 03/08/22 (d),(e),(g) | 5,597 | 5,562 | ||||||||
|
| |||||||||
1,095,673 | ||||||||||
|
|
See Notes to Consolidated Financial Statements.
47
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Security Description | Principal Amount | Value | ||||||||
Machinery Manufacturing — 0.1% | ||||||||||
Engineered Machinery Holdings, Inc., | ||||||||||
1st Lien Term Loan, 3 mo. LIBOR + 3.25%, 5.64%, 07/19/24 (d),(e),(g),(s) | $ | 2,202,931 | $ | 2,172,641 | ||||||
2nd Lien Term Loan, 3 mo. LIBOR + 7.25%, 9.64%, 07/18/25 (d),(e),(g),(r) | 834,058 | 828,845 | ||||||||
Gardner Denver, Inc., 2017 Term Loan B, 1 mo. LIBOR + 2.75%, 4.99%, | 2,089,348 | 2,099,585 | ||||||||
|
| |||||||||
5,101,071 | ||||||||||
|
| |||||||||
Metals & Mining — 0.0% | ||||||||||
Offshore Group Investment Ltd., Term Loan, 1 mo. LIBOR + 6.50%, 8.74%, | 575,005 | 577,881 | ||||||||
|
| |||||||||
Pipeline — 0.0% | ||||||||||
AL Midcoast Holdings, LLC, 2018 Term Loan B, 3 mo. LIBOR + 5.50%, | 551,407 | 552,097 | ||||||||
|
| |||||||||
Retail—Consumer Discretionary — 0.0% | ||||||||||
AI Aqua Merger Sub, Inc., | ||||||||||
2017 1st Lien Term Loan B, 1 mo. LIBOR + 3.25%, 5.49%, | 250,759 | 251,072 | ||||||||
2017 Incremental Term Loan, 1 mo. LIBOR + 3.25%, 5.49%, | 642,868 | 642,868 | ||||||||
|
| |||||||||
893,940 | ||||||||||
|
| |||||||||
Retail—Consumer Staples — 0.0% | ||||||||||
Pinnacle Operating Corp., Term Loan, 1 mo. LIBOR + 7.25%, 9.49%, | 1,106,727 | 990,521 | ||||||||
|
| |||||||||
Software — 0.0% | ||||||||||
Navex Global, Inc., | ||||||||||
2018 2nd Lien Term Loan, 3 mo. LIBOR + 7.00%, 9.12%, 08/07/26 (d),(e),(g) | 185,843 | 186,462 | ||||||||
2018 Term Loan B, 3 mo. LIBOR + 3.25%, 5.37%, 08/08/25 (d),(e),(g) | 371,686 | 371,332 | ||||||||
|
| |||||||||
557,794 | ||||||||||
|
| |||||||||
Software & Services — 0.0% | ||||||||||
BlackBoard, Inc., Term Loan B4, 3 mo. LIBOR + 5.00%, 7.33%, 06/30/21 (d),(e),(g) | 1,232,492 | 1,185,830 | ||||||||
Syniverse Holdings, Inc., 2018 1st Lien Term Loan, 1 mo. LIBOR + 5.00%, | 555,849 | 557,466 | ||||||||
|
| |||||||||
1,743,296 | ||||||||||
|
|
See Notes to Consolidated Financial Statements.
48
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Security Description | Principal Amount | Value | ||||||||||
Transportation & Logistics — 0.0% | ||||||||||||
Utility One Source L.P., Term Loan B, 1 mo. LIBOR + 5.50%, 7.74%, | $ | 121,669 | $ | 124,102 | ||||||||
|
| |||||||||||
Wireless Telecommunications Services — 0.1% | ||||||||||||
Ligado Networks LLC, Exit Term Loan, 3 mo. LIBOR (Cash) + 8.75% (PIK), 2.32% (Cash), 8.75% (PIK),, 6.73%, 12/07/20 (d),(e),(g) | 5,964,894 | 4,539,284 | ||||||||||
|
| |||||||||||
Wireline Telecommunication Services — 0.1% | ||||||||||||
Frontier Communications Corp., 2017 Term Loan B1, 0.00%, 06/15/24 (d),(e),(s) | 2,493,687 | 2,440,297 | ||||||||||
|
| |||||||||||
Total North America | 34,621,156 | |||||||||||
|
| |||||||||||
TOTAL BANK DEBT | 37,898,040 | |||||||||||
|
| |||||||||||
CORPORATE BONDS & NOTES — 4.0% | ||||||||||||
Africa — 0.1% | ||||||||||||
Utilities — 0.1% | ||||||||||||
Eskom Holdings SOC Ltd., | ||||||||||||
5.75%, 01/26/21 | 3,009,000 | 2,925,891 | ||||||||||
6.35%, 08/10/28 | 1,404,000 | 1,398,171 | ||||||||||
|
| |||||||||||
Total Africa | 4,324,062 | |||||||||||
|
| |||||||||||
Asia — 0.1% | ||||||||||||
Banks — 0.0% | ||||||||||||
RESPARCS Funding LP I, 8.00% (d),(k) | 537,000 | 196,005 | ||||||||||
|
| |||||||||||
Casinos & Gaming — 0.1% | ||||||||||||
Wynn Macau Ltd., 4.88%, 10/01/24 (d),(f) | 3,754,000 | 3,533,978 | ||||||||||
|
| |||||||||||
Commercial Finance — 0.0% | ||||||||||||
Avation Capital SA, 6.50%, 05/15/21 (d),(f) | 526,000 | 527,315 | ||||||||||
|
| |||||||||||
Financial Services — 0.0% | ||||||||||||
VTB Bank OJSC Via VTB Capital SA, | 3,032,000 | 2,956,806 | ||||||||||
|
| |||||||||||
Utilities — 0.0% | ||||||||||||
1MDB Energy Ltd. REG S, 5.99%, 05/11/22 | 2,500,000 | 2,550,553 | ||||||||||
|
| |||||||||||
Total Asia | 9,764,657 | |||||||||||
|
| |||||||||||
Europe — 1.4% | ||||||||||||
Banks — 0.0% | ||||||||||||
HSH N Funding II Via Banque de Luxembourg, 7.25% (d),(k) | 386,000 | 158,106 |
See Notes to Consolidated Financial Statements.
49
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Security Description | Principal Amount | Value | ||||||||||
RESPARCS Funding II LP, 7.50% (d),(k) | 1,352,000 | EUR | $ | 579,234 | ||||||||
|
| |||||||||||
737,340 | ||||||||||||
|
| |||||||||||
Casinos & Gaming — 0.0% | ||||||||||||
Intralot Capital Luxembourg SA, | 379,000 | EUR | 363,031 | |||||||||
|
| |||||||||||
Property & Casualty Insurance — 0.1% | ||||||||||||
Groupama SA, 6.00%, 01/23/27 | 200,000 | EUR | 278,549 | |||||||||
Groupama SA REG S, 3 mo. EURIBOR + 5.77%, 6.38% (g),(k) | 1,900,000 | EUR | 2,496,576 | |||||||||
|
| |||||||||||
2,775,125 | ||||||||||||
|
| |||||||||||
Wireless Telecommunications Services — 1.3% | ||||||||||||
Intelsat Jackson Holdings SA, | ||||||||||||
8.00%, 02/15/24 (d),(f) | $ | 2,605,000 | 2,741,007 | |||||||||
8.50%, 10/15/24 (f) | 78,930,000 | 79,620,638 | ||||||||||
|
| |||||||||||
82,361,645 | ||||||||||||
|
| |||||||||||
Total Europe | 86,237,141 | |||||||||||
|
| |||||||||||
Middle East — 0.1% | ||||||||||||
Oil & Gas Services & Equipment — 0.1% | ||||||||||||
Oil and Gas Holding Co. BSCC, 7.50%, 10/25/27 | 3,300,000 | 3,250,764 | ||||||||||
|
| |||||||||||
Total Middle East | 3,250,764 | |||||||||||
|
| |||||||||||
North America — 1.4% | ||||||||||||
Advertising & Marketing — 0.0% | ||||||||||||
Aimia, Inc., MTN, 5.60%, 05/17/19 (d),(l) | 844,000 | CAD | 658,328 | |||||||||
|
| |||||||||||
Casinos & Gaming — 0.0% | ||||||||||||
Enterprise Development Authority (The), | $ | 129,000 | 124,163 | |||||||||
Wynn Las Vegas LLC / Wynn Las Vegas Capital Corp., 5.50%, 03/01/25 (d),(f) | 1,133,000 | 1,094,761 | ||||||||||
|
| |||||||||||
1,218,924 | ||||||||||||
|
| |||||||||||
Chemicals — 0.1% | ||||||||||||
Hexion, Inc., | ||||||||||||
10.00%, 04/15/20 (d) | 1,149,000 | 1,124,584 | ||||||||||
10.38%, 02/01/22 (d),(f) | 3,821,000 | 3,715,922 | ||||||||||
Momentive Performance Materials, Inc., 3.88%, 10/24/21 (d) | 48,000 | 51,900 | ||||||||||
|
| |||||||||||
4,892,406 | ||||||||||||
|
|
See Notes to Consolidated Financial Statements.
50
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Security Description | Principal Amount | Value | ||||||||
Commercial Finance — 0.1% | ||||||||||
Fortress Transportation & Infrastructure Investors LLC, 6.75%, 03/15/22 (d),(f) | $ | 7,595,000 | $ | 7,784,875 | ||||||
|
| |||||||||
Consumer Finance — 0.1% | ||||||||||
Curo Group Holdings Corp., 8.25%, 09/01/25 (d),(f) | 2,204,000 | 2,121,372 | ||||||||
|
| |||||||||
Consumer Products — 0.0% | ||||||||||
Kronos Acquisition Holdings, Inc., | 335,000 | 315,737 | ||||||||
Revlon Consumer Products Corp., | ||||||||||
5.75%, 02/15/21 (d),(l) | 150,000 | 120,563 | ||||||||
6.25%, 08/01/24 (d) | 1,446,000 | 878,445 | ||||||||
|
| |||||||||
1,314,745 | ||||||||||
|
| |||||||||
Exploration & Production — 0.1% | ||||||||||
Par Petroleum LLC / Petroleum Finance Corp., 7.75%, 12/15/25 (d),(f) | 5,191,000 | 5,165,045 | ||||||||
|
| |||||||||
Financial Services — 0.1% | ||||||||||
Cooke Omega Investments, Inc. / Alpha VesselCo Holdings, Inc., 8.50%, | 2,192,000 | 2,186,520 | ||||||||
Griffey Intermediate, Inc. / Griffey Finance Sub LLC, 7.00%, 10/15/20 (d),(f) | 1,045,000 | 1,030,631 | ||||||||
JP Morgan Structured Products BV, MTN, | 56,731,000 | 3,124,615 | ||||||||
MF Global Holdings Ltd., | 1,847,000 | 535,630 | ||||||||
|
| |||||||||
6,877,396 | ||||||||||
|
| |||||||||
Health Care Facilities & Services — 0.1% | ||||||||||
AHP Health Partners, Inc., 9.75%, 07/15/26 (d),(f) | 2,153,000 | 2,244,503 | ||||||||
RegionalCare Hospital Partners Holdings, Inc., 8.25%, 05/01/23 (d),(f) | 209,000 | 219,450 | ||||||||
Universal Hospital Services, Inc., | 4,511,000 | 4,527,465 | ||||||||
|
| |||||||||
6,991,418 | ||||||||||
|
| |||||||||
Industrial Other — 0.0% | ||||||||||
Flexi-Van Leasing, Inc., 10.00%, 02/15/23 (d),(f) | 296,000 | 257,520 | ||||||||
Michael Baker International LLC, | 1,553,000 | 1,556,883 | ||||||||
|
| |||||||||
1,814,403 | ||||||||||
|
|
See Notes to Consolidated Financial Statements.
51
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Security Description | Principal Amount | Value | ||||||||
Integrated Oils — 0.3% | ||||||||||
Petroleos Mexicanos, | ||||||||||
3.50%, 01/30/23 | $ | 4,130,000 | $ | 3,915,240 | ||||||
4.63%, 09/21/23 | 2,752,000 | 2,727,232 | ||||||||
4.88%, 01/24/22 | 5,500,000 | 5,563,250 | ||||||||
5.35%, 02/12/28 | 2,900,000 | 2,733,250 | ||||||||
5.50%, 06/27/44 | 1,100,000 | 931,040 | ||||||||
6.38%, 01/23/45 | 800,000 | 738,400 | ||||||||
|
| |||||||||
16,608,412 | ||||||||||
|
| |||||||||
Medical Equipment & Devices Manufacturing — 0.0% | ||||||||||
Crimson Merger Sub, Inc., 6.63%, 05/15/22 (d),(f) | 1,575,000 | 1,538,775 | ||||||||
|
| |||||||||
Oil & Gas Services & Equipment — 0.1% | ||||||||||
CSI Compressco LP / Compressco Finance, Inc., 7.25%, 08/15/22 (b),(d) | 2,560,000 | 2,383,360 | ||||||||
CSI Compressco LP / CSI Compressco Finance, Inc., 7.50%, 04/01/25 (d),(f) | 2,920,000 | 2,978,400 | ||||||||
|
| |||||||||
5,361,760 | ||||||||||
|
| |||||||||
Pipeline — 0.1% | ||||||||||
American Midstream Partners LP / American Midstream Finance Corp., | 3,691,000 | 3,691,000 | ||||||||
Martin Midstream Partners LP / Martin Midstream Finance Corp., 7.25%, 02/15/21 (d) | 1,018,000 | 1,015,455 | ||||||||
|
| |||||||||
4,706,455 | ||||||||||
|
| |||||||||
Publishing & Broadcasting — 0.0% | ||||||||||
LBI Media, Inc. ,11.500%, 04/15/20 (d),(f),(g) | 3,957,903 | 672,844 | ||||||||
|
| |||||||||
Retail—Consumer Discretionary — 0.1% | ||||||||||
DriveTime Automotive Group, Inc. / DT Acceptance Corp., 8.00%, 06/01/21 (b),(d),(f) | 8,127,000 | 8,350,492 | ||||||||
|
| |||||||||
Software & Services — 0.0% | ||||||||||
Syniverse Holdings, Inc., 9.13%, 01/15/19 (d) | 108,000 | 106,785 | ||||||||
|
| |||||||||
Utilities — 0.1% | ||||||||||
NGL Energy Partners LP / NGL Energy Finance Corp., 5.13%, 07/15/19 (d) | 320,000 | 321,600 | ||||||||
Rockpoint Gas Storage Canada Ltd., | 2,768,000 | 2,809,520 | ||||||||
|
| |||||||||
3,131,120 | ||||||||||
|
| |||||||||
Wireless Telecommunications Services — 0.0% | ||||||||||
Sprint Communications, Inc., 9.00%, 11/15/18 (d),(f) | 1,650,000 | 1,660,230 | ||||||||
|
|
See Notes to Consolidated Financial Statements.
52
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Security Description | Principal Amount | Value | ||||||||||
Wireline Telecommunication Services — 0.1% | ||||||||||||
Consolidated Communications, Inc., | $ | 2,858,000 | $ | 2,700,810 | ||||||||
Embarq Corp., 8.00%, 06/01/36 (d) | 2,275,000 | 2,269,312 | ||||||||||
|
| |||||||||||
4,970,122 | ||||||||||||
|
| |||||||||||
Total North America | 85,945,907 | |||||||||||
|
| |||||||||||
South America — 0.9% | ||||||||||||
Integrated Oils — 0.9% | ||||||||||||
Petrobras Global Finance BV, | ||||||||||||
4.38%, 05/20/23 | 5,818,000 | 5,525,936 | ||||||||||
5.75%, 02/01/29 | 17,900,000 | 15,998,125 | ||||||||||
6.00%, 01/27/28 | 29,800,000 | 27,490,500 | ||||||||||
6.13%, 01/17/22 | 4,582,000 | 4,730,228 | ||||||||||
6.25%, 03/17/24 | 3,196,000 | 3,202,392 | ||||||||||
|
| |||||||||||
56,947,181 | ||||||||||||
|
| |||||||||||
Refining & Marketing — 0.0% | ||||||||||||
EP PetroEcuador via Noble Sovereign Funding I Ltd., 3 mo. USD LIBOR + 5.63%, | 915,368 | 912,165 | ||||||||||
|
| |||||||||||
Total South America | 57,859,346 | |||||||||||
|
| |||||||||||
TOTAL CORPORATE BONDS & NOTES | 247,381,877 | |||||||||||
|
| |||||||||||
SOVEREIGN DEBT — 8.4% | ||||||||||||
Angolan Government International Bond, 9.38%, 05/08/48 | 1,116,000 | 1,178,228 | ||||||||||
Argentina POM Politica Monetaria, 43.08%, 06/21/20 (g) | 53,958,819 | ARS | 1,574,725 | |||||||||
Argentine Republic Government International Bond, |
| |||||||||||
2.26%, 12/31/38 (g),(l) | 9,825,403 | EUR | 6,699,087 | |||||||||
2.50%, 12/31/38 (g),(l) | $ | 11,200,000 | 6,585,600 | |||||||||
3.88%, 01/15/22 | 4,213,000 | EUR | 4,415,464 | |||||||||
4.63%, 01/11/23 | $ | 20,508,000 | 17,308,957 | |||||||||
5.63%, 01/26/22 | 4,023,000 | 3,628,746 | ||||||||||
6.88%, 04/22/21 - 01/26/27 | 1,800,000 | 1,614,408 | ||||||||||
Bonos de la Nacion Argentina con Ajuste por CER, 3.75%, 02/08/19 | 55,846,000 | ARS | 1,683,901 | |||||||||
Brazilian Government International Bond, 4.88%, 01/22/21 | $ | 4,942,000 | 4,998,882 | |||||||||
Deutsche Bundesrepublik Inflation Linked Bond REG S, 0.10%, 04/15/26 (d) | 30,375,592 | EUR | 38,748,966 |
See Notes to Consolidated Financial Statements.
53
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Security Description | Principal Amount | Value | ||||||||
Ecuador Government International Bond, |
| |||||||||
8.75%, 06/02/23 | $ | 376,000 | $ | 376,376 | ||||||
10.75%, 03/28/22 | 2,662,000 | 2,828,375 | ||||||||
Egypt Government International Bond, |
| |||||||||
6.88%, 04/30/40 | 2,500,000 | 2,217,750 | ||||||||
7.90%, 02/21/48 (f) | 14,900,000 | 14,192,250 | ||||||||
France Government Bond OAT REG S, 0.10%, 03/01/25 (b),(d) | 25,953,914 | EUR | 32,280,115 | |||||||
French Republic Government Bond OAT, 0.10%, 03/01/28 (d) | 17,188,141 | EUR | 21,422,608 | |||||||
Hellenic Republic Government Bond, |
| |||||||||
1.00%, 10/15/42 (g) | 10,100,000 | EUR | 37,642 | |||||||
3.38%, 02/15/25 (f) | 7,100,000 | EUR | 8,041,082 | |||||||
3.75%, 01/30/28 | 9,800,000 | EUR | 11,008,295 | |||||||
3.90%, 01/30/33 | 25,025,441 | EUR | 26,531,113 | |||||||
4.00%, 01/30/37 | 19,200,000 | EUR | 19,438,170 | |||||||
4.20%, 01/30/42 | 5,550,000 | EUR | 5,624,948 | |||||||
Iraq International Bond, 5.80%, 01/15/28 | $ | 24,200,000 | 22,906,026 | |||||||
Japan Treasury Discount Bill, 0.00%, 10/15/18 (d),(j) | 3,000,000,000 | JPY | 26,404,885 | |||||||
Jordan Government International Bond, 7.38%, 10/10/47 | $ | 13,100,000 | 12,314,000 | |||||||
Mexican Bonos, 10.00%, 12/05/24 (b),(d) | 315,050,000 | MXN | 18,658,556 | |||||||
National Highways Authority of India, 7.30%, 05/18/22 | 330,000,000 | INR | 4,278,924 | |||||||
Nigeria Government International Bond, |
| |||||||||
7.14%, 02/23/30 (f) | $ | 6,800,000 | 6,632,040 | |||||||
MTN, 7.63%, 11/28/47 | 5,900,000 | 5,646,182 | ||||||||
Paraguay Government International Bond, 4.63%, 01/25/23 | 5,367,000 | 5,413,961 | ||||||||
Republic of South Africa Government Bond, | ||||||||||
8.75%, 02/28/48 (b) | 189,296,012 | ZAR | 11,901,571 | |||||||
10.50%, 12/21/26 (b) | 297,800,548 | ZAR | 22,809,000 | |||||||
Republic of South Africa Government International Bond, 5.50%, 03/09/20 | $ | 5,508,000 | 5,610,779 | |||||||
Russian Foreign Bond - Eurobond, | ||||||||||
4.50%, 04/04/22 | 9,600,000 | 9,720,000 | ||||||||
5.00%, 04/29/20 | 2,800,000 | 2,852,500 | ||||||||
5.25%, 06/23/47 | 17,600,000 | 16,864,074 | ||||||||
Saudi Government International Bond, MTN, | ||||||||||
2.38%, 10/26/21 | 5,930,000 | 5,722,450 | ||||||||
Sweden Government Bond, | ||||||||||
0.75%, 05/12/28 (d) | 133,000,000 | SEK | 15,129,322 | |||||||
1.00%, 11/12/26 (d) | 177,000,000 | SEK | 20,774,209 |
See Notes to Consolidated Financial Statements.
54
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Security Description | Principal Amount | Value | ||||||||||
Turkey Government International Bond, | ||||||||||||
5.63%, 03/30/21 | $ | 2,130,000 | $ | 2,086,335 | ||||||||
7.00%, 06/05/20 | 8,128,000 | 8,206,435 | ||||||||||
United Kingdom Gilt Inflation Linked Bond REG S ,0.125%, 03/22/24 - 03/22/26 (d) | 46,095,969 | GBP | 68,813,692 | |||||||||
ZAR Sovereign Capital Fund Propriety Ltd., | $ | 2,962,000 | 2,947,652 | |||||||||
|
| |||||||||||
TOTAL SOVEREIGN DEBT | 528,128,281 | |||||||||||
|
| |||||||||||
MORTGAGE-BACKED SECURITIES — 26.6% |
| |||||||||||
North America — 26.6% | ||||||||||||
Collateralized Mortgage Obligation (Residential) — 17.9% |
| |||||||||||
Bellemeade Re Ltd., | ||||||||||||
Series 2015-1A, Class M2, 1 mo. USD LIBOR + 4.30%, 6.52%, | 869,631 | 875,970 | ||||||||||
Series 2017-1, Class M2, 1 mo. USD LIBOR + 3.35%, 5.57%, | 7,962,000 | 8,233,449 | ||||||||||
Series 2018-2A, Class B1, 1 mo. USD LIBOR + 2.65%, | 250,000 | 255,835 | ||||||||||
Chase Mortgage Finance Corp., Series 2007-A2, Class 3A2, 4.08%, 07/25/37 (d),(g) | 145,496 | 144,245 | ||||||||||
ChaseFlex Trust, Series 2007-2, Class A2, 1 mo. USD LIBOR + .34%, 2.56%, 05/25/37 (d),(g) | 766,834 | 717,868 | ||||||||||
Citicorp Mortgage Securities Trust, Series 2006-3, Class 1A10, 6.25%, 06/25/36 (d) | 339,201 | 338,839 | ||||||||||
Connecticut Avenue Securities, | ||||||||||||
Series 2015-C03, Class 1M2, 1 mo. USD LIBOR + 5.00%, | 1,151,303 | 1,311,438 | ||||||||||
Series 2015-C04, Class 2M2, 1 mo. USD LIBOR + 5.55%, | 4,689,791 | 5,329,150 | ||||||||||
Series 2015-C04, Class 1M2, 1 mo. USD LIBOR + 5.70%, | 6,466,417 | 7,508,997 | ||||||||||
Series 2016-C01, Class 1M2, 1 mo. USD LIBOR + 6.75%, | 4,666,805 | 5,612,001 | ||||||||||
Series 2016-C02, Class 1M2, 1 mo. USD LIBOR + 6.00%, | 26,712,000 | 31,447,049 | ||||||||||
Series 2016-C03, Class 2M2, 1 mo. USD LIBOR + 5.90%, | 4,336,000 | 5,019,874 |
See Notes to Consolidated Financial Statements.
55
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Security Description | Principal Amount | Value | ||||||||
Series 2016-C05, Class 2M2, 1 mo. USD LIBOR + 4.45%, | $ | 7,014,000 | $ | 7,844,359 | ||||||
Countrywide Alternative Loan Trust, | ||||||||||
Series 2004-28CB SEQ, Class 3A1, 6.00%, 01/25/35 (d) | 773,130 | 770,014 | ||||||||
Series 2005-21CB, Class A17, 6.00%, 06/25/35 (b),(d) | 889,070 | 873,761 | ||||||||
Countrywide Asset-Backed Certificates, | ||||||||||
Series 2005-15, Class 1AF6, | 3,408 | 3,428 | ||||||||
Series 2006-BC4, Class 2A2, 1 mo. USD LIBOR + ..16%, | 73,019 | 72,725 | ||||||||
Federal Home Loan Mortgage Corp., | ||||||||||
Series 2015-SC02, Class M3, | 866,000 | 809,915 | ||||||||
Series 2016-DNA3, Class M3, 1 mo. USD LIBOR + 5.00%, | 1,784,000 | 2,088,916 | ||||||||
Series 2016-DNA4, Class M3, 1 mo. USD LIBOR + 3.80%, | 1,500,000 | 1,690,320 | ||||||||
Series 2016-HQA3, Class M3, 1 mo. USD LIBOR + 3.85%, | 7,794,000 | 8,840,602 | ||||||||
Series 2016-HQA4, Class M3, 1 mo. USD LIBOR + 3.90%, | 18,497,000 | 20,897,078 | ||||||||
Series 2017-DNA, Class M2, 1 mo. USD LIBOR + 3.25%, | 1,388,000 | 1,518,888 | ||||||||
Series 2017-DNA2, Class M2, 1 mo. USD LIBOR + 3.45%, | 2,592,000 | 2,864,862 | ||||||||
Series 2017-DNA3, Class M2, 1 mo. USD LIBOR + 2.50%, | 4,838,000 | 5,070,224 | ||||||||
Series 2017-HQA1, Class M2, 1 mo. USD LIBOR + 3.55%, | 13,755,000 | 15,139,441 | ||||||||
Series 2017-HQA2, Class M2, 1 mo. USD LIBOR + 2.65%, | 21,703,000 | 22,771,894 | ||||||||
Series 2017-HQA3, Class M2, 1 mo. USD LIBOR + 2.35%, | 2,926,000 | 3,020,305 | ||||||||
Series 2017-HRP1, Class M2, 1 mo. USD LIBOR + 2.45%, | 1,687,000 | 1,740,191 | ||||||||
Series 2017-SPI1, Class M2, | 284,000 | 264,186 | ||||||||
Series 2018-DNA1, Class M2, 1 mo. USD LIBOR + 1.80%, | 28,605,000 | 28,468,640 |
See Notes to Consolidated Financial Statements.
56
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Security Description | Principal Amount | Value | ||||||||
Series 2018-HQA1, Class M2, 1 mo. USD LIBOR + 2.30%, | $ | 9,157,000 | $ | 9,275,006 | ||||||
Federal National Mortgage Association, | ||||||||||
4.00%, 10/01/48 (d),(m) | 125,000,000 | 126,347,625 | ||||||||
4.50%, 11/01/48 (d),(m) | 70,500,000 | 72,639,785 | ||||||||
Series 2016-C06, Class 1M2, 1 mo. USD LIBOR + 4.25%, | 40,655,000 | 46,392,315 | ||||||||
Series 2016-C07, Class 2M2, 1 mo. USD LIBOR + 4.35%, | 29,355,000 | 32,831,806 | ||||||||
Series 2017-C01, Class 1M2, 1 mo. USD LIBOR + 3.55%, | 27,530,000 | 30,174,477 | ||||||||
Series 2017-C02, Class 2M2, 1 mo. USD LIBOR + 3.65%, | 26,653,000 | 29,395,327 | ||||||||
Series 2017-C03, Class 1M2, 1 mo. USD LIBOR + 3.00%, | 23,453,000 | 25,207,050 | ||||||||
Series 2017-C04, Class 2M2, 1 mo. USD LIBOR + 2.85%, | 41,623,000 | 44,014,117 | ||||||||
Series 2017-C05, Class 1M2, 1 mo. USD LIBOR + 2.20%, | 34,086,000 | 35,160,050 | ||||||||
Series 2017-C06, Class 1M2, 1 mo. USD LIBOR + 2.65%, | 20,331,000 | 21,253,905 | ||||||||
Series 2017-C06, Class 2M2, 1 mo. USD LIBOR + 2.80%, | 34,109,000 | 35,748,347 | ||||||||
Series 2017-C07, Class 1M2, 1 mo. USD LIBOR + 2.40%, | 8,593,000 | 8,916,449 | ||||||||
Series 2018-C01, Class 1M2, 1 mo. USD LIBOR + 2.25%, | 76,751,000 | 78,568,694 | ||||||||
Series 2018-C02, Class 2M2, 1 mo. USD LIBOR + 2.20%, | 8,357,000 | 8,467,847 | ||||||||
Series 2018-C03, Class 1M2, 1 mo. USD LIBOR + 2.15%, | 31,292,000 | 31,693,821 | ||||||||
Series 2018-C04, Class 2M2, 1 mo. USD LIBOR + 2.55%, | 35,552,000 | 36,332,722 | ||||||||
Series 2018-C05, Class 1M2, 1 mo. USD LIBOR + 2.35%, | 30,408,000 | 30,899,485 | ||||||||
Government National Mortgage Association, | 94,300,000 | 95,876,507 | ||||||||
Oaktown RE Ltd., Series 2017-1A, Class M2, 1 mo. USD LIBOR + 4.00%, | 8,686,000 | 8,876,475 |
See Notes to Consolidated Financial Statements.
57
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Security Description | Principal Amount | Value | ||||||||
Radnor RE Ltd., Series 2018-1, Class M2, 1 mo. USD LIBOR + 2.70%, | $ | 401,000 | $ | 402,438 | ||||||
Sequoia Mortgage Trust, | ||||||||||
Series 2018-3, Class B4, | 642,000 | 449,351 | ||||||||
Series 2018-5, Class B4, | 649,000 | 466,471 | ||||||||
STACR Trust, | ||||||||||
Series 2018-DNA2, Class M2, 1 mo. USD LIBOR + 2.15%, | 20,664,000 | 20,839,582 | ||||||||
Series 2018-DNA3, Class M2, 1 mo. USD LIBOR + 2.10%, | 13,936,000 | 13,978,421 | ||||||||
Series 2018-HRP1, Class M2, 1 mo. USD LIBOR + 1.65%, | 985,466 | 996,882 | ||||||||
Structured Agency Credit Risk, | ||||||||||
Series 2015-HQA1, Class M3, 1 mo. USD LIBOR + 4.70%, | 1,848,879 | 2,129,169 | ||||||||
Series 2015-HQA1, Class B, 1 mo. USD LIBOR + 8.80%, | 3,386,364 | 3,933,194 | ||||||||
Series 2015-HQA2, Class M3, 1 mo. USD LIBOR + 4.80%, | 5,130,000 | 5,991,681 | ||||||||
Series 2016-DNA1, Class M3, 1 mo. USD LIBOR + 5.55%, | 34,897,681 | 42,168,613 | ||||||||
Series 2016-DNA2, Class M3, 1 mo. USD LIBOR + 4.65%, | 7,380,000 | 8,494,823 | ||||||||
Series 2016-HQA1, Class M3, 1 mo. USD LIBOR + 6.35%, | 5,109,000 | 6,280,611 | ||||||||
Series 2016-HQA2, Class M3, 1 mo. USD LIBOR + 5.15%, | 14,088,000 | 16,707,382 | ||||||||
Wells Fargo Mortgage-Backed Securities Trust, Series 2007-14, Class 1A1, | 852,760 | 843,642 | ||||||||
|
| |||||||||
1,123,298,534 | ||||||||||
|
| |||||||||
Commercial Mortgage-Backed Securities — 8.2% | ||||||||||
280 Park Avenue Mortgage Trust, Series 2017-280P, Class F, 1 mo. USD LIBOR + 2.83%, | 8,000,000 | 8,003,632 |
See Notes to Consolidated Financial Statements.
58
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Security Description | Principal Amount | Value | ||||||||
Ashford Hospitality Trust, Series 2018-ASHF, Class E, 1 mo. USD LIBOR + 3.10%, | $ | 3,000,000 | $ | 3,022,566 | ||||||
Banc of America Commercial Mortgage Trust, | ||||||||||
Series 2006-4, Class AJ, 5.70%, 07/10/46 (g) | — | 0 | ||||||||
Series 2007-1 SEQ, Class AMFX, | 8,831,651 | 8,952,786 | ||||||||
Series 2007-3, Class F, 5.87%, 06/10/49 (f),(g) | 3,013,735 | 3,019,461 | ||||||||
Series 2007-4, Class F, 5.93%, 02/10/51 (f),(g) | 4,346,073 | 4,370,411 | ||||||||
Series 2007-4, Class G, | 2,478,404 | 2,527,229 | ||||||||
Bank 2017-BNK4, Series 2017-BNK8, Class A4, 3.49%, 11/15/50 (b),(d) | 4,200,000 | 4,094,009 | ||||||||
BBCMS Trust, | ||||||||||
Series 2014-BXO, Class D, 1 mo. USD LIBOR + 3.00%, | 2,084,912 | 2,088,408 | ||||||||
Series 2014-BXO, Class E, 1 mo. USD LIBOR + 3.75%, | 1,546,000 | 1,548,121 | ||||||||
BBCMS Trust 2018-CBM, Series 2018-CBM, Class D, 1 mo. USD LIBOR + 2.39%, | 2,000,000 | 2,007,734 | ||||||||
Bear Stearns Commercial Mortgage Securities Trust, | ||||||||||
Series 2005-PWR9, Class F, | 6,040,708 | 6,061,246 | ||||||||
Series 2006-PW13, Class D, | 2,022,991 | 2,094,200 | ||||||||
Series 2007-PW16, Class C, | 6,603,051 | 6,622,199 | ||||||||
Series 2007-PW18, Class AJA, | 1,648,193 | 1,649,676 | ||||||||
Series 2007-PW18, Class B, | 495,427 | 505,336 | ||||||||
Series 2007-T26, Class AM, | 44,214 | 44,798 | ||||||||
Benchmark Mortgage Trust, Series 2018-B2 SEQ, Class A5, | 5,000,000 | 5,040,115 | ||||||||
BHMS, Series 2018-ATLS, Class C, 1 mo. USD LIBOR + 1.90%, | 3,000,000 | 2,999,991 | ||||||||
BX Trust, | ||||||||||
Series 2017-SLCT, Class E, 1 mo. USD LIBOR + 3.15%, | 8,418,655 | 8,451,075 | ||||||||
Series 2017-SLCT, Class F, 1 mo. USD LIBOR + 4.25%, | 3,550,913 | 3,569,921 |
See Notes to Consolidated Financial Statements.
59
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Security Description | Principal Amount | Value | ||||||||
Series 2018-GW, Class F, 1 mo. USD LIBOR + 2.42%, | $ | 2,500,000 | $ | 2,510,905 | ||||||
BXP Trust, Series 2017-CQHP, Class E, 1 mo. USD LIBOR + 3.00%, 5.16%, 11/15/34 (d),(f),(g) | 1,000,000 | 999,498 | ||||||||
Caesars Palace Las Vegas Trust, Series 2017-VICI, Class E, 4.50%, 10/15/34 (d),(f),(g) | 3,600,000 | 3,535,006 | ||||||||
CCRESG Commercial Mortgage Trust, Series 2016-HEAT, Class E, | 626,142 | 627,034 | ||||||||
CD Mortgage Trust, Series 2017-CD6, Class A5, 3.46%, 11/13/50 (d) | 3,800,000 | 3,706,125 | ||||||||
CFCRE Commercial Mortgage Trust, | ||||||||||
Series 2016-C6, Class D, 4.36%, 11/10/49 (d),(f),(g) | 3,266,000 | 2,849,356 | ||||||||
Series 2016-C7, Class D, 4.59%, 12/10/54 (d),(f),(g) | 1,605,000 | 1,422,420 | ||||||||
CGGS Commercial Mortgage Trust, Series 2018-WSS, Class E, 1 mo. USD LIBOR + 3.15%, 5.31%, 02/15/37 (f),(g) | 6,289,051 | 6,344,042 | ||||||||
CHT Mortgage Trust, Series 2017-CSMO, Class F, 1 mo. USD LIBOR + 3.74%, 5.90%, 11/15/36 (d),(f),(g) | 8,000,000 | 8,069,992 | ||||||||
Citigroup Commercial Mortgage Trust, | ||||||||||
Series 2006-C4, Class C, 6.40%, 03/15/49 (b),(g) | 1,594,396 | 1,632,502 | ||||||||
Series 2015-GC27, Class D, 4.58%, 02/10/48 (f),(g) | 1,239,361 | 1,140,783 | ||||||||
Series 2015-GC29, Class D, 3.11%, 04/10/48 (d),(f),(h) | 4,286,000 | 3,649,212 | ||||||||
Series 2015-GC31, Class D, 4.20%, 06/10/48 (d),(g) | 1,850,000 | 1,629,086 | ||||||||
Series 2016-C3, Class D, 3.00%, 11/15/49 (d),(f) | 1,826,000 | 1,452,006 | ||||||||
Series 2018-B2 SEQ, Class A4, 4.01%, 03/10/51 (d) | 2,060,000 | 2,086,601 | ||||||||
COBALT CMBS Commercial Mortgage Trust, Series 2007-C2, Class AJFX, 5.57%, 04/15/47 (b),(g) | 2,922,375 | 2,930,266 | ||||||||
COBALT Commercial Mortgage Trust, Series 2007-C3, Class AJ, 6.02%, 05/15/46 (g) | 4,694,331 | 4,763,807 | ||||||||
COMM Mortgage Trust, | ||||||||||
Series 2013-CR12, Class C, 5.25%, 10/10/46 (g) | 2,398,831 | 2,404,653 | ||||||||
Series 2015-PC1, Class C, 4.59%, 07/10/50 (g) | 1,387,326 | 1,356,032 |
See Notes to Consolidated Financial Statements.
60
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Security Description | Principal Amount | Value | ||||||||
Commercial Mortgage Trust, | ||||||||||
Series 2006-C8 SEQ, Class AJ, 5.38%, 12/10/46 (b) | $ | 442,122 | $ | 445,084 | ||||||
Series 2014-PAT, Class E, 1 mo. USD LIBOR + 3.15%, 5.28%, | 2,400,000 | 2,409,082 | ||||||||
Series 2014-TWC, Class D, 1 mo. USD LIBOR + 2.25%, 4.40%, 02/13/32 (f),(g) | 1,903,058 | 1,914,958 | ||||||||
Series 2015-CR23, Class D, 4.39%, 05/10/48 (b),(d),(g) | 1,745,000 | 1,520,949 | ||||||||
Credit Suisse Commercial Mortgage Trust, | ||||||||||
Series 2007-C1, Class AMFX, 5.42%, 02/15/40 (f),(g),(h) | 4,594,507 | 4,598,642 | ||||||||
Series 2007-C1, Class AM, 5.42%, 02/15/40 (b),(h) | 5,640,032 | 5,645,108 | ||||||||
Series 2007-C2, Class AJ, 5.75%, 01/15/49 (g) | 5,518,831 | 5,604,924 | ||||||||
Series 2008-C1, Class AM, | 1,945,806 | 1,942,693 | ||||||||
CSAIL Commercial Mortgage Trust, | ||||||||||
Series 2015-C2, Class D, 4.35%, 06/15/57 (d),(g) | 1,282,000 | 1,075,079 | ||||||||
Series 2015-C3, Class D, 3.50%, 08/15/48 (d),(g),(h) | 3,139,000 | 2,537,596 | ||||||||
GE Commercial Mortgage Corp., Series 2007-C1, Class AM, 5.61%, 12/10/49 (b),(g),(h) | 13,597,433 | 13,529,446 | ||||||||
GE Commercial Mortgage Corp. Trust, Series 2007-C1 SEQ, Class AMFX, 5.54%, 12/10/49 (b),(f),(g) | 206,192 | 204,997 | ||||||||
GS Mortgage Securities Corp. II, Series 2017-GS8, Class A4, 3.47%, 11/10/50 (d) | 5,700,000 | 5,539,722 | ||||||||
GS Mortgage Securities Corp. Trust, Series 2018-CHLL, Class E, 1 mo. USD LIBOR + 2.35%, 4.51%, 02/15/37 (f),(g) | 2,598,201 | 2,618,509 | ||||||||
GS Mortgage Securities Trust, | ||||||||||
Series 2007-GG10, Class AM, 5.98%, 08/10/45 (g),(h) | 4,690,637 | 4,709,399 | ||||||||
Series 2012-GC6, Class D, 5.84%, 01/10/45 (f),(g),(h) | 5,961,773 | 5,865,317 | ||||||||
Series 2013-GC12, Class D, 4.59%, 06/10/46 (d),(f),(g),(h) | 10,077,137 | 9,168,613 | ||||||||
Series 2017-SLP, Class E, 4.74%, 10/10/32 (d),(f),(g) | 5,000,000 | 4,861,515 | ||||||||
Hyatt Hotel Portfolio Trust, | ||||||||||
Series 2017-HYT2, Class D, 1 mo. USD LIBOR + 1.85%, 4.01%, 08/09/32 (d),(f),(g) | 3,500,000 | 3,507,007 | ||||||||
Series 2017-HYT2, Class F, 1 mo. USD LIBOR +3.05%, 5.21%, 08/09/32 (d),(f),(g) | 4,225,000 | 4,246,121 |
See Notes to Consolidated Financial Statements.
61
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Security Description | Principal Amount | Value | ||||||||
JP Morgan Chase Commercial Mortgage Securities Corp., Series 2018-LAQ, Class E, 1 mo. USD LIBOR + 3.00%, 5.16%, 06/15/35 (d),(f),(g) | $ | 2,500,000 | $ | 2,526,685 | ||||||
JP Morgan Chase Commercial Mortgage Securities Trust, | ||||||||||
Series 2003-CB7, Class H, 5.90%, 01/12/38 (b),(f),(g) | 4,065,178 | 4,181,442 | ||||||||
Series 2005-CB13, Class AJ, 5.77%, 01/12/43 (b),(g),(h) | 9,550,418 | 9,605,811 | ||||||||
Series 2005-LDP2, Class G, 5.65%, 07/15/42 (f),(g),(h) | 7,263,593 | 7,317,344 | ||||||||
Series 2006-CB14, Class AJ, 5.77%, 12/12/44 (b),(g) | 103,733 | 103,837 | ||||||||
Series 2006-CB15, Class AM, 5.86%, 06/12/43 (g),(h) | 16,036,191 | 16,150,048 | ||||||||
Series 2007-CB18, Class AM, 5.47%, 06/12/47 (b),(g) | 182,544 | 183,347 | ||||||||
Series 2007-CB20, Class D, 6.44%, 02/12/51 (f),(g) | 1,487,233 | 1,511,326 | ||||||||
Series 2007-LD11, Class AM, 6.18%, 06/15/49 (g),(h) | 6,331,974 | 6,438,984 | ||||||||
Series 2010-C1, Class B, 5.95%, 06/15/43 (f) | 2,726,593 | 2,767,705 | ||||||||
Series 2014-BXH, Class E, 1 mo. USD LIBOR + 3.75%, | 1,413,798 | 1,413,929 | ||||||||
Series 2014-C20, Class D, | 3,813,137 | 3,354,363 | ||||||||
Series 2018-ASH8, Class E, 1 mo. USD LIBOR + 3.00%, | 3,000,000 | 3,016,956 | ||||||||
Series 2018-PHH, Class E, 1 mo. USD LIBOR + 2.41%, | 3,000,000 | 3,013,152 | ||||||||
JPMBB Commercial Mortgage Securities Trust, | ||||||||||
Series 2013-C12, Class D, 4.23%, 07/15/45 (g),(h) | 7,875,536 | 7,199,736 | ||||||||
Series 2015-C28, Class D, 3.88%, 10/15/48 (d),(f),(g) | 5,074,000 | 4,256,203 | ||||||||
Series 2015-C28, Class C, 4.38%, 10/15/48 (g),(h) | 6,040,592 | 5,868,677 | ||||||||
Series 2015-C30, Class D, 3.94%, 07/15/48 (d),(g) | 564,500 | 494,430 | ||||||||
Series 2015-C30, Class C, 4.44%, 07/15/48 (d),(g),(h) | 11,768,000 | 11,538,983 | ||||||||
JPMDB Commercial Mortgage Securities Trust, Series 2017-C7 SEQ, Class A5, 3.41%, 10/15/50 (b),(d) | 4,950,000 | 4,802,267 | ||||||||
LB Commercial Mortgage Trust, | ||||||||||
Series 2007-C3, Class AJFL, 1 mo. USD LIBOR + ..35%, | 3,928,222 | 3,896,796 | ||||||||
Series 2007-C3, Class AJ, 6.09%, 07/15/44 (g) | 1,156,779 | 1,164,992 |
See Notes to Consolidated Financial Statements.
62
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Security Description | Principal Amount | Value | ||||||||
LB UBS Commercial Mortgage Trust, Series 2008-C1, Class AM, | $ | 4,455,680 | $ | 4,628,115 | ||||||
LB-UBS Commercial Mortgage Trust, | ||||||||||
Series 2006-C1, Class C, 5.34%, 02/15/41 (g),(h) | 7,680,821 | 7,683,893 | ||||||||
Series 2006-C4, Class G, 6.42%, 06/15/38 (f),(g) | 846,716 | 851,711 | ||||||||
Series 2007-C1, Class F, 5.61%, 02/15/40 (g),(h) | 6,305,263 | 6,342,464 | ||||||||
Series 2007-C6, Class AJ, 6.48%, 07/15/40 (b),(g),(h) | 17,764,606 | 18,063,051 | ||||||||
Lone Star Portfolio Trust, Series 2015-LSP, Class E, 1 mo. USD LIBOR + 5.60%, 8.01%, 09/15/28 (d),(f),(g) | 7,081,748 | 7,121,632 | ||||||||
LSTAR Commercial Mortgage Trust, Series 2015-3, Class D, | 3,194,000 | 2,492,952 | ||||||||
Merrill Lynch Mortgage Trust, | ||||||||||
Series 2006-C1, Class AJ, 5.78%, 05/12/39 (b),(g) | 1,263,252 | 1,264,768 | ||||||||
Series 2006-C2, Class AJ, 5.80%, 08/12/43 (g) | — | 0 | ||||||||
Series 2007-C1, Class AM, 6.00%, 06/12/50 (b),(g) | 1,135,064 | 1,135,745 | ||||||||
ML-CFC Commercial Mortgage Trust, | ||||||||||
Series 2007-6, Class AM, 5.53%, 03/12/51 (g),(h) | 5,075,644 | 5,099,500 | ||||||||
Series 2007-7, Class AMFL, 1 mo. USD LIBOR + .23%, 2.33%, | 673,964 | 673,425 | ||||||||
Series 2007-7, Class AM, 5.75%, 06/12/50 (b),(g) | 695,109 | 694,622 | ||||||||
Series 2007-8, Class AMA, 5.84%, 08/12/49 (g) | — | 0 | ||||||||
Morgan Stanley Bank of America Merrill Lynch Trust, | ||||||||||
Series 2013-C13, Class D, 5.05%, 11/15/46 (f),(g),(h) | 5,017,893 | 4,924,796 | ||||||||
Series 2014-C19, Class D, 3.25%, 12/15/47 (d),(f) | 3,660,000 | 3,111,974 | ||||||||
Series 2015-C21, Class D, 4.30%, 03/15/48 (d),(f),(g) | 4,754,000 | 4,071,592 | ||||||||
Series 2015-C23, Class D, 4.27%, 07/15/50 (d),(f),(g) | 2,195,000 | 1,974,694 | ||||||||
Series 2015-C27, Class D, 3.24%, 12/15/47 (d),(f),(g) | 1,466,500 | 1,245,815 |
See Notes to Consolidated Financial Statements.
63
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Security Description | Principal Amount | Value | ||||||||
Series 2016-C29, Class D, 3.00%, 05/15/49 (d),(f) | $ | 2,517,000 | $ | 1,979,303 | ||||||
Series 2016-C30, Class D, 3.00%, 09/15/49 (d),(f),(g) | 1,323,000 | 1,035,135 | ||||||||
Series 2016-C32, Class D, 3.40%, 12/15/49 (d),(f),(g) | 991,000 | 797,655 | ||||||||
Series 2017-C34 SEQ, Class A4, 3.54%, 11/15/52 (b),(d) | 2,907,303 | 2,845,517 | ||||||||
Morgan Stanley Capital I Trust, | ||||||||||
Series 2006-HQ10, Class AJ, 5.39%, 11/12/41 (b),(g) | 6,130,007 | 6,140,428 | ||||||||
Series 2006-HQ8, Class D, 5.79%, 03/12/44 (g) | 1,553,889 | 1,543,478 | ||||||||
Series 2006-HQ9, Class E, 5.90%, 07/12/44 (g),(h) | 5,483,796 | 5,536,989 | ||||||||
Series 2007-IQ14, Class AM, 5.76%, 04/15/49 (g) | — | 0 | ||||||||
Series 2007-T25, Class AJ, 5.57%, 11/12/49 (b),(g),(h) | 11,158,457 | 11,291,243 | ||||||||
Series 2016-UB12, Class D, 3.31%, 12/15/49 (d),(f) | 1,761,000 | 1,350,890 | ||||||||
Series 2017-JWDR, Class E, 1 mo. USD LIBOR + 3.05%, | 6,000,000 | 6,021,894 | ||||||||
Series 2018-BOP, Class F, 1 mo. USD LIBOR + 2.50%, | 1,000,000 | 1,003,213 | ||||||||
Morgan Stanley Capital Trust, Series 2007-IQ15, Class AJ, | 1,638,615 | 1,676,795 | ||||||||
Motel 6 Trust, Series 2017-MTL6, Class E, 1 mo. USD LIBOR + 3.25%, 5.41%, 08/15/34 (d),(f),(g),(h) | 12,886,373 | 12,957,042 | ||||||||
Palisades Center Trust, Series 2016-PLSD, Class D, 4.74%, 04/13/33 (d),(f) | 6,907,000 | 6,773,515 | ||||||||
PFP Ltd., Series 2017-3, Class D, 1 mo. USD LIBOR + 3.50%, | 1,000,000 | 1,005,144 | ||||||||
TPG Real Estate Finance Issuer Ltd., Series 2018-FL1, Class D, 1 mo. USD LIBOR + 2.70%, 4.86%, 02/15/35 (d),(f),(g) | 1,500,000 | 1,513,100 | ||||||||
UBS Commercial Mortgage Trust, Series 2018-NYCH, Class F, 1 mo. USD LIBOR + 3.82%, 5.98%, 02/15/32 (d),(f),(g) | 798,000 | 794,718 | ||||||||
UBS-Citigroup Commercial Mortgage Trust, Series 2011-C1, Class E, | 2,478,721 | 2,433,028 | ||||||||
Wachovia Bank Commercial Mortgage Trust, | ||||||||||
Series 2006-C28, Class D, 5.72%, 10/15/48 (g) | 6,904,160 | 6,879,305 | ||||||||
Series 2006-C29, Class C, 5.44%, 11/15/48 (g) | 2,200,710 | 2,202,691 |
See Notes to Consolidated Financial Statements.
64
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Security Description | Principal Amount | Value | ||||||||
Series 2007-C30, Class AJ, 5.41%, 12/15/43 (b),(g),(h) | $ | 6,804,445 | $ | 6,810,569 | ||||||
Series 2007-C31, Class D, 5.93%, 04/15/47 (g) | 908,997 | 912,178 | ||||||||
Series 2007-C31, Class E, 5.96%, 04/15/47 (g) | 2,697,321 | 2,718,360 | ||||||||
Waldorf Astoria Boca Raton Trust, Series 2016-BOCA, Class E, 1 mo. USD LIBOR + 4.35%, 6.51%, 06/15/29 (d),(f),(g) | 3,000,000 | 3,005,661 | ||||||||
Wells Fargo Commercial Mortgage Trust, | ||||||||||
Series 2015-C27, Class D, 3.77%, 02/15/48 (d),(f) | 6,903,000 | 5,764,668 | ||||||||
Series 2015-C31, Class D, 3.85%, 11/15/48 (d) | 3,546,000 | 3,009,643 | ||||||||
Series 2015-LC20, Class D, 4.51%, 04/15/50 (d),(f),(g),(h) | 5,292,000 | 4,780,862 | ||||||||
Series 2015-NXS2, Class C, 4.39%, 07/15/58 (d),(g) | 9,557,000 | 9,445,986 | ||||||||
Series 2015-NXS4, Class E, 3.75%, 12/15/48 (d),(f),(g) | 2,629,000 | 2,086,495 | ||||||||
Series 2016-C34, Class D, 5.20%, 06/15/49 (d),(f),(g) | 1,868,000 | 1,676,339 | ||||||||
Series 2016-C34, Class C, 5.20%, 06/15/49 (g),(h) | 7,139,495 | 7,254,555 | ||||||||
WFRBS Commercial Mortgage Trust, | ||||||||||
Series 2014-C19, Class D, 4.23%, 03/15/47 (d),(f) | 3,500,000 | 3,011,711 | ||||||||
Series 2014-C25, Class D, 3.80%, 11/15/47 (f),(g),(h) | 5,695,908 | 4,940,346 | ||||||||
|
| |||||||||
515,113,219 | ||||||||||
|
| |||||||||
Interest Only Commercial Mortgage-Backed Securities — 0.4% |
| |||||||||
Citigroup Commercial Mortgage Trust, Series 2015-GC29, Class XA, 1.25%, 04/10/48 (d),(g),(h) | 13,896,836 | 697,343 | ||||||||
Commercial Mortgage Trust, | ||||||||||
Series 2014-UBS4, Class XA, 1.34%, 08/10/47 (d),(g) | 20,112,764 | 918,731 | ||||||||
Series 2014-UBS5, Class XA, 1.17%, 09/10/47 (b),(d),(g) | 3,933,123 | 137,022 | ||||||||
Series 2015-CR23, Class XA, | 12,143,415 | 501,207 | ||||||||
CSAIL Commercial Mortgage Trust, | ||||||||||
Series 2015-C2, Class XA, 0.95%, 06/15/57 (b),(d),(g) | 39,669,200 | 1,612,950 | ||||||||
Series 2015-C3, Class XA, 0.98%, 08/15/48 (d),(g),(h) | 34,027,640 | 1,276,309 | ||||||||
GS Mortgage Securities Trust, Series 2015-GC32, Class XA, | 23,490,240 | 948,700 |
See Notes to Consolidated Financial Statements.
65
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Security Description | Principal Amount | Value | ||||||||||
JPMBB Commercial Mortgage Securities Trust, Series 2015-C30, Class XA, 0.76%, 07/15/48 (d),(g),(h) | $ | 50,952,622 | $ | 1,513,497 | ||||||||
Morgan Stanley Bank of America Merrill Lynch Trust, | ||||||||||||
Series 2015-C22, Class XA, 1.26%, 04/15/48 (d),(g),(h) | 18,913,798 | 949,075 | ||||||||||
Series 2015-C23, Class XA, 0.84%, 07/15/50 (d),(g),(h) | 55,659,340 | 1,591,746 | ||||||||||
Series 2015-C25, Class XA, 1.27%, 10/15/48 (d),(g),(h) | 35,971,425 | 1,999,688 | ||||||||||
Wells Fargo Commercial Mortgage Trust, | ||||||||||||
Series 2014-LC18, Class XA, | 41,856,412 | 2,040,207 | ||||||||||
Series 2015-C29, Class XA, 0.85%, 06/15/48 (d),(g),(h) | 120,495,445 | 4,274,455 | ||||||||||
Series 2016-C32, Class XA, 1.49%, 01/15/59 (d),(g),(h) | 37,843,309 | 2,654,330 | ||||||||||
|
| |||||||||||
21,115,260 | ||||||||||||
|
| |||||||||||
Inverse Interest Only Collateralized Mortgage Obligations — 0.1% |
| |||||||||||
Federal National Mortgage Association, | ||||||||||||
Series 2014-28, Class SB, (1) X 1 mo. USD LIBOR + 6.05%, | 21,247,688 | 3,101,695 | ||||||||||
Series 2015-13, Class ST, (1) X 1 mo. USD LIBOR + 5.60%, 3.38%, | 13,068,116 | 1,903,136 | ||||||||||
Government National Mortgage Association, Series 2018-93, Class SA, (1) x 1 mo. USD LIBOR + 6.20%, 4.03%, 07/20/48 (d),(g) | 8,450,577 | 1,313,397 | ||||||||||
|
| |||||||||||
6,318,228 | ||||||||||||
|
| |||||||||||
Total North America | 1,665,845,241 | |||||||||||
|
| |||||||||||
TOTAL MORTGAGE-BACKED SECURITIES | 1,665,845,241 | |||||||||||
|
| |||||||||||
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 2011-157, Class LS, (1) X 1 mo. USD LIBOR + 6.63%, | 6,019,134 | 1,186,991 | ||||||||||
Series 2012-96, Class SA, (1) X 1 mo. USD LIBOR + 6.10%, | 6,181,711 | 1,010,493 |
See Notes to Consolidated Financial Statements.
66
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Security Description | Principal Amount | Value | ||||||||
Series 2013-188, Class SA, (1) X 1 mo. USD LIBOR + 6.15%, | $ | 5,781,027 | $ | 762,252 | ||||||
Series 2014-116, Class SC, (1) X 1 mo. USD LIBOR + 5.60%, | 4,059,967 | 522,863 | ||||||||
Series 2015-148, Class SL, (1) X 1 mo. USD LIBOR + 5.68%, | 17,262,450 | 2,342,273 | ||||||||
Series 2015-151, Class SC, (1) X 1 mo. USD LIBOR + 6.15%, | 10,091,969 | 1,617,894 | ||||||||
Series 2015-161, Class AS, (1) X 1 mo. USD LIBOR + 6.20%, | 8,652,778 | 1,521,876 | ||||||||
Series 2015-162, Class LS, (1) X 1 mo. USD LIBOR + 6.20%, | 12,168,368 | 1,880,986 | ||||||||
Series 2016-5, Class QS, (1) X 1 mo. USD LIBOR + 6.20%, | 13,954,980 | 2,324,160 | ||||||||
Series 2017-101, Class SL, (1) X 1 mo. USD LIBOR + 6.20%, | 11,558,941 | 1,898,071 | ||||||||
Series 2017-114, Class SP, (1) X 1 mo. USD LIBOR + 6.20%, | 8,706,617 | 1,439,926 | ||||||||
Series 2017-117, Class BS, (1) x 1 mo. USD LIBOR + 6.20%, | 6,801,927 | 1,162,939 | ||||||||
Series 2017-117, Class SA, (1) x 1 mo. USD LIBOR + 6.20%, | 8,362,079 | 1,531,908 | ||||||||
Series 2017-156, Class SB, (1) x 1 mo. USD LIBOR + 6.20%, | 9,155,456 | 1,754,259 | ||||||||
Series 2017-56, Class AS, (1) X 1 mo. USD LIBOR + 6.15%, | 8,328,498 | 1,449,167 | ||||||||
Series 2017-73, Class SM, (1) X 1 mo. USD LIBOR + 6.20%, | 8,493,327 | 1,482,171 | ||||||||
Series 2017-78, Class CS, (1) X 1 mo. USD LIBOR + 6.20%, | 17,339,819 | 3,338,678 | ||||||||
Series 2018-27, Class HS, (1) x 1 mo. USD LIBOR + 6.20%, | 5,121,875 | 776,978 | ||||||||
Series 2018-48, Class SA, (1) x 1 mo. USD LIBOR + 6.20%, | 10,884,306 | 2,018,973 |
See Notes to Consolidated Financial Statements.
67
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Security Description | Principal Amount | Value | ||||||||||
Series 2018-54, Class AS, (1) x 1 mo. USD LIBOR + 5.72%, | $ | 6,487,725 | $ | 766,408 | ||||||||
Series 2018-54, Class SA, (1) x 1 mo. USD LIBOR + 6.25%, | 19,463,175 | 2,846,976 | ||||||||||
Series 2018-64, Class SG, (1) x 1 mo. USD LIBOR + 6.20%, | 6,199,353 | 911,162 | ||||||||||
Series 2018-65, Class PS, (1) x 1 mo. USD LIBOR + 6.15%, | 9,494,126 | 1,397,659 | ||||||||||
Series 2018-78, Class AS, (1) x 1 mo. USD LIBOR + 6.20%, | 18,753,782 | 2,808,548 | ||||||||||
|
| |||||||||||
TOTAL U.S. GOVERNMENT SPONSORED AGENCY SECURITIES | 38,753,611 | |||||||||||
|
| |||||||||||
U.S. TREASURY OBLIGATIONS — 6.0% | ||||||||||||
North America — 6.0% | ||||||||||||
U.S. Treasury Inflation Indexed Notes, | ||||||||||||
0.13%, 07/15/26 (b),(d) | 31,539,900 | 29,745,247 | ||||||||||
0.38%, 07/15/25 - 07/15/27 (b),(d) | 17,998,240 | 17,295,105 | ||||||||||
0.50%, 01/15/28 (d) | 35,502,337 | 34,082,244 | ||||||||||
0.63%, 01/15/26 (b),(d) | 50,907,840 | 49,824,060 | ||||||||||
0.75%, 07/15/28 (d) | 13,051,220 | 12,846,105 | ||||||||||
U.S. Treasury Notes, | ||||||||||||
1.50%, 10/31/19 | 23,834,200 | 23,535,342 | ||||||||||
1.63%, 06/30/19 - 08/31/19 | 117,502,600 | 116,526,122 | ||||||||||
1.75%, 09/30/19 | 69,834,200 | 69,212,239 | ||||||||||
3.63%, 08/15/19 | 23,834,200 | 24,036,232 | ||||||||||
|
| |||||||||||
TOTAL U.S. TREASURY OBLIGATIONS | 377,102,696 | |||||||||||
|
| |||||||||||
Security Description | Shares | Value | ||||||||||
EXCHANGE-TRADED FUNDS — 2.5% | ||||||||||||
Invesco Emerging Markets Sovereign Debt ETF (b),(d) | 33,912 | 914,946 | ||||||||||
iShares Core MSCI Emerging Markets ETF (b),(d) | 303,163 | 15,697,780 | ||||||||||
iShares Core S&P 500 ETF (d) | 150,000 | 43,909,500 | ||||||||||
SPDR Dow Jones International Real Estate ETF (b),(d) | 472,960 | 18,090,720 | ||||||||||
Vanguard Emerging Markets Government Bond ETF (b),(d) | 9,425 | 714,698 | ||||||||||
Vanguard FTSE Emerging Markets ETF (b),(d) | 401,644 | 16,467,404 | ||||||||||
Vanguard Global ex-U.S. Real Estate ETF (b),(d) | 483,595 | 27,163,531 | ||||||||||
Vanguard REIT ETF (b),(d) | 376,864 | 30,405,387 | ||||||||||
|
| |||||||||||
TOTAL EXCHANGE-TRADED FUNDS | 153,363,966 | |||||||||||
|
|
See Notes to Consolidated Financial Statements.
68
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Security Description | Shares | Value | ||||||||||
INVESTMENTS IN INVESTEE FUNDS — 9.8% |
| |||||||||||
North America — 7.6% | ||||||||||||
EJF Debt Opportunities Offshore Fund, Ltd. | 2,500,000 | $ | 250,250,000 | |||||||||
GCM Equity Partners LP (cost $ 22,604,488) (a),(e),(n) | 37,082,637 | |||||||||||
GCM Offshore Equity Partners LP (cost $ 15,861,069) (a),(e),(n) | 25,791,454 | |||||||||||
Glenview Capital Partners (Cayman), Ltd. (cost $ 125,000,000) (a),(e),(n) | 125,000 | 166,217,500 | ||||||||||
|
| |||||||||||
Total North America | 479,341,591 | |||||||||||
|
| |||||||||||
Europe — 2.2% | ||||||||||||
GCM Equity Master Fund Glenview LP | 136,829,912 | |||||||||||
|
| |||||||||||
Total Europe | 136,829,912 | |||||||||||
|
| |||||||||||
TOTAL INVESTMENTS IN INVESTEE FUNDS | 616,171,503 | |||||||||||
|
|
Strike | Expiration Date | Contracts | Notional Amount | Premium Paid | Market Value | Unrealized Appreciation (Depreciation) | ||||||||||||||||||||||||
PURCHASED OPTIONS — 0.0% |
| |||||||||||||||||||||||||||||
Exchange-Traded Call Options — 0.0% |
| |||||||||||||||||||||||||||||
Airbus SE | 110.00 | EUR | 12/21/18 | 126 | $ | 1,363,068 | $ | 71,290 | $ | 65,978 | $ | (5,312 | ) | |||||||||||||||||
Akzo Nobel NV | 84.00 | EUR | 12/21/18 | 126 | 1,014,804 | 30,271 | 23,041 | (7,230 | ) | |||||||||||||||||||||
Akzo Nobel NV | 82.00 | EUR | 11/16/18 | 126 | 1,014,804 | 30,564 | 21,798 | (8,766 | ) | |||||||||||||||||||||
Alphabet, Inc. | 1,280.00 | USD | 10/19/18 | 9 | 1,086,372 | 37,301 | 1,863 | (35,438 | ) | |||||||||||||||||||||
Alphabet, Inc. | 1,300.00 | USD | 12/21/18 | 9 | 1,086,372 | 50,936 | 17,190 | (33,746 | ) | |||||||||||||||||||||
Atos SE | 110.00 | EUR | 12/21/18 | 126 | 1,291,500 | 51,521 | 33,647 | (17,874 | ) | |||||||||||||||||||||
Atos SE | 105.00 | EUR | 12/21/18 | 252 | 2,583,000 | 110,061 | 115,425 | 5,364 | ||||||||||||||||||||||
Atos SE | 108.00 | EUR | 12/21/18 | 126 | 1,291,500 | 64,093 | 41,913 | (22,180 | ) | |||||||||||||||||||||
Atos SE | 112.00 | EUR | 12/21/18 | 63 | 645,750 | 30,295 | 13,605 | (16,690 | ) | |||||||||||||||||||||
AXA SA | 24.00 | EUR | 11/16/18 | 1,264 | 2,926,160 | 54,434 | 46,228 | (8,206 | ) | |||||||||||||||||||||
BASF SE | 84.00 | EUR | 12/21/18 | 252 | 1,926,288 | 51,422 | 18,140 | (33,282 | ) | |||||||||||||||||||||
BASF SE | 80.00 | EUR | 11/16/18 | 126 | 963,144 | 22,506 | 14,483 | (8,023 | ) | |||||||||||||||||||||
BNP Paribas SA | 53.00 | EUR | 11/16/18 | 316 | 1,665,636 | 46,812 | 59,803 | 12,991 | ||||||||||||||||||||||
BNP Paribas SA | 52.00 | EUR | 10/19/18 | 316 | 1,665,636 | 42,016 | 60,721 | 18,705 | ||||||||||||||||||||||
BNP Paribas SA | 56.00 | EUR | 11/16/18 | 632 | 3,331,272 | 92,951 | 47,696 | (45,255 | ) | |||||||||||||||||||||
Capgemini SE | 112.00 | EUR | 11/16/18 | 126 | 1,365,840 | 27,273 | 30,429 | 3,156 | ||||||||||||||||||||||
Capgemini SE | 114.00 | EUR | 11/16/18 | 126 | 1,365,840 | 24,958 | 20,920 | (4,038 | ) | |||||||||||||||||||||
Capgemini SE | 112.00 | EUR | 10/19/18 | 126 | 1,365,840 | 21,438 | 10,021 | (11,417 | ) | |||||||||||||||||||||
Commerzbank AG | 9.00 | EUR | 11/16/18 | 1,264 | 1,128,246 | 69,066 | 71,911 | 2,845 | ||||||||||||||||||||||
Credit Agricole SA | 13.00 | EUR | 11/16/18 | 1,896 | 2,348,386 | 80,961 | 53,933 | (27,028 | ) | |||||||||||||||||||||
Danone SA | 70.00 | EUR | 12/21/18 | 253 | 1,687,510 | 30,515 | 24,675 | (5,840 | ) | |||||||||||||||||||||
Danske Bank A/S | 185.00 | DKK | 10/19/18 | 240 | 240 | 19,623 | 374 | (19,249 | ) | |||||||||||||||||||||
Euro Stoxx 50 | 3,575.00 | EUR | 10/19/18 | 222 | 7,546,224 | 121,477 | 1,546 | (119,931 | ) |
See Notes to Consolidated Financial Statements.
69
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Strike | Expiration Date | Contracts | Notional Amount | Premium Paid | Market Value | Unrealized Appreciation (Depreciation) | ||||||||||||||||||||||||
Euro Stoxx 50 | 3,500.00 | EUR | 10/19/18 | 348 | $ | 11,829,216 | $ | 159,015 | $ | 18,990 | $ | (140,025 | ) | |||||||||||||||||
Euro Stoxx 50 | 3,450.00 | EUR | 12/21/18 | 286 | 9,721,712 | 132,083 | 184,626 | 52,543 | ||||||||||||||||||||||
Euro Stoxx 50 | 3,400.00 | EUR | 10/19/18 | 286 | 9,721,712 | 50,863 | 137,141 | 86,278 | ||||||||||||||||||||||
Euro Stoxx 50 | 3,400.00 | EUR | 11/16/18 | 221 | 7,512,232 | 117,089 | 158,061 | 40,972 | ||||||||||||||||||||||
Fiat Chrysler Automobiles NV | 17.00 | EUR | 12/20/18 | 38 | 665,380 | 21,101 | 16,373 | (4,728 | ) | |||||||||||||||||||||
FTSE 100 Index | 7,800.00 | GBP | 10/19/18 | 48 | 3,604,896 | 48,085 | 2,190 | (45,895 | ) | |||||||||||||||||||||
ING Groep NV | 12.00 | EUR | 11/16/18 | 1,264 | 1,639,408 | 38,110 | 17,611 | (20,499 | ) | |||||||||||||||||||||
Kering SA | 480.00 | EUR | 11/16/18 | 13 | 600,210 | 15,831 | 16,897 | 1,066 | ||||||||||||||||||||||
Koninklijke DSM NV | 90.00 | EUR | 12/21/18 | 126 | 1,342,252 | 43,043 | 57,200 | 14,157 | ||||||||||||||||||||||
Koninklijke DSM NV | 90.00 | EUR | 11/16/18 | 126 | 1,342,252 | 32,812 | 50,763 | 17,951 | ||||||||||||||||||||||
Koninklijke KPN NV | 2.30 | EUR | 10/19/18 | 5,056 | 46,130,944 | 25,301 | 23,481 | (1,820 | ) | |||||||||||||||||||||
Koninklijke KPN NV | 2.30 | EUR | 11/16/18 | 5,056 | 46,130,944 | 40,094 | 35,222 | (4,872 | ) | |||||||||||||||||||||
Microsoft Corp. | 120.00 | USD | 11/16/18 | 190 | 2,173,030 | 29,454 | 27,740 | (1,714 | ) | |||||||||||||||||||||
Omnicom Group, Inc. | 70.00 | USD | 10/19/18 | 190 | 1,292,380 | 46,266 | 18,050 | (28,216 | ) | |||||||||||||||||||||
Orange SA | 14.50 | EUR | 12/21/18 | 1,264 | 1,736,104 | 21,540 | 18,345 | (3,195 | ) | |||||||||||||||||||||
Organge SA | 14.00 | EUR | 11/16/18 | 1,264 | 1,736,104 | 34,762 | 33,020 | (1,742 | ) | |||||||||||||||||||||
Publicis Groupe SA | 54.00 | EUR | 11/16/18 | 316 | 1,626,768 | 58,694 | 33,937 | (24,757 | ) | |||||||||||||||||||||
Publicis Groupe SA | 53.00 | EUR | 11/16/18 | 316 | 1,626,768 | 61,735 | 48,063 | (13,672 | ) | |||||||||||||||||||||
Renault SA | 84.00 | EUR | 12/21/18 | 126 | 938,700 | 32,376 | 14,922 | (17,454 | ) | |||||||||||||||||||||
Renault SA | 76.00 | EUR | 10/19/18 | 126 | 938,700 | 26,718 | 18,067 | (8,651 | ) | |||||||||||||||||||||
Renault SA | 80.00 | EUR | 12/21/18 | 126 | 938,700 | 27,449 | 25,162 | (2,287 | ) | |||||||||||||||||||||
Renault SA | 75.00 | EUR | 12/21/18 | 126 | 938,700 | 37,815 | 51,495 | 13,680 | ||||||||||||||||||||||
Safran SA | 110.00 | EUR | 12/21/18 | 63 | 760,410 | 32,718 | 94,578 | 61,860 | ||||||||||||||||||||||
Safran SA | 120.00 | EUR | 10/19/18 | 126 | 1,520,820 | 35,605 | 43,302 | 7,697 | ||||||||||||||||||||||
Safran SA | 125.00 | EUR | 12/21/18 | 126 | 1,520,820 | 65,963 | 62,028 | (3,935 | ) | |||||||||||||||||||||
SAP SE | 110.00 | EUR | 11/16/18 | 126 | 1,549,800 | 31,922 | 24,870 | (7,052 | ) | |||||||||||||||||||||
SAP SE | 110.00 | EUR | 10/19/18 | 126 | 1,549,800 | 19,771 | 13,605 | (6,166 | ) | |||||||||||||||||||||
SAP SE | 104.00 | EUR | 11/16/18 | 126 | 1,535,562 | 27,213 | 62,906 | 35,693 | ||||||||||||||||||||||
SAP SE | 103.00 | EUR | 10/19/18 | 126 | 1,535,562 | 22,875 | 61,004 | 38,129 | ||||||||||||||||||||||
Thales SA | 125.00 | EUR | 12/21/18 | 126 | 1,541,610 | 30,778 | 30,575 | (203 | ) | |||||||||||||||||||||
Unicredit SpA | 13.00 | EUR | 10/18/18 | 126 | 1,890,000 | 77,814 | 78,442 | 628 | ||||||||||||||||||||||
Unicredit SpA | 15.00 | EUR | 11/15/18 | 126 | 1,890,000 | 59,686 | 18,652 | (41,034 | ) | |||||||||||||||||||||
Vivendi SA | 22.00 | EUR | 12/21/18 | 632 | 1,401,144 | 86,133 | 88,054 | 1,921 | ||||||||||||||||||||||
Vodafone Group PLC | 1.95 | GBP | 11/16/18 | 632 | 103,964,000 | 41,174 | — | (41,174 | ) | |||||||||||||||||||||
Vodafone Group PLC | 1.90 | GBP | 10/19/18 | 632 | 103,964,000 | 45,246 | — | (45,246 | ) | |||||||||||||||||||||
Vodafone Group PLC | 1.70 | GBP | 10/19/18 | 1,011 | 166,309,500 | 43,662 | 31,746 | (11,916 | ) | |||||||||||||||||||||
Vodafone Group PLC | 1.70 | GBP | 11/16/18 | 1,011 | 166,309,500 | 65,526 | 37,885 | (27,641 | ) | |||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||
$ | 2,968,106 | $ | 2,450,343 | $ | (517,763 | ) | ||||||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||
Exchange-Traded Put Options — 0.0% |
| |||||||||||||||||||||||||||||
Aegon NV | 5.20 | EUR | 10/19/18 | 1,896 | $ | 1,219,128 | $ | 58,982 | $ | 5,503 | $ | (53,479 | ) | |||||||||||||||||
Aegon NV | 5.40 | EUR | 11/16/18 | 1,896 | 1,219,128 | 29,743 | 26,416 | (3,327 | ) | |||||||||||||||||||||
Ageas | 45.00 | EUR | 11/16/18 | 253 | 1,171,643 | 23,112 | 21,003 | (2,109 | ) | |||||||||||||||||||||
Allianz SE | 190.00 | EUR | 11/16/18 | 126 | 2,413,656 | 60,372 | 63,857 | 3,485 | ||||||||||||||||||||||
Atos SE | 110.00 | EUR | 12/21/18 | 126 | 1,291,500 | 60,395 | 136,052 | 75,657 | ||||||||||||||||||||||
Banco Bilbao Vizcaya Argentaria, SA | 5.25 | EUR | 10/19/18 | 1,896 | 1,040,904 | 43,624 | 18,711 | (24,913 | ) | |||||||||||||||||||||
Banco Bilbao Vizcaya Argentaria, SA | 5.25 | EUR | 11/16/18 | 1,896 | 1,040,904 | 65,649 | 34,121 | (31,528 | ) |
See Notes to Consolidated Financial Statements.
70
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Strike | Expiration Date | Contracts | Notional Amount | Premium Paid | Market Value | Unrealized Appreciation (Depreciation) | ||||||||||||||||||||||||
BNP Paribas SA | 51.00 | EUR | 11/16/18 | 253 | $ | 1,333,563 | $ | 37,799 | $ | 37,799 | $ | — | ||||||||||||||||||
Cypress Semiconductor Corp. | 15.00 | USD | 10/19/18 | 253 | 366,597 | 20,544 | 18,975 | (1,569 | ) | |||||||||||||||||||||
Cypress Semiconductor Corp. | 16.00 | USD | 10/19/18 | 379 | 549,171 | 64,886 | 59,693 | (5,193 | ) | |||||||||||||||||||||
Danone SA | 64.00 | EUR | 12/21/18 | 126 | 840,420 | 34,286 | 16,824 | (17,462 | ) | |||||||||||||||||||||
Deutsche Bank AG | 10.50 | EUR | 11/16/18 | 1,896 | 1,851,254 | 117,152 | 209,128 | 91,976 | ||||||||||||||||||||||
ING Groep NV | 12.50 | EUR | 10/19/18 | 632 | 855,096 | 30,161 | 92,457 | 62,296 | ||||||||||||||||||||||
Intel Corp. | 43.00 | USD | 11/16/18 | 190 | 898,510 | 16,189 | 10,070 | (6,119 | ) | |||||||||||||||||||||
Intesa San Paolo SpA | 2.40 | EUR | 11/15/18 | 758 | 1,948,060 | 109,232 | 218,435 | 109,203 | ||||||||||||||||||||||
Micron Technology, Inc. | 43.00 | USD | 11/16/18 | 190 | 859,370 | 37,905 | 28,310 | (9,595 | ) | |||||||||||||||||||||
Micron Technology, Inc. | 44.00 | USD | 10/19/18 | 253 | 1,144,319 | 41,986 | 26,059 | (15,927 | ) | |||||||||||||||||||||
ON Semiconductor Corp. | 18.00 | USD | 10/19/18 | 253 | 466,279 | 12,954 | 10,120 | (2,834 | ) | |||||||||||||||||||||
Shire PLC | 38.00 | GBP | 12/21/18 | 16 | 73,976,000 | 35,107 | 3,545 | (31,562 | ) | |||||||||||||||||||||
Texas Instruments, Inc. | 105.00 | USD | 10/19/18 | 95 | 1,019,255 | 14,868 | 11,780 | (3,088 | ) | |||||||||||||||||||||
UniCredit SpA | 13.50 | EUR | 10/18/18 | 95 | 1,425,000 | 57,844 | 91,880 | 34,036 | ||||||||||||||||||||||
Valeo SA | 48.00 | EUR | 12/21/18 | 126 | 471,240 | 38,313 | 157,630 | 119,317 | ||||||||||||||||||||||
Vivendi SA | 21.00 | EUR | 12/21/18 | 632 | 1,401,144 | 62,526 | 44,486 | (18,040 | ) | |||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||
$ | 1,073,629 | $ | 1,342,854 | $ | 269,225 | |||||||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||
Total Purchased Options Outstanding |
| $ | 4,041,735 | $ | 3,793,197 | $ | (248,538 | ) | ||||||||||||||||||||||
|
|
|
|
|
|
Security Description | Shares | Value | ||||||||||
SHORT-TERM INVESTMENT — MONEY MARKET FUNDS — 5.4% |
| |||||||||||
Morgan Stanley Institutional Liquidity Funds Treasury Securities Portfolio, | 467,805 | $ | 467,805 | |||||||||
State Street Institutional U.S. Government Money Market Fund, Premier Class, 1.97% (o) | 336,468,514 | 336,468,514 | ||||||||||
|
| |||||||||||
TOTAL SHORT-TERM INVESTMENT — MONEY MARKET FUNDS |
| 336,936,319 | ||||||||||
|
| |||||||||||
TOTAL INVESTMENTS IN SECURITIES — 102.0% |
| 6,401,192,309 | ||||||||||
|
| |||||||||||
TOTAL SECURITIES SOLD SHORT — (21.4)% |
| (1,344,095,667 | ) | |||||||||
|
| |||||||||||
Other Assets (p) — 19.4% | 1,216,730,445 | |||||||||||
|
| |||||||||||
Net Assets — 100.0% | $ | 6,273,827,087 | ||||||||||
|
|
See Notes to Consolidated Financial Statements.
71
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Security Description | Shares | Value | ||||||||||
SECURITIES SOLD SHORT — (21.4)% | ||||||||||||
COMMON STOCK — (20.4)% | ||||||||||||
Africa — (0.0)% | ||||||||||||
Chemicals — (0.0)% | ||||||||||||
Sasol Ltd., ADR | 8,100 | $ | (312,984 | ) | ||||||||
|
| |||||||||||
Metals & Mining — (0.0)% | ||||||||||||
AngloGold Ashanti Ltd., ADR | 4,100 | (35,178 | ) | |||||||||
Platinum Group Metals Ltd. | 18,000 | (3,132 | ) | |||||||||
|
| |||||||||||
(38,310 | ) | |||||||||||
|
| |||||||||||
Oil, Gas & Coal — (0.0)% | ||||||||||||
Kosmos Energy Ltd. | 10,000 | (93,500 | ) | |||||||||
|
| |||||||||||
Total Africa | (444,794 | ) | ||||||||||
|
| |||||||||||
Asia — (1.6)% | ||||||||||||
Apparel & Textile Products — (0.0)% | ||||||||||||
Huami Corp., ADR | 7,200 | (77,040 | ) | |||||||||
|
| |||||||||||
Asset Management — (0.0)% | ||||||||||||
Noah Holdings Ltd., ADR | 1,900 | (80,066 | ) | |||||||||
|
| |||||||||||
Automotive — (0.0)% | ||||||||||||
Kandi Technologies Group, Inc. | 8,800 | (42,680 | ) | |||||||||
NIO, Inc., ADR | 4,000 | (27,920 | ) | |||||||||
SORL Auto Parts, Inc. | 1,000 | (4,170 | ) | |||||||||
Tata Motors Ltd., ADR | 6,200 | (95,232 | ) | |||||||||
|
| |||||||||||
(170,002 | ) | |||||||||||
|
| |||||||||||
Banking — (0.0)% | ||||||||||||
HDFC Bank Ltd., ADR | 3,800 | (357,580 | ) | |||||||||
ICICI Bank Ltd., ADR | 129,300 | (1,097,757 | ) | |||||||||
KB Financial Group, Inc., ADR | 4,700 | (226,916 | ) | |||||||||
Mitsubishi UFJ Financial Group, Inc., ADR | 28,800 | (178,272 | ) | |||||||||
Mizuho Financial Group, Inc., ADR | 14,200 | (49,700 | ) | |||||||||
Shinhan Financial Group Co. Ltd., ADR | 3,500 | (140,455 | ) | |||||||||
Sumitomo Mitsui Financial Group, Inc., ADR | 5,300 | (42,559 | ) | |||||||||
|
| |||||||||||
(2,093,239 | ) | |||||||||||
|
| |||||||||||
Biotechnology & Pharmaceuticals — (0.0)% | ||||||||||||
China Biologic Products Holdings, Inc. | 3,100 | (248,000 | ) | |||||||||
Dr Reddy’s Laboratories Ltd., ADR | 100 | (3,460 | ) | |||||||||
Zai Lab Ltd., ADR | 1,100 | (21,428 | ) | |||||||||
|
| |||||||||||
(272,888 | ) | |||||||||||
|
|
See Notes to Consolidated Financial Statements.
72
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Security Description | Shares | Value | ||||||||
Chemicals — (0.0)% | ||||||||||
Origin Agritech Ltd. | 71 | $ | (374 | ) | ||||||
|
| |||||||||
Consumer Products — (0.0)% | ||||||||||
Future FinTech Group, Inc. | 200 | (252 | ) | |||||||
|
| |||||||||
Consumer Services — (0.1)% | ||||||||||
Bright Scholar Education Holdings Ltd., ADR | 10,500 | (130,095 | ) | |||||||
Four Seasons Education Cayman, Inc., ADR | 100 | (400 | ) | |||||||
OneSmart International Education Group Ltd., ADR | 3,400 | (30,328 | ) | |||||||
RISE Education Cayman Ltd., ADR | 2,999 | (35,478 | ) | |||||||
RYB Education, Inc., ADR | 1,100 | (23,166 | ) | |||||||
TAL Education Group, ADR | 194,500 | (5,000,595 | ) | |||||||
|
| |||||||||
(5,220,062 | ) | |||||||||
|
| |||||||||
Gaming, Lodging & Restaurants — (0.0)% | ||||||||||
500.com Ltd., Class A ADR | 4,200 | (46,452 | ) | |||||||
Huazhu Group Ltd., ADR | 10,300 | (332,690 | ) | |||||||
|
| |||||||||
(379,142 | ) | |||||||||
|
| |||||||||
Hardware — (0.0)% | ||||||||||
AU Optronics Corp., ADR | 4,149 | (17,467 | ) | |||||||
LG Display Co. Ltd., ADR | 4,000 | (34,680 | ) | |||||||
|
| |||||||||
(52,147 | ) | |||||||||
|
| |||||||||
Health Care Facilities & Services — (0.0)% | ||||||||||
iKang Healthcare Group, Inc., ADR | 600 | (10,860 | ) | |||||||
|
| |||||||||
Institutional Financial Services — (0.0)% | ||||||||||
China Internet Nationwide Financial Services, Inc. | 200 | (1,716 | ) | |||||||
|
| |||||||||
Insurance — (0.0)% | ||||||||||
Fanhua, Inc., ADR | 800 | (21,616 | ) | |||||||
|
| |||||||||
Iron & Steel — (0.0)% | ||||||||||
POSCO, ADR | 900 | (59,400 | ) | |||||||
|
| |||||||||
Machinery — (0.0)% | ||||||||||
Sharing Economy International | 1,770 | (4,956 | ) | |||||||
|
| |||||||||
Media — (0.3)% | ||||||||||
51job, Inc., ADR | 100 | (7,699 | ) | |||||||
Baidu, Inc., ADR | 3,600 | (823,248 | ) | |||||||
Ctrip.com International Ltd., ADR | 232,000 | (8,623,440 | ) | |||||||
Eros International PLC | 1,000 | (12,050 | ) | |||||||
Fang Holdings Ltd., ADR | 67,400 | (174,566 | ) | |||||||
iQIYI, Inc., ADR | 151,900 | (4,111,933 | ) | |||||||
LINE Corp., ADR | 3,600 | (151,668 | ) | |||||||
MakeMyTrip Ltd. | 16,300 | (447,435 | ) |
See Notes to Consolidated Financial Statements.
73
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Security Description | Shares | Value | ||||||||
Renren, Inc., ADR | 2,340 | $ | (3,299 | ) | ||||||
Sogou, Inc., ADR | 12,300 | (91,389 | ) | |||||||
Uxin Ltd., ADR | 300 | (2,037 | ) | |||||||
Weibo Corp., ADR | 2,590 | (189,407 | ) | |||||||
Xunlei Ltd., ADR | 31,200 | (226,512 | ) | |||||||
Yatra Online, Inc. | 2,100 | (11,718 | ) | |||||||
|
| |||||||||
(14,876,401 | ) | |||||||||
|
| |||||||||
Metals & Mining — (0.0)% | ||||||||||
Turquoise Hill Resources Ltd. | 140,700 | (298,284 | ) | |||||||
Vedanta Ltd., ADR | 1,000 | (12,800 | ) | |||||||
|
| |||||||||
(311,084 | ) | |||||||||
|
| |||||||||
Oil, Gas & Coal — (0.0)% | ||||||||||
CNOOC Ltd., ADR | 4,700 | (928,438 | ) | |||||||
PetroChina Co. Ltd., ADR | 1,500 | (122,160 | ) | |||||||
Recon Technology Ltd. | 500 | (615 | ) | |||||||
|
| |||||||||
(1,051,213 | ) | |||||||||
|
| |||||||||
Renewable Energy — (0.0)% | ||||||||||
JinkoSolar Holding Co. Ltd., ADR | 24,727 | (266,310 | ) | |||||||
|
| |||||||||
Retail—Discretionary — (0.9)% | ||||||||||
Alibaba Group Holding Ltd., ADR (d) | 240,601 | (39,641,421 | ) | |||||||
JD.com, Inc., ADR | 595,800 | (15,544,422 | ) | |||||||
Jumei International Holding Ltd., ADR | 4,600 | (9,798 | ) | |||||||
LightInTheBox Holding Co. Ltd., ADR | 600 | (516 | ) | |||||||
Pinduoduo, Inc., ADR | 4,300 | (113,047 | ) | |||||||
|
| |||||||||
(55,309,204 | ) | |||||||||
|
| |||||||||
Semiconductors — (0.0)% | ||||||||||
Himax Technologies, Inc., ADR | 110,100 | (647,388 | ) | |||||||
Semiconductor Manufacturing International Corp., ADR | 3,500 | (19,005 | ) | |||||||
|
| |||||||||
(666,393 | ) | |||||||||
|
| |||||||||
Software — (0.2)% | ||||||||||
Bilibili, Inc., ADR | 76,600 | (1,032,568 | ) | |||||||
Gridsum Holding, Inc., ADR | 2,700 | (17,334 | ) | |||||||
HUYA, Inc., ADR | 17,400 | (410,292 | ) | |||||||
Link Motion, Inc., ADR | 11,000 | (7,260 | ) | |||||||
Momo, Inc., ADR | 20,000 | (876,000 | ) | |||||||
NetEase, Inc., ADR | 41,700 | (9,518,025 | ) | |||||||
Sea Ltd., ADR | 40,400 | (558,732 | ) | |||||||
Taoping, Inc. | 300 | (381 | ) | |||||||
|
| |||||||||
(12,420,592 | ) | |||||||||
|
|
See Notes to Consolidated Financial Statements.
74
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Security Description | Shares | Value | ||||||||||
Specialty Finance — (0.0)% | ||||||||||||
China Rapid Finance Ltd., ADR | 1,983 | $ | (5,671 | ) | ||||||||
Jianpu Technology, Inc., ADR | 6,700 | (32,763 | ) | |||||||||
LexinFintech Holdings Ltd., ADR | 8,700 | (86,391 | ) | |||||||||
ORIX Corp., ADR | 300 | (24,309 | ) | |||||||||
PPDAI Group, Inc., ADR | 14,700 | (79,086 | ) | |||||||||
Qudian, Inc., ADR | 32,200 | (167,762 | ) | |||||||||
|
| |||||||||||
(395,982 | ) | |||||||||||
|
| |||||||||||
Technology Services — (0.1)% | ||||||||||||
Baozun, Inc., ADR | 44,600 | (2,166,668 | ) | |||||||||
Wipro Ltd., ADR | 4,200 | (21,882 | ) | |||||||||
|
| |||||||||||
(2,188,550 | ) | |||||||||||
|
| |||||||||||
Telecommunications — (0.0)% | ||||||||||||
Chunghwa Telecom Co. Ltd., ADR | 3,900 | (140,049 | ) | |||||||||
GDS Holdings Ltd., ADR | 13,500 | (474,255 | ) | |||||||||
PLDT, Inc., ADR | 300 | (7,710 | ) | |||||||||
PT Telekomunikasi Indonesia Persero Tbk, ADR | 12,600 | (308,448 | ) | |||||||||
|
| |||||||||||
(930,462 | ) | |||||||||||
|
| |||||||||||
Transportation & Logistics — (0.0)% | ||||||||||||
BEST, Inc., ADR | 67,800 | (401,376 | ) | |||||||||
Seaspan Corp. | 24,778 | (206,401 | ) | |||||||||
ZTO Express Cayman, Inc., ADR | 83,200 | (1,378,624 | ) | |||||||||
|
| |||||||||||
(1,986,401 | ) | |||||||||||
|
| |||||||||||
Utilities — (0.0)% | ||||||||||||
Huaneng Power International, Inc., ADR | 2,080 | (53,872 | ) | |||||||||
Korea Electric Power Corp., ADR | 21,800 | (287,106 | ) | |||||||||
|
| |||||||||||
(340,978 | ) | |||||||||||
|
| |||||||||||
Total Asia | (99,187,330 | ) | ||||||||||
|
| |||||||||||
Europe — (1.0)% | ||||||||||||
Asset Management — (0.0)% | ||||||||||||
UBS Group AG | 90,700 | (1,426,711 | ) | |||||||||
|
| |||||||||||
Automotive — (0.0)% | ||||||||||||
Veoneer, Inc. | 1,200 | (66,084 | ) | |||||||||
|
| |||||||||||
Banking — (0.1)% | ||||||||||||
Banco Bilbao Vizcaya Argentaria SA, ADR | 9,400 | (59,220 | ) | |||||||||
Banco Santander SA, ADR | 240,832 | (1,204,160 | ) | |||||||||
Barclays PLC, ADR | 106,481 | (953,005 | ) | |||||||||
Deutsche Bank AG | 106,700 | (1,212,112 | ) | |||||||||
HSBC Holdings PLC, ADR | 10,982 | (483,098 | ) |
See Notes to Consolidated Financial Statements.
75
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Security Description | Shares | Value | ||||||||
ING Groep NV, ADR | 5,900 | $ | (76,523 | ) | ||||||
Lloyds Banking Group PLC, ADR | 600 | (1,824 | ) | |||||||
Royal Bank of Scotland Group PLC, ADR | 38,000 | (248,140 | ) | |||||||
|
| |||||||||
(4,238,082 | ) | |||||||||
|
| |||||||||
Biotechnology & Pharmaceuticals — (0.5)% | ||||||||||
AC Immune SA | 1,213 | (9,704 | ) | |||||||
Affimed NV | 4,400 | (19,140 | ) | |||||||
Amarin Corp. PLC, ADR | 400 | (6,508 | ) | |||||||
Auris Medical Holding AG | 160 | (59 | ) | |||||||
Bayer AG (d) | 185,784 | (16,503,559 | ) | |||||||
Cellectis SA, ADR | 1,200 | (33,864 | ) | |||||||
GlaxoSmithKline plc, ADR | 6,300 | (253,071 | ) | |||||||
Nabriva Therapeutics plc | 2,000 | (5,400 | ) | |||||||
Novartis AG, ADR | 3,300 | (284,328 | ) | |||||||
Prothena Corp. PLC | 2,800 | (36,624 | ) | |||||||
Roche Holding AG (d) | 54,450 | (13,190,837 | ) | |||||||
|
| |||||||||
(30,343,094 | ) | |||||||||
|
| |||||||||
Construction Materials — (0.0)% | ||||||||||
CRH PLC, ADR | 2,000 | (65,440 | ) | |||||||
|
| |||||||||
Consumer Products — (0.1)% | ||||||||||
Anheuser-Busch InBev NV, ADR | 73,000 | (6,392,610 | ) | |||||||
British American Tobacco PLC, ADR | 2,700 | (125,901 | ) | |||||||
Unilever PLC, ADR | 1,000 | (54,970 | ) | |||||||
|
| |||||||||
(6,573,481 | ) | |||||||||
|
| |||||||||
Electrical Equipment — (0.0)% | ||||||||||
nVent Electric plc | 300 | (8,148 | ) | |||||||
|
| |||||||||
Gaming, Lodging & Restaurants — (0.0)% | ||||||||||
Belmond Ltd., Class A | 1,600 | (29,200 | ) | |||||||
InterContinental Hotels Group PLC, ADR | 200 | (12,558 | ) | |||||||
|
| |||||||||
(41,758 | ) | |||||||||
|
| |||||||||
Hardware — (0.0)% | ||||||||||
Logitech International SA | 2,400 | (107,328 | ) | |||||||
voxeljet AG, ADR | 1,400 | (6,230 | ) | |||||||
|
| |||||||||
(113,558 | ) | |||||||||
|
| |||||||||
Institutional Financial Services — (0.0)% | ||||||||||
Credit Suisse Group AG, ADR | 92,749 | (1,385,670 | ) | |||||||
|
| |||||||||
Insurance — (0.0)% | ||||||||||
Aegon NV | 33 | (212 | ) |
See Notes to Consolidated Financial Statements.
76
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Security Description | Shares | Value | ||||||||
Prudential PLC, ADR | 3,963 | $ | (181,862 | ) | ||||||
|
| |||||||||
(182,074 | ) | |||||||||
|
| |||||||||
Iron & Steel — (0.0)% | ||||||||||
ArcelorMittal | 56,897 | (1,755,841 | ) | |||||||
|
| |||||||||
Machinery — (0.0)% | ||||||||||
CNH Industrial NV | 300 | (3,603 | ) | |||||||
|
| |||||||||
Media — (0.0)% | ||||||||||
Liberty Global PLC, A Shares | 82,400 | (2,383,832 | ) | |||||||
Pearson PLC, ADR | 11,300 | (130,176 | ) | |||||||
Trivago NV, ADR | 4,500 | (27,720 | ) | |||||||
|
| |||||||||
(2,541,728 | ) | |||||||||
|
| |||||||||
Medical Equipment & Devices — (0.0)% | ||||||||||
Koninklijke Philips NV | 100 | (4,551 | ) | |||||||
Smith & Nephew PLC, ADR | 200 | (7,418 | ) | |||||||
|
| |||||||||
(11,969 | ) | |||||||||
|
| |||||||||
Metals & Mining — (0.0)% | ||||||||||
Ferroglobe PLC (e) | 400 | 0 | ||||||||
|
| |||||||||
Oil, Gas & Coal — (0.1)% | ||||||||||
BP PLC, ADR | 35 | (1,614 | ) | |||||||
Equinor ASA, ADR | 32,060 | (904,092 | ) | |||||||
Royal Dutch Shell PLC, ADR | 24 | (1,635 | ) | |||||||
TechnipFMC PLC | 79,400 | (2,481,250 | ) | |||||||
|
| |||||||||
�� | (3,388,591 | ) | ||||||||
|
| |||||||||
Passenger Transportation — (0.0)% | ||||||||||
Ryanair Holdings PLC, ADR | 925 | (88,837 | ) | |||||||
|
| |||||||||
Semiconductors — (0.0)% | ||||||||||
NXP Semiconductors NV | 3,968 | (339,264 | ) | |||||||
STMicroelectronics NV | 5,900 | (108,206 | ) | |||||||
|
| |||||||||
(447,470 | ) | |||||||||
|
| |||||||||
Software — (0.0)% | ||||||||||
SAP SE, ADR | 6,200 | (762,600 | ) | |||||||
|
| |||||||||
Specialty Finance — (0.1)% | ||||||||||
AerCap Holdings NV | 57,500 | (3,307,400 | ) | |||||||
Fly Leasing Ltd., ADR | 1,000 | (14,100 | ) | |||||||
|
| |||||||||
(3,321,500 | ) | |||||||||
|
|
See Notes to Consolidated Financial Statements.
77
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Security Description | Shares | Value | ||||||||||
Technology Services — (0.0)% | ||||||||||||
RELX PLC, ADR | 1,000 | $ | (20,930 | ) | ||||||||
|
| |||||||||||
Telecommunications — (0.1)% | ||||||||||||
BT Group PLC, ADR | 29,600 | (437,192 | ) | |||||||||
Telefonica SA, ADR | 4,601 | (36,164 | ) | |||||||||
VEON Ltd., ADR | 127,700 | (370,330 | ) | |||||||||
Vodafone Group PLC, ADR | 114,700 | (2,488,990 | ) | |||||||||
|
| |||||||||||
(3,332,676 | ) | |||||||||||
|
| |||||||||||
Transportation & Logistics — (0.0)% | ||||||||||||
Ardmore Shipping Corp. | 8,700 | (56,550 | ) | |||||||||
Costamare, Inc. | 1,800 | (11,682 | ) | |||||||||
Diana Containerships, Inc. | 1,700 | (2,159 | ) | |||||||||
DryShips, Inc. | 7,810 | (47,641 | ) | |||||||||
Euronav SA | 3,908 | (34,000 | ) | |||||||||
Frontline Ltd. | 19,640 | (114,108 | ) | |||||||||
GasLog Ltd. | 18,200 | (359,450 | ) | |||||||||
Globus Maritime Ltd. | 1,432 | (644 | ) | |||||||||
Golden Ocean Group Ltd. | 2,080 | (20,509 | ) | |||||||||
Navios Maritime Acquisition Corp. | 13,600 | (6,939 | ) | |||||||||
Navios Maritime Holdings, Inc. | 17,300 | (12,261 | ) | |||||||||
Navios Maritime Partners LP | 200 | (350 | ) | |||||||||
Nordic American Offshore Ltd. | 4,822 | (4,677 | ) | |||||||||
Scorpio Tankers, Inc. | 173,400 | (348,534 | ) | |||||||||
Star Bulk Carriers Corp. | 380 | (5,491 | ) | |||||||||
Tsakos Energy Navigation Ltd. | 8,000 | (27,120 | ) | |||||||||
|
| |||||||||||
(1,052,115 | ) | |||||||||||
|
| |||||||||||
Utilities — (0.0)% | ||||||||||||
National Grid PLC, ADR | 592 | (30,701 | ) | |||||||||
|
| |||||||||||
Total Europe | (61,202,661 | ) | ||||||||||
|
| |||||||||||
Middle East — (0.1)% | ||||||||||||
Biotechnology & Pharmaceuticals — (0.1)% | ||||||||||||
Foamix Pharmaceuticals Ltd. | 1,900 | (10,887 | ) | |||||||||
Oramed Pharmaceuticals, Inc. | 1,200 | (5,796 | ) | |||||||||
Teva Pharmaceutical Industries Ltd., ADR (d) | 141,040 | (3,038,002 | ) | |||||||||
Vascular Biogenics Ltd. | 4,800 | (7,800 | ) | |||||||||
|
| |||||||||||
(3,062,485 | ) | |||||||||||
|
| |||||||||||
Hardware — (0.0)% | ||||||||||||
Kornit Digital Ltd. | 5,700 | (124,830 | ) | |||||||||
SuperCom Ltd. | 200 | (360 | ) | |||||||||
|
| |||||||||||
(125,190 | ) | |||||||||||
|
|
See Notes to Consolidated Financial Statements.
78
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Security Description | Shares | Value | ||||||||||
Medical Equipment & Devices — (0.0)% | ||||||||||||
InspireMD, Inc. | 166 | $ | (36 | ) | ||||||||
ReWalk Robotics Ltd. | 8,000 | (7,120 | ) | |||||||||
|
| |||||||||||
(7,156 | ) | |||||||||||
|
| |||||||||||
Software — (0.0)% | ||||||||||||
My Size, Inc. | 100 | (117 | ) | |||||||||
|
| |||||||||||
Telecommunications — (0.0)% | ||||||||||||
magicJack VocalTec Ltd. | 500 | (4,150 | ) | |||||||||
|
| |||||||||||
Total Middle East | (3,199,098 | ) | ||||||||||
|
| |||||||||||
North America — (17.5)% | ||||||||||||
Aerospace & Defense — (0.0)% | ||||||||||||
Aerovironment, Inc. | 10,500 | (1,177,785 | ) | |||||||||
Arconic, Inc. | 27,995 | (616,170 | ) | |||||||||
Axon Enterprise, Inc. | 2,700 | (184,761 | ) | |||||||||
Rockwell Collins, Inc. | 1 | (140 | ) | |||||||||
Triumph Group, Inc. | 25,400 | (591,820 | ) | |||||||||
Woodward, Inc. | 3,500 | (283,010 | ) | |||||||||
|
| |||||||||||
(2,853,686 | ) | |||||||||||
|
| |||||||||||
Apparel & Textile Products — (0.2)% | ||||||||||||
Carter’s, Inc. | 38,400 | (3,786,240 | ) | |||||||||
Deckers Outdoor Corp. | 1,800 | (213,444 | ) | |||||||||
Fossil Group, Inc. | 21,400 | (498,192 | ) | |||||||||
Gildan Activewear, Inc. | 19,300 | (587,299 | ) | |||||||||
Hanesbrands, Inc. | 134,500 | (2,478,835 | ) | |||||||||
Iconix Brand Group, Inc. | 22,100 | (6,855 | ) | |||||||||
Lakeland Industries, Inc. | 900 | (11,970 | ) | |||||||||
Movado Group, Inc. | 8,600 | (360,340 | ) | |||||||||
Oxford Industries, Inc. | 100 | (9,020 | ) | |||||||||
Sequential Brands Group, Inc. | 7,800 | (13,026 | ) | |||||||||
Under Armour, Inc., Class A | 136,000 | (2,885,920 | ) | |||||||||
Wolverine World Wide, Inc. | 400 | (15,620 | ) | |||||||||
|
| |||||||||||
(10,866,761 | ) | |||||||||||
|
| |||||||||||
Asset Management — (0.1)% | ||||||||||||
Artisan Partners Asset Management, Inc., Class A | 14,900 | (482,760 | ) | |||||||||
Barings BDC, Inc. | 800 | (8,008 | ) | |||||||||
Brookfield Asset Management, Inc., Class A | 40,650 | (1,810,145 | ) | |||||||||
Cohen & Steers, Inc. | 300 | (12,183 | ) | |||||||||
Columbia Financial, Inc. | 2,800 | (46,760 | ) | |||||||||
Cronos Group, Inc. | 150,300 | (1,671,336 | ) | |||||||||
Kennedy-Wilson Holdings, Inc. | 34,400 | (739,600 | ) | |||||||||
Main Street Capital Corp. | 6 | (231 | ) |
See Notes to Consolidated Financial Statements.
79
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Security Description | Shares | Value | ||||||||
Medley Capital Corp. | 9,500 | $ | (36,290 | ) | ||||||
Stifel Financial Corp. | 3,400 | (174,284 | ) | |||||||
TD Ameritrade Holding Corp. | 21,400 | (1,130,562 | ) | |||||||
Virtus Investment Partners, Inc. | 100 | (11,375 | ) | |||||||
Waddell & Reed Financial, Inc., Class A | 6,600 | (139,788 | ) | |||||||
|
| |||||||||
(6,263,322 | ) | |||||||||
|
| |||||||||
Automotive — (0.6)% | ||||||||||
Adient PLC | 65,000 | (2,555,150 | ) | |||||||
ADOMANI, Inc. | 1,100 | (617 | ) | |||||||
American Axle & Manufacturing Holdings, Inc. | 62,200 | (1,084,768 | ) | |||||||
Cooper Tire & Rubber Co. | 100 | (2,830 | ) | |||||||
Dorman Products, Inc. | 200 | (15,384 | ) | |||||||
Ford Motor Co. | 1,522,000 | (14,078,500 | ) | |||||||
General Motors Co. | 11,900 | (400,673 | ) | |||||||
Gentherm, Inc. | 100 | (4,545 | ) | |||||||
Goodyear Tire & Rubber Co. | 1,600 | (37,424 | ) | |||||||
Horizon Global Corp. | 11,600 | (82,708 | ) | |||||||
Methode Electronics, Inc. | 4,700 | (170,140 | ) | |||||||
Motorcar Parts of America, Inc. | 2,700 | (63,315 | ) | |||||||
Tenneco, Inc., Class A | 200 | (8,428 | ) | |||||||
Tesla Motors, Inc. | 79,600 | (21,075,692 | ) | |||||||
Visteon Corp. | 4,700 | (436,630 | ) | |||||||
Westport Innovations, Inc. | 22,300 | (66,900 | ) | |||||||
|
| |||||||||
(40,083,704 | ) | |||||||||
|
| |||||||||
Banking — (0.1)% | ||||||||||
Axos Financial, Inc. | 300 | (10,317 | ) | |||||||
Banc of California, Inc. | 21,800 | (412,020 | ) | |||||||
Bank OZK | 600 | (22,776 | ) | |||||||
BankUnited, Inc. | 10,000 | (354,000 | ) | |||||||
Centerstate Banks, Inc. | 3,712 | (104,122 | ) | |||||||
Chemical Financial Corp. | 5,093 | (271,966 | ) | |||||||
CIT Group, Inc. | 17,500 | (903,175 | ) | |||||||
Columbia Banking System, Inc. | 4,800 | (186,096 | ) | |||||||
ConnectOne Bancorp, Inc. | 23 | (546 | ) | |||||||
Customers Bancorp, Inc. | 6,100 | (143,533 | ) | |||||||
FB Financial Corp. | 200 | (7,836 | ) | |||||||
First Busey Corp. | 34 | (1,056 | ) | |||||||
First Foundation, Inc. | 300 | (4,686 | ) | |||||||
First Horizon National Corp. | 78,300 | (1,351,458 | ) | |||||||
First Midwest Bancorp, Inc. | 700 | (18,613 | ) | |||||||
First Republic Bank | 12,200 | (1,171,200 | ) | |||||||
FNB Corp. | 59,055 | (751,180 | ) | |||||||
Glacier Bancorp, Inc. | 700 | (30,163 | ) | |||||||
Hope Bancorp, Inc. | 38 | (614 | ) |
See Notes to Consolidated Financial Statements.
80
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Security Description | Shares | Value | ||||||||
Kearny Financial Corp. | 618 | $ | (8,559 | ) | ||||||
KeyCorp | 4 | (80 | ) | |||||||
Luther Burbank Corp. | 200 | (2,176 | ) | |||||||
New York Community Bancorp, Inc. | 12,100 | (125,477 | ) | |||||||
OceanFirst Financial Corp. | 97 | (2,640 | ) | |||||||
Old National Bancorp | 609 | (11,754 | ) | |||||||
Pacific Premier Bancorp, Inc. | 4,600 | (171,120 | ) | |||||||
Pinnacle Financial Partners, Inc. | 18,300 | (1,100,745 | ) | |||||||
Simmons First National Corp., Class A | 1,318 | (38,815 | ) | |||||||
South State Corp. | 44 | (3,608 | ) | |||||||
Southern National Bancorp of Virginia, Inc. | 600 | (9,720 | ) | |||||||
Sterling Bancorp | 82,908 | (1,823,976 | ) | |||||||
TFS Financial Corp. | 5,152 | (77,331 | ) | |||||||
Toronto-Dominion Bank | 45 | (2,736 | ) | |||||||
Towne Bank | 40 | (1,234 | ) | |||||||
Triumph Bancorp, Inc. | 3,100 | (118,420 | ) | |||||||
Union Bankshares Corp. | 2,600 | (100,178 | ) | |||||||
United Bankshares, Inc. | 1,403 | (50,999 | ) | |||||||
Valley National Bancorp | 1,000 | (11,250 | ) | |||||||
|
| |||||||||
(9,406,175 | ) | |||||||||
|
| |||||||||
Biotechnology & Pharmaceuticals — (1.8)% | ||||||||||
AbbVie, Inc. (d) | 60,590 | (5,730,602 | ) | |||||||
Abeona Therapeutics, Inc. | 32,600 | (417,280 | ) | |||||||
ACADIA Pharmaceuticals, Inc. | 100,600 | (2,088,456 | ) | |||||||
Acceleron Pharma, Inc. | 13,300 | (761,159 | ) | |||||||
AcelRx Pharmaceuticals, Inc. | 25,855 | (99,542 | ) | |||||||
Achaogen, Inc. | 37,400 | (149,226 | ) | |||||||
Achieve Life Sciences, Inc. | 9 | (28 | ) | |||||||
Achillion Pharmaceuticals, Inc. | 7,000 | (25,760 | ) | |||||||
Aclaris Therapeutics, Inc. | 13,200 | (191,664 | ) | |||||||
Actinium Pharmaceuticals, Inc. | 21,300 | (15,794 | ) | |||||||
Adamas Pharmaceuticals, Inc. | 22,200 | (444,444 | ) | |||||||
Adamis Pharmaceuticals Corp. | 26,700 | (93,450 | ) | |||||||
Aduro Biotech, Inc. | 9,300 | (68,355 | ) | |||||||
Advaxis, Inc. | 14,700 | (13,818 | ) | |||||||
Aerie Pharmaceuticals, Inc. | 4,900 | (301,595 | ) | |||||||
Aeterna Zentaris, Inc. | 5,278 | (9,184 | ) | |||||||
Agenus, Inc. | 72,900 | (156,006 | ) | |||||||
Agile Therapeutics, Inc. | 3,100 | (1,136 | ) | |||||||
Aimmune Therapeutics, Inc. | 20,000 | (545,600 | ) | |||||||
Akcea Therapeutics, Inc. | 2,800 | (98,056 | ) | |||||||
Akebia Therapeutics, Inc. | 12,100 | (106,843 | ) | |||||||
Akers Biosciences, Inc. | 9,800 | (2,783 | ) | |||||||
Alder Biopharmaceuticals, Inc. | 45,100 | (750,915 | ) | |||||||
Aldeyra Therapeutics, Inc. | 400 | (5,520 | ) |
See Notes to Consolidated Financial Statements.
81
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Security Description | Shares | Value | ||||||||
Alimera Sciences, Inc. | 8,500 | $ | (8,330 | ) | ||||||
Allergan PLC | 63,770 | (12,146,910 | ) | |||||||
Alnylam Pharmaceuticals, Inc. | 200 | (17,504 | ) | |||||||
Alpine Immune Sciences, Inc. | 250 | (1,582 | ) | |||||||
Altimmune, Inc. | 47 | (207 | ) | |||||||
AMAG Pharmaceuticals, Inc. | 14,200 | (284,000 | ) | |||||||
Amgen, Inc. (d) | 55,470 | (11,498,376 | ) | |||||||
Amicus Therapeutics, Inc. | 48,600 | (587,574 | ) | |||||||
Amneal Pharmaceuticals, Inc. | 14,300 | (317,317 | ) | |||||||
Ampio Pharmaceuticals, Inc. | 23,812 | (12,096 | ) | |||||||
AmpliPhi Biosciences Corp. | 200 | (202 | ) | |||||||
Anavex Life Sciences Corp. | 20,000 | (54,600 | ) | |||||||
ANI Pharmaceuticals, Inc. | 3,400 | (192,236 | ) | |||||||
Anixa Biosciencies, Inc. | 5,062 | (23,488 | ) | |||||||
Apellis Pharmaceuticals, Inc. | 7,000 | (124,460 | ) | |||||||
Aptevo Therapeutics, Inc. | 5,900 | (29,972 | ) | |||||||
Aptose Biosciences, Inc. | 100 | (260 | ) | |||||||
Aquinox Pharmaceuticals, Inc. | 800 | (2,344 | ) | |||||||
Aradigm Corp. | 1,334 | (1,521 | ) | |||||||
Aratana Therapeutics, Inc. | 13,500 | (78,840 | ) | |||||||
Arbutus Biopharma Corp. | 2,900 | (27,405 | ) | |||||||
Arcturus Therapeutics Ltd. | 657 | (5,808 | ) | |||||||
Arcus Biosciences, Inc. | 100 | (1,394 | ) | |||||||
Arena Pharmaceuticals, Inc. | 7,730 | (355,735 | ) | |||||||
Array BioPharma, Inc. | 8,200 | (124,640 | ) | |||||||
Arrowhead Pharmaceuticals, Inc. | 4,400 | (84,348 | ) | |||||||
Assertio Therapeutics, Inc. | 45,800 | (269,304 | ) | |||||||
Atara Biotherapeutics, Inc. | 7,100 | (293,585 | ) | |||||||
Athenex, Inc. | 3,890 | (60,451 | ) | |||||||
aTyr Pharma, Inc. | 1,200 | (975 | ) | |||||||
Audentes Therapeutics, Inc. | 100 | (3,959 | ) | |||||||
Aurinia Pharmaceuticals, Inc. | 26,800 | (177,952 | ) | |||||||
AVEO Pharmaceuticals, Inc. | 68,800 | (227,728 | ) | |||||||
Avid Bioservices, Inc. | 3,957 | (27,145 | ) | |||||||
Axovant Sciences Ltd. | 14,300 | (34,606 | ) | |||||||
Axsome Therapeutics, Inc. | 200 | (690 | ) | |||||||
Bausch Health Cos., Inc. | 10,200 | (261,834 | ) | |||||||
Bellicum Pharmaceuticals, Inc. | 17,900 | (110,264 | ) | |||||||
Bio-Path Holdings, Inc. | 160 | (94 | ) | |||||||
Biocept, Inc. | 1,322 | (3,635 | ) | |||||||
BioDelivery Sciences International, Inc. | 19,100 | (53,480 | ) | |||||||
Biohaven Pharmaceutical Holding Co. Ltd. | 8,400 | (315,420 | ) | |||||||
BioPharmX Corp. | 50,187 | (9,535 | ) | |||||||
Bluebird Bio, Inc. | 11,100 | (1,620,600 | ) | |||||||
Caladrius Biosciences, Inc. | 1,160 | (6,844 | ) | |||||||
Calithera Biosciences, Inc. | 8,600 | (45,150 | ) |
See Notes to Consolidated Financial Statements.
82
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Security Description | Shares | Value | ||||||||
Canopy Growth Corp. | 19,700 | $ | (958,208 | ) | ||||||
Capricor Therapeutics, Inc. | 3,318 | (3,484 | ) | |||||||
Cara Therapeutics, Inc. | 31,300 | (749,635 | ) | |||||||
CASI Pharmaceuticals, Inc. | 3,300 | (15,411 | ) | |||||||
Catabasis Pharmaceuticals, Inc. | 5,200 | (4,160 | ) | |||||||
CEL-SCI Corp. | 100 | (405 | ) | |||||||
Cellectar Biosciences, Inc. | 163 | (489 | ) | |||||||
Cellular Biomedicine Group, Inc. | 100 | (1,815 | ) | |||||||
Celsion Corp. | 8,700 | (24,099 | ) | |||||||
Cerecor, Inc. | 100 | (467 | ) | |||||||
Chiasma, Inc. | 300 | (1,080 | ) | |||||||
ChromaDex Corp. | 2,800 | (12,012 | ) | |||||||
Cidara Therapeutics, Inc. | 500 | (2,200 | ) | |||||||
Clearside Biomedical, Inc. | 800 | (4,920 | ) | |||||||
Clovis Oncology, Inc. | 44,700 | (1,312,839 | ) | |||||||
Coherus Biosciences, Inc. | 15,100 | (249,150 | ) | |||||||
Collegium Pharmaceutical, Inc. | 23,000 | (339,020 | ) | |||||||
Conatus Pharmaceuticals, Inc. | 13,700 | (79,460 | ) | |||||||
ContraVir Pharmaceuticals, Inc. | 3,766 | (2,113 | ) | |||||||
Corbus Pharmaceuticals Holdings, Inc. | 26,800 | (202,340 | ) | |||||||
CorMedix, Inc. | 14,389 | (13,939 | ) | |||||||
Corvus Pharmaceuticals, Inc. | 1,900 | (16,302 | ) | |||||||
Cyclacel Pharmaceuticals, Inc. | 400 | (548 | ) | |||||||
Cymabay Therapeutics, Inc. | 15,800 | (175,064 | ) | |||||||
Cytori Therapeutics, Inc. | 2,544 | (1,032 | ) | |||||||
CytRx Corp. | 8,066 | (8,469 | ) | |||||||
Dare Bioscience, Inc. | 1,863 | (1,816 | ) | |||||||
Deciphera Pharmaceuticals, Inc. | 2,900 | (112,288 | ) | |||||||
DelMar Pharmaceuticals, Inc. | 2,599 | (1,949 | ) | |||||||
Denali Therapeutics, Inc. | 2,900 | (63,046 | ) | |||||||
Dermira, Inc. | 300 | (3,270 | ) | |||||||
Diffusion Pharmaceuticals, Inc. | 8,618 | (3,720 | ) | |||||||
Dova Pharmaceuticals, Inc. | 492 | (10,317 | ) | |||||||
Dynavax Technologies Corp. | 52,930 | (656,332 | ) | |||||||
Eagle Pharmaceuticals, Inc. | 5,400 | (374,382 | ) | |||||||
Editas Medicine, Inc. | 40,500 | (1,288,710 | ) | |||||||
Eli Lilly & Co. (d) | 52,580 | (5,642,360 | ) | |||||||
Emergent BioSolutions, Inc. | 100 | (6,583 | ) | |||||||
Enanta Pharmaceuticals, Inc. | 100 | (8,546 | ) | |||||||
Endo International PLC | 142,500 | (2,398,275 | ) | |||||||
Endocyte, Inc. | 50,600 | (898,656 | ) | |||||||
Epizyme, Inc. | 7,700 | (81,620 | ) | |||||||
Esperion Therapeutics, Inc. | 22,700 | (1,007,199 | ) | |||||||
Evoke Pharma, Inc. | 2,400 | (7,152 | ) | |||||||
Exelixis, Inc. | 36,900 | (653,868 | ) | |||||||
EyeGate Pharmaceuticals, Inc. | 200 | (62 | ) |
See Notes to Consolidated Financial Statements.
83
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Security Description | Shares | Value | ||||||||
EyePoint Pharmaceuticals, Inc. | 800 | $ | (2,856 | ) | ||||||
Fibrocell Science, Inc. | 3,213 | (7,583 | ) | |||||||
Flexion Therapeutics, Inc. | 22,100 | (413,491 | ) | |||||||
Fortress Biotech, Inc. | 500 | (800 | ) | |||||||
G1 Therapeutics, Inc. | 2,600 | (135,954 | ) | |||||||
Galectin Therapeutics, Inc. | 13,079 | (78,605 | ) | |||||||
Gemphire Therapeutics, Inc. | 2,300 | (4,738 | ) | |||||||
Genocea Biosciences, Inc. | 18,003 | (14,037 | ) | |||||||
Geron Corp. | 119,500 | (210,320 | ) | |||||||
Global Blood Therapeutics, Inc. | 40,400 | (1,535,200 | ) | |||||||
GlycoMimetics, Inc. | 14,000 | (201,600 | ) | |||||||
Heat Biologics, Inc. | 3,747 | (7,494 | ) | |||||||
Heron Therapeutics, Inc. | 31,300 | (990,645 | ) | |||||||
HTG Molecular Diagnostics, Inc. | 15,396 | (77,750 | ) | |||||||
Idera Pharmaceuticals, Inc. | 3,400 | (30,294 | ) | |||||||
ImmunoGen, Inc. | 23,700 | (224,439 | ) | |||||||
Immunomedics, Inc. | 7,800 | (162,474 | ) | |||||||
Imprimis Pharmaceuticals, Inc. | 3,100 | (8,618 | ) | |||||||
India Globalization Capital, Inc. | 1,400 | (9,030 | ) | |||||||
Infinity Pharmaceuticals, Inc. | 21,700 | (58,807 | ) | |||||||
Innovate Biopharmaceuticals, Inc. | 600 | (4,098 | ) | |||||||
Innoviva, Inc. | 2,900 | (44,196 | ) | |||||||
Inovio Pharmaceuticals, Inc. | 38,200 | (212,392 | ) | |||||||
Insmed, Inc. | 2,500 | (50,550 | ) | |||||||
Insys Therapeutics, Inc. | 15,800 | (159,264 | ) | |||||||
Intellia Therapeutics, Inc. | 16,100 | (460,782 | ) | |||||||
Intellipharmaceutics International, Inc. | 550 | (1,474 | ) | |||||||
Intersect ENT, Inc. | 400 | (11,500 | ) | |||||||
Intra-Cellular Therapies, Inc. | 12,800 | (277,760 | ) | |||||||
Intrexon Corp. | 56,300 | (969,486 | ) | |||||||
Iovance Biotherapeutics, Inc. | 2,600 | (29,250 | ) | |||||||
Kadmon Holdings, Inc. | 700 | (2,338 | ) | |||||||
Kala Pharmaceuticals, Inc. | 3,200 | (31,584 | ) | |||||||
KalVista Pharmaceuticals, Inc. | 92 | (2,034 | ) | |||||||
Keryx Biopharmaceuticals, Inc. | 50,100 | (170,340 | ) | |||||||
La Jolla Pharmaceutical Co. | 22,277 | (448,436 | ) | |||||||
Lannett Co., Inc. | 32,300 | (153,425 | ) | |||||||
Lipocine, Inc. | 4,297 | (5,930 | ) | |||||||
Loxo Oncology, Inc. | 6,600 | (1,127,478 | ) | |||||||
MacroGenics, Inc. | 3,800 | (81,472 | ) | |||||||
Madrigal Pharmaceuticals, Inc. | 1,068 | (228,691 | ) | |||||||
Mallinckrodt PLC | 17,067 | (500,234 | ) | |||||||
MannKind Corp. | 106,829 | (195,497 | ) | |||||||
Marinus Pharmaceuticals, Inc. | 27,500 | (275,000 | ) | |||||||
Matinas BioPharma Holdings, Inc. | 1,800 | (1,656 | ) | |||||||
Medicines Co. | 23,600 | (705,876 | ) |
See Notes to Consolidated Financial Statements.
84
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Security Description | Shares | Value | ||||||||
MediciNova, Inc. | 1,400 | $ | (17,486 | ) | ||||||
MEI Pharma, Inc. | 3,000 | (12,930 | ) | |||||||
Melinta Therapeutics, Inc. | 2,920 | (11,534 | ) | |||||||
Merrimack Pharmaceuticals, Inc. | 3,360 | (17,909 | ) | |||||||
Minerva Neurosciences, Inc. | 6,700 | (84,085 | ) | |||||||
Mirati Therapeutics, Inc. | 9,100 | (428,610 | ) | |||||||
Molecular Templates, Inc. | 672 | (3,622 | ) | |||||||
Moleculin Biotech, Inc. | 7,359 | (11,774 | ) | |||||||
Momenta Pharmaceuticals, Inc. | 19,400 | (510,220 | ) | |||||||
Mylan NV | 96,900 | (3,546,540 | ) | |||||||
MyoKardia, Inc. | 4,000 | (260,800 | ) | |||||||
MYOS RENS Technology, Inc. | 72 | (87 | ) | |||||||
Myovant Sciences Ltd. | 300 | (7,965 | ) | |||||||
NantKwest, Inc. | 6,800 | (25,160 | ) | |||||||
Navidea Biopharmaceuticals, Inc. | 12,099 | (2,789 | ) | |||||||
Nektar Therapeutics (d) | 58,330 | (3,555,797 | ) | |||||||
Neos Therapeutics, Inc. | 9,300 | (45,105 | ) | |||||||
Neptune Wellness Solutions, Inc. | 1,300 | (5,044 | ) | |||||||
Neuralstem, Inc. | 5,353 | (5,728 | ) | |||||||
NewLink Genetics Corp. | 17,800 | (42,542 | ) | |||||||
Novan, Inc. | 1,400 | (3,906 | ) | |||||||
Novavax, Inc. | 22,600 | (42,488 | ) | |||||||
Novelion Therapeutics, Inc. | 1,310 | (3,878 | ) | |||||||
Novus Therapeutics, Inc. | 422 | (1,971 | ) | |||||||
Ocular Therapeutix, Inc. | 13,500 | (92,880 | ) | |||||||
Ohr Pharmaceutical, Inc. | 9,900 | (1,831 | ) | |||||||
Omeros Corp. | 33,800 | (825,058 | ) | |||||||
OncoSec Medical, Inc. | 10,000 | (14,000 | ) | |||||||
OpGen, Inc. | 4,679 | (9,498 | ) | |||||||
Ophthotech Corp. | 6,000 | (14,160 | ) | |||||||
Optinose, Inc. | 300 | (3,729 | ) | |||||||
Organovo Holdings, Inc. | 46,100 | (53,015 | ) | |||||||
Ovid therapeutics, Inc. | 300 | (1,701 | ) | |||||||
Pain Therapeutics, Inc. | 2,975 | (3,005 | ) | |||||||
Palatin Technologies, Inc. | 17,900 | (17,855 | ) | |||||||
Paratek Pharmaceuticals, Inc. | 14,600 | (141,620 | ) | |||||||
Pernix Therapeutics Holdings, Inc. | 3,400 | (3,275 | ) | |||||||
Perrigo Co. PLC (d) | 53,252 | (3,770,242 | ) | |||||||
Pfizer, Inc. (d) | 146,520 | (6,457,136 | ) | |||||||
Pieris Pharmaceuticals, Inc. | 2,200 | (12,320 | ) | |||||||
PolarityTE, Inc. | 18,199 | (347,601 | ) | |||||||
Portola Pharmaceuticals, Inc. | 56,100 | (1,493,943 | ) | |||||||
Precision Therapeutics, Inc. | 2,718 | (2,881 | ) | |||||||
Prestige Brands Holdings, Inc. | 10,800 | (409,212 | ) | |||||||
Progenics Pharmaceuticals, Inc. | 48,300 | (302,841 | ) | |||||||
Protalix BioTherapeutics, Inc. | 9,400 | (6,833 | ) |
See Notes to Consolidated Financial Statements.
85
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Security Description | Shares | Value | ||||||||
PTC Therapeutics, Inc. | 700 | $ | (32,900 | ) | ||||||
Pulmatrix, Inc. | 15,761 | (5,832 | ) | |||||||
Puma Biotechnology, Inc. | 31,200 | (1,430,520 | ) | |||||||
Radius Health, Inc. | 38,600 | (687,080 | ) | |||||||
Reata Pharmaceuticals, Inc., Class A | 2,124 | (173,658 | ) | |||||||
Regulus Therapeutics, Inc. | 6,800 | (1,344 | ) | |||||||
Rhythm Pharmaceuticals, Inc. | 200 | (5,834 | ) | |||||||
Rocket Pharmaceuticals, Inc. | 3,125 | (76,937 | ) | |||||||
RXi Pharmaceuticals Corp. | 1,604 | (1,877 | ) | |||||||
Sage Therapeutics, Inc. | 17,600 | (2,486,000 | ) | |||||||
Sangamo BioSciences, Inc. | 14,600 | (247,470 | ) | |||||||
Sarepta Therapeutics, Inc. | 600 | (96,906 | ) | |||||||
Savara, Inc. | 1,549 | (17,287 | ) | |||||||
SCYNEXIS, Inc. | 4,200 | (5,040 | ) | |||||||
SELLAS Life Sciences Group, Inc. | 1,256 | (1,532 | ) | |||||||
Seres Therapeutics, Inc. | 2,400 | (18,216 | ) | |||||||
Sesen Bio, Inc. | 9,068 | (19,496 | ) | |||||||
Shire PLC, ADR | 26,825 | (4,862,568 | ) | |||||||
Solid Biosciences, Inc. | 2,300 | (108,514 | ) | |||||||
Sophiris Bio, Inc. | 7,600 | (21,204 | ) | |||||||
Sorrento Therapeutics, Inc. | 5,500 | (24,200 | ) | |||||||
Spark Therapeutics, Inc. | 23,000 | (1,254,650 | ) | |||||||
Spectrum Pharmaceuticals, Inc. | 22,400 | (376,320 | ) | |||||||
Supernus Pharmaceuticals, Inc. | 2,000 | (100,700 | ) | |||||||
Surface Oncology, Inc. | 600 | (6,564 | ) | |||||||
Syndax Pharmaceuticals, Inc. | 4,200 | (33,936 | ) | |||||||
Synergy Pharmaceuticals, Inc. | 154,700 | (262,990 | ) | |||||||
Synthetic Biologics, Inc. | 1,137 | (2,956 | ) | |||||||
Teligent, Inc. | 13,700 | (54,115 | ) | |||||||
Tenax Therapeutics, Inc. | 445 | (2,341 | ) | |||||||
TESARO, Inc. | 46,600 | (1,817,866 | ) | |||||||
Tetraphase Pharmaceuticals, Inc. | 900 | (2,484 | ) | |||||||
TG Therapeutics, Inc. | 44,500 | (249,200 | ) | |||||||
TherapeuticsMD, Inc. | 129,600 | (850,176 | ) | |||||||
Theravance Biopharma, Inc. | 6,300 | (205,821 | ) | |||||||
Titan Pharmaceuticals, Inc. | 1,600 | (331 | ) | |||||||
Tonix Pharmaceuticals Holding Corp. | 3,160 | (1,867 | ) | |||||||
Trevena, Inc. | 14,200 | (30,104 | ) | |||||||
Trillium Therapeutics, Inc. | 1,600 | (9,280 | ) | |||||||
Trovagene, Inc. | 882 | (719 | ) | |||||||
Tyme Technologies, Inc. | 100 | (278 | ) | |||||||
Ultragenyx Pharmaceutical, Inc. | 20,300 | (1,549,702 | ) | |||||||
UNITY Biotechnology, Inc. | 800 | (13,032 | ) | |||||||
Unum Therapeutics, Inc. | 2,300 | (23,690 | ) | |||||||
Verastem, Inc. | 100 | (725 | ) | |||||||
Viking Therapeutics, Inc. | 43,300 | (754,286 | ) |
See Notes to Consolidated Financial Statements.
86
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Security Description | Shares | Value | ||||||||
VistaGen Therapeutics, Inc. | 800 | $ | (1,160 | ) | ||||||
Vital Therapies, Inc. | 2,400 | (661 | ) | |||||||
VIVUS, Inc. | 3,210 | (14,156 | ) | |||||||
vTv Therapeutics, Inc., Class A | 4,200 | (3,234 | ) | |||||||
WaVe Life Sciences Ltd. | 1,300 | (65,000 | ) | |||||||
XBiotech, Inc. | 1,900 | (6,042 | ) | |||||||
Xenon Pharmaceuticals, Inc. | 100 | (1,320 | ) | |||||||
XOMA Corp. | 10 | (176 | ) | |||||||
Zafgen, Inc. | 3,500 | (40,915 | ) | |||||||
ZIOPHARM Oncology, Inc. | 56,946 | (182,227 | ) | |||||||
Zogenix, Inc. | 29,825 | (1,479,320 | ) | |||||||
Zosano Pharma Corp. | 9,096 | (37,203 | ) | |||||||
Zynerba Pharmaceuticals, Inc. | 11,200 | (91,392 | ) | |||||||
|
| |||||||||
(111,789,866 | ) | |||||||||
|
| |||||||||
Chemicals — (0.3)% | ||||||||||
AgroFresh Solutions, Inc. | 900 | (5,607 | ) | |||||||
Ashland Global Holdings, Inc. | 11,100 | (930,846 | ) | |||||||
Balchem Corp. | 2,900 | (325,061 | ) | |||||||
Chemours Co. (The) | 4,400 | (173,536 | ) | |||||||
DowDuPont, Inc. | 100,643 | (6,472,352 | ) | |||||||
Eastman Chemical Co. | 300 | (28,716 | ) | |||||||
Ferro Corp. | 4,200 | (97,524 | ) | |||||||
FMC Corp. | 31,600 | (2,754,888 | ) | |||||||
GCP Applied Technologies, Inc. | 300 | (7,965 | ) | |||||||
HB Fuller Co. | 700 | (36,169 | ) | |||||||
Innospec, Inc. | 100 | (7,675 | ) | |||||||
International Flavors & Fragrances, Inc. | 3,900 | (542,568 | ) | |||||||
Intrepid Potash, Inc. | 30,700 | (110,213 | ) | |||||||
LSB Industries, Inc. | 7,500 | (73,350 | ) | |||||||
Minerals Technologies, Inc. | 100 | (6,760 | ) | |||||||
Nutrien Ltd. | 54,700 | (3,156,190 | ) | |||||||
Olin Corp. | 76,400 | (1,961,952 | ) | |||||||
Platform Specialty Products Corp. | 127,600 | (1,591,172 | ) | |||||||
PolyOne Corp. | 1,800 | (78,696 | ) | |||||||
Rayonier Advanced Materials, Inc. | 16,100 | (296,723 | ) | |||||||
Rogers Corp. | 100 | (14,732 | ) | |||||||
RPM International, Inc. | 600 | (38,964 | ) | |||||||
Sensient Technologies Corp. | 500 | (38,255 | ) | |||||||
Tronox Ltd., Class A | 50,100 | (598,695 | ) | |||||||
Valvoline, Inc. | 48,824 | (1,050,204 | ) | |||||||
Westlake Chemical Corp. | 2,700 | (224,397 | ) | |||||||
WR Grace & Co. | 9,100 | (650,286 | ) | |||||||
|
| |||||||||
(21,273,496 | ) | |||||||||
|
|
See Notes to Consolidated Financial Statements.
87
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Security Description | Shares | Value | ||||||||
Commercial Services — (0.0)% | ||||||||||
Brink’s Co. | 6,600 | $ | (460,350 | ) | ||||||
Korn/Ferry International | 100 | (4,924 | ) | |||||||
LSC Communications, Inc. | 500 | (5,530 | ) | |||||||
Quad/Graphics, Inc. | 100 | (2,084 | ) | |||||||
Robert Half International, Inc. | 800 | (56,304 | ) | |||||||
RR Donnelley & Sons Co. | 29,634 | (160,024 | ) | |||||||
|
| |||||||||
(689,216 | ) | |||||||||
|
| |||||||||
Construction Materials — (0.1)% | ||||||||||
Boise Cascade Co. | 3,900 | (143,520 | ) | |||||||
Louisiana-Pacific Corp. | 10,900 | (288,741 | ) | |||||||
Martin Marietta Materials, Inc. | 6,830 | (1,242,719 | ) | |||||||
Simpson Manufacturing Co., Inc. | 1,000 | (72,460 | ) | |||||||
Summit Materials, Inc., Class A | 55,519 | (1,009,335 | ) | |||||||
Trex Co., Inc. | 12,800 | (985,344 | ) | |||||||
US Concrete, Inc. | 14,200 | (651,070 | ) | |||||||
Vulcan Materials Co. | 600 | (66,720 | ) | |||||||
|
| |||||||||
(4,459,909 | ) | |||||||||
|
| |||||||||
Consumer Products — (0.8)% | ||||||||||
22nd Century Group, Inc. | 7,500 | (21,075 | ) | |||||||
B&G Foods, Inc. | 37,900 | (1,040,355 | ) | |||||||
Brown-Forman Corp., Class B | 19,725 | (997,099 | ) | |||||||
Campbell Soup Co. | 141,800 | (5,194,134 | ) | |||||||
Church & Dwight Co., Inc. | 66,300 | (3,936,231 | ) | |||||||
Clorox Co. (The) | 29,400 | (4,422,054 | ) | |||||||
Coty, Inc., Class A | 291,180 | (3,657,221 | ) | |||||||
Darling Ingredients, Inc. | 21,600 | (417,312 | ) | |||||||
Dean Foods Co. | 3,400 | (24,140 | ) | |||||||
Edgewell Personal Care Co. | 23,600 | (1,091,028 | ) | |||||||
elf Beauty, Inc. | 12,000 | (152,760 | ) | |||||||
Energizer Holdings, Inc. | 27,800 | (1,630,470 | ) | |||||||
Hain Celestial Group, Inc. | 38,200 | (1,035,984 | ) | |||||||
Helen of Troy Ltd. | 500 | (65,450 | ) | |||||||
Hostess Brands, Inc. | 23,600 | (261,252 | ) | |||||||
Inter Parfums, Inc. | 200 | (12,890 | ) | |||||||
JM Smucker Co. | 40,900 | (4,196,749 | ) | |||||||
John B Sanfilippo & Son, Inc. | 100 | (7,138 | ) | |||||||
Kellogg Co. | 3,300 | (231,066 | ) | |||||||
Kraft Heinz Co. | 137,600 | (7,583,136 | ) | |||||||
McCormick & Co., Inc. | 28,800 | (3,794,400 | ) | |||||||
MGP Ingredients, Inc. | 1,200 | (94,776 | ) | |||||||
Molson Coors Brewing Co., Class B | 28,500 | (1,752,750 | ) | |||||||
National Beverage Corp. | 9,000 | (1,049,580 | ) | |||||||
New Age Beverages Corp. | 10,800 | (57,780 | ) | |||||||
Orchids Paper Products Co. | 2,772 | (9,147 | ) |
See Notes to Consolidated Financial Statements.
88
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Security Description | Shares | Value | ||||||||
Post Holdings, Inc. | 27,300 | $ | (2,676,492 | ) | ||||||
Revlon, Inc., Class A | 5,256 | (117,209 | ) | |||||||
Spectrum Brands Holdings, Inc. | 8,767 | (655,070 | ) | |||||||
SunOpta, Inc. | 100 | (735 | ) | |||||||
Tootsie Roll Industries, Inc. | 595 | (17,404 | ) | |||||||
TreeHouse Foods, Inc. | 12,500 | (598,125 | ) | |||||||
Tyson Foods, Inc., Class A | 12,100 | (720,313 | ) | |||||||
Universal Corp. | 2,200 | (143,000 | ) | |||||||
|
| |||||||||
(47,664,325 | ) | |||||||||
|
| |||||||||
Consumer Services — (0.1)% | ||||||||||
Aaron’s, Inc. | 30,900 | (1,682,814 | ) | |||||||
Medifast, Inc. | 200 | (44,310 | ) | |||||||
Nutrisystem, Inc. | 4,400 | (163,020 | ) | |||||||
Rent-A-Center, Inc. | 7,400 | (106,412 | ) | |||||||
ReShape Lifesciences, Inc. | 757 | (33 | ) | |||||||
Weight Watchers International, Inc. | 28,600 | (2,058,914 | ) | |||||||
|
| |||||||||
(4,055,503 | ) | |||||||||
|
| |||||||||
Containers & Packaging — (0.1)% | ||||||||||
Ball Corp. | 89,800 | (3,950,302 | ) | |||||||
Crown Holdings, Inc. | 37,300 | (1,790,400 | ) | |||||||
Graphic Packaging Holding Co. | 74,300 | (1,040,943 | ) | |||||||
International Paper Co. | 11,800 | (579,970 | ) | |||||||
Owens-Illinois, Inc. | 52,700 | (990,233 | ) | |||||||
Sealed Air Corp. | 13,300 | (533,995 | ) | |||||||
|
| |||||||||
(8,885,843 | ) | |||||||||
|
| |||||||||
Design, Manufacturing & Distribution — (0.0)% | ||||||||||
Avnet, Inc. | 400 | (17,908 | ) | |||||||
Sparton Corp. | 1,000 | (14,430 | ) | |||||||
|
| |||||||||
(32,338 | ) | |||||||||
|
| |||||||||
Distributors—Consumer Staples — (0.0)% | ||||||||||
Calavo Growers, Inc. | 1,900 | (183,540 | ) | |||||||
Castle Brands, Inc. | 11,700 | (12,519 | ) | |||||||
SUPERVALU, Inc. | 32,343 | (1,042,092 | ) | |||||||
|
| |||||||||
(1,238,151 | ) | |||||||||
|
| |||||||||
Distributors—Discretionary — (0.0)% | ||||||||||
Copart, Inc. | 1,200 | (61,836 | ) | |||||||
|
| |||||||||
Electrical Equipment — (0.3)% | ||||||||||
AAON, Inc. | 2,600 | (98,280 | ) | |||||||
Acuity Brands, Inc. | 1,000 | (157,200 | ) | |||||||
ADT, Inc. | 20,700 | (194,373 | ) |
See Notes to Consolidated Financial Statements.
89
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Security Description | Shares | Value | ||||||||
Allegion plc | 15,300 | $ | (1,385,721 | ) | ||||||
Allied Motion Technologies, Inc. | 100 | (5,443 | ) | |||||||
Babcock & Wilcox Enterprises, Inc. | 15,401 | (15,863 | ) | |||||||
Badger Meter, Inc. | 900 | (47,655 | ) | |||||||
Capstone Turbine Corp. | 4,285 | (4,285 | ) | |||||||
Cognex Corp. | 55,600 | (3,103,592 | ) | |||||||
CyberOptics Corp. | 800 | (16,160 | ) | |||||||
DPW Holdings, Inc. | 15,291 | (6,399 | ) | |||||||
Energous Corp. | 21,700 | (219,604 | ) | |||||||
Energy Focus, Inc. | 700 | (1,435 | ) | |||||||
General Electric Co. | 447,200 | (5,048,888 | ) | |||||||
Itron, Inc. | 300 | (19,260 | ) | |||||||
Johnson Controls International PLC | 246,800 | (8,638,000 | ) | |||||||
Littelfuse, Inc. | 82 | (16,227 | ) | |||||||
nLight, Inc. | 3,900 | (86,619 | ) | |||||||
Sensata Technologies Holding plc | 100 | (4,955 | ) | |||||||
ShotSpotter, Inc. | 400 | (24,516 | ) | |||||||
|
| |||||||||
(19,094,475 | ) | |||||||||
|
| |||||||||
Engineering & Construction Services — (0.0)% | ||||||||||
AECOM | 6,596 | (215,425 | ) | |||||||
Dycom Industries, Inc. | 200 | (16,920 | ) | |||||||
Goldfield Corp. | 3,900 | (16,575 | ) | |||||||
Granite Construction, Inc. | 2,077 | (94,919 | ) | |||||||
Installed Building Products, Inc. | 700 | (27,300 | ) | |||||||
Kratos Defense & Security Solutions, Inc. | 66,400 | (981,392 | ) | |||||||
MasTec, Inc. | 9,300 | (415,245 | ) | |||||||
Stantec, Inc. | 200 | (4,970 | ) | |||||||
TopBuild Corp. | 1,245 | (70,741 | ) | |||||||
Willscot Corp. | 2,200 | (37,730 | ) | |||||||
|
| |||||||||
(1,881,217 | ) | |||||||||
|
| |||||||||
Forest & Paper Products — (0.0)% | ||||||||||
PH Glatfelter Co. | 100 | (1,911 | ) | |||||||
|
| |||||||||
Gaming, Lodging & Restaurants — (1.2)% | ||||||||||
Bloomin’ Brands, Inc. | 61,100 | (1,209,169 | ) | |||||||
Caesars Entertainment Corp. | 214,275 | (2,196,319 | ) | |||||||
Choice Hotels International, Inc. | 10,200 | (849,660 | ) | |||||||
Churchill Downs, Inc. | 1,300 | (361,010 | ) | |||||||
Chuy’s Holdings, Inc. | 2,900 | (76,125 | ) | |||||||
Cracker Barrel Old Country Store, Inc. | 14,401 | (2,118,819 | ) | |||||||
Dave & Buster’s Entertainment, Inc. | 26,200 | (1,734,964 | ) | |||||||
DineEquity, Inc. | 1,700 | (138,227 | ) | |||||||
Dunkin’ Brands Group, Inc. | 34,900 | (2,572,828 | ) | |||||||
El Pollo Loco Holdings, Inc. | 100 | (1,255 | ) | |||||||
Golden Entertainment, Inc. | 2,800 | (67,228 | ) |
See Notes to Consolidated Financial Statements.
90
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Security Description | Shares | Value | ||||||||
Hilton Worldwide Holdings, Inc. | 67,199 | $ | (5,428,335 | ) | ||||||
International Game Technology PLC | 24,900 | (491,775 | ) | |||||||
Jack in the Box, Inc. | 6,100 | (511,363 | ) | |||||||
Marriott International, Inc., Class A | 74,086 | (9,781,575 | ) | |||||||
Marriott Vacations Worldwide Corp. | 363 | (40,565 | ) | |||||||
McDonald’s Corp. | 1 | (167 | ) | |||||||
Papa John’s International, Inc. | 26,800 | (1,374,304 | ) | |||||||
Papa Murphy’s Holdings, Inc. | 1,400 | (7,266 | ) | |||||||
Rave Restaurant Group, Inc. | 500 | (715 | ) | |||||||
Red Rock Resorts, Inc., Class A | 100 | (2,665 | ) | |||||||
Restaurant Brands International, Inc. | 71,179 | (4,219,491 | ) | |||||||
Scientific Games Corp., Class A | 600 | (15,240 | ) | |||||||
Sonic Corp. | 11,400 | (494,076 | ) | |||||||
Starbucks Corp. | 454,800 | (25,850,832 | ) | |||||||
Wendy’s Co. | 6,200 | (106,268 | ) | |||||||
Wyndham Worldwide Corp. | 33,100 | (1,435,216 | ) | |||||||
Wynn Resorts Ltd. | 92,299 | (11,727,511 | ) | |||||||
Zoe’s Kitchen, Inc. | 13,200 | (167,904 | ) | |||||||
|
| |||||||||
(72,980,872 | ) | |||||||||
|
| |||||||||
Hardware — (0.8)% | ||||||||||
3D Systems Corp. | 90,500 | (1,710,450 | ) | |||||||
Airgain, Inc. | 600 | (7,884 | ) | |||||||
Akoustis Technologies, Inc. | 2,900 | (22,823 | ) | |||||||
Apple, Inc. | 110,100 | (24,853,974 | ) | |||||||
Applied Optoelectronics, Inc. | 16,700 | (411,822 | ) | |||||||
Arlo Technologies, Inc. | 1,700 | (24,667 | ) | |||||||
ARRIS International PLC | 100 | (2,599 | ) | |||||||
Blackberry Ltd. | 268,600 | (3,056,668 | ) | |||||||
Diebold, Inc. | 64,200 | (288,900 | ) | |||||||
Digimarc Corp. | 2,600 | (81,770 | ) | |||||||
Digital Ally, Inc. | 1,700 | (4,845 | ) | |||||||
Everspin Technologies, Inc. | 4,200 | (32,256 | ) | |||||||
ExOne Co. | 3,500 | (33,180 | ) | |||||||
Extreme Networks, Inc. | 31,400 | (172,072 | ) | |||||||
Fitbit, Inc. | 157,400 | (842,090 | ) | |||||||
GoPro, Inc., Class A | 59,000 | (424,800 | ) | |||||||
Knowles Corp. | 5,387 | (89,532 | ) | |||||||
Kopin Corp. | 6,200 | (15,004 | ) | |||||||
Lumentum Holdings, Inc. | 40,300 | (2,415,985 | ) | |||||||
Maxar Technologies Ltd. | 17,100 | (565,497 | ) | |||||||
Mercury Systems, Inc. | 16,800 | (929,376 | ) | |||||||
MicroVision, Inc. | 26,800 | (32,428 | ) | |||||||
NCR Corp. | 900 | (25,569 | ) | |||||||
Neonode, Inc. | 5,200 | (1,817 | ) | |||||||
Nutanix, Inc. | 10,000 | (427,200 | ) |
See Notes to Consolidated Financial Statements.
91
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Security Description | Shares | Value | ||||||||
NXT-ID, Inc. | 15,501 | $ | (20,306 | ) | ||||||
pdvWireless, Inc. | 500 | (16,950 | ) | |||||||
Pitney Bowes, Inc. | 300 | (2,124 | ) | |||||||
Plantronics, Inc. | 1,500 | (90,450 | ) | |||||||
Resonant, Inc. | 2,700 | (10,962 | ) | |||||||
Roku, Inc. | 42,900 | (3,132,987 | ) | |||||||
Superconductor Technologies, Inc. | 143 | (265 | ) | |||||||
Ubiquiti Networks, Inc. | 1,872 | (185,066 | ) | |||||||
ViaSat, Inc. | 10,000 | (639,500 | ) | |||||||
Vuzix Corp. | 15,461 | (101,270 | ) | |||||||
Wesco Aircraft Holdings, Inc. | 1,100 | (12,375 | ) | |||||||
Western Digital Corp. | 155,300 | (9,091,262 | ) | |||||||
ZAGG, Inc. | 100 | (1,475 | ) | |||||||
|
| |||||||||
(49,778,200 | ) | |||||||||
|
| |||||||||
Health Care Facilities & Services — (0.2)% | ||||||||||
AAC Holdings, Inc. | 5,700 | (43,491 | ) | |||||||
Acadia Healthcare Co., Inc. | 36,700 | (1,291,840 | ) | |||||||
American Renal Associates Holdings, Inc. | 3,000 | (64,950 | ) | |||||||
Brookdale Senior Living, Inc. | 105,991 | (1,041,892 | ) | |||||||
Cancer Genetics, Inc. | 1,000 | (1,040 | ) | |||||||
Capital Senior Living Corp. | 13,100 | (123,664 | ) | |||||||
Community Health Systems, Inc. | 68,100 | (235,626 | ) | |||||||
Diplomat Pharmacy, Inc. | 24,700 | (479,427 | ) | |||||||
Ekso Bionics Holdings, Inc. | 20,409 | (47,757 | ) | |||||||
Envision Healthcare Corp. | 31 | (1,418 | ) | |||||||
Evolus, Inc. | 2,500 | (46,550 | ) | |||||||
Genesis Healthcare, Inc. | 5,700 | (7,695 | ) | |||||||
Henry Schein, Inc. (d) | 91,755 | (7,801,928 | ) | |||||||
Interpace Diagnostics Group, Inc. | 21,900 | (33,726 | ) | |||||||
Invitae Corp. | 30,300 | (506,919 | ) | |||||||
IQVIA Holdings, Inc. | 2 | (259 | ) | |||||||
LHC Group, Inc. | 383 | (39,445 | ) | |||||||
Nobilis Health Corp. | 4,600 | (4,600 | ) | |||||||
Select Medical Holdings Corp. | 600 | (11,040 | ) | |||||||
Surgery Partners, Inc. | 7,900 | (130,350 | ) | |||||||
Syneos Health, Inc. | 27,500 | (1,417,625 | ) | |||||||
Tenet Healthcare Corp. | 4,500 | (128,070 | ) | |||||||
Universal Health Services, Inc., Class B | 13,200 | (1,687,488 | ) | |||||||
|
| |||||||||
(15,146,800 | ) | |||||||||
|
| |||||||||
Home & Office Products — (0.4)% | ||||||||||
American Woodmark Corp. | 4,100 | (321,645 | ) | |||||||
Beazer Homes USA, Inc. | 28,600 | (300,300 | ) | |||||||
Century Communities, Inc. | 9,300 | (244,125 | ) | |||||||
Hovnanian Enterprises, Inc., Class A | 58,500 | (93,600 | ) |
See Notes to Consolidated Financial Statements.
92
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Security Description | Shares | Value | ||||||||
Interface, Inc. | 100 | $ | (2,335 | ) | ||||||
iRobot Corp. | 4,700 | (516,624 | ) | |||||||
JELD-WEN Holding, Inc. | 9,100 | (224,406 | ) | |||||||
Lennar Corp., Class A | 143,024 | (6,677,791 | ) | |||||||
LGI Homes, Inc. | 13,600 | (645,184 | ) | |||||||
M/I Homes, Inc. | 4,200 | (100,506 | ) | |||||||
MDC Holdings, Inc. | 2,544 | (75,252 | ) | |||||||
New Home Co., Inc. (The) | 100 | (806 | ) | |||||||
Newell Brands, Inc. | 400,118 | (8,122,395 | ) | |||||||
Nova Lifestyle, Inc. | 500 | (870 | ) | |||||||
Patrick Industries, Inc. | 775 | (45,880 | ) | |||||||
Skyline Champion Corp. | 2,800 | (79,996 | ) | |||||||
Snap-on, Inc. | 1,700 | (312,120 | ) | |||||||
Stanley Black & Decker, Inc. | 7,500 | (1,098,300 | ) | |||||||
Taylor Morrison Home Corp., Class A | 100 | (1,804 | ) | |||||||
Tempur Sealy International, Inc. | 34,200 | (1,809,180 | ) | |||||||
TRI Pointe Homes, Inc. | 86,700 | (1,075,080 | ) | |||||||
Tupperware Brands Corp. | 31,900 | (1,067,055 | ) | |||||||
William Lyon Homes, Class A | 17,400 | (276,486 | )�� | |||||||
|
| |||||||||
(23,091,740 | ) | |||||||||
|
| |||||||||
Industrial Services — (0.0)% | ||||||||||
Applied Industrial Technologies, Inc. | 900 | (70,425 | ) | |||||||
EnviroStar, Inc. | 500 | (19,475 | ) | |||||||
HD Supply Holdings, Inc. | 8,500 | (363,715 | ) | |||||||
Herc Holdings, Inc. | 46 | (2,355 | ) | |||||||
SiteOne Landscape Supply, Inc. | 3,600 | (271,224 | ) | |||||||
Team, Inc. | 8,900 | (200,250 | ) | |||||||
Textainer Group Holdings Ltd. | 800 | (10,240 | ) | |||||||
Triton International Ltd. | 200 | (6,654 | ) | |||||||
Watsco, Inc. | 1,698 | (302,414 | ) | |||||||
WW Grainger, Inc. | 1 | (357 | ) | |||||||
|
| |||||||||
(1,247,109 | ) | |||||||||
|
| |||||||||
Institutional Financial Services — (0.4)% | ||||||||||
Arlington Asset Investment Corp., Class A | 24,400 | (227,896 | ) | |||||||
Evercore Partners, Inc., Class A | 10,500 | (1,055,775 | ) | |||||||
GAIN Capital Holdings, Inc. | 17,200 | (111,800 | ) | |||||||
Goldman Sachs Group, Inc. | 99,300 | (22,267,032 | ) | |||||||
Greenhill & Co., Inc. | 18,800 | (495,380 | ) | |||||||
Jefferies Financial Group, Inc. | 14,500 | (318,420 | ) | |||||||
Moelis & Co., Class A | 1,400 | (76,720 | ) | |||||||
Northern Trust Corp. | 300 | (30,639 | ) | |||||||
Virtu Financial, Inc., Class A | 17,400 | (355,830 | ) | |||||||
|
| |||||||||
(24,939,492 | ) | |||||||||
|
|
See Notes to Consolidated Financial Statements.
93
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Security Description | Shares | Value | ||||||||
Insurance — (0.1)% | ||||||||||
American International Group, Inc. | 42,200 | $ | (2,246,728 | ) | ||||||
American National Insurance Co. | 100 | (12,929 | ) | |||||||
Amtrust Financial Services, Inc. | 16,000 | (232,320 | ) | |||||||
Aon PLC | 200 | (30,756 | ) | |||||||
Argo Group International Holdings Ltd. | 660 | (41,613 | ) | |||||||
Assurant, Inc. | 8,000 | (863,600 | ) | |||||||
Axis Capital Holdings Ltd. | 300 | (17,313 | ) | |||||||
Berkshire Hathaway, Inc., Class B | 10,400 | (2,226,744 | ) | |||||||
Brighthouse Financial, Inc. | 300 | (13,272 | ) | |||||||
Cincinnati Financial Corp. | 500 | (38,405 | ) | |||||||
Erie Indemnity Co., Class A | 100 | (12,753 | ) | |||||||
Everest Re Group Ltd. | 4,100 | (936,727 | ) | |||||||
Goosehead Insurance, Inc., Class A | 200 | (6,774 | ) | |||||||
HCI Group, Inc. | 700 | (30,625 | ) | |||||||
Horace Mann Educators Corp. | 300 | (13,470 | ) | |||||||
Kemper Corp. | 500 | (40,225 | ) | |||||||
MBIA, Inc. | 51,200 | (547,328 | ) | |||||||
National General Holdings Corp. | 400 | (10,736 | ) | |||||||
Reinsurance Group of America, Inc. | 2,500 | (361,400 | ) | |||||||
Selective Insurance Group, Inc. | 100 | (6,350 | ) | |||||||
Sun Life Financial, Inc. | 10,100 | (401,576 | ) | |||||||
Willis Towers Watson PLC | 2,612 | (368,135 | ) | |||||||
WMIH Corp. | 3,500 | (4,865 | ) | |||||||
|
| |||||||||
(8,464,644 | ) | |||||||||
|
| |||||||||
Iron & Steel — (0.1)% | ||||||||||
AK Steel Holding Corp. | 241,800 | (1,184,820 | ) | |||||||
Allegheny Technologies, Inc. | 29,100 | (859,905 | ) | |||||||
Carpenter Technology Corp. | 2,100 | (123,795 | ) | |||||||
Cleveland Cliffs, Inc. | 18,700 | (236,742 | ) | |||||||
Commercial Metals Co. | 36,700 | (753,084 | ) | |||||||
Schnitzer Steel Industries, Inc., Class A | 4,800 | (129,840 | ) | |||||||
TimkenSteel Corp. | 10,100 | (150,187 | ) | |||||||
United States Steel Corp. | 128,200 | (3,907,536 | ) | |||||||
|
| |||||||||
(7,345,909 | ) | |||||||||
|
| |||||||||
Leisure Products — (0.1)% | ||||||||||
Camping World Holdings, Inc., Class A | 31,400 | (669,448 | ) | |||||||
Fox Factory Holding Corp. | 1,400 | (98,070 | ) | |||||||
Funko, Inc., Class A | 199 | (4,714 | ) | |||||||
LCI Industries | 3,300 | (273,240 | ) | |||||||
Mattel, Inc. | 197,200 | (3,096,040 | ) | |||||||
Nautilus, Inc. | 7,700 | (107,415 | ) | |||||||
Polaris Industries, Inc. | 26,200 | (2,644,890 | ) | |||||||
Thor Industries, Inc. | 100 | (8,370 | ) |
See Notes to Consolidated Financial Statements.
94
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Security Description | Shares | Value | ||||||||
Vista Outdoor, Inc. | 1,900 | $ | (33,991 | ) | ||||||
Winnebago Industries, Inc. | 16,100 | (533,715 | ) | |||||||
|
| |||||||||
(7,469,893 | ) | |||||||||
|
| |||||||||
Machinery — (0.2)% | ||||||||||
Actuant Corp., Class A | 12,800 | (357,120 | ) | |||||||
Cactus, Inc. | 1,700 | (65,076 | ) | |||||||
CIRCOR International, Inc. | 4,600 | (218,500 | ) | |||||||
Colfax Corp. | 1,400 | (50,484 | ) | |||||||
Deere & Co. | 400 | (60,132 | ) | |||||||
Dover Corp. | 24,400 | (2,160,132 | ) | |||||||
Flowserve Corp. | 37,000 | (2,023,530 | ) | |||||||
Gates Industrial Corp. plc | 300 | (5,850 | ) | |||||||
GrafTech International Ltd. | 22,600 | (440,926 | ) | |||||||
Ichor Holdings Ltd. | 20,700 | (422,694 | ) | |||||||
John Bean Technologies Corp. | 7,400 | (882,820 | ) | |||||||
Manitowoc Co., Inc. (The) | 25,350 | (608,147 | ) | |||||||
Middleby Corp. | 18,001 | (2,328,429 | ) | |||||||
NN, Inc. | 2,200 | (34,320 | ) | |||||||
Sun Hydraulics Corp. | 2,200 | (120,516 | ) | |||||||
Terex Corp. | 25,000 | (997,750 | ) | |||||||
Titan International, Inc. | 4,600 | (34,132 | ) | |||||||
Welbilt, Inc. | 1,500 | (31,320 | ) | |||||||
Xylem, Inc. | 5,600 | (447,272 | ) | |||||||
|
| |||||||||
(11,289,150 | ) | |||||||||
|
| |||||||||
Manufactured Goods — (0.0)% | ||||||||||
Mueller Industries, Inc. | 600 | (17,388 | ) | |||||||
Proto Labs, Inc. | 2,600 | (420,550 | ) | |||||||
Valmont Industries, Inc. | 200 | (27,700 | ) | |||||||
|
| |||||||||
(465,638 | ) | |||||||||
|
| |||||||||
Media — (0.9)% | ||||||||||
Altice USA, Inc. | 800 | (14,512 | ) | |||||||
AMC Networks, Inc., Class A | 9,500 | (630,230 | ) | |||||||
Cars.com, Inc. | 3,900 | (107,679 | ) | |||||||
Charter Communications, Inc., Class A | 58,060 | (18,920,593 | ) | |||||||
ChinaNet Online Holdings, Inc. | 764 | (1,299 | ) | |||||||
Discovery Communications, Inc., Class A | 129,700 | (4,150,400 | ) | |||||||
DISH Network Corp., Class A | 1,400 | (50,064 | ) | |||||||
Entercom Communications Corp., Class A | 64,000 | (505,600 | ) | |||||||
EW Scripps Co., Class A | 5,136 | (84,744 | ) | |||||||
Expedia, Inc. | 14,784 | (1,929,016 | ) | |||||||
Fluent, Inc. | 6,885 | (14,803 | ) | |||||||
Global Eagle Entertainment, Inc. | 4,500 | (12,690 | ) | |||||||
Gray Television, Inc. | 9,500 | (166,250 | ) |
See Notes to Consolidated Financial Statements.
95
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Security Description | Shares | Value | ||||||||
Groupon, Inc. | 292,800 | $ | (1,103,856 | ) | ||||||
Houghton Mifflin Harcourt Co. | 9,300 | (65,100 | ) | |||||||
IZEA Worldwide, Inc. | 1,484 | (2,360 | ) | |||||||
Liberty Broadband Corp., Class C | 19,000 | (1,601,700 | ) | |||||||
Liberty Expedia Holdings, Inc., Class A | 10,500 | (493,920 | ) | |||||||
Liberty Media Group, Class A | 7,892 | (280,797 | ) | |||||||
Lions Gate Entertainment Corp., Class A | 5,700 | (139,023 | ) | |||||||
Live Ventures, Inc. | 366 | (3,221 | ) | |||||||
Media General, Inc. | 12,100 | 0 | ||||||||
Meredith Corp. | 8,900 | (454,345 | ) | |||||||
MSG Networks, Inc. | 2,500 | (64,500 | ) | |||||||
National CineMedia, Inc. | 3,400 | (36,006 | ) | |||||||
New Media Investment Group, Inc. | 1,500 | (23,535 | ) | |||||||
New York Times Co., Class A | 21,800 | (504,670 | ) | |||||||
Nexstar Media Group, Inc. | 21,611 | (1,759,135 | ) | |||||||
Omnicom Group, Inc. | 100 | (6,802 | ) | |||||||
Pandora Media, Inc. | 9,600 | (91,296 | ) | |||||||
Shopify, Inc., Class A | 50,500 | (8,305,230 | ) | |||||||
Shutterfly, Inc. | 28,400 | (1,871,276 | ) | |||||||
Sinclair Broadcast Group, Inc., Class A | 4,300 | (121,905 | ) | |||||||
Sirius XM Holdings, Inc. (d) | 411,688 | (2,601,868 | ) | |||||||
Snap, Inc. | 818,500 | (6,940,880 | ) | |||||||
Social Reality, Inc. | 200 | (746 | ) | |||||||
TEGNA, Inc. | 30,500 | (364,780 | ) | |||||||
Trade Desk, Inc. (The), Class A | 630 | (95,073 | ) | |||||||
TripAdvisor, Inc. | 26,002 | (1,327,922 | ) | |||||||
WideOpenWest, Inc. | 6,000 | (67,260 | ) | |||||||
Yelp, Inc. | 400 | (19,680 | ) | |||||||
Zillow Group, Inc., Class A | 882 | (38,985 | ) | |||||||
|
| |||||||||
(54,973,751 | ) | |||||||||
|
| |||||||||
Medical Equipment & Devices — (1.4)% | ||||||||||
Abbott Laboratories (d) | 142,300 | (10,439,128 | ) | |||||||
Accelerate Diagnostics, Inc. | 11,200 | (257,040 | ) | |||||||
Aethlon Medical, Inc. | 1,838 | (2,169 | ) | |||||||
Agilent Technologies, Inc. (d) | 54,780 | (3,864,181 | ) | |||||||
Align Technology, Inc. (d) | 13,130 | (5,136,719 | ) | |||||||
Amedica Corp. | 1,408 | (364 | ) | |||||||
Avinger, Inc. | 5,780 | (7,630 | ) | |||||||
Bellerophon Therapeutics, Inc. | 100 | (108 | ) | |||||||
BioTelemetry, Inc. | 12,800 | (824,960 | ) | |||||||
Boston Scientific Corp. | 993 | (38,231 | ) | |||||||
Bruker Corp. | 600 | (20,070 | ) | |||||||
Cesca Therapeutics, Inc. | 284 | (91 | ) | |||||||
CHF Solutions, Inc. | 3,536 | (4,172 | ) | |||||||
Cooper Cos., Inc. | 1,400 | (388,010 | ) |
See Notes to Consolidated Financial Statements.
96
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Security Description | Shares | Value | ||||||||
Corindus Vascular Robotics, Inc. | 3,200 | $ | (4,544 | ) | ||||||
DexCom, Inc. | 6,100 | (872,544 | ) | |||||||
Exact Sciences Corp. | 12,502 | (986,658 | ) | |||||||
Glaukos Corp. | 13,300 | (863,170 | ) | |||||||
Hologic, Inc. (d) | 253,630 | (10,393,757 | ) | |||||||
IDEXX Laboratories, Inc. (d) | 4,670 | (1,165,912 | ) | |||||||
ImmunoCellular Therapeutics Ltd. | 2,700 | (567 | ) | |||||||
Inspire Medical Systems, Inc. | 200 | (8,416 | ) | |||||||
Invacare Corp. | 1,400 | (20,370 | ) | |||||||
InVivo Therapeutics Holdings Corp. | 376 | (760 | ) | |||||||
IsoRay, Inc. | 4,600 | (2,386 | ) | |||||||
K2M Group Holdings, Inc. | 300 | (8,211 | ) | |||||||
Luminex Corp. | 2,400 | (72,744 | ) | |||||||
Medtronic PLC | 3 | (295 | ) | |||||||
Mettler-Toledo International, Inc. (d) | 15,430 | (9,396,561 | ) | |||||||
Microbot Medical, Inc. | 862 | (6,370 | ) | |||||||
Myomo, Inc. | 9,800 | (19,012 | ) | |||||||
Natus Medical, Inc. | 1,000 | (35,650 | ) | |||||||
Neogen Corp. | 593 | (42,417 | ) | |||||||
Neovasc, Inc. | 1,036 | (2,818 | ) | |||||||
Nevro Corp. | 25,500 | (1,453,500 | ) | |||||||
OPKO Health, Inc. | 238,399 | (824,861 | ) | |||||||
Pacific Biosciences of California, Inc. | 29,800 | (161,218 | ) | |||||||
PerkinElmer, Inc. | 8,000 | (778,160 | ) | |||||||
Pulse Biosciences, Inc. | 2,698 | (38,285 | ) | |||||||
Quanterix Corp. | 1,200 | (25,704 | ) | |||||||
Repligen Corp. | 3,500 | (194,110 | ) | |||||||
Restoration Robotics, Inc. | 100 | (290 | ) | |||||||
Rockwell Medical, Inc. | 11,400 | (48,108 | ) | |||||||
Second Sight Medical Products, Inc. | 8,100 | (15,390 | ) | |||||||
Senseonics Holdings, Inc. | 1,000 | (4,770 | ) | |||||||
STERIS PLC | 500 | (57,200 | ) | |||||||
Thermo Fisher Scientific, Inc. (d) | 54,900 | (13,399,992 | ) | |||||||
TransEnterix, Inc. | 167,600 | (972,080 | ) | |||||||
Valeritas Holdings, Inc. | 200 | (266 | ) | |||||||
Varian Medical Systems, Inc. (d) | 84,040 | (9,406,597 | ) | |||||||
ViewRay, Inc. | 2,300 | (21,528 | ) | |||||||
Viveve Medical, Inc. | 4,200 | (11,256 | ) | |||||||
Waters Corp. (d) | 67,370 | (13,115,592 | ) | |||||||
West Pharmaceutical Services, Inc. | 100 | (12,347 | ) | |||||||
Wright Medical Group NV | 1 | (29 | ) | |||||||
|
| |||||||||
(85,427,318 | ) | |||||||||
|
| |||||||||
Metals & Mining — (0.2)% | ||||||||||
Agnico Eagle Mines Ltd. | 11,200 | (383,040 | ) | |||||||
Alamos Gold, Inc., Class A | 72,246 | (333,054 | ) |
See Notes to Consolidated Financial Statements.
97
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Security Description | Shares | Value | ||||||||
Alcoa Corp. | 2,399 | $ | (96,920 | ) | ||||||
Avino Silver & Gold Mines Ltd. | 600 | (374 | ) | |||||||
B2GOLD Corp. | 17,100 | (39,330 | ) | |||||||
Barrick Gold Corp. | 58,300 | (645,964 | ) | |||||||
Cameco Corp. | 37,700 | (429,780 | ) | |||||||
Centrus Energy Corp., Class A | 500 | (1,345 | ) | |||||||
Century Aluminum Co. | 52,300 | (626,031 | ) | |||||||
Coeur Mining, Inc. | 79,964 | (426,208 | ) | |||||||
Compass Minerals International, Inc. | 13,700 | (920,640 | ) | |||||||
Constellium NV, Class A | 2,300 | (28,405 | ) | |||||||
Covia Holdings Corp. | 1,400 | (12,558 | ) | |||||||
Eldorado Gold Corp. | 19,200 | (16,955 | ) | |||||||
Endeavour Silver Corp. | 58,100 | (134,211 | ) | |||||||
Energy Fuels, Inc. | 2,000 | (6,560 | ) | |||||||
Ferroglobe PLC | 8,000 | (65,360 | ) | |||||||
First Majestic Silver Corp. | 144,800 | (822,464 | ) | |||||||
Fortuna Silver Mines, Inc. | 500 | (2,185 | ) | |||||||
Franco-Nevada Corp. | 14,300 | (894,465 | ) | |||||||
Freeport-McMoRan Copper & Gold, Inc. | 91,200 | (1,269,504 | ) | |||||||
Gold Resource Corp. | 7,200 | (37,008 | ) | |||||||
Gold Standard Ventures Corp. | 22,200 | (38,184 | ) | |||||||
Goldcorp, Inc. | 33,900 | (345,780 | ) | |||||||
Hecla Mining Co. | 43,219 | (120,581 | ) | |||||||
IAMGOLD Corp. | 5,200 | (19,136 | ) | |||||||
MAG Silver Corp. | 10,600 | (85,966 | ) | |||||||
McEwen Mining, Inc. | 114,700 | (222,518 | ) | |||||||
Northern Dynasty Minerals Ltd. | 49,300 | (27,608 | ) | |||||||
Novagold Resources, Inc. | 77,500 | (287,525 | ) | |||||||
Osisko Gold Royalties Ltd. | 26,400 | (200,376 | ) | |||||||
Pershing Gold Corp. | 1,100 | (1,331 | ) | |||||||
Pretium Resources, Inc. | 88,200 | (671,202 | ) | |||||||
Sandstorm Gold Ltd. | 6,000 | (22,380 | ) | |||||||
Seabridge Gold, Inc. | 13,300 | (172,235 | ) | |||||||
SSR Mining, Inc. | 8,800 | (76,648 | ) | |||||||
Tahoe Resources, Inc. | 107,100 | (298,809 | ) | |||||||
Uranium Energy Corp. | 60,900 | (104,748 | ) | |||||||
Vista Gold Corp. | 4,800 | (2,417 | ) | |||||||
Westwater Resources, Inc. | 11,405 | (2,538 | ) | |||||||
|
| |||||||||
(9,892,343 | ) | |||||||||
|
| |||||||||
Oil, Gas & Coal — (2.0)% | ||||||||||
Anadarko Petroleum Corp. | 1,700 | (114,597 | ) | |||||||
Antero Midstream GP LP | 29,600 | (500,832 | ) | |||||||
Antero Resources Corp. | 147,100 | (2,605,141 | ) | |||||||
Apache Corp. | 169,800 | (8,094,366 | ) | |||||||
Apergy Corp. | 800 | (34,848 | ) |
See Notes to Consolidated Financial Statements.
98
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Security Description | Shares | Value | ||||||||
Approach Resources, Inc. | 1,700 | $ | (3,791 | ) | ||||||
Arch Coal, Inc. | 2,800 | (250,320 | ) | |||||||
Archrock, Inc. | 7,600 | (92,720 | ) | |||||||
Basic Energy Services, Inc. | 18,300 | (182,817 | ) | |||||||
Baytex Energy Corp. | 20,300 | (59,073 | ) | |||||||
Bonanza Creek Energy, Inc. | 6,200 | (184,636 | ) | |||||||
Bristow Group, Inc. | 7,700 | (93,401 | ) | |||||||
C&J Energy Services, Inc. | 6,900 | (143,520 | ) | |||||||
Cabot Oil & Gas Corp. | 45,100 | (1,015,652 | ) | |||||||
Callon Petroleum Co. | 193,000 | (2,314,070 | ) | |||||||
Camber Energy, Inc. | 3,733 | (1,101 | ) | |||||||
Canadian Natural Resources Ltd. | 4,600 | (150,236 | ) | |||||||
CARBO Ceramics, Inc. | 17,800 | (129,050 | ) | |||||||
Carrizo Oil & Gas, Inc. | 59,000 | (1,486,800 | ) | |||||||
Cenovus Energy, Inc. | 116,100 | (1,164,483 | ) | |||||||
Chesapeake Energy Corp. | 775,400 | (3,481,546 | ) | |||||||
Cimarex Energy Co. | 25,800 | (2,397,852 | ) | |||||||
Cloud Peak Energy, Inc. | 10,200 | (23,460 | ) | |||||||
CNX Resources Corp. | 900 | (12,879 | ) | |||||||
Comstock Resources, Inc. | 7,380 | (61,844 | ) | |||||||
Contango Oil & Gas Co. | 1,000 | (6,180 | ) | |||||||
Core Laboratories NV | 6,200 | (718,146 | ) | |||||||
Crescent Point Energy Corp. | 77,400 | (491,490 | ) | |||||||
Delek US Holdings, Inc. | 70,540 | (2,993,012 | ) | |||||||
Devon Energy Corp. | 122,500 | (4,892,650 | ) | |||||||
Diamond Offshore Drilling, Inc. | 19,000 | (380,000 | ) | |||||||
Diamondback Energy, Inc. | 2,800 | (378,532 | ) | |||||||
Dril-Quip, Inc. | 13,200 | (689,700 | ) | |||||||
Earthstone Energy, Inc. | 6,100 | (57,218 | ) | |||||||
Eclipse Resources Corp. | 7,000 | (8,330 | ) | |||||||
Eco-Stim Energy Solutions, Inc. | 500 | (141 | ) | |||||||
Enbridge Energy Management LLC | 18,974 | (207,196 | ) | |||||||
Enbridge, Inc. | 186,472 | (6,021,181 | ) | |||||||
Encana Corp. | 11,600 | (152,076 | ) | |||||||
Enerplus Corp. | 27,500 | (339,350 | ) | |||||||
EnLink Midstream LLC | 21,400 | (352,030 | ) | |||||||
Ensco PLC, Class A | 184,500 | (1,557,180 | ) | |||||||
EP Energy Corp., Class A | 27,700 | (64,818 | ) | |||||||
EQT Corp. | 108,200 | (4,785,686 | ) | |||||||
Exterran Corp. | 300 | (7,959 | ) | |||||||
Extraction Oil & Gas, Inc. | 54,400 | (614,176 | ) | |||||||
Flotek Industries, Inc. | 29,900 | (71,760 | ) | |||||||
Forum Energy Technologies, Inc. | 1,200 | (12,420 | ) | |||||||
Frank’s International NV | 41,700 | (361,956 | ) | |||||||
FTS International, Inc. | 19,400 | (228,726 | ) | |||||||
Gulfport Energy Corp. | 26,000 | (270,660 | ) |
See Notes to Consolidated Financial Statements.
99
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Security Description | Shares | Value | ||||||||
Halcon Resources Corp. | 107,800 | $ | (481,866 | ) | ||||||
Hess Corp. | 99,900 | (7,150,842 | ) | |||||||
HighPoint Resources Corp. | 1,900 | (9,272 | ) | |||||||
HollyFrontier Corp. | 16,700 | (1,167,330 | ) | |||||||
Imperial Oil Ltd. | 6,600 | (213,642 | ) | |||||||
ION Geophysical Corp. | 14 | (218 | ) | |||||||
Jagged Peak Energy, Inc. | 11,000 | (152,130 | ) | |||||||
Jones Energy, Inc. | 2,505 | (15,030 | ) | |||||||
Keane Group, Inc. | 42,600 | (526,962 | ) | |||||||
Kinder Morgan, Inc. | 761,831 | (13,507,264 | ) | |||||||
Laredo Petroleum, Inc. | 183,500 | (1,499,195 | ) | |||||||
Liberty Oilfield Services, Inc., Class A | 24,800 | (534,936 | ) | |||||||
Matador Resources Co. | 20,700 | (684,135 | ) | |||||||
McDermott International, Inc. | 73,266 | (1,350,292 | ) | |||||||
MRC Global, Inc. | 34,600 | (649,442 | ) | |||||||
Murphy Oil Corp. | 34,400 | (1,146,896 | ) | |||||||
Nabors Industries Ltd. | 303,816 | (1,871,507 | ) | |||||||
National Oilwell Varco, Inc. | 18,700 | (805,596 | ) | |||||||
NCS Multistage Holdings, Inc. | 3,900 | (64,389 | ) | |||||||
New Concept Energy, Inc. | 200 | (474 | ) | |||||||
Nine Energy Service, Inc. | 1,600 | (48,928 | ) | |||||||
Noble Energy, Inc. | 6,433 | (200,645 | ) | |||||||
Northern Oil and Gas, Inc. | 7,800 | (31,200 | ) | |||||||
NOW, Inc. | 1,200 | (19,860 | ) | |||||||
Oasis Petroleum, Inc. | 5,400 | (76,572 | ) | |||||||
Obsidian Energy Ltd. | 800 | (760 | ) | |||||||
Oceaneering International, Inc. | 37,000 | (1,021,200 | ) | |||||||
Oil States International, Inc. | 1,800 | (59,760 | ) | |||||||
Par Pacific Holdings, Inc. | 4,700 | (95,880 | ) | |||||||
Parsley Energy, Inc., Class A | 133,800 | (3,913,650 | ) | |||||||
Patterson-UTI Energy, Inc. | 110,300 | (1,887,233 | ) | |||||||
PBF Energy, Inc., Class A | 56,500 | (2,819,915 | ) | |||||||
PDC Energy, Inc. | 10,900 | (533,664 | ) | |||||||
Pembina Pipeline Corp. | 19,005 | (645,980 | ) | |||||||
Precision Drilling Corp. | 500 | (1,730 | ) | |||||||
ProPetro Holding Corp. | 42,600 | (702,474 | ) | |||||||
QEP Resources, Inc. | 59,800 | (676,936 | ) | |||||||
Ramaco Resources, Inc. | 4,100 | (30,586 | ) | |||||||
Range Resources Corp. | 202,887 | (3,447,050 | ) | |||||||
Resolute Energy Corp. | 19,100 | (722,171 | ) | |||||||
Ring Energy, Inc. | 30,800 | (305,228 | ) | |||||||
Rowan Cos. PLC, Class A | 2,800 | (52,724 | ) | |||||||
RPC, Inc. | 26,000 | (402,480 | ) | |||||||
SAExploration Holdings, Inc. | 34 | (350 | ) | |||||||
Sanchez Energy Corp. | 74,300 | (170,890 | ) | |||||||
SandRidge Energy, Inc. | 1,100 | (11,957 | ) |
See Notes to Consolidated Financial Statements.
100
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Security Description | Shares | Value | ||||||||
SemGroup Corp., Class A | 39,800 | $ | (877,590 | ) | ||||||
SM Energy Co. | 91,800 | (2,894,454 | ) | |||||||
Smart Sand, Inc. | 19,600 | (80,556 | ) | |||||||
Solaris Oilfield Infrastructure, Inc., Class A | 8,700 | (164,343 | ) | |||||||
Southwestern Energy Co. | 53,000 | (270,830 | ) | |||||||
SRC Energy, Inc. | 57,000 | (506,730 | ) | |||||||
Superior Energy Services, Inc. | 16,300 | (158,762 | ) | |||||||
Talos Energy, Inc. | 4,300 | (141,126 | ) | |||||||
Targa Resources Corp. | 91,900 | (5,174,889 | ) | |||||||
Tellurian, Inc. | 72,500 | (650,325 | ) | |||||||
TETRA Technologies, Inc. | 19,300 | (87,043 | ) | |||||||
Thermon Group Holdings, Inc. | 1,100 | (28,358 | ) | |||||||
TransCanada Corp. | 3,600 | (145,656 | ) | |||||||
Ultra Petroleum Corp. | 30,000 | (33,600 | ) | |||||||
US Silica Holdings, Inc. | 65,800 | (1,239,014 | ) | |||||||
Vermilion Energy, Inc. | 7,600 | (250,344 | ) | |||||||
W&T Offshore, Inc. | 23,300 | (224,612 | ) | |||||||
Weatherford International PLC | 744,700 | (2,018,137 | ) | |||||||
Williams Cos., Inc. | 240,600 | (6,541,914 | ) | |||||||
WPX Energy, Inc. | 121,000 | (2,434,520 | ) | |||||||
Zion Oil & Gas, Inc. | 100 | (128 | ) | |||||||
|
| |||||||||
(123,895,780 | ) | |||||||||
|
| |||||||||
Passenger Transportation — (0.2)% | ||||||||||
Allegiant Travel Co. | 1,000 | (126,800 | ) | |||||||
American Airlines Group, Inc. | 242,900 | (10,039,057 | ) | |||||||
Spirit Airlines, Inc. | 20,100 | (944,097 | ) | |||||||
|
| |||||||||
(11,109,954 | ) | |||||||||
|
| |||||||||
Real Estate — (1.0)% | ||||||||||
Acadia Realty Trust | 12,500 | (350,375 | ) | |||||||
Alexander & Baldwin, Inc. | 890 | (20,194 | ) | |||||||
American Assets Trust, Inc. | 400 | (14,916 | ) | |||||||
American Campus Communities, Inc. | 9,400 | (386,904 | ) | |||||||
American Homes 4 Rent | 44,600 | (976,294 | ) | |||||||
Americold Realty Trust | 4,000 | (100,080 | ) | |||||||
Apple Hospitality REIT, Inc. | 300 | (5,247 | ) | |||||||
Ashford Hospitality Trust, Inc. | 17,900 | (114,381 | ) | |||||||
Bluerock Residential Growth REIT, Inc. | 6,800 | (66,640 | ) | |||||||
Braemar Hotels & Resorts, Inc. | 10,122 | (119,136 | ) | |||||||
Brandywine Realty Trust | 7,100 | (111,612 | ) | |||||||
Brixmor Property Group, Inc. | 13,300 | (232,883 | ) | |||||||
CatchMark Timber Trust, Inc., Class A | 2,800 | (32,004 | ) | |||||||
CBL & Associates Properties, Inc. | 146,600 | (584,934 | ) | |||||||
Cedar Realty Trust, Inc. | 1,300 | (6,058 | ) | |||||||
Chatham Lodging Trust | 12,800 | (267,392 | ) |
See Notes to Consolidated Financial Statements.
101
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Security Description | Shares | Value | ||||||||
Chesapeake Lodging Trust | 6,400 | $ | (205,248 | ) | ||||||
City Office REIT, Inc. | 4,900 | (61,838 | ) | |||||||
Clipper Realty, Inc. | 1,300 | (17,589 | ) | |||||||
Colony Capital, Inc. | 127,721 | (777,821 | ) | |||||||
Colony Credit Real Estate, Inc. | 100 | (2,199 | ) | |||||||
Community Healthcare Trust, Inc. | 1,900 | (58,862 | ) | |||||||
CorePoint Lodging, Inc. REIT | 2,200 | (42,790 | ) | |||||||
CoreSite Realty Corp. | 5,100 | (566,814 | ) | |||||||
Corporate Office Properties Trust | 1,800 | (53,694 | ) | |||||||
Cousins Properties, Inc. | 165,600 | (1,472,184 | ) | |||||||
CubeSmart | 16,200 | (462,186 | ) | |||||||
Cushman & Wakefield plc | 100 | (1,699 | ) | |||||||
CyrusOne, Inc. | 38,600 | (2,447,240 | ) | |||||||
DDR Corp. | 103,550 | (1,386,534 | ) | |||||||
DiamondRock Hospitality Co. | 9,300 | (108,531 | ) | |||||||
Digital Realty Trust, Inc. | 8,584 | (965,528 | ) | |||||||
Douglas Emmett, Inc. | 1,300 | (49,036 | ) | |||||||
Easterly Government Properties, Inc. | 31,900 | (617,903 | ) | |||||||
Equinix, Inc. | 127 | (54,977 | ) | |||||||
Farmland Partners, Inc. | 19,000 | (127,300 | ) | |||||||
Forestar Group, Inc. | 218 | (4,622 | ) | |||||||
Franklin Street Properties Corp. | 6,700 | (53,533 | ) | |||||||
Front Yard Residential Corp. | 14,700 | (159,495 | ) | |||||||
Global Medical REIT, Inc. | 5,400 | (50,868 | ) | |||||||
Global Net Lease, Inc. | 22,061 | (459,972 | ) | |||||||
Government Properties Income Trust | 45,700 | (515,953 | ) | |||||||
Gramercy Property Trust | 47 | (1,290 | ) | |||||||
Hannon Armstrong Sustainable Infrastructure Capital, Inc. | 2,500 | (53,675 | ) | |||||||
HCP, Inc. | 136,100 | (3,582,152 | ) | |||||||
Healthcare Realty Trust, Inc. | 41,200 | (1,205,512 | ) | |||||||
Healthcare Trust of America, Inc., Class A | 59,700 | (1,592,199 | ) | |||||||
Hersha Hospitality Trust | 13,900 | (315,113 | ) | |||||||
Hospitality Properties Trust | 3,100 | (89,404 | ) | |||||||
Hudson Pacific Properties, Inc. | 25,700 | (840,904 | ) | |||||||
Independence Realty Trust, Inc. | 30,900 | (325,377 | ) | |||||||
Innovative Industrial Properties, Inc. | 4,792 | (231,166 | ) | |||||||
Invitation Homes, Inc. | 101,172 | (2,317,851 | ) | |||||||
Iron Mountain, Inc. | 21,100 | (728,372 | ) | |||||||
iStar, Inc. | 9,000 | (100,530 | ) | |||||||
JBG SMITH Properties | 18,800 | (692,404 | ) | |||||||
Jernigan Capital, Inc. | 5,200 | (100,308 | ) | |||||||
Jones Lang LaSalle, Inc. | 3,300 | (476,256 | ) | |||||||
Kilroy Realty Corp. | 1,300 | (93,197 | ) | |||||||
Kimco Realty Corp. | 7,100 | (118,854 | ) | |||||||
Kite Realty Group Trust | 24,500 | (407,925 | ) |
See Notes to Consolidated Financial Statements.
102
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Security Description | Shares | Value | ||||||||
LaSalle Hotel Properties | 12,500 | $ | (432,375 | ) | ||||||
Lexington Realty Trust | 3,900 | (32,370 | ) | |||||||
Life Storage, Inc. | 11,900 | (1,132,404 | ) | |||||||
Macerich Co. | 16,100 | (890,169 | ) | |||||||
Mack-Cali Realty Corp. | 19,900 | (423,074 | ) | |||||||
MGM Growth Properties LLC, Class A | 17,499 | (516,045 | ) | |||||||
Mid-America Apartment Communities, Inc. | 17,000 | (1,703,060 | ) | |||||||
National Storage Affiliates Trust | 2,700 | (68,688 | ) | |||||||
New Senior Investment Group, Inc. | 33,701 | (198,836 | ) | |||||||
NorthStar Realty Europe Corp. | 13,400 | (189,744 | ) | |||||||
Omega Healthcare Investors, Inc. | 46,240 | (1,515,285 | ) | |||||||
Outfront Media, Inc. | 900 | (17,955 | ) | |||||||
Park Hotels & Resorts, Inc. | 36,300 | (1,191,366 | ) | |||||||
Pebblebrook Hotel Trust | 21,200 | (771,044 | ) | |||||||
Pennsylvania REIT | 55,200 | (522,192 | ) | |||||||
Physicians Realty Trust | 86,800 | (1,463,448 | ) | |||||||
Piedmont Office Realty Trust, Inc., Class A | 3,700 | (70,041 | ) | |||||||
Potlatch Corp. | 20 | (819 | ) | |||||||
Preferred Apartment Communities, Inc., Class A | 14,900 | (261,942 | ) | |||||||
QTS Realty Trust, Inc., Class A | 13,100 | (558,977 | ) | |||||||
Ramco-Gershenson Properties Trust | 11,400 | (155,040 | ) | |||||||
Realogy Holdings Corp. | 45,500 | (939,120 | ) | |||||||
Redfin Corp. | 27,999 | (523,581 | ) | |||||||
Regency Centers Corp. | 42,400 | (2,742,008 | ) | |||||||
Rexford Industrial Realty, Inc. | 12,700 | (405,892 | ) | |||||||
RLJ Lodging Trust | 43,400 | (956,102 | ) | |||||||
Select Income REIT | 3,800 | (83,372 | ) | |||||||
Seritage Growth Properties | 14,800 | (702,852 | ) | |||||||
Spirit Realty Capital, Inc. | 9,900 | (79,794 | ) | |||||||
Sun Communities, Inc. | 2,400 | (243,696 | ) | |||||||
Sunstone Hotel Investors, Inc. | 78,867 | (1,290,264 | ) | |||||||
Tanger Factory Outlet Centers, Inc. | 19,200 | (439,296 | ) | |||||||
Taubman Centers, Inc. | 1,100 | (65,813 | ) | |||||||
Tier REIT, Inc. | 1,100 | (26,510 | ) | |||||||
Uniti Group, Inc. | 113,500 | (2,287,025 | ) | |||||||
Ventas, Inc. | 1,300 | (70,694 | ) | |||||||
Vereit, Inc. REIT | 415,300 | (3,015,078 | ) | |||||||
Vornado Realty Trust | 13,500 | (985,500 | ) | |||||||
Washington Prime Group, Inc. | 127,900 | (933,670 | ) | |||||||
Washington Real Estate Investment Trust | 19,400 | (594,610 | ) | |||||||
Welltower, Inc. | 73,800 | (4,746,816 | ) | |||||||
Wheeler Real Estate Investment Trust, Inc. | 3,252 | (13,919 | ) | |||||||
Whitestone REIT | 13,900 | (192,932 | ) | |||||||
|
| |||||||||
(60,839,373 | ) | |||||||||
|
|
See Notes to Consolidated Financial Statements.
103
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Security Description | Shares | Value | ||||||||
Recreation Facilities & Services — (0.1)% | ||||||||||
AMC Entertainment Holdings, Inc., Class A | 43,900 | $ | (899,950 | ) | ||||||
Drive Shack, Inc. | 12,267 | (73,111 | ) | |||||||
Live Nation Entertainment, Inc. | 20,900 | (1,138,423 | ) | |||||||
Six Flags Entertainment Corp. | 62,700 | (4,377,714 | ) | |||||||
St Joe Co. | 1,900 | (31,920 | ) | |||||||
XpreSpa Group, Inc. | 3,650 | (544 | ) | |||||||
|
| |||||||||
(6,521,662 | ) | |||||||||
|
| |||||||||
Renewable Energy — (0.1)% | ||||||||||
American Superconductor Corp. | 1,100 | (7,645 | ) | |||||||
Ballard Power Systems, Inc. | 45,300 | (194,790 | ) | |||||||
Canadian Solar, Inc. | 4,100 | (59,450 | ) | |||||||
EnerSys | 100 | (8,713 | ) | |||||||
Enphase Energy, Inc. | 1,295 | (6,281 | ) | |||||||
First Solar, Inc. | 33,200 | (1,607,544 | ) | |||||||
FuelCell Energy, Inc. | 37,358 | (39,973 | ) | |||||||
Gevo, Inc. | 2,963 | (11,733 | ) | |||||||
Green Plains, Inc. | 34,900 | (600,280 | ) | |||||||
Hydrogenics Corp. | 300 | (2,175 | ) | |||||||
Pacific Ethanol, Inc. | 2,200 | (4,180 | ) | |||||||
Plug Power, Inc. | 173,200 | (332,544 | ) | |||||||
SolarEdge Technologies, Inc. | 17,300 | (651,345 | ) | |||||||
SunPower Corp. | 61,700 | (450,410 | ) | |||||||
Sunworks, Inc. | 3,800 | (1,862 | ) | |||||||
Vivint Solar, Inc. | 18,900 | (98,280 | ) | |||||||
|
| |||||||||
(4,077,205 | ) | |||||||||
|
| |||||||||
Retail—Consumer Staples — (0.5)% | ||||||||||
Big Lots, Inc. | 33,600 | (1,404,144 | ) | |||||||
Blue Apron Holdings, Inc., Class A | 52,799 | (90,814 | ) | |||||||
Dollar General Corp. | 200 | (21,818 | ) | |||||||
Dollar Tree, Inc. | 2,900 | (236,495 | ) | |||||||
Fred’s, Inc., Class A | 28,746 | (58,642 | ) | |||||||
Rite Aid Corp. | 162,868 | (208,471 | ) | |||||||
Sprouts Farmers Market, Inc. | 5,900 | (161,719 | ) | |||||||
Walgreens Boots Alliance, Inc. (d) | 393,320 | (28,673,028 | ) | |||||||
|
| |||||||||
(30,855,131 | ) | |||||||||
|
| |||||||||
Retail—Discretionary — (1.1)% | ||||||||||
Abercrombie & Fitch Co., Class A | 55,000 | (1,161,600 | ) | |||||||
Asbury Automotive Group, Inc. | 400 | (27,500 | ) | |||||||
Ascena Retail Group, Inc. | 6,000 | (27,420 | ) | |||||||
At Home Group, Inc. | 3,500 | (110,355 | ) | |||||||
AutoNation, Inc. | 8,200 | (340,710 | ) | |||||||
Avis Budget Group, Inc. | 5,900 | (189,626 | ) | |||||||
Barnes & Noble, Inc. | 44,900 | (260,420 | ) |
See Notes to Consolidated Financial Statements.
104
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Security Description | Shares | Value | ||||||||
Beacon Roofing Supply, Inc. | 4,300 | $ | (155,617 | ) | ||||||
Bed Bath & Beyond, Inc. | 7,800 | (117,000 | ) | |||||||
Best Buy Co., Inc. | 109,600 | (8,697,856 | ) | |||||||
Big 5 Sporting Goods Corp. | 8,117 | (41,397 | ) | |||||||
BlueLinx Holdings, Inc. | 1,900 | (59,831 | ) | |||||||
BMC Stock Holdings, Inc. | 19,000 | (354,350 | ) | |||||||
Buckle, Inc. | 24,400 | (562,420 | ) | |||||||
Builders FirstSource, Inc. | 2,600 | (38,168 | ) | |||||||
Burlington Stores, Inc. | 10,800 | (1,759,536 | ) | |||||||
Caleres, Inc. | 100 | (3,586 | ) | |||||||
CarMax, Inc. | 700 | (52,269 | ) | |||||||
Carvana Co. | 14,400 | (850,896 | ) | |||||||
Cato Corp., Class A | 10,600 | (222,812 | ) | |||||||
Chico’s FAS, Inc. | 29,100 | (252,297 | ) | |||||||
Children’s Place, Inc. | 9,800 | (1,252,440 | ) | |||||||
Conn’s, Inc. | 18,000 | (636,300 | ) | |||||||
Destination Maternity Corp. | 2,400 | (11,184 | ) | |||||||
Dick’s Sporting Goods, Inc. | 65,000 | (2,306,200 | ) | |||||||
Dillard’s, Inc., Class A | 10,700 | (816,838 | ) | |||||||
Duluth Holdings, Inc., Class B | 4,300 | (135,278 | ) | |||||||
Express, Inc. | 7,000 | (77,420 | ) | |||||||
FirstCash, Inc. | 2,628 | (215,496 | ) | |||||||
Floor & Decor Holdings, Inc., Class A | 5,700 | (171,969 | ) | |||||||
Foot Locker, Inc. | 25,700 | (1,310,186 | ) | |||||||
Foundation Building Materials, Inc. | 4,950 | (61,726 | ) | |||||||
Francesca’s Holdings Corp. | 20,500 | (76,055 | ) | |||||||
GameStop Corp., Class A | 54,764 | (836,246 | ) | |||||||
Gap, Inc. | 197,900 | (5,709,415 | ) | |||||||
GNC Holdings, Inc., Class A | 52,190 | (216,067 | ) | |||||||
Group 1 Automotive, Inc. | 3,500 | (227,150 | ) | |||||||
Guess?, Inc. | 40,600 | (917,560 | ) | |||||||
Haverty Furniture Cos., Inc. | 1,900 | (41,990 | ) | |||||||
Hertz Global Holdings, Inc. | 71,500 | (1,167,595 | ) | |||||||
Hibbett Sports, Inc. | 3,400 | (63,920 | ) | |||||||
J. Jill, Inc. | 1,600 | (9,888 | ) | |||||||
JC Penney Co., Inc. | 199,000 | (330,340 | ) | |||||||
L Brands, Inc. | 194,200 | (5,884,260 | ) | |||||||
Lands’ End, Inc. | 1,700 | (29,835 | ) | |||||||
Lithia Motors, Inc., Class A | 12,700 | (1,037,082 | ) | |||||||
Lumber Liquidators Holdings, Inc. | 9,200 | (142,508 | ) | |||||||
MarineMax, Inc. | 1,800 | (38,250 | ) | |||||||
Michaels Cos., Inc. (The) | 137,100 | (2,225,133 | ) | |||||||
Net Element, Inc. | 1,925 | (10,376 | ) | |||||||
Overstock.com, Inc. | 14,900 | (412,730 | ) | |||||||
Party City Holdco, Inc. | 1,100 | (14,905 | ) | |||||||
Penske Automotive Group, Inc. | 1,500 | (71,085 | ) |
See Notes to Consolidated Financial Statements.
105
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Security Description | Shares | Value | ||||||||
PetIQ, Inc. | 8,600 | $ | (338,066 | ) | ||||||
Pier 1 Imports, Inc. | 67,700 | (101,550 | ) | |||||||
Qurate Retail, Inc. | 49,966 | (1,109,745 | ) | |||||||
Restoration Hardware Holdings, Inc. | 18,800 | (2,462,988 | ) | |||||||
Sally Beauty Holdings, Inc. | 100,800 | (1,853,712 | ) | |||||||
Sears Holdings Corp. | 78,200 | (75,682 | ) | |||||||
Signet Jewelers Ltd. | 24,700 | (1,628,471 | ) | |||||||
Sleep Number Corp. | 16,500 | (606,870 | ) | |||||||
Sonic Automotive, Inc., Class A | 2,600 | (50,310 | ) | |||||||
Sportsman’s Warehouse Holdings, Inc. | 16,400 | (95,940 | ) | |||||||
Stage Stores, Inc. | 8,687 | (17,113 | ) | |||||||
Tailored Brands, Inc. | 29,600 | (745,624 | ) | |||||||
Tiffany & Co. | 59,201 | (7,635,153 | ) | |||||||
Tractor Supply Co. | 68,300 | (6,207,104 | ) | |||||||
Williams-Sonoma, Inc. | 68,400 | (4,495,248 | ) | |||||||
|
| |||||||||
(69,166,669 | ) | |||||||||
|
| |||||||||
Semiconductors — (1.0)% | ||||||||||
Adesto Technologies Corp. | 700 | (4,165 | ) | |||||||
Advanced Micro Devices, Inc. | 793,300 | (24,505,037 | ) | |||||||
Analog Devices, Inc. | 15,800 | (1,460,868 | ) | |||||||
Aquantia Corp. | 9,700 | (124,063 | ) | |||||||
Broadcom, Inc. | 99,138 | (24,460,319 | ) | |||||||
Brooks Automation, Inc. | 3,800 | (133,114 | ) | |||||||
Cirrus Logic, Inc. | 800 | (30,880 | ) | |||||||
Coherent, Inc. | 2,400 | (413,256 | ) | |||||||
Cree, Inc. | 11,000 | (416,570 | ) | |||||||
Cypress Semiconductor Corp. | 158,135 | (2,291,376 | ) | |||||||
Electro Scientific Industries, Inc. | 100 | (1,745 | ) | |||||||
II-VI, Inc. | 7,600 | (359,480 | ) | |||||||
Impinj, Inc. | 15,500 | (384,710 | ) | |||||||
Inphi Corp. | 4,400 | (167,112 | ) | |||||||
KEMET Corp. | 2,300 | (42,665 | ) | |||||||
Marvell Technology Group Ltd. | 86,370 | (1,666,941 | ) | |||||||
MaxLinear, Inc., Class A | 17,340 | (344,719 | ) | |||||||
Maxwell Technologies, Inc. | 1,600 | (5,584 | ) | |||||||
Microchip Technology, Inc. | 80,876 | (6,381,925 | ) | |||||||
MoSys, Inc. | 2,391 | (1,650 | ) | |||||||
NeoPhotonics Corp. | 29,300 | (243,190 | ) | |||||||
Oclaro, Inc. | 72,200 | (645,468 | ) | |||||||
Qorvo, Inc. | 3,923 | (301,639 | ) | |||||||
Ultra Clean Holdings, Inc. | 100 | (1,256 | ) | |||||||
Universal Display Corp. | 9,500 | (1,120,050 | ) | |||||||
US Gold Corp. | 1,400 | (1,484 | ) | |||||||
|
| |||||||||
(65,509,266 | ) | |||||||||
|
|
See Notes to Consolidated Financial Statements.
106
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Security Description | Shares | Value | ||||||||
Software — (0.3)% | ||||||||||
ACI Worldwide, Inc. | 300 | $ | (8,442 | ) | ||||||
Activision Blizzard, Inc. | 109,900 | (9,142,581 | ) | |||||||
Allscripts Healthcare Solutions, Inc. | 27,800 | (396,150 | ) | |||||||
Appian Corp. | 4,700 | (155,570 | ) | |||||||
Asure Software, Inc. | 400 | (4,968 | ) | |||||||
Avalara, Inc. | 600 | (20,958 | ) | |||||||
Avaya Holdings Corp. | 13,100 | (290,034 | ) | |||||||
Box, Inc., Class A | 10,500 | (251,055 | ) | |||||||
Boxlight Corp., Class A | 500 | (1,460 | ) | |||||||
Carbon Black, Inc. | 3,000 | (63,540 | ) | |||||||
Castlight Health, Inc., Class B | 14,300 | (38,610 | ) | |||||||
Ceridian HCM Holding, Inc. | 2,800 | (117,684 | ) | |||||||
Computer Programs & Systems, Inc. | 700 | (18,795 | ) | |||||||
DocuSign, Inc. | 16,900 | (888,433 | ) | |||||||
Donnelley Financial Solutions, Inc. | 200 | (3,584 | ) | |||||||
DropCar, Inc. | 75 | (38 | ) | |||||||
Electronic Arts, Inc. | 8,100 | (975,969 | ) | |||||||
Envestnet, Inc. | 800 | (48,760 | ) | |||||||
Evolent Health, Inc. | 29,700 | (843,480 | ) | |||||||
FireEye, Inc. | 7,600 | (129,200 | ) | |||||||
Glu Mobile, Inc. | 2,000 | (14,900 | ) | |||||||
Inpixon | 3,758 | (757 | ) | |||||||
Instructure, Inc. | 3,300 | (116,820 | ) | |||||||
LiveRamp Holdings, Inc. | 16,000 | (790,560 | ) | |||||||
LogMeIn, Inc. | 13,700 | (1,220,670 | ) | |||||||
Medical Transcription Billing Corp. | 2,700 | (14,040 | ) | |||||||
NantHealth, Inc. | 3,700 | (5,809 | ) | |||||||
Nuance Communications, Inc. | 6,500 | (112,580 | ) | |||||||
Omnicell, Inc. | 1,000 | (71,900 | ) | |||||||
Pareteum Corp. | 46,162 | (138,486 | ) | |||||||
Pegasystems, Inc. | 1,100 | (68,860 | ) | |||||||
Pivotal Software, Inc., Class A | 6,300 | (123,354 | ) | |||||||
Remark Holdings, Inc. | 8,800 | (28,072 | ) | |||||||
ShiftPixy, Inc. | 100 | (388 | ) | |||||||
SITO Mobile Ltd. | 700 | (1,246 | ) | |||||||
Smartsheet, Inc., Class A | 100 | (3,126 | ) | |||||||
Sphere 3D Corp. | 5,758 | (2,246 | ) | |||||||
Take-Two Interactive Software, Inc. | 32,600 | (4,498,474 | ) | |||||||
TiVo Corp. | 118 | (1,469 | ) | |||||||
USA Technologies, Inc. | 1,500 | (10,800 | ) | |||||||
Veritone, Inc. | 829 | (8,646 | ) | |||||||
VirnetX Holding Corp. | 14,100 | (65,565 | ) | |||||||
xG Technology, Inc. | 8,700 | (3,671 | ) | |||||||
Zscaler, Inc. | 5,400 | (220,212 | ) | |||||||
Zuora, Inc., Class A | 3,700 | (85,507 | ) | |||||||
|
| |||||||||
(21,007,469 | ) | |||||||||
|
|
See Notes to Consolidated Financial Statements.
107
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Security Description | Shares | Value | ||||||||
Specialty Finance — (0.1)% | ||||||||||
Alliance Data Systems Corp. | 3,071 | $ | (725,247 | ) | ||||||
Ally Financial, Inc. | 68,100 | (1,801,245 | ) | |||||||
Altisource Portfolio Solutions SA | 2,300 | (74,129 | ) | |||||||
Apollo Commercial Real Estate Finance, Inc. | 6,700 | (126,429 | ) | |||||||
Arbor Realty Trust, Inc. | 2,500 | (28,700 | ) | |||||||
ARMOUR Residential REIT, Inc. | 6,462 | (145,072 | ) | |||||||
Capstead Mortgage Corp. | 7,500 | (59,325 | ) | |||||||
Chimera Investment Corp. | 42 | (761 | ) | |||||||
Credit Acceptance Corp. | 1,200 | (525,684 | ) | |||||||
Encore Capital Group, Inc. | 8,400 | (301,140 | ) | |||||||
Federal Agricultural Mortgage Corp., Class C | 100 | (7,218 | ) | |||||||
Global Payments, Inc. | 34 | (4,332 | ) | |||||||
Granite Point Mortgage Trust, Inc. | 50 | (964 | ) | |||||||
HomeStreet, Inc. | 3,700 | (98,050 | ) | |||||||
Hunt Cos. Finance Trust, Inc. | 4,400 | (16,500 | ) | |||||||
LendingClub Corp. | 154,900 | (601,012 | ) | |||||||
Marathon Patent Group, Inc. | 4,801 | (3,502 | ) | |||||||
MoneyGram International, Inc. | 1,300 | (6,955 | ) | |||||||
Nelnet, Inc., Class A | 700 | (40,019 | ) | |||||||
New Residential Investment Corp. | 7,800 | (138,996 | ) | |||||||
Ocwen Financial Corp. | 14,600 | (57,524 | ) | |||||||
OneMain Holdings, Inc. | 1,400 | (47,054 | ) | |||||||
Orchid Island Capital, Inc. | 41,700 | (302,325 | ) | |||||||
PennyMac Financial Services, Inc., Class A | 100 | (2,090 | ) | |||||||
PennyMac Mortgage Investment Trust | 2,900 | (58,696 | ) | |||||||
PHH Corp. | 1,400 | (15,386 | ) | |||||||
PRA Group, Inc. | 14,100 | (507,600 | ) | |||||||
Redwood Trust, Inc. | 1,100 | (17,864 | ) | |||||||
Santander Consumer USA Holdings, Inc. | 75,100 | (1,505,004 | ) | |||||||
SLM Corp. | 52,300 | (583,145 | ) | |||||||
Two Harbors Investment Corp. | 50 | (747 | ) | |||||||
Western Asset Mortgage Capital Corp. | 7,900 | (79,158 | ) | |||||||
|
| |||||||||
(7,881,873 | ) | |||||||||
|
| |||||||||
Technology Services — (0.0)% | ||||||||||
Cubic Corp. | 500 | (36,525 | ) | |||||||
Endurance International Group Holdings, Inc. | 2,000 | (17,600 | ) | |||||||
EVERTEC, Inc. | 300 | (7,230 | ) | |||||||
Helios & Matheson Analytics, Inc. | 177 | (3 | ) | |||||||
IHS Markit Ltd. | 27 | (1,457 | ) | |||||||
MarketAxess Holdings, Inc. | 7,100 | (1,267,279 | ) | |||||||
Medidata Solutions, Inc. | 4,200 | (307,902 | ) | |||||||
Nielsen Holdings PLC | 10,100 | (279,366 | ) | |||||||
Paychex, Inc. | 1 | (74 | ) | |||||||
Presidio, Inc. | 2 | (30 | ) |
See Notes to Consolidated Financial Statements.
108
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Security Description | Shares | Value | ||||||||
Riot Blockchain, Inc. | 11,900 | $ | (43,435 | ) | ||||||
Spherix, Inc. | 2,926 | (2,926 | ) | |||||||
Teradata Corp. | 1,800 | (67,878 | ) | |||||||
Thomson Reuters Corp. | 11,300 | (516,184 | ) | |||||||
Travelport Worldwide Ltd. | 500 | (8,435 | ) | |||||||
|
| |||||||||
(2,556,324 | ) | |||||||||
|
| |||||||||
Telecommunications — (0.2)% | ||||||||||
CenturyLink, Inc. | 359,072 | (7,612,326 | ) | |||||||
Cincinnati Bell, Inc. | 4,949 | (78,937 | ) | |||||||
Consolidated Communications Holdings, Inc. | 33,176 | (432,615 | ) | |||||||
Frontier Communications Corp. | 42,080 | (273,099 | ) | |||||||
Fusion Connect, Inc. | 2,000 | (5,140 | ) | |||||||
GCI Liberty, Inc., Class A | 10,869 | (554,319 | ) | |||||||
Globalstar, Inc. | 139,600 | (70,917 | ) | |||||||
Gogo, Inc. | 38,600 | (200,334 | ) | |||||||
GTT Communications, Inc. | 16,900 | (733,460 | ) | |||||||
HC2 Holdings, Inc. | 7,600 | (46,512 | ) | |||||||
Intelsat SA | 17,900 | (537,000 | ) | |||||||
Internap Corp. | 1,800 | (22,734 | ) | |||||||
Iridium Communications, Inc. | 38,700 | (870,750 | ) | |||||||
NII Holdings, Inc. | 31,123 | (182,381 | ) | |||||||
Ooma, Inc. | 300 | (4,980 | ) | |||||||
Shenandoah Telecommunications Co. | 1,200 | (46,500 | ) | |||||||
Sprint Corp. | 201,300 | (1,316,502 | ) | |||||||
Switch, Inc. | 31,400 | (339,120 | ) | |||||||
T-Mobile US, Inc. | 14,600 | (1,024,628 | ) | |||||||
Verizon Communications, Inc. | 19,200 | (1,025,088 | ) | |||||||
Vonage Holdings Corp. | 300 | (4,248 | ) | |||||||
Windstream Holdings, Inc. | 25,705 | (125,954 | ) | |||||||
|
| |||||||||
(15,507,544 | ) | |||||||||
|
| |||||||||
Transportation & Logistics — (0.1)% | ||||||||||
Atlas Air Worldwide Holdings, Inc. | 200 | (12,750 | ) | |||||||
CryoPort, Inc. | 1,500 | (19,215 | ) | |||||||
Daseke, Inc. | 500 | (4,010 | ) | |||||||
DHT Holdings, Inc. | 32,100 | (150,870 | ) | |||||||
Dorian LPG Ltd. | 4,900 | (39,053 | ) | |||||||
Genesee & Wyoming, Inc., Class A | 2,300 | (209,277 | ) | |||||||
Golar LNG Ltd. | 41,800 | (1,162,040 | ) | |||||||
Hornbeck Offshore Services, Inc. | 9,800 | (57,624 | ) | |||||||
International Seaways, Inc. | 2,900 | (58,058 | ) | |||||||
Kirby Corp. | 2,500 | (205,625 | ) | |||||||
Knight-Swift Transportation Holdings, Inc. | 6,000 | (206,880 | ) | |||||||
Mobile Mini, Inc. | 100 | (4,385 | ) | |||||||
Navigator Holdings Ltd. | 6,000 | (72,600 | ) |
See Notes to Consolidated Financial Statements.
109
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Security Description | Shares | Value | ||||||||
Nordic American Tankers Ltd. | 56,100 | $ | (117,249 | ) | ||||||
Scorpio Bulkers, Inc. | 20,000 | (145,000 | ) | |||||||
Seanergy Maritime Holdings Corp. | 3,502 | (2,977 | ) | |||||||
Sino-Global Shipping America Ltd. | 2,221 | (2,599 | ) | |||||||
Teekay Corp. | 39,300 | (264,882 | ) | |||||||
Teekay Tankers Ltd., Class A | 57,700 | (56,996 | ) | |||||||
TOP Ships, Inc. | 13,066 | (15,287 | ) | |||||||
XPO Logistics, Inc. | 4,200 | (479,514 | ) | |||||||
|
| |||||||||
(3,286,891 | ) | |||||||||
|
| |||||||||
Transportation Equipment — (0.1)% | ||||||||||
Greenbrier Cos., Inc. | 3,100 | (186,310 | ) | |||||||
Navistar International Corp. | 24,200 | (931,700 | ) | |||||||
REV Group, Inc. | 2,500 | (39,250 | ) | |||||||
Wabtec Corp. | 36,500 | (3,828,120 | ) | |||||||
Workhorse Group, Inc. | 7,430 | (7,950 | ) | |||||||
|
| |||||||||
(4,993,330 | ) | |||||||||
|
| |||||||||
Utilities — (0.2)% | ||||||||||
Algonquin Power & Utilities Corp. | 6,000 | (62,160 | ) | |||||||
Allete, Inc. | 900 | (67,509 | ) | |||||||
American States Water Co., Inc. | 4,600 | (281,244 | ) | |||||||
Atlantic Power Corp. | 1,600 | (3,520 | ) | |||||||
Avangrid, Inc. | 700 | (33,551 | ) | |||||||
Black Hills Corp. | 5,000 | (290,450 | ) | |||||||
California Water Service Group | 400 | (17,160 | ) | |||||||
Clearway Energy, Inc. | 23,000 | (442,750 | ) | |||||||
Dominion Resources, Inc. | 1 | (70 | ) | |||||||
El Paso Electric Co. | 8,700 | (497,640 | ) | |||||||
Evergy, Inc. | 2,800 | (153,776 | ) | |||||||
Fortis, Inc. | 8,700 | (282,054 | ) | |||||||
Genie Energy Ltd., Class B | 1,600 | (8,640 | ) | |||||||
MGE Energy, Inc. | 900 | (57,465 | ) | |||||||
New Jersey Resources Corp. | 16,000 | (737,600 | ) | |||||||
NextEra Energy Partners LP | 2,500 | (121,250 | ) | |||||||
NiSource, Inc. | 23,600 | (588,112 | ) | |||||||
Ormat Technologies, Inc. | 5,900 | (319,249 | ) | |||||||
Pattern Energy Group, Inc. | 51,600 | (1,025,292 | ) | |||||||
Sempra Energy | 33,600 | (3,822,000 | ) | |||||||
South Jersey Industries, Inc. | 12,900 | (454,983 | ) | |||||||
Southern Co. | 11,800 | (514,480 | ) | |||||||
Southwest Gas Corp. | 700 | (55,321 | ) | |||||||
Spark Energy, Inc., Class A | 4,900 | (40,425 | ) | |||||||
Spire, Inc. | 3,700 | (272,135 | ) | |||||||
TerraForm Power, Inc. | 8,886 | (102,633 | ) | |||||||
TransAlta Corp. | 1,000 | (5,600 | ) |
See Notes to Consolidated Financial Statements.
110
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Security Description | Shares | Value | ||||||||||
Vistra Energy Corp. | 20 | $ | (498 | ) | ||||||||
|
| |||||||||||
(10,257,567 | ) | |||||||||||
|
| |||||||||||
Waste & Environmental Services & Equipment — (0.0)% |
| |||||||||||
Alexco Resource Corp. | 4,600 | (4,738 | ) | |||||||||
Aqua Metals, Inc. | 15,500 | (39,990 | ) | |||||||||
Attis Industries, Inc. | 786 | (220 | ) | |||||||||
Covanta Holding Corp. | 6,600 | (107,250 | ) | |||||||||
Energy Recovery, Inc. | 12,800 | (114,560 | ) | |||||||||
Evoqua Water Technologies Corp. | 8,900 | (158,242 | ) | |||||||||
Hudson Technologies, Inc. | 9,500 | (12,160 | ) | |||||||||
Lightbridge Corp. | 3,484 | (3,209 | ) | |||||||||
MagneGas Corp. | 453 | (68 | ) | |||||||||
Stericycle, Inc. | 200 | (11,736 | ) | |||||||||
|
| |||||||||||
(452,173 | ) | |||||||||||
|
| |||||||||||
Total North America | (1,101,032,804 | ) | ||||||||||
|
| |||||||||||
Oceania — (0.0)% | ||||||||||||
Apparel & Textile Products — (0.0)% | ||||||||||||
Naked Brand Group Ltd. | 138 | (371 | ) | |||||||||
|
| |||||||||||
Iron & Steel — (0.0)% | ||||||||||||
BHP Billiton Ltd., ADR | 24,400 | (1,216,096 | ) | |||||||||
|
| |||||||||||
Total Oceania | (1,216,467 | ) | ||||||||||
|
| |||||||||||
South America — (0.2)% | ||||||||||||
Aerospace & Defense — (0.0)% | ||||||||||||
Embraer SA, ADR | 7,600 | (148,884 | ) | |||||||||
|
| |||||||||||
Banking — (0.0)% | ||||||||||||
Banco Bradesco SA, ADR | 144,676 | (1,024,306 | ) | |||||||||
Banco Santander Brasil SA, ADR | 1,300 | (11,453 | ) | |||||||||
Banco Santander Chile, ADR | 12,500 | (399,750 | ) | |||||||||
Bancolombia SA, ADR | 20,100 | (838,572 | ) | |||||||||
BBVA Banco Frances SA, ADR | 500 | (5,835 | ) | |||||||||
Grupo Aval Acciones y Valores SA, ADR | 2,400 | (18,624 | ) | |||||||||
Itau CorpBanca, ADR | 200 | (3,118 | ) | |||||||||
Itau Unibanco Holding SA, ADR | 45,940 | (504,421 | ) | |||||||||
|
| |||||||||||
(2,806,079 | ) | |||||||||||
|
| |||||||||||
Chemicals — (0.0)% | ||||||||||||
Braskem SA, ADR | 4,200 | (121,254 | ) | |||||||||
|
| |||||||||||
Consumer Products — (0.0)% | ||||||||||||
Adecoagro SA | 1,400 | (10,290 | ) | |||||||||
BRF SA, ADR | 108,900 | (596,772 | ) | |||||||||
|
| |||||||||||
(607,062 | ) | |||||||||||
|
|
See Notes to Consolidated Financial Statements.
111
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Security Description | Shares | Value | ||||||||
Engineering & Construction Services — (0.0)% | ||||||||||
Corporacion America Airports SA | 5,400 | $ | (46,116 | ) | ||||||
|
| |||||||||
Home & Office Products — (0.0)% | ||||||||||
Gafisa SA, ADR | 959 | (5,227 | ) | |||||||
|
| |||||||||
Iron & Steel — (0.0)% | ||||||||||
Cia Siderurgica Nacional SA, ADR | 30,100 | (68,628 | ) | |||||||
Gerdau SA, ADR | 11,700 | (49,257 | ) | |||||||
|
| |||||||||
(117,885 | ) | |||||||||
|
| |||||||||
Media — (0.0)% | ||||||||||
Despegar.com Corp. | 6,364 | (107,361 | ) | |||||||
|
| |||||||||
Metals & Mining — (0.0)% | ||||||||||
Nexa Resources SA | 7,500 | (90,450 | ) | |||||||
Southern Copper Corp. | 8,500 | (366,690 | ) | |||||||
Yamana Gold, Inc. | 100 | (249 | ) | |||||||
|
| |||||||||
(457,389 | ) | |||||||||
|
| |||||||||
Oil, Gas & Coal — (0.0)% | ||||||||||
Cosan Ltd., A Shares | 19,300 | (129,889 | ) | |||||||
Ecopetrol SA, ADR | 21,200 | (570,916 | ) | |||||||
Petroleo Brasileiro SA, ADR | 111,100 | (1,340,977 | ) | |||||||
Transportadora de Gas del Sur SA, ADR | 100 | (1,452 | ) | |||||||
|
| |||||||||
(2,043,234 | ) | |||||||||
|
| |||||||||
Passenger Transportation — (0.0)% | ||||||||||
Avianca Holdings SA, ADR | 700 | (3,934 | ) | |||||||
Azul SA, ADR | 8,800 | (156,552 | ) | |||||||
Gol Linhas Aereas Inteligentes SA, ADR | 10,050 | (54,873 | ) | |||||||
Latam Airlines Group SA, ADR | 23,600 | (221,840 | ) | |||||||
|
| |||||||||
(437,199 | ) | |||||||||
|
| |||||||||
Retail—Consumer Staples — (0.0)% | ||||||||||
Cia Brasileira de Distribuicao Grupo Pao de Acucar, ADR | 300 | (6,444 | ) | |||||||
|
| |||||||||
Retail—Discretionary — (0.1)% | ||||||||||
MercadoLibre, Inc. | 17,200 | (5,856,084 | ) | |||||||
Netshoes Cayman Ltd. | 1,600 | (3,744 | ) | |||||||
|
| |||||||||
(5,859,828 | ) | |||||||||
|
| |||||||||
Specialty Finance — (0.1)% | ||||||||||
Pagseguro Digital Ltd., Class A | 113,300 | (3,135,011 | ) | |||||||
|
|
See Notes to Consolidated Financial Statements.
112
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Security Description | Shares | Value | ||||||||||
Telecommunications — (0.0)% | ||||||||||||
Liberty Latin America Ltd., Class C | 32,400 | $ | (668,412 | ) | ||||||||
Telefonica Brasil SA, ADR | 100 | (973 | ) | |||||||||
Tim Participacoes SA, ADR | 4,100 | (59,409 | ) | |||||||||
|
| |||||||||||
(728,794 | ) | |||||||||||
|
| |||||||||||
Utilities — (0.0)% | ||||||||||||
Central Puerto SA, ADR | 2,800 | (28,840 | ) | |||||||||
Cia de Saneamento Basico do Estado de Sao Paulo, ADR | 10,100 | (59,590 | ) | |||||||||
Cia Paranaense de Energia, ADR | 7,800 | (41,106 | ) | |||||||||
Enersis SA, ADR | 11,300 | (87,349 | ) | |||||||||
Pampa Energia SA, ADR | 3,900 | (121,095 | ) | |||||||||
|
| |||||||||||
(337,980 | ) | |||||||||||
|
| |||||||||||
Total South America | (16,965,747 | ) | ||||||||||
|
| |||||||||||
TOTAL COMMON STOCK | (1,283,248,901 | ) | ||||||||||
|
| |||||||||||
EXCHANGE-TRADED FUND — (0.1)% | ||||||||||||
VanEck Vectors Semiconductor ETF (d) | 44,722 | (4,760,657 | ) | |||||||||
|
| |||||||||||
TOTAL EXCHANGE-TRADED FUND | (4,760,657 | ) | ||||||||||
|
| |||||||||||
Security Description | Principal Amount | Value | ||||||||||
MORTGAGE-BACKED SECURITIES — (0.9)% | ||||||||||||
North America — ((0.9))% | ||||||||||||
Collateralized Mortgage Obligation (Residential) — (0.9)% |
| |||||||||||
Government National Mortgage Association, 3.00%, 10/01/48 (d),(m) | $ | 57,900,000 | $ | (56,086,109 | ) | |||||||
|
| |||||||||||
TOTAL MORTGAGE-BACKED SECURITIES | (56,086,109 | ) | ||||||||||
|
| |||||||||||
TOTAL SECURITIES SOLD SHORT— (21.4)% | $ | (1,344,095,667 | ) | |||||||||
|
|
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. |
(d) | Security is held by a consolidated wholly-owned subsidiary of Blackstone Alternative Multi-Strategy Fund. |
(e) | Security considered illiquid. |
See Notes to Consolidated Financial Statements.
113
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
(f) | 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. |
(g) | 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, 2018. |
(h) | All or a portion of this security is pledged as collateral in connection with reverse repurchase agreements. |
(i) | Security is currently in default due to bankruptcy or failure to make payment of principal or interest. |
(j) | Non-interest bearing bond. |
(k) | Security is perpetual in nature and has no stated maturity. |
(l) | Represents a step-up bond. Coupon rate increases in increments to maturity. Rate presented is as of September 30, 2018. Maturity date presented is the ultimate maturity. |
(m) | When issued or delayed delivery security included. |
(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., GCM Equity Partners LP and EJF Debt Opportunities Offshore Fund, Ltd. are 11/9/2015, 6/1/2016, 11/9/2015 and 9/4/2018, respectively. |
(o) | Rate disclosed, the 7 day net yield, is as of September 30, 2018. |
(p) | Assets, other than investments in securities, less liabilities other than securities sold short. |
(q) | Preferential dividend rate and maturity date is disclosed, if applicable. |
(r) | Security is valued using significant unobservable inputs. |
(s) | All or a portion of the security represents an unsettled loan commitment at September 30, 2018 where the rate will be determined at time of settlement. |
Reverse Repurchase Agreements Outstanding at September 30, 2018
Counterparty | Interest Rate | Trade Date | Maturity Date | Face Value | Face Value Including Accrued Interest | ||||||||||||||||||||
BNP Paribas Securities Corp. | 3.62% | 09/24/18 | 10/26/18 | $ | 3,162,000 | $ | 3,164,223 | ||||||||||||||||||
Goldman Sachs Bank USA | 3.17% | 09/21/18 | 10/19/18 | 11,174,000 | 11,183,824 | ||||||||||||||||||||
Goldman Sachs Bank USA | 3.17% | 09/27/18 | 10/26/18 | 28,569,000 | 28,579,049 | ||||||||||||||||||||
Goldman Sachs Bank USA | 3.17% | 09/27/18 | 10/26/18 | 45,582,000 | 45,598,034 | ||||||||||||||||||||
Goldman Sachs Bank USA | 3.17% | 09/27/18 | 10/26/18 | 24,691,000 | 24,699,685 | ||||||||||||||||||||
JPMorgan Chase Bank, N.A. | 2.97% | 09/18/18 | 10/17/18 | 3,342,000 | 3,345,579 | ||||||||||||||||||||
JPMorgan Chase Bank, N.A. | 3.27% | 09/18/18 | 10/17/18 | 4,718,000 | 4,723,563 | ||||||||||||||||||||
JPMorgan Chase Bank, N.A. | 3.27% | 09/18/18 | 10/17/18 | 4,132,000 | 4,136,872 | ||||||||||||||||||||
JPMorgan Chase Bank, N.A. | 3.28% | 09/12/18 | 10/11/18 | 3,662,000 | 3,668,348 | ||||||||||||||||||||
JPMorgan Chase Bank, N.A. | 3.38% | 09/07/18 | 10/05/18 | 5,750,000 | 5,762,961 | ||||||||||||||||||||
JPMorgan Chase Bank, N.A. | 3.38% | 09/07/18 | 10/05/18 | 4,729,000 | 4,739,659 | ||||||||||||||||||||
JPMorgan Chase Bank, N.A. | 3.38% | 09/12/18 | 10/11/18 | 5,166,000 | 5,175,228 | ||||||||||||||||||||
JPMorgan Chase Bank, N.A. | 3.38% | 09/12/18 | 10/11/18 | 7,604,000 | 7,617,583 | ||||||||||||||||||||
JPMorgan Chase Bank, N.A. | 3.38% | 09/12/18 | 10/11/18 | 3,508,000 | 3,514,266 | ||||||||||||||||||||
JPMorgan Chase Bank, N.A. | 3.38% | 09/12/18 | 10/11/18 | 6,325,000 | 6,336,298 | ||||||||||||||||||||
JPMorgan Chase Bank, N.A. | 3.41% | 09/28/18 | 10/26/18 | 3,936,000 | 3,937,117 | ||||||||||||||||||||
JPMorgan Chase Bank, N.A. | 3.42% | 09/18/18 | 10/17/18 | 4,154,000 | 4,159,123 | ||||||||||||||||||||
JPMorgan Chase Bank, N.A. | 3.51% | 09/28/18 | 10/26/18 | 4,527,000 | 4,528,323 |
See Notes to Consolidated Financial Statements.
114
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Counterparty | Interest Rate | Trade Date | Maturity Date | Face Value | Face Value Including Accrued Interest | ||||||||||||||||||||
JPMorgan Chase Bank, N.A. | 3.51% | 09/28/18 | 10/26/18 | $ | 4,144,000 | $ | 4,145,211 | ||||||||||||||||||
JPMorgan Chase Bank, N.A. | 3.51% | 09/28/18 | 10/26/18 | 5,333,000 | 5,334,558 | ||||||||||||||||||||
JPMorgan Chase Bank, N.A. | 3.51% | 09/28/18 | 10/26/18 | 6,864,000 | 6,866,005 | ||||||||||||||||||||
JPMorgan Chase Bank, N.A. | 3.51% | 09/28/18 | 10/26/18 | 4,031,000 | 4,032,178 | ||||||||||||||||||||
Merrill Lynch, Pierce, Fenner & Smith, Inc. | 2.97% | 08/29/18 | 10/01/18 | 5,383,000 | 5,397,669 | ||||||||||||||||||||
Merrill Lynch, Pierce, Fenner & Smith, Inc. | 2.97% | 08/29/18 | 10/01/18 | 4,086,000 | 4,097,134 | ||||||||||||||||||||
Merrill Lynch, Pierce, Fenner & Smith, Inc. | 3.01% | 09/04/18 | 10/01/18 | 12,528,000 | 12,556,317 | ||||||||||||||||||||
Royal Bank of Canada | 3.03% | 09/11/18 | 10/10/18 | 624,000 | 625,051 | ||||||||||||||||||||
Royal Bank of Canada | 3.03% | 09/11/18 | 10/10/18 | 1,458,000 | 1,460,455 | ||||||||||||||||||||
Royal Bank of Canada | 3.04% | 09/12/18 | 10/12/18 | 3,663,000 | 3,668,875 | ||||||||||||||||||||
Royal Bank of Canada | 3.04% | 09/12/18 | 10/12/18 | 840,000 | 841,347 | ||||||||||||||||||||
Royal Bank of Canada | 3.07% | 09/26/18 | 10/26/18 | 4,760,000 | 4,762,028 | ||||||||||||||||||||
Royal Bank of Canada | 3.07% | 09/26/18 | 10/26/18 | 26,633,000 | 26,644,349 | ||||||||||||||||||||
Royal Bank of Canada | 3.07% | 09/26/18 | 10/26/18 | 35,922,000 | 35,937,308 | ||||||||||||||||||||
Royal Bank of Canada | 3.12% | 09/26/18 | 10/26/18 | 1,130,000 | 1,130,489 | ||||||||||||||||||||
Royal Bank of Canada | 3.12% | 09/26/18 | 10/26/18 | 1,271,000 | 1,271,550 | ||||||||||||||||||||
Royal Bank of Canada | 3.12% | 09/26/18 | 10/26/18 | 863,000 | 863,374 | ||||||||||||||||||||
Royal Bank of Canada | 3.12% | 09/26/18 | 10/26/18 | 1,829,000 | 1,829,792 | ||||||||||||||||||||
Royal Bank of Canada | 3.12% | 09/26/18 | 10/26/18 | 1,846,000 | 1,846,799 | ||||||||||||||||||||
Royal Bank of Canada | 3.12% | 09/26/18 | 10/26/18 | 2,397,000 | 2,398,038 | ||||||||||||||||||||
Royal Bank of Canada | 3.17% | 09/26/18 | 10/26/18 | 29,082,000 | 29,094,797 | ||||||||||||||||||||
Royal Bank of Canada | 3.23% | 09/27/18 | 10/29/18 | 1,047,000 | 1,047,376 | ||||||||||||||||||||
Royal Bank of Canada | 3.23% | 09/27/18 | 10/29/18 | 14,334,000 | 14,339,144 | ||||||||||||||||||||
Royal Bank of Canada | 3.32% | 09/05/18 | 12/04/18 | 6,069,000 | 6,083,555 | ||||||||||||||||||||
Royal Bank of Canada | 3.36% | 08/15/18 | 11/13/18 | 6,198,000 | 6,225,219 | ||||||||||||||||||||
Royal Bank of Canada | 3.43% | 09/25/18 | 10/19/18 | 9,017,000 | 9,022,155 | ||||||||||||||||||||
Royal Bank of Canada | 3.43% | 09/11/18 | 10/10/18 | 877,000 | 878,672 | ||||||||||||||||||||
Royal Bank of Canada | 3.43% | 09/11/18 | 10/10/18 | 1,199,000 | 1,201,285 | ||||||||||||||||||||
Royal Bank of Canada | 3.47% | 09/04/18 | 12/04/18 | 3,165,000 | 3,173,239 | ||||||||||||||||||||
Royal Bank of Canada | 3.47% | 09/04/18 | 12/04/18 | 2,532,000 | 2,538,591 | ||||||||||||||||||||
Royal Bank of Canada | 3.47% | 09/04/18 | 12/04/18 | 1,850,000 | 1,854,816 | ||||||||||||||||||||
Royal Bank of Canada | 3.47% | 09/04/18 | 12/04/18 | 2,240,000 | 2,245,831 | ||||||||||||||||||||
Royal Bank of Canada | 3.47% | 09/04/18 | 12/04/18 | 2,002,000 | 2,007,211 | ||||||||||||||||||||
Royal Bank of Canada | 3.49% | 08/13/18 | 11/13/18 | 10,220,000 | 10,268,520 | ||||||||||||||||||||
Royal Bank of Canada | 3.49% | 09/19/18 | 12/19/18 | 3,526,000 | 3,530,100 | ||||||||||||||||||||
Royal Bank of Canada | 3.53% | 09/27/18 | 10/29/18 | 1,893,000 | 1,893,742 | ||||||||||||||||||||
Royal Bank of Canada | 3.54% | 09/28/18 | 12/28/18 | 3,974,000 | 3,975,171 | ||||||||||||||||||||
Royal Bank of Canada | 3.54% | 09/28/18 | 12/28/18 | 5,675,000 | 5,676,672 | ||||||||||||||||||||
Royal Bank of Canada | 3.54% | 09/28/18 | 12/28/18 | 4,523,000 | 4,524,333 | ||||||||||||||||||||
Royal Bank of Canada | 3.57% | 09/04/18 | 12/04/18 | 2,938,000 | 2,945,868 | ||||||||||||||||||||
Royal Bank of Canada | 3.59% | 07/16/18 | 10/16/18 | 5,514,000 | 5,556,333 | ||||||||||||||||||||
|
|
|
| ||||||||||||||||||||||
Total Reverse Repurchase Agreements Outstanding |
| $ | 418,211,000 | $ | 418,660,892 | ||||||||||||||||||||
|
|
|
|
See Notes to Consolidated Financial Statements.
115
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Futures Contracts Outstanding at September 30, 2018
|
| |||||||||||||||||||
Description | Contracts | Exchange | Notional Amount | Expiration Date | Value/ Unrealized Appreciaton (Depreciation) | |||||||||||||||
Long Futures | ||||||||||||||||||||
90 Day Eurodollar | 3 | CME | 725,895 USD | 06/19/23 | $ | 555 | ||||||||||||||
90 Day Eurodollar | 799 | CME | 193,809,816 USD | 12/16/19 | (331,966 | ) | ||||||||||||||
90 Day Eurodollar | 4 | CME | 970,010 USD | 09/18/23 | (1,560 | ) | ||||||||||||||
Aluminum | 182 | LME | 9,813,906 USD | 12/17/18 | (370,381 | ) | ||||||||||||||
Aluminum | 123 | LME | 6,408,157 USD | 10/15/18 | (85,957 | ) | ||||||||||||||
Aluminum | 215 | LME | 11,351,383 USD | 11/19/18 | (230,508 | ) | ||||||||||||||
Amsterdam Index | 81 | Euronext | 8,785,434 EUR | 10/19/18 | 134,282 | |||||||||||||||
Australian 10-Year Bond | 555 | SFE | 71,938,440 AUD | 12/17/18 | (307,213 | ) | ||||||||||||||
Australian Dollar Currency | 2,081 | CME | 148,497,890 USD | 12/17/18 | 1,895,980 | �� | ||||||||||||||
BIST 30 Index | 324 | ISE | 3,843,973 TRY | 10/31/18 | 43,936 | |||||||||||||||
Brent Crude | 276 | ICE | 21,748,406 USD | 10/31/18 | 1,085,074 | |||||||||||||||
Brent Crude | 82 | ICE | 6,367,618 USD | 11/30/18 | 376,062 | |||||||||||||||
British Pound Currency | 3,445 | CME | 282,187,226 USD | 12/17/18 | (429,289 | ) | ||||||||||||||
CAC40 Index | 355 | Euronext | 19,075,587 EUR | 10/19/18 | 478,513 | |||||||||||||||
Canadian 10-Year Bond | 952 | CDE | 127,877,996 CAD | 12/18/18 | (1,257,118 | ) | ||||||||||||||
Canadian Dollar Currency | 637 | CME | 48,770,444 USD | 12/18/18 | 600,241 | |||||||||||||||
Cocoa | 351 | ICE | 7,739,446 USD | 03/14/19 | (431,626 | ) | ||||||||||||||
Copper | 192 | LME | 29,308,807 USD | 11/19/18 | 746,393 | |||||||||||||||
Copper | 139 | LME | 21,524,068 USD | 10/15/18 | 231,170 | |||||||||||||||
Copper | 65 | COMEX | 4,435,349 USD | 12/27/18 | 122,776 | |||||||||||||||
Copper | 44 | LME | 6,524,941 USD | 12/17/18 | 363,809 | |||||||||||||||
Corn | 349 | CBOT | 6,487,016 USD | 03/14/19 | (65,416 | ) | ||||||||||||||
Cotton No. 2 | 63 | ICE | 2,503,021 USD | 03/07/19 | (68,386 | ) | ||||||||||||||
Crude Palm Oil | 212 | MYX | 11,406,274 MYR | 12/14/18 | 28,012 | |||||||||||||||
DAX Index | 183 | Eurex | 55,560,594 EUR | 12/21/18 | 515,818 | |||||||||||||||
E-mini Russell 2000 | 179 | CME | 15,393,798 USD | 12/21/18 | (171,638 | ) | ||||||||||||||
Euro Stoxx 50 | 1,853 | Eurex | 61,716,971 EUR | 12/21/18 | 1,212,298 | |||||||||||||||
Euro-Bund | 2,963 | Eurex | 475,657,180 EUR | 12/06/18 | (5,993,818 | ) | ||||||||||||||
Euro-Oat | 690 | Eurex | 105,226,469 EUR | 12/06/18 | (1,163,336 | ) | ||||||||||||||
FTSE 100 Index | 143 | ICE | 10,387,653 GBP | 12/21/18 | 414,536 | |||||||||||||||
FTSE/MIB Index | 88 | IDEM | 9,259,978 EUR | 12/21/18 | (186,160 | ) | ||||||||||||||
Gasoline RBOB | 134 | NYMEX | 11,235,081 USD | 10/31/18 | 503,239 | |||||||||||||||
Gasoline RBOB | 62 | NYMEX | 5,107,772 USD | 11/30/18 | 297,351 | |||||||||||||||
Gold 100 Oz | 191 | COMEX | 23,628,899 USD | 12/27/18 | (781,479 | ) | ||||||||||||||
Hang Seng China Enterprises Index | 121 | HKFE | 65,625,435 HKD | 10/30/18 | 167,566 | |||||||||||||||
Japanese Yen Currency | 860 | CME | 97,106,874 USD | 12/17/18 | (1,926,374 | ) | ||||||||||||||
KOSPI 200 Index | 109 | KRX FM | 8,018,748,500 KRW | 12/13/18 | 180,168 | |||||||||||||||
Lead | 300 | LME | 15,919,094 USD | 10/15/18 | (725,969 | ) | ||||||||||||||
Lead | 556 | LME | 28,529,200 USD | 11/19/18 | (253,125 | ) | ||||||||||||||
Lead | 29 | LME | 1,494,542 USD | 12/17/18 | (18,624 | ) |
See Notes to Consolidated Financial Statements.
116
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Description | Contracts | Exchange | Notional Amount | Expiration Date | Value/ Unrealized Appreciaton (Depreciation) | |||||||||||||||
Live Cattle | 30 | CME | 1,452,392 USD | 02/28/19 | $ | 21,208 | ||||||||||||||
Long Gilt | 875 | ICE | 106,963,105 GBP | 12/27/18 | (1,486,664 | ) | ||||||||||||||
Low Sulphur Gasoil | 102 | ICE | 6,958,271 USD | 12/12/18 | 398,479 | |||||||||||||||
MSCI Singapore Index | 203 | SGX | 7,407,147 SGD | 10/30/18 | 79,681 | |||||||||||||||
MSCI Taiwan Index | 248 | SGX | 10,131,103 USD | 10/30/18 | 51,777 | |||||||||||||||
Natural Gas | 397 | NYMEX | 12,175,061 USD | 01/29/19 | 72,389 | |||||||||||||||
Natural Gas | 597 | NYMEX | 15,943,895 USD | 08/28/19 | (63,695 | ) | ||||||||||||||
Natural Gas | 476 | NYMEX | 13,215,486 USD | 10/29/18 | 1,102,594 | |||||||||||||||
Natural Gas | 264 | NYMEX | 7,563,529 USD | 11/28/18 | 596,711 | |||||||||||||||
New Zealand Dollar Currency | 361 | CME | 23,670,947 USD | 12/17/18 | 266,963 | |||||||||||||||
Nickel | 245 | LME | 19,549,134 USD | 12/17/18 | (1,038,894 | ) | ||||||||||||||
Nickel | 132 | LME | 10,901,857 USD | 10/15/18 | (982,057 | ) | ||||||||||||||
Nickel | 153 | LME | 12,110,183 USD | 11/19/18 | (579,185 | ) | ||||||||||||||
Norwegian Krone Currency | 322 | CME | 77,672,225 USD | 12/17/18 | 1,662,135 | |||||||||||||||
NY Harbor ULSD | 162 | NYMEX | 15,128,475 USD | 10/31/18 | 850,719 | |||||||||||||||
OMXS30 Index | 2,894 | Nasdaq OMX | 471,031,906 SEK | 10/19/18 | 1,054,537 | |||||||||||||||
Platinum | 79 | NYMEX | 3,251,146 USD | 01/29/19 | (2,666 | ) | ||||||||||||||
Platinum | 62 | NYMEX | 2,529,202 USD | 04/26/19 | 32,948 | |||||||||||||||
S&P 500 E-mini | 90 | CME | 13,112,268 USD | 12/21/18 | 23,232 | |||||||||||||||
S&P/TSX 60 Index | 36 | CDE | 6,802,887 CAD | 12/20/18 | 30,405 | |||||||||||||||
Silver | 108 | COMEX | 8,018,975 USD | 12/27/18 | (74,495 | ) | ||||||||||||||
Silver | 196 | COMEX | 14,678,239 USD | 03/27/19 | (154,639 | ) | ||||||||||||||
SPI 200 | 875 | SFE | 135,124,517 AUD | 12/20/18 | 266,900 | |||||||||||||||
Swiss Market Index | 316 | Eurex | 28,121,437 CHF | 12/21/18 | 537,113 | |||||||||||||||
TOPIX Index | 1,109 | OSE | 18,642,645,600 JPY | 12/13/18 | 13,320,209 | |||||||||||||||
U.S. Treasury 10-Year Note | 1,516 | CBOT | 181,964,233 USD | 12/19/18 | (1,891,857 | ) | ||||||||||||||
U.S. Treasury Long Bond | 28 | CBOT | 4,027,678 USD | 12/19/18 | (93,678 | ) | ||||||||||||||
Wheat | 385 | CBOT | 10,613,902 USD | 03/14/19 | (464,339 | ) | ||||||||||||||
WTI Crude | 228 | NYMEX | 16,034,827 USD | 11/19/18 | 622,853 | |||||||||||||||
WTI Crude | 1,403 | NYMEX | 91,820,325 USD | 05/21/19 | 8,971,195 | |||||||||||||||
Zinc | 116 | LME | 8,088,760 USD | 12/17/18 | (484,960 | ) | ||||||||||||||
Zinc | 212 | LME | 13,508,306 USD | 10/15/18 | 534,044 | |||||||||||||||
Zinc | 284 | LME | 17,275,180 USD | 11/19/18 | 1,511,420 | |||||||||||||||
|
| |||||||||||||||||||
$ | 19,288,219 | |||||||||||||||||||
|
| |||||||||||||||||||
Short Futures | ||||||||||||||||||||
3 Month Euribor | 1 | ICE | 250,324 EUR | 03/18/19 | (437 | ) | ||||||||||||||
3 Month Euribor | 1 | ICE | 250,462 EUR | 12/17/18 | (335 | ) | ||||||||||||||
90 Day Eurodollar | 15 | CME | 3,650,461 USD | 12/16/19 | 18,211 | |||||||||||||||
90 Day Eurodollar | 17 | CME | 4,144,906 USD | 09/16/19 | 25,805 | |||||||||||||||
90 Day Eurodollar | 17 | CME | 4,149,187 USD | 03/16/20 | 33,699 | |||||||||||||||
90 Day Eurodollar | 10 | CME | 2,434,436 USD | 06/15/20 | 13,686 | |||||||||||||||
90 Day Eurodollar | 38 | CME | 9,252,213 USD | 03/18/19 | 22,013 | |||||||||||||||
90 Day Eurodollar | 44 | CME | 10,715,485 USD | 12/17/18 | 8,085 |
See Notes to Consolidated Financial Statements.
117
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Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Description | Contracts | Exchange | Notional Amount | Expiration Date | Value/ Unrealized Appreciaton (Depreciation) | |||||||||||||||
90 Day Eurodollar | 31 | CME | 7,555,252 USD | 06/17/19 | $ | 36,977 | ||||||||||||||
90 Day Eurodollar | 10 | CME | 2,433,574 USD | 03/15/21 | 12,199 | |||||||||||||||
90 Day Eurodollar | 814 | CME | 197,445,808 USD | 09/14/20 | 386,583 | |||||||||||||||
90 Day Eurodollar | 16 | CME | 3,885,558 USD | 12/14/20 | 12,158 | |||||||||||||||
90 Day Eurodollar | 10 | CME | 2,427,986 USD | 06/14/21 | 6,236 | |||||||||||||||
90 Day Eurodollar | 3 | CME | 727,042 USD | 12/13/21 | 480 | |||||||||||||||
90 Day Eurodollar | 11 | CME | 2,669,696 USD | 09/13/21 | 5,496 | |||||||||||||||
90 Day Eurodollar | 1 | CME | 242,571 USD | 09/19/22 | 359 | |||||||||||||||
90 Day Eurodollar | 1 | CME | 242,609 USD | 06/13/22 | 396 | |||||||||||||||
90 Day Eurodollar | 2 | CME | 485,045 USD | 12/19/22 | 670 | |||||||||||||||
90 Day Eurodollar | 1 | CME | 242,085 USD | 03/14/22 | (128 | ) | ||||||||||||||
90 Day Sterling | 4 | ICE | 495,635 GBP | 12/19/18 | (85 | ) | ||||||||||||||
90 Day Sterling | 3 | ICE | 371,560 GBP | 03/20/19 | 209 | |||||||||||||||
90 Day Sterling | 3 | ICE | 371,348 GBP | 06/19/19 | 372 | |||||||||||||||
90 Day Sterling | 3 | ICE | 371,148 GBP | 09/18/19 | 551 | |||||||||||||||
90 Day Sterling | 4 | ICE | 494,547 GBP | 12/18/19 | 843 | |||||||||||||||
90 Day Sterling | 3 | ICE | 370,798 GBP | 03/18/20 | 779 | |||||||||||||||
90 Day Sterling | 3 | ICE | 370,660 GBP | 06/17/20 | 893 | |||||||||||||||
90 Day Sterling | 3 | ICE | 370,535 GBP | 09/16/20 | 1,024 | |||||||||||||||
Aluminum | 123 | LME | 6,323,999 USD | 10/15/18 | 1,799 | |||||||||||||||
Aluminum | 140 | LME | 7,270,952 USD | 12/17/18 | 6,702 | |||||||||||||||
Aluminum | 215 | LME | 11,327,927 USD | 11/19/18 | 207,052 | |||||||||||||||
Australian 10-Year Bond | 2,666 | SFE | 345,745,787 AUD | 12/17/18 | 1,607,316 | |||||||||||||||
British Pound Currency | 448 | CME | 36,847,243 USD | 12/17/18 | 206,443 | |||||||||||||||
CAC40 Index | 13 | Euronext | 691,973 EUR | 10/19/18 | (25,150 | ) | ||||||||||||||
Canadian 10-Year Bond | 400 | CDE | 53,748,709 CAD | 12/18/18 | 542,492 | |||||||||||||||
Canadian Dollar Currency | 550 | CME | 42,404,865 USD | 12/18/18 | (222,885 | ) | ||||||||||||||
Cattle Feeder | 65 | CME | 4,935,362 USD | 01/31/19 | (90,763 | ) | ||||||||||||||
Coffee | 253 | ICE | 10,751,668 USD | 03/19/19 | 709,149 | |||||||||||||||
Copper | 30 | LME | 4,660,579 USD | 12/17/18 | (36,297 | ) | ||||||||||||||
Copper | 192 | LME | 28,865,953 USD | 11/19/18 | (1,189,247 | ) | ||||||||||||||
Copper | 139 | LME | 21,436,128 USD | 10/15/18 | (319,109 | ) | ||||||||||||||
DAX Index | 39 | Eurex | 11,877,156 EUR | 12/21/18 | (67,697 | ) | ||||||||||||||
Euro BUXL 30-Year Bond | 22 | Eurex | 3,879,893 EUR | 12/06/18 | 52,076 | |||||||||||||||
Euro FX Currency | 1,699 | CME | 248,736,956 USD | 12/17/18 | 640,481 | |||||||||||||||
Euro Stoxx 50 | 8,735 | Eurex | 291,319,598 EUR | 12/21/18 | (5,265,192 | ) | ||||||||||||||
Euro-BOBL | 194 | Eurex | 25,530,218 EUR | 12/06/18 | 202,508 | |||||||||||||||
Euro-BTP | 16 | Eurex | 1,960,300 EUR | 12/06/18 | (24,544 | ) | ||||||||||||||
Euro-Bund | 55 | Eurex | 8,825,758 EUR | 12/06/18 | 107,175 | |||||||||||||||
Euro-Oat | 51 | Eurex | 7,776,942 EUR | 12/06/18 | 85,212 | |||||||||||||||
FTSE 100 Index | 509 | ICE | 37,520,434 GBP | 12/21/18 | (763,599 | ) | ||||||||||||||
Gold 100 Oz | 218 | COMEX | 26,501,684 USD | 02/26/19 | 300,264 | |||||||||||||||
Hang Seng Index | 93 | HKFE | 127,816,423 HKD | 10/30/18 | (231,419 | ) | ||||||||||||||
Japan 10-Year Bond | 64 | OSE | 9,619,691,216 JPY | 12/13/18 | 122,612 |
See Notes to Consolidated Financial Statements.
118
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Description | Contracts | Exchange | Notional Amount | Expiration Date | Value/ Unrealized Appreciaton (Depreciation) | |||||||||||||||
Japanese Yen Currency | 452 | CME | 50,417,715 USD | 12/17/18 | $ | 392,615 | ||||||||||||||
KC HRW Wheat | 128 | CBOT | 3,926,876 USD | 03/14/19 | 501,276 | |||||||||||||||
Lead | 395 | LME | 19,984,725 USD | 12/17/18 | (118,306 | ) | ||||||||||||||
Lead | 300 | LME | 16,712,606 USD | 10/15/18 | 1,519,481 | |||||||||||||||
Lead | 556 | LME | 28,811,950 USD | 11/19/18 | 535,875 | |||||||||||||||
Lean Hogs | 819 | CME | 21,425,635 USD | 02/14/19 | (146,825 | ) | ||||||||||||||
Long Gilt | 223 | ICE | 27,239,766 GBP | 12/27/18 | 352,109 | |||||||||||||||
Mexican Peso Currency | 116 | CME | 3,010,145 USD | 12/17/18 | (51,675 | ) | ||||||||||||||
Nasdaq 100 E-Mini | 6 | CME | 895,755 USD | 12/21/18 | (22,875 | ) | ||||||||||||||
Natural Gas | 597 | NYMEX | 15,897,156 USD | 03/27/19 | 100,535 | |||||||||||||||
Nickel | 60 | LME | 5,004,710 USD | 12/17/18 | 471,590 | |||||||||||||||
Nickel | 132 | LME | 10,941,674 USD | 10/15/18 | 1,021,874 | |||||||||||||||
Nickel | 153 | LME | 12,172,063 USD | 11/19/18 | 641,065 | |||||||||||||||
Nikkei 225 | 23 | SGX | 260,235,449 JPY | 12/13/18 | (153,424 | ) | ||||||||||||||
Palladium | 104 | NYMEX | 9,447,719 USD | 03/27/19 | (1,637,641 | ) | ||||||||||||||
S&P 500 | 67 | CME | 48,764,901 USD | 12/20/18 | (128,349 | ) | ||||||||||||||
S&P 500 E-mini | 3,267 | CME | 475,300,186 USD | 12/21/18 | (1,518,464 | ) | ||||||||||||||
S&P/TSX 60 Index | 527 | CDE | 100,023,653 CAD | 12/20/18 | (106,814 | ) | ||||||||||||||
Soybean | 9 | CBOT | 390,318 USD | 01/14/19 | 3,543 | |||||||||||||||
Soybean Oil | 817 | CBOT | 14,097,063 USD | 01/14/19 | (231,483 | ) | ||||||||||||||
SPI 200 | 129 | SFE | 19,920,195 AUD | 12/20/18 | (40,085 | ) | ||||||||||||||
Sugar 11 | 540 | ICE | 7,277,538 USD | 04/30/19 | 449,346 | |||||||||||||||
Swedish Krona Currency | 336 | CME | 74,825,887 USD | 12/17/18 | (1,217,633 | ) | ||||||||||||||
Swiss Franc Currency | 3,354 | CME | 435,206,920 USD | 12/17/18 | 4,050,220 | |||||||||||||||
Swiss Market Index | 773 | Eurex | 68,749,422 CHF | 12/21/18 | (1,355,979 | ) | ||||||||||||||
U.S. Treasury 10-Year Note | 1,372 | CBOT | 164,701,744 USD | 12/19/18 | 1,733,869 | |||||||||||||||
WTI Crude | 1,223 | NYMEX | 83,374,669 USD | 10/22/18 | (6,210,081 | ) | ||||||||||||||
Zinc | 219 | LME | 13,311,435 USD | 12/17/18 | (1,044,015 | ) | ||||||||||||||
Zinc | 212 | LME | 13,662,993 USD | 10/15/18 | (379,357 | ) | ||||||||||||||
Zinc | 284 | LME | 17,910,412 USD | 11/19/18 | (876,188 | ) | ||||||||||||||
|
| |||||||||||||||||||
$ | (6,323,678 | ) | ||||||||||||||||||
|
| |||||||||||||||||||
Total Futures Contracts Outstanding |
| $ | 12,964,541 | |||||||||||||||||
|
|
Forward Foreign Currency Exchange Contracts Outstanding at September 30, 2018
Currency | Amount in | Currency | Amount in | Counterparty | Settlement | Unrealized | ||||||||||||||||
BRL | 29,321,253 | USD | 7,302,712 | Barclays Bank plc | 10/02/18 | $ | (42,370 | ) | ||||||||||||||
CHF | 28,736,448 | USD | 30,022,921 | Morgan Stanley & Co. LLC | 12/19/18 | (524,159 | ) | |||||||||||||||
CZK | 133,354,577 | USD | 6,037,931 | State Street Bank and Trust Company | 12/17/18 | (2,427 | ) | |||||||||||||||
EUR | 6,000,000 | GBP | 5,377,337 | State Street Bank and Trust Company | 10/25/18 | (37,113 | ) | |||||||||||||||
EUR | 4,000,000 | JPY | 531,522,080 | State Street Bank and Trust Company | 10/25/18 | (33,424 | ) | |||||||||||||||
EUR | 1,202,500 | USD | 1,400,672 | Morgan Stanley & Co. LLC | 12/19/18 | 4,642 | ||||||||||||||||
EUR | 2,061,804 | USD | 2,426,012 | Barclays Bank plc | 12/19/18 | (16,537 | ) |
See Notes to Consolidated Financial Statements.
119
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Currency | Amount in | Currency | Amount in | Counterparty | Settlement | Unrealized | ||||||||||||||||
EUR | 652,091 | USD | 771,170 | JPMorgan Chase Bank, N.A. | 12/19/18 | $ | (9,120 | ) | ||||||||||||||
EUR | 479,865 | USD | 569,384 | Citibank, N.A. | 12/19/18 | (8,601 | ) | |||||||||||||||
EUR | 30,000,000 | USD | 35,425,941 | State Street Bank and Trust Company | 10/25/18 | (532,354 | ) | |||||||||||||||
GBP | 784,231 | USD | 1,019,873 | Morgan Stanley & Co. LLC | 12/19/18 | 6,130 | ||||||||||||||||
HKD | 1,700,000 | USD | 217,011 | State Street Bank and Trust Company | 12/17/18 | 394 | ||||||||||||||||
INR | 708,994,775 | USD | 9,694,864 | Barclays Bank plc | 12/19/18 | (35,578 | ) | |||||||||||||||
MXN | 172,740,457 | USD | 8,809,468 | Barclays Bank plc | 12/19/18 | 311,344 | ||||||||||||||||
NOK | 107,900,000 | USD | 13,158,537 | State Street Bank and Trust Company | 12/17/18 | 144,442 | ||||||||||||||||
PLN | 20,500,000 | USD | 5,566,870 | State Street Bank and Trust Company | 12/17/18 | 4,292 | ||||||||||||||||
RUB | 286,752,873 | USD | 4,057,632 | Barclays Bank plc | 12/19/18 | 285,302 | ||||||||||||||||
THB | 175,400,000 | USD | 5,399,415 | State Street Bank and Trust Company | 12/17/18 | 37,704 | ||||||||||||||||
TRY | 24,184,532 | USD | 3,599,960 | Barclays Bank plc | 12/19/18 | 211,245 | ||||||||||||||||
ZAR | 8,281,701 | USD | 544,719 | Barclays Bank plc | 12/19/18 | 34,943 | ||||||||||||||||
USD | 7,252,237 | BRL | 29,321,253 | Barclays Bank plc | 10/02/18 | (8,104 | ) | |||||||||||||||
USD | 3,604,941 | BRL | 14,553,145 | Barclays Bank plc | 11/05/18 | 9,219 | ||||||||||||||||
USD | 650,404 | CAD | 850,000 | State Street Bank and Trust Company | 10/09/18 | (7,791 | ) | |||||||||||||||
USD | 28,821,877 | CHF | 27,707,207 | Morgan Stanley & Co. LLC | 12/19/18 | 379,659 | ||||||||||||||||
USD | 7,740,073 | CNH | 53,466,873 | Morgan Stanley & Co. International plc | 12/19/18 | (8,953 | ) | |||||||||||||||
USD | 62,947,634 | EUR | 53,870,000 | State Street Bank and Trust Company | 10/04/18 | 321,988 | ||||||||||||||||
USD | 73,124,736 | EUR | 62,660,571 | State Street Bank and Trust Company | 12/17/18 | (86,683 | ) | |||||||||||||||
USD | 14,026,823 | EUR | 11,935,962 | Morgan Stanley & Co. LLC | 12/19/18 | 77,739 | ||||||||||||||||
USD | 21,598,502 | EUR | 18,500,911 | Barclays Bank plc | 12/19/18 | (22,112 | ) | |||||||||||||||
USD | 995,904 | EUR | 840,000 | State Street Bank and Trust Company | 12/27/18 | 13,404 | ||||||||||||||||
USD | 41,942,867 | GBP | 32,135,942 | State Street Bank and Trust Company | 12/17/18 | (94,344 | ) | |||||||||||||||
USD | 1,919,660 | GBP | 1,460,042 | Morgan Stanley & Co. LLC | 12/19/18 | 9,498 | ||||||||||||||||
USD | 4,990,239 | HKD | 39,110,000 | State Street Bank and Trust Company | 12/17/18 | (11,355 | ) | |||||||||||||||
USD | 5,180,596 | HUF | 1,430,000,000 | State Street Bank and Trust Company | 12/17/18 | 13,610 | ||||||||||||||||
USD | 14,212,557 | INR | 1,044,978,281 | Morgan Stanley & Co. International plc | 12/19/18 | (24,141 | ) | |||||||||||||||
USD | 27,306,985 | JPY | 3,000,000,000 | State Street Bank and Trust Company | 10/16/18 | 876,090 | ||||||||||||||||
USD | 7,329,796 | JPY | 815,000,000 | State Street Bank and Trust Company | 12/17/18 | 113,681 | ||||||||||||||||
USD | 177,573 | KRW | 200,000,000 | State Street Bank and Trust Company | 12/17/18 | (3,264 | ) | |||||||||||||||
USD | 15,865,335 | MXN | 303,908,423 | State Street Bank and Trust Company | 12/17/18 | (185,985 | ) | |||||||||||||||
USD | 9,053,893 | MXN | 172,740,457 | Barclays Bank plc | 12/19/18 | (66,919 | ) | |||||||||||||||
USD | 120,106 | MYR | 500,000 | State Street Bank and Trust Company | 12/17/18 | (565 | ) | |||||||||||||||
USD | 352,074 | NOK | 2,900,000 | State Street Bank and Trust Company | 12/17/18 | (5,467 | ) | |||||||||||||||
USD | 38,748,890 | SEK | 345,097,615 | State Street Bank and Trust Company | 12/17/18 | (339,825 | ) | |||||||||||||||
USD | 2,428,071 | SGD | 3,325,000 | State Street Bank and Trust Company | 12/17/18 | (8,249 | ) | |||||||||||||||
USD | 3,694,856 | TRY | 24,184,532 | Barclays Bank plc | 12/19/18 | (116,349 | ) | |||||||||||||||
USD | 12,949,014 | ZAR | 199,352,655 | Morgan Stanley & Co. International plc | 12/19/18 | (1,004,302 | ) | |||||||||||||||
USD | 5,977,658 | ZAR | 91,290,491 | Barclays Bank plc | 12/19/18 | (412,050 | ) | |||||||||||||||
USD | 14,673,874 | ZAR | 225,860,261 | Bank of America, N.A. | 12/19/18 | (1,134,793 | ) | |||||||||||||||
|
| |||||||||||||||||||||
Total Forward Foreign Currency Exchange Contracts Outstanding | $ | (1,927,608 | ) | |||||||||||||||||||
|
|
See Notes to Consolidated Financial Statements.
120
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Centrally Cleared Credit Default Swaps on Single-Name Issuer (Buy Protection) — Outstanding at September 30, 2018
Reference | Financing Fee | Payment Frequency | Maturity | Counterparty | Notional Amount | Market Value | Upfront Premium Paid (Received) | Unrealized Appreciation (Depreciation) | ||||||||||||||||||||
Allstate Corp. | (1.00 | )% | 3M | 6/20/2023 | Goldman Sachs International | 3,050,000 USD | $ | (92,552 | ) | $ | (102,316 | ) | $ | 9,764 | ||||||||||||||
Altria Group, Inc. | (1.00 | )% | 3M | 6/20/2023 | Goldman Sachs International | 15,825,000 USD | (452,927 | ) | (390,095 | ) | (62,832 | ) | ||||||||||||||||
Apache Corp. | (1.00 | )% | 3M | 6/20/2023 | Goldman Sachs International | 1,750,000 USD | (21,646 | ) | (14,116 | ) | (7,530 | ) | ||||||||||||||||
Bristol Myers Squibb Co. | (1.00 | )% | 3M | 12/20/2023 | Goldman Sachs International | 2,875,000 USD | (93,729 | ) | (93,303 | ) | (426 | ) | ||||||||||||||||
Cardinal Health, Inc | (1.00 | )% | 3M | 6/20/2023 | Goldman Sachs International | 15,725,000 USD | (139,312 | ) | (34,127 | ) | (105,185 | ) | ||||||||||||||||
CBS Corp. | (1.00 | )% | 3M | 6/20/2023 | Goldman Sachs International | 5,525,000 USD | (84,993 | ) | (54,614 | ) | (30,379 | ) | ||||||||||||||||
Comcast Corp. | (1.00 | )% | 3M | 6/20/2023 | Goldman Sachs International | 15,825,000 USD | (376,081 | ) | (362,490 | ) | (13,591 | ) | ||||||||||||||||
Duke Energy Carolinas LLC | (1.00 | )% | 3M | 6/20/2023 | Goldman Sachs International | 8,650,000 USD | (277,923 | ) | (279,977 | ) | 2,054 | |||||||||||||||||
Duke Energy Carolinas LLC | (1.00 | )% | 3M | 12/20/2023 | Goldman Sachs International | 2,875,000 USD | (95,687 | ) | (96,170 | ) | 483 | |||||||||||||||||
Ford Motor Co. | (5.00 | )% | 3M | 12/20/2023 | Goldman Sachs International | 1,625,000 USD | (246,398 | ) | (248,212 | ) | 1,814 | |||||||||||||||||
General Electric Co. | (1.00 | )% | 3M | 6/20/2023 | Goldman Sachs International | 15,800,000 USD | (215,386 | ) | (91,459 | ) | (123,927 | ) | ||||||||||||||||
Halliburton Co. | (1.00 | )% | 3M | 6/20/2023 | Goldman Sachs International | 3,150,000 USD | (68,484 | ) | (71,247 | ) | 2,763 | |||||||||||||||||
IBM Corp. | (1.00 | )% | 3M | 6/20/2023 | Goldman Sachs International | 6,200,000 USD | (189,376 | ) | (187,439 | ) | (1,937 | ) | ||||||||||||||||
Johnson & Johnson | (1.00 | )% | 3M | 6/20/2023 | Goldman Sachs International | 15,825,000 USD | (591,131 | ) | (610,682 | ) | 19,551 | |||||||||||||||||
Kinder Morgan, Inc. | (1.00 | )% | 3M | 6/20/2023 | Goldman Sachs International | 1,575,000 USD | (26,846 | ) | (16,211 | ) | (10,635 | ) | ||||||||||||||||
Loews Corp. | (1.00 | )% | 3M | 6/20/2023 | Goldman Sachs International | 3,050,000 USD | (100,621 | ) | (103,779 | ) | 3,158 |
See Notes to Consolidated Financial Statements.
121
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Reference | Financing Fee | Payment Frequency | Maturity | Counterparty | Notional Amount | Market Value | Upfront Premium Paid (Received) | Unrealized Appreciation (Depreciation) | ||||||||||||||||||||
McKesson Corp. | (1.00 | )% | 3M | 6/20/2023 | Goldman Sachs International | 12,600,000 USD | $ | (159,231 | ) | $ | (94,776 | ) | $ | (64,455 | ) | |||||||||||||
Newell Brands, Inc. | (1.00 | )% | 3M | 6/20/2023 | Goldman Sachs International | 12,800,000 USD | 239,230 | 192,141 | 47,089 | |||||||||||||||||||
Newell Brands, Inc. | (1.00 | )% | 3M | 6/20/2023 | Goldman Sachs International | 3,050,000 USD | 57,004 | 47,827 | 9,177 | |||||||||||||||||||
Newmont Mining Corp. | (1.00 | )% | 3M | 6/20/2023 | Goldman Sachs International | 6,325,000 USD | (68,165 | ) | (40,551 | ) | (27,614 | ) | ||||||||||||||||
Newmont Mining Corp. | (1.00 | )% | 3M | 12/20/2023 | Goldman Sachs International | 3,150,000 USD | (20,014 | ) | (13,358 | ) | (6,656 | ) | ||||||||||||||||
Petroleos Mexicanos | (1.00 | )% | 3M | 6/20/2023 | Credit Suisse Securities (USA) LLC | 835,000 USD | 36,909 | 51,917 | (15,008 | ) | ||||||||||||||||||
Pitney Bowes, Inc. | (1.00 | )% | 3M | 6/20/2023 | Goldman Sachs International | 9,350,000 USD | 1,195,566 | 1,269,174 | (73,608 | ) | ||||||||||||||||||
Pitney Bowes, Inc. | (1.00 | )% | 3M | 6/20/2023 | Goldman Sachs International | 3,050,000 USD | 389,997 | 416,012 | (26,015 | ) | ||||||||||||||||||
Pitney Bowes, Inc. | (1.00 | )% | 3M | 6/20/2023 | Goldman Sachs International | 700,000 USD | 89,505 | 91,275 | (1,770 | ) | ||||||||||||||||||
Procter & Gamble Co. | (1.00 | )% | 3M | 6/20/2023 | Goldman Sachs International | 15,825,000 USD | (535,154 | ) | (479,827 | ) | (55,327 | ) | ||||||||||||||||
Repubic of Turkey | (1.00 | )% | 3M | 12/20/2022 | Credit Suisse Securities (USA) LLC | 2,816,000 USD | 265,126 | 87,706 | 177,420 | |||||||||||||||||||
Republic of Argentina | (5.00 | )% | 3M | 6/20/2023 | Credit Suisse Securities (USA) LLC | 1,700,000 USD | 46,015 | (13,702 | ) | 59,717 | ||||||||||||||||||
Republic of Argentina | (5.00 | )% | 3M | 6/20/2023 | Credit Suisse Securities (USA) LLC | 1,700,000 USD | 46,015 | (38,091 | ) | 84,106 | ||||||||||||||||||
Republic of Argentina | (5.00 | )% | 3M | 6/20/2023 | Credit Suisse Securities (USA) LLC | 1,700,000 USD | 46,015 | (31,068 | ) | 77,083 | ||||||||||||||||||
Republic of Argentina | (5.00 | )% | 3M | 6/20/2023 | Credit Suisse Securities (USA) LLC | 1,700,000 USD | 46,015 | (38,091 | ) | 84,106 | ||||||||||||||||||
Republic of Argentina | (5.00 | )% | 3M | 6/20/2023 | Credit Suisse Securities (USA) LLC | 900,000 USD | 24,361 | (9,081 | ) | 33,442 | ||||||||||||||||||
Republic of Argentina | (5.00 | )% | 3M | 6/20/2023 | Credit Suisse Securities (USA) LLC | 3,500,000 USD | 94,737 | (41,018 | ) | 135,755 | ||||||||||||||||||
Republic of Korea | (1.00 | )% | 3M | 12/20/2021 | Credit Suisse Securities (USA) LLC | 8,195,477 USD | (197,372 | ) | (237,533 | ) | 40,161 |
See Notes to Consolidated Financial Statements.
122
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Reference | Financing Fee | Payment Frequency | Maturity | Counterparty | Notional Amount | Market Value | Upfront Premium Paid (Received) | Unrealized Appreciation (Depreciation) | ||||||||||||||||||||
Republic of Korea | | (1.00 | )% | 3M | 12/20/2022 | Credit Suisse Securities (USA) LLC | 5,584,690 USD | $ | (156,863 | ) | $ | (132,544 | ) | $ | (24,319 | ) | ||||||||||||
Republic of South Africa | (1.00 | )% | 3M | 12/20/2021 | Credit Suisse Securities (USA) LLC | 11,030,000 USD | 173,667 | 519,200 | (345,533 | ) | ||||||||||||||||||
Republic of South Africa | (1.00 | )% | 3M | 6/20/2022 | Credit Suisse Securities (USA) LLC | 6,191,000 USD | 134,760 | 321,382 | (186,622 | ) | ||||||||||||||||||
Republic of South Africa | (1.00 | )% | 3M | 12/20/2022 | Credit Suisse Securities (USA) LLC | 5,580,000 USD | 160,832 | 157,663 | 3,169 | |||||||||||||||||||
Republic of Turkey | (1.00 | )% | 3M | 12/20/2021 | Credit Suisse Securities (USA) LLC | 1,713,000 USD | 119,326 | 104,759 | 14,567 | |||||||||||||||||||
Republic of Turkey | (1.00 | )% | 3M | 9/20/2020 | Credit Suisse Securities (USA) LLC | 4,178,000 USD | 168,674 | 333,473 | (164,799 | ) | ||||||||||||||||||
Republic of Turkey | (1.00 | )% | 3M | 12/20/2020 | Credit Suisse Securities (USA) LLC | 7,217,000 USD | 333,671 | 508,322 | (174,651 | ) | ||||||||||||||||||
Republic of Turkey | (1.00 | )% | 3M | 6/20/2021 | Credit Suisse Securities (USA) LLC | 4,143,000 USD | 239,619 | 271,473 | (31,854 | ) | ||||||||||||||||||
Republic of Turkey | (1.00 | )% | 3M | 6/20/2022 | Credit Suisse Securities (USA) LLC | 1,521,000 USD | 124,389 | 81,500 | 42,889 | |||||||||||||||||||
Republic of Turkey | (1.00 | )% | 3M | 6/20/2023 | Credit Suisse Securities (USA) LLC | 2,241,000 USD | 237,914 | 326,932 | (89,018 | ) | ||||||||||||||||||
United Mexican States | (1.00 | )% | 3M | 6/20/2023 | Credit Suisse Securities (USA) LLC | 11,374,000 USD | 6,233 | 21,587 | (15,354 | ) | ||||||||||||||||||
Whirlpool Corp. | (1.00 | )% | 3M | 6/20/2023 | Goldman Sachs International | 12,625,000 USD | 3,035 | (14,291 | ) | 17,326 | ||||||||||||||||||
Xerox Corp. | (1.00 | )% | 3M | 6/20/2023 | Goldman Sachs International | 12,675,000 USD | 394,002 | 620,587 | (226,585 | ) | ||||||||||||||||||
XLIT Ltd. | (1.00 | )% | 3M | 6/20/2023 | Goldman Sachs International | 3,050,000 USD | (107,636 | ) | (109,645 | ) | 2,009 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||
Total Centrally Cleared Credit Default Swaps on Single-Name Issuer (Buy Protection) |
| $ | 355,090 | $ | 1,373,117 | $ | (1,018,027 | ) | ||||||||||||||||||||
|
|
|
|
|
|
See Notes to Consolidated Financial Statements.
123
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Centrally Cleared Credit Default Swaps on Single-Name Issuer (Sell Protection) — Outstanding at September 30, 2018
Reference | Financing | Payment | Maturity | Counterparty | Rating(1) | Notional Amount(2) | Market Value | Upfront Premium Paid (Received) | Unrealized | |||||||||||||||||||||
21st Century Fox America | 1.00% | 3M | 06/20/23 | Goldman��Sachs International | BBB+ | 15,800,000 USD | $ | 486,830 | $ | 477,567 | $ | 9,263 | ||||||||||||||||||
21st Century Fox America | 1.00% | 3M | 12/20/23 | Goldman Sachs International | BBB+ | 1,350,000 USD | 42,529 | 43,011 | (482 | ) | ||||||||||||||||||||
Anadarko Petroleum Corp. | 1.00% | 3M | 06/20/23 | Goldman Sachs International | BBB | 12,800,000 USD | 159,040 | 122,253 | 36,787 | |||||||||||||||||||||
Anadarko Petroleum Corp. | 1.00% | 3M | 06/20/23 | Goldman Sachs International | BBB | 3,050,000 USD | 37,896 | 29,357 | 8,539 | |||||||||||||||||||||
Andeavor | 5.00% | 3M | 06/20/23 | Goldman Sachs International | BBB | 12,800,000 USD | 2,631,462 | 2,771,276 | (139,814 | ) | ||||||||||||||||||||
Andeavor | 5.00% | 3M | 06/20/23 | Goldman Sachs International | BBB | 3,050,000 USD | 627,028 | 661,849 | (34,821 | ) | ||||||||||||||||||||
Avnet, Inc. | 1.00% | 3M | 06/20/23 | Goldman Sachs International | BBB- | 1,325,000 USD | 17,824 | 13,974 | 3,850 | |||||||||||||||||||||
Best Buy Co., Inc. | 5.00% | 3M | 06/20/23 | Goldman Sachs International | BBB | 15,850,000 USD | 2,975,179 | 3,023,830 | (48,651 | ) | ||||||||||||||||||||
Best Buy Co., Inc. | 5.00% | 3M | 12/20/23 | Goldman Sachs International | BBB | 1,275,000 USD | 254,347 | 254,560 | (213 | ) | ||||||||||||||||||||
ConocoPhillips | 1.00% | 3M | 06/20/23 | Goldman Sachs International | A- | 12,700,000 USD | 395,019 | 386,600 | 8,419 | |||||||||||||||||||||
ConocoPhillips | 1.00% | 3M | 06/20/23 | Goldman Sachs International | A- | 3,050,000 USD | 94,867 | 91,056 | 3,811 | |||||||||||||||||||||
Devon Energy Corporation | 1.00% | 3M | 06/20/23 | Goldman Sachs International | BBB | 15,825,000 USD | 316,340 | 280,007 | 36,333 | |||||||||||||||||||||
Domtar Corp. | 1.00% | 3M | 06/20/23 | Goldman Sachs International | BBB- | 14,150,000 USD | 231,437 | 154,142 | 77,295 | |||||||||||||||||||||
General Motors Co. | 5.00% | 3M | 06/20/23 | Goldman Sachs International | BBB | 15,525,000 USD | 2,548,857 | 2,649,509 | (100,652 | ) | ||||||||||||||||||||
Hess Corp. | 1.00% | 3M | 06/20/23 | Goldman Sachs International | BBB- | 12,750,000 USD | 99,302 | 23,189 | 76,113 | |||||||||||||||||||||
Hess Corp. | 1.00% | 3M | 06/20/23 | Goldman Sachs International | BBB- | 3,050,000 USD | 23,755 | 2,774 | 20,981 | |||||||||||||||||||||
Kohl’s Corp. | 1.00% | 3M | 06/20/23 | Goldman Sachs International | BBB- | 12,700,000 USD | (14,375 | ) | (86,272 | ) | 71,897 | |||||||||||||||||||
Kohl’s Corp. | 1.00% | 3M | 06/20/23 | Goldman Sachs International | BBB- | 3,050,000 USD | (3,452 | ) | (19,979 | ) | 16,527 | |||||||||||||||||||
Kohl’s Corp. | 1.00% | 3M | 12/20/23 | Goldman Sachs International | BBB- | 1,300,000 USD | (11,888 | ) | (11,201 | ) | (687 | ) | ||||||||||||||||||
Kroger Co. | 1.00% | 3M | 06/20/23 | Goldman Sachs International | BBB | 15,725,000 USD | 193,968 | 165,564 | 28,404 | |||||||||||||||||||||
Macy’s, Inc. | 1.00% | 3M | 06/20/23 | Goldman Sachs International | BBB- | 10,250,000 USD | (144,095 | ) | (263,915 | ) | 119,820 | |||||||||||||||||||
Motorola Solutions, Inc. | 1.00% | 3M | 06/20/23 | Goldman Sachs International | BBB- | 6,675,000 USD | 117,824 | 112,851 | 4,973 | |||||||||||||||||||||
Nordstrom, Inc. | 1.00% | 3M | 06/20/23 | Goldman Sachs International | BBB+ | 15,750,000 USD | (38,068 | ) | (480,267 | ) | 442,199 |
See Notes to Consolidated Financial Statements.
124
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Reference | Financing | Payment | Maturity | Counterparty | Rating(1) | Notional Amount(2) | Market Value | Upfront Premium Paid (Received) | Unrealized | |||||||||||||||||||||
Nordstrom, Inc. | 1.00% | 3M | 12/20/23 | Goldman Sachs International | BBB+ | 1,300,000 USD | $ | (15,608 | ) | $ | (13,001 | ) | $ | (2,607 | ) | |||||||||||||||
Republic of Argentina | 5.00% | 3M | 06/20/19 | Credit Suisse Securities (USA) LLC | B+ | 3,340,000 USD | 30,350 | (51,836 | ) | 82,186 | ||||||||||||||||||||
Republic of Argentina | 5.00% | 3M | 06/20/19 | Credit Suisse Securities (USA) LLC | B+ | 830,000 USD | 7,542 | (15,107 | ) | 22,649 | ||||||||||||||||||||
Republic of Argentina | 5.00% | 3M | 06/20/19 | Credit Suisse Securities (USA) LLC | B+ | 7,830,000 USD | 71,150 | (200,447 | ) | 271,597 | ||||||||||||||||||||
Republic of Argentina | 5.00% | 3M | 06/20/19 | Credit Suisse Securities (USA) LLC | B+ | 6,260,000 USD | 56,884 | (168,121 | ) | 225,005 | ||||||||||||||||||||
Russian Federation | 1.00% | 3M | 09/20/20 | Credit Suisse Securities (USA) LLC | BBB- | 6,551,141 USD | 10,541 | (750,762 | ) | 761,303 | ||||||||||||||||||||
Russian Federation | 1.00% | 3M | 06/20/21 | Credit Suisse Securities (USA) LLC | BBB- | 6,915,000 USD | 1,010 | (506,582 | ) | 507,592 | ||||||||||||||||||||
Russian Federation | 1.00% | 3M | 12/20/21 | Credit Suisse Securities (USA) LLC | BBB- | 1,814,000 USD | (4,045 | ) | (67,363 | ) | 63,318 | |||||||||||||||||||
Valero Energy Corp. | 1.00% | 3M | 06/20/23 | Goldman Sachs International | BBB | 15,700,000 USD | 416,950 | 405,532 | 11,418 | |||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||
Total Centrally Cleared Credit Default Swaps on Single-Name Issuer (Sell Protection) |
| $ | 11,616,400 | $ | 9,034,048 | $ | 2,582,352 | |||||||||||||||||||||||
|
|
|
|
|
|
Centrally Cleared Credit Default Swaps on Index (Buy Protection) — Outstanding at September 30, 2018
Reference | Financing | Payment | Maturity | Counterparty | Notional Amount | Market Value | Upfront Premium Paid (Received) | Unrealized Appreciation (Depreciation) | ||||||||||||||||||||
CDX.EM.29 | (1.00 | )% | 3M | 6/20/2023 | Credit Suisse Securities (USA) LLC | 3,900,000 USD | $ | 129,842 | $ | 109,200 | $ | 20,642 | ||||||||||||||||
CDX.EM.29 | (1.00 | )% | 3M | 6/20/2023 | Credit Suisse Securities (USA) LLC | 7,800,000 USD | 259,685 | 218,400 | 41,285 | |||||||||||||||||||
CDX.EM.29 | (1.00 | )% | 3M | 6/20/2023 | Credit Suisse Securities (USA) LLC | 3,900,000 USD | 129,842 | 106,860 | 22,982 | |||||||||||||||||||
CDX.EM.29 | (1.00 | )% | 3M | 6/20/2023 | Credit Suisse Securities (USA) LLC | 7,625,000 USD | 253,859 | 213,500 | 40,359 | |||||||||||||||||||
CDX.EM.29 | (1.00 | )% | 3M | 6/20/2023 | Credit Suisse Securities (USA) LLC | 3,050,000 USD | 101,543 | 85,705 | 15,838 |
See Notes to Consolidated Financial Statements.
125
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Reference | Financing | Payment | Maturity | Counterparty | Notional Amount | Market Value | Upfront Premium Paid (Received) | Unrealized Appreciation (Depreciation) | ||||||||||||||||||||
CDX.EM.29 | (1.00 | )% | 3M | 6/20/2023 | Credit Suisse Securities (USA) LLC | 6,100,000 USD | $ | 203,087 | $ | 170,800 | $ | 32,287 | ||||||||||||||||
CDX.EM.29 | (1.00 | )% | 3M | 6/20/2023 | Credit Suisse Securities (USA) LLC | 7,625,000 USD | 253,858 | 213,500 | 40,358 | |||||||||||||||||||
CDX.EM.29 | (1.00 | )% | 3M | 6/20/2023 | Credit Suisse Securities (USA) LLC | 1,525,000 USD | 50,772 | 41,938 | 8,834 | |||||||||||||||||||
CDX.EM.29 | (1.00 | )% | 3M | 6/20/2023 | Credit Suisse Securities (USA) LLC | 3,660,000 USD | 121,852 | 102,114 | 19,738 | |||||||||||||||||||
CDX.EM.29 | (1.00 | )% | 3M | 6/20/2023 | Credit Suisse Securities (USA) LLC | 1,525,000 USD | 50,772 | 46,818 | 3,954 | |||||||||||||||||||
CDX.EM.29 | (1.00 | )% | 3M | 6/20/2023 | Credit Suisse Securities (USA) LLC | 3,900,000 USD | 129,842 | 117,000 | 12,842 | |||||||||||||||||||
CDX.EM.29 | (1.00 | )% | 3M | 6/20/2023 | Credit Suisse Securities (USA) LLC | 3,900,000 USD | 129,842 | 119,340 | 10,502 | |||||||||||||||||||
CDX.EM.29 | (1.00 | )% | 3M | 6/20/2023 | Credit Suisse Securities (USA) LLC | 3,900,000 USD | 129,842 | 118,560 | 11,282 | |||||||||||||||||||
CDX.EM.29 | (1.00 | )% | 3M | 6/20/2023 | Credit Suisse Securities (USA) LLC | 1,065,000 USD | 35,457 | 48,457 | (13,000 | ) | ||||||||||||||||||
CDX.EM.29 | (1.00 | )% | 3M | 6/20/2023 | Credit Suisse Securities (USA) LLC | 2,130,000 USD | 70,914 | 96,915 | (26,001 | ) | ||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||
Total Centrally Cleared Credit Default Swaps on Index (Buy Protection) |
| $ | 2,051,009 | $ | 1,809,107 | $ | 241,902 | |||||||||||||||||||||
|
|
|
|
|
|
Centrally Cleared Credit Default Swaps on Index (Sell Protection) — Outstanding at September 30, 2018
Reference | Financing | Payment | Maturity | Counterparty | Rating(1) | Notional Amount(2) | Market Value | Upfront Premium Paid (Received) | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
CDX.EM.25 | 1.00% | 3M | 06/20/21 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | NR | 78,850,000 USD | $ | (276,606 | ) | $ | (4,922,898 | ) | $ | 4,646,292 | ||||||||||||||||
CDX.EM.26 | 1.00% | 3M | 12/20/21 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | NR | 17,460,000 USD | (217,621 | ) | (1,052,838 | ) | 835,217 | |||||||||||||||||||
CDX.EM.27 | 1.00% | 3M | 06/20/22 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | NR | 95,302,500 USD | (1,606,038 | ) | (4,165,598 | ) | 2,559,560 |
See Notes to Consolidated Financial Statements.
126
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Reference | Financing | Payment | Maturity | Counterparty | Rating(1) | Notional Amount(2) | Market Value | Upfront Premium Paid (Received) | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
CDX.EM.29 | 1.00% | 3M | 06/20/23 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | NR | 503,750,000 USD | $ | (17,126,996 | ) | $ | (12,736,725 | ) | $ | (4,390,271 | ) | |||||||||||||||
CDX.NA.HY.25 | 5.00% | 3M | 12/22/20 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | NR | 27,600,000 USD | 1,834,464 | 249,440 | 1,585,024 | |||||||||||||||||||||
CDX.NA.HY.26 | 5.00% | 3M | 06/20/21 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | NR | 47,040,000 USD | 3,495,589 | 1,275,352 | 2,220,237 | |||||||||||||||||||||
CDX.NA.HY.27 | 5.00% | 3M | 12/20/21 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | NR | 51,940,000 USD | 4,096,820 | 3,464,663 | 632,157 | |||||||||||||||||||||
CDX.NA.HY.28 | 5.00% | 3M | 06/20/22 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | NR | 101,970,000 USD | 8,393,967 | 7,618,522 | 775,445 | |||||||||||||||||||||
CDX.NA.HY.30 | 5.00% | 3M | 06/20/23 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | NR | 150,165,750 USD | 11,670,221 | 9,677,599 | 1,992,622 | |||||||||||||||||||||
iTraxx Europe Crossover | 5.00% | 3M | 06/20/23 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | NR | 123,000,000 EUR | 13,554,492 | 14,862,901 | (1,308,409 | ) | ||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||
Total Centrally Cleared Credit Default Swaps on Index (Sell Protection) |
| $ | 23,818,292 | $ | 14,270,418 | $ | 9,547,874 | |||||||||||||||||||||||
|
|
|
|
|
|
OTC Credit Default Swaps on Single-Name Issues (Buy Protection) — Outstanding at September 30, 2018
Reference | Financing | Payment | Maturity | Counterparty | Notional Amount | Market Value | Upfront Premium Paid (Received) | Unrealized Appreciation (Depreciation) | ||||||||||||||||||
Republic of South Africa | (1.00 | )% | 3M | 6/20/2022 | Morgan Stanley Capital Services LLC | 9,000,000 USD | $ | 199,689 | $ | 520,876 | $ | (321,187 | ) | |||||||||||||
Republic of South Africa | (1.00 | )% | 3M | 6/20/2022 | Morgan Stanley Capital Services LLC | 300,000 USD | 6,656 | 17,362 | (10,706 | ) | ||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||
Total OTC Credit Default Swaps on Single-Name Issuer (Buy Protection) |
| $ | 206,345 | $ | 538,238 | $ | (331,893 | ) | ||||||||||||||||||
|
|
|
|
|
|
OTC Credit Default Swaps on Index (Buy Protection) — Outstanding at September 30, 2018
Reference | Financing | Payment | Maturity Date | Counterparty | Notional Amount | Market Value | Upfront Premium Paid (Received) | Unrealized Appreciation (Depreciation) | ||||||||||||||||||
CMBX.NA.AAA.6 | (0.50 | )% | 1M | 5/11/2063 | J.P. Morgan Securities LLC | 72,816,249 USD | $ | (736,837 | ) | $ | 1,337,131 | $ | (2,073,968 | ) | ||||||||||||
CMBX.NA.AAA.6 | (0.50 | )% | 1M | 5/11/2063 | Citigroup Global Markets, Inc. | 45,055,385 USD | (455,921 | ) | (339,152 | ) | (116,769 | ) | ||||||||||||||
CMBX.NA.AAA.8 | (0.50 | )% | 1M | 10/17/2057 | J.P. Morgan Securities LLC | 59,801,014 USD | (632,740 | ) | 2,371,495 | (3,004,235 | ) |
See Notes to Consolidated Financial Statements.
127
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Reference | Financing | Payment | Maturity Date | Counterparty | Notional Amount | Market Value | Upfront Premium Paid (Received) | Unrealized Appreciation (Depreciation) | ||||||||||||||||||
CMBX.NA.AAA.8 | (0.50 | )% | 1M | 10/17/2057 | Deutsche Bank AG | 948,891 USD | $ | (10,040 | ) | $ | 48,904 | $ | (58,944 | ) | ||||||||||||
CMBX.NA.AAA.8 | (0.50 | )% | 1M | 10/17/2057 | Citigroup Global Markets, Inc. | 15,691,831 USD | (166,031 | ) | (50,376 | ) | (115,655 | ) | ||||||||||||||
CMBX.NA.AAA.8 | (0.50 | )% | 1M | 10/17/2057 | Merrill Lynch Capital Services, Inc. | 30,353,610USD | (321,164 | ) | (216,024 | ) | (105,140 | ) | ||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||
Total OTC Credit Default Swaps on Index (Buy Protection) |
| $ | (2,322,733 | ) | $ | 3,151,978 | $ | (5,474,711 | ) | |||||||||||||||||
|
|
|
|
|
|
OTC Credit Default Swaps on Index (Sell Protection) — Outstanding at September 30, 2018
Reference | Financing | Payment | Maturity | Counterparty | Rating(1) | Notional Amount(2) | Market Value | Upfront Premium Paid (Received) | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
CMBX.NA.A.7 | 2.00% | 1M | 01/17/47 | Citigroup Global Markets, Inc. | A | 9,910,737 USD | $ | 12,923 | $ | (78,706 | ) | $ | 91,629 | |||||||||||||||||
CMBX.NA.A.8 | 2.00% | 1M | 10/17/57 | Credit Suisse International | A | 6,248,000 USD | (48,340 | ) | (844,810 | ) | 796,470 | |||||||||||||||||||
CMBX.NA.A.8 | 2.00% | 1M | 10/17/57 | Morgan Stanley Capital Services LLC | A | 2,800,000 USD | (21,663 | ) | (188,750 | ) | 167,087 | |||||||||||||||||||
CMBX.NA.A.8 | 2.00% | 1M | 10/17/57 | Credit Suisse International | A | 22,425,805 USD | (173,505 | ) | (546,066 | ) | 372,561 | |||||||||||||||||||
CMBX.NA.A.8 | 2.00% | 1M | 10/17/57 | Deutsche Bank AG | A | 6,748,418 USD | (52,212 | ) | (201,564 | ) | 149,352 | |||||||||||||||||||
CMBX.NA.A.8 | 2.00% | 1M | 10/17/57 | Morgan Stanley Capital Services LLC | A | 4,822,401 USD | (37,310 | ) | (144,037 | ) | 106,727 | |||||||||||||||||||
CMBX.NA.A.8 | 2.00% | 1M | 10/17/57 | Merrill Lynch Capital Services, Inc. | A | 13,099,078 USD | (101,346 | ) | (189,739 | ) | 88,393 | |||||||||||||||||||
CMBX.NA.A.9 | 2.00% | 1M | 09/17/58 | Morgan Stanley Capital Services LLC | A | 5,000,000 USD | (6,134 | ) | (417,706 | ) | 411,572 | |||||||||||||||||||
CMBX.NA.A.9 | 2.00% | 1M | 09/17/58 | Credit Suisse International | A | 8,000,000 USD | (9,814 | ) | (428,804 | ) | 418,990 | |||||||||||||||||||
CMBX.NA.A.9 | 2.00% | 1M | 09/17/58 | Credit Suisse International | A | 2,375,000 USD | (2,914 | ) | (72,637 | ) | 69,723 | |||||||||||||||||||
CMBX.NA.A.9 | 2.00% | 1M | 09/17/58 | Credit Suisse International | A | 2,375,000 USD | (2,914 | ) | (78,173 | ) | 75,259 | |||||||||||||||||||
CMBX.NA.A.9 | 2.00% | 1M | 09/17/58 | Credit Suisse International | A | 6,000,000 USD | (7,361 | ) | (184,803 | ) | 177,442 | |||||||||||||||||||
CMBX.NA.A.9 | 2.00% | 1M | 09/17/58 | Merrill Lynch Capital Services, Inc. | A | 4,957,443 USD | (6,082 | ) | (81,730 | ) | 75,648 | |||||||||||||||||||
CMBX.NA.A.9 | 2.00% | 1M | 09/17/58 | Morgan Stanley Capital Services LLC | A | 9,914,884 USD | (12,163 | ) | (109,377 | ) | 97,214 |
See Notes to Consolidated Financial Statements.
128
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Reference | Financing | Payment | Maturity | Counterparty | Rating(1) | Notional Amount(2) | Market Value | Upfront Premium Paid (Received) | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
CMBX.NA.A.9 | 2.00% | 1M | 09/17/58 | Goldman Sachs International | A | 2,830,164 USD | $ | (3,472 | ) | $ | (25,976 | ) | $ | 22,504 | ||||||||||||||||
CMBX.NA.AA.7 | 1.50% | 1M | 01/17/47 | Morgan Stanley Capital Services LLC | AA | 13,000,000 USD | 172,160 | (344,782 | ) | 516,942 | ||||||||||||||||||||
CMBX.NA.AA.9 | 1.50% | 1M | 09/17/58 | Morgan Stanley Capital Services LLC | AA | 2,375,000 USD | 35,017 | 2,275 | 32,742 | |||||||||||||||||||||
CMBX.NA.AA.9 | 1.50% | 1M | 09/17/58 | Morgan Stanley Capital Services LLC | AA | 2,375,000 USD | 35,017 | (5,099 | ) | 40,116 | ||||||||||||||||||||
CMBX.NA.AA.9 | 1.50% | 1M | 09/17/58 | Credit Suisse International | AA | 5,700,000 USD | 84,041 | (41,868 | ) | 125,909 | ||||||||||||||||||||
CMBX.NA.AAA.10 | 0.50% | 1M | 11/17/59 | Credit Suisse International | AAA | 11,000,000 USD | 46,742 | (312,871 | ) | 359,613 | ||||||||||||||||||||
CMBX.NA.AAA.10 | 0.50% | 1M | 11/17/59 | Credit Suisse International | AAA | 6,000,000 USD | 25,495 | (171,018 | ) | 196,513 | ||||||||||||||||||||
CMBX.NA.AAA.8 | 0.50% | 1M | 10/17/57 | Credit Suisse International | AAA | 13,700,000 USD | 144,956 | (738,194 | ) | 883,150 | ||||||||||||||||||||
CMBX.NA.AAA.9 | 0.50% | 1M | 09/17/58 | Morgan Stanley Capital Services LLC | AAA | 10,500,000 USD | 81,315 | (699,173 | ) | 780,488 | ||||||||||||||||||||
CMBX.NA.AJ.4 | 0.96% | 1M | 02/17/51 | J.P. Morgan Securities LLC | AA | 4,224,744 USD | (1,001,616 | ) | (589,789 | ) | (411,827 | ) | ||||||||||||||||||
CMBX.NA.AJ.4 | 0.96% | 1M | 02/17/51 | Credit Suisse International | AA | 435,762 USD | (103,312 | ) | (85,495 | ) | (17,817 | ) | ||||||||||||||||||
CMBX.NA.AJ.4 | 0.96% | 1M | 02/17/51 | Goldman Sachs International | AA | 6,710,943 USD | (1,591,053 | ) | (917,375 | ) | (673,678 | ) | ||||||||||||||||||
CMBX.NA.AJ.4 | 0.96% | 1M | 02/17/51 | Merrill Lynch Capital Services, Inc. | AA | 9,866,721 USD | (2,339,235 | ) | (1,349,297 | ) | (989,938 | ) | ||||||||||||||||||
CMBX.NA.AJ.4 | 0.96% | 1M | 02/17/51 | Morgan Stanley Capital Services LLC | AA | 7,002,693 USD | (1,660,222 | ) | (1,623,155 | ) | (37,067 | ) |
See Notes to Consolidated Financial Statements.
129
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Reference | Financing | Payment | Maturity | Counterparty | Rating(1) | Notional Amount(2) | Market Value | Upfront Premium Paid (Received) | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
CMBX.NA.BBB-.10 | 3.00% | 1M | 11/17/59 | Morgan Stanley Capital Services LLC | BBB- | 20,629,000 USD | $ | (1,042,539 | ) | $ | (2,097,325 | ) | $ | 1,054,786 | ||||||||||||||||
CMBX.NA.BBB-.10 | 3.00% | 1M | 11/17/59 | Credit Suisse International | BBB- | 18,347,000 USD | (927,213 | ) | (1,871,521 | ) | 944,308 | |||||||||||||||||||
CMBX.NA.BBB-.10 | 3.00% | 1M | 11/17/59 | JPMorgan Chase Bank, N.A. | BBB- | 17,920,000 USD | (905,633 | ) | (1,609,059 | ) | 703,426 | |||||||||||||||||||
CMBX.NA.BBB-.11 | 3.00% | 1M | 11/18/54 | Citigroup Global Markets, Inc. | BBB- | 4,928,000 USD | (267,681 | ) | (454,519 | ) | 186,838 | |||||||||||||||||||
CMBX.NA.BBB-.11 | 3.00% | 1M | 11/18/54 | Credit Suisse Securities (USA) LLC | BBB- | 7,939,000 USD | (431,234 | ) | (712,744 | ) | 281,510 | |||||||||||||||||||
CMBX.NA.BBB-.11 | 3.00% | 1M | 11/18/54 | JPMorgan Chase Bank, N.A. | BBB- | 10,951,000 USD | (594,841 | ) | (924,968 | ) | 330,127 | |||||||||||||||||||
CMBX.NA.BBB-.11 | 3.00% | 1M | 11/18/54 | Morgan Stanley Capital Services LLC | BBB- | 25,704,000 USD | (1,396,201 | ) | (2,208,856 | ) | 812,655 | |||||||||||||||||||
CMBX.NA.BBB-.11 | 3.00% | 1M | 11/18/54 | J.P. Morgan Securities LLC | BBB- | 7,500,000 USD | (407,388 | ) | (620,026 | ) | 212,638 | |||||||||||||||||||
CMBX.NA.BBB-.11 | 3.00% | 1M | 11/18/54 | J.P. Morgan Securities LLC | BBB- | 15,000,000 USD | (814,778 | ) | (1,111,728 | ) | 296,950 | |||||||||||||||||||
CMBX.NA.BBB-.8 | 3.00% | 1M | 10/17/57 | Credit Suisse International | BBB- | 13,006,000 USD | (949,474 | ) | (1,532,753 | ) | 583,279 | |||||||||||||||||||
CMBX.NA.BBB-.8 | 3.00% | 1M | 10/17/57 | Morgan Stanley Capital Services LLC | BBB- | 1,733,000 USD | (126,514 | ) | (264,648 | ) | 138,134 | |||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||
Total OTC Credit Default Swaps on Index (Sell Protection) |
| $ | (14,406,498 | ) | $ | (23,876,866 | ) | $ | 9,470,368 | |||||||||||||||||||||
|
|
|
|
|
|
(1) | Using the higher of the 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.
130
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
OTC Total Return Swaps Outstanding at September 30, 2018
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Buys | |||||||||||||||||||||||||||
1st Source Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 362,356 USD | $ | (11,276 | ) | ||||||||||||||||||
A. Schulman, Inc. | 07/23/20 | M | 1.93 | % | Morgan Stanley Capital Services LLC | — USD | — | ||||||||||||||||||||
A10 Networks, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 184,978 USD | — | ||||||||||||||||||||
AAC Holdings, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 330,163 USD | 10,257 | ||||||||||||||||||||
AAK AB | 03/26/19 | M | 0.05 | % | Credit Suisse Securities (Europe) Limited | 3,662,038 SEK | 6,202 | ||||||||||||||||||||
AAON INC | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 10,159 USD | (29 | ) | |||||||||||||||||||
AAR Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 172,119 USD | 3,876 | ||||||||||||||||||||
Abbott Laboratories | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 995,688 USD | 59,889 | ||||||||||||||||||||
AbbVie, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 751,997 USD | 18,357 | ||||||||||||||||||||
Abcam PLC | 03/26/19 | M | 1.12 | % | Credit Suisse Securities (Europe) Limited | 139,202 GBP | (127 | ) | |||||||||||||||||||
Abercrombie & Fitch Co. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 295,454 USD | 9,667 | ||||||||||||||||||||
ABM Industries, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 120,242 USD | (3,819 | ) | |||||||||||||||||||
Abraxas Petroleum Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 20,611 USD | (601 | ) | |||||||||||||||||||
Acadia Healthcare Co., Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 421,708 USD | (4,588 | ) | |||||||||||||||||||
Accenture PLC | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 359,912 USD | (4,874 | ) | |||||||||||||||||||
Access National Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 201,873 USD | (5,786 | ) | |||||||||||||||||||
ACCO Brands Corp | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 197,378 USD | (10,736 | ) | |||||||||||||||||||
Achillion Pharmaceuticals | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 77,971 USD | 3,776 | ||||||||||||||||||||
ACI Worldwide, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 181,399 USD | (1,331 | ) | |||||||||||||||||||
Acorda Therapeutics, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 65,174 USD | 5,192 | ||||||||||||||||||||
Acushnet Holdings Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 607,117 USD | 11,732 | ||||||||||||||||||||
Addus Homecare Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 492,396 USD | 5,739 |
See Notes to Consolidated Financial Statements.
131
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
ADP LLC | 03/26/19 | M | 0.05 | % | Credit Suisse Securities (Europe) Limited | 3,237,790 EUR | $ | 126,015 | |||||||||||||||||||
ADP LLC | 07/27/20 | M | 0.07 | % | JPMorgan Chase Bank, N.A. | 3,752,000 EUR | 146,292 | ||||||||||||||||||||
ADT INC | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 138,095 USD | 295 | ||||||||||||||||||||
Adtran, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 618,034 USD | (30,995 | ) | |||||||||||||||||||
Advanced Disposal Services, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 83,004 USD | (789 | ) | |||||||||||||||||||
Advanced Drainage Systems, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 30,999 USD | (964 | ) | |||||||||||||||||||
Adverum Biotechnologies, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 181,800 USD | 4,570 | ||||||||||||||||||||
Aegion Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 169,262 USD | 4,261 | ||||||||||||||||||||
AES Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 199,027 USD | 3,315 | ||||||||||||||||||||
Aetna, Inc. | 09/17/20 | M | 2.39 | % | Deutsche Bank AG | 26,617,607 USD | (185,035 | ) | |||||||||||||||||||
Aflac, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 190,789 USD | (1,379 | ) | |||||||||||||||||||
AG Mortgage Investment Trust | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 51,474 USD | 284 | ||||||||||||||||||||
Agilent Technologies, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 218,579 USD | (470 | ) | |||||||||||||||||||
Agilysys, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 217,347 USD | 3,844 | ||||||||||||||||||||
AGNC Investment Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 133,444 USD | 170 | ||||||||||||||||||||
Agree Realty Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 163,563 USD | (750 | ) | |||||||||||||||||||
Agrofresh Solutions, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 239,157 USD | (16,111 | ) | |||||||||||||||||||
Air Lease Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 326,073 USD | (1,288 | ) | |||||||||||||||||||
Aircastle Ltd. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 1,315,799 USD | 47,025 |
See Notes to Consolidated Financial Statements.
132
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Aker ASA | 03/25/19 | M | 1.44 | % | Credit Suisse Securities (Europe) Limited | 5,052,917 NOK | $ | 48,603 | |||||||||||||||||||
Aker BP ASA | 03/25/19 | M | 1.44 | % | Credit Suisse Securities (Europe) Limited | 3,801,453 NOK | 44,563 | ||||||||||||||||||||
Akerbia Therapeutics, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 162,627 USD | 10,803 | ||||||||||||||||||||
Akorn, Inc. | 09/17/20 | M | 2.39 | % | Deutsche Bank AG | 786,643 USD | (14,281 | ) | |||||||||||||||||||
Akzo Nobel | 03/26/19 | M | 0.05 | % | Credit Suisse Securities (Europe) Limited | 5,067,786 EUR | (129,569 | ) | |||||||||||||||||||
Akzo Nobel | 07/27/20 | M | 0.07 | % | JPMorgan Chase Bank, N.A. | 8,497,335 EUR | (222,700 | ) | |||||||||||||||||||
Albany International Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 42,487 USD | 443 | ||||||||||||||||||||
Albireo Pharma, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 25,278 USD | 1,222 | ||||||||||||||||||||
Alexander’s, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 104,556 USD | (536 | ) | |||||||||||||||||||
Alexandria Real Estate Equity | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 12,915 USD | 42 | ||||||||||||||||||||
Alfa Laval AB | 03/26/19 | M | 0.05 | % | Credit Suisse Securities (Europe) Limited | 2,714,105 SEK | (8,511 | ) | |||||||||||||||||||
Alleghany Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 195,429 USD | 330 | ||||||||||||||||||||
Allegiance Bancshares, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 161,368 USD | (10,998 | ) | |||||||||||||||||||
Allergan PLC | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 1,148,979 USD | (3,433 | ) | |||||||||||||||||||
Allete, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 433,729 USD | (7,297 | ) | |||||||||||||||||||
Alliant Energy Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 487,136 USD | (2,519 | ) | |||||||||||||||||||
Allied Motion Technologies, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 224,466 USD | 22,755 | ||||||||||||||||||||
Allscripts Healthcare Solutions, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 213,109 USD | (1,240 | ) | |||||||||||||||||||
Allstate Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 132,605 USD | (149 | ) |
See Notes to Consolidated Financial Statements.
133
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Almirall SA | 03/26/19 | M | 0.05 | % | Credit Suisse Securities (Europe) Limited | 297,767 EUR | $ | (3,960 | ) | ||||||||||||||||||
Alpha & Omega Semiconductor | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 299,470 USD | (7,231 | ) | |||||||||||||||||||
Alphabet, Inc. | 01/27/20 | M | 2.52 | % | Credit Suisse Securities (Europe) Limited | 148,859 USD | 4,440 | ||||||||||||||||||||
Alstom | 03/26/19 | M | 0.05 | % | Credit Suisse Securities (Europe) Limited | 5,632,497 EUR | (133,156 | ) | |||||||||||||||||||
Alstom | 09/02/20 | M | 0.07 | % | JPMorgan Chase Bank, N.A. | 1,178,700 EUR | (27,865 | ) | |||||||||||||||||||
Altice NV | 03/26/19 | M | 0.05 | % | Credit Suisse Securities (Europe) Limited | 1,241,395 EUR | 24,441 | ||||||||||||||||||||
Altice USA, Inc. | 01/27/20 | M | 2.52 | % | Credit Suisse Securities (Europe) Limited | 357,200 USD | (19,016 | ) | |||||||||||||||||||
Altisource Portfolio Solutions SA | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 78,800 USD | (4,542 | ) | |||||||||||||||||||
Altria Group, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 57,273 USD | (702 | ) | |||||||||||||||||||
Amadeus IT | 03/26/19 | M | 0.05 | % | Credit Suisse Securities (Europe) Limited | 440,750 EUR | 10,684 | ||||||||||||||||||||
AMAG Pharmaceuticals, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 528,745 USD | (17,065 | ) | |||||||||||||||||||
Amber Road, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 27,995 USD | 1,730 | ||||||||||||||||||||
Ambu A/S | 03/25/19 | M | 0.09 | % | Credit Suisse Securities (Europe) Limited | 1,945,657 DKK | (51,736 | ) | |||||||||||||||||||
AMBU A/S B | 09/02/20 | M | 0.01 | % | JPMorgan Chase Bank, N.A. | 1,884,000 DKK | (53,091 | ) | |||||||||||||||||||
AMC Entertainment Holdings | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 674,972 USD | (24,774 | ) | |||||||||||||||||||
Amdocs Ltd. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 543,101 USD | (2,461 | ) | |||||||||||||||||||
Amedisys, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 254,013 USD | 12,777 | ||||||||||||||||||||
Amer Sports Oyj | 03/25/19 | M | 0.05 | % | Credit Suisse Securities (Europe) Limited | 201,004 EUR | 2,765 | ||||||||||||||||||||
AMERCO | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 290,150 USD | 5,513 | ||||||||||||||||||||
Ameren Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 215,263 USD | 2,088 |
See Notes to Consolidated Financial Statements.
134
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Ameresco, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 184,696 USD | $ | 3,442 | |||||||||||||||||||
America’s Car Mart, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 235,441 USD | 1,270 | ||||||||||||||||||||
American Eagle Outfitters | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 186,456 USD | 8,062 | ||||||||||||||||||||
American Electric Power | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 635,369 USD | (710 | ) | |||||||||||||||||||
American Financial Group, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 353,146 USD | 738 | ||||||||||||||||||||
American Homes 4 Rent | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 70,935 USD | (2,681 | ) | |||||||||||||||||||
American National Insurance | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 261,756 USD | (5,374 | ) | |||||||||||||||||||
American Railcar Industries | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 612,723 USD | (8,813 | ) | |||||||||||||||||||
American Renal Associates Holdings, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 250,046 USD | 16,162 | ||||||||||||||||||||
American Software, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 554,677 USD | 18,915 | ||||||||||||||||||||
American Vanguard Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 116,913 USD | (11,163 | ) | |||||||||||||||||||
Amerisafe, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 76,305 USD | (1,469 | ) | |||||||||||||||||||
AmerisourceBergen Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 737,597 USD | 16,855 | ||||||||||||||||||||
Ametek, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 75,145 USD | (376 | ) | |||||||||||||||||||
AMG Advanced Metallurgical Grouyp N.V. | 03/26/19 | M | 0.05 | % | Credit Suisse Securities (Europe) Limited | 92,964 EUR | (2,068 | ) | |||||||||||||||||||
Amgen, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 788,336 USD | 7,450 |
See Notes to Consolidated Financial Statements.
135
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Amkor Technology, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 244,029 USD | $ | (11,673 | ) | ||||||||||||||||||
AMN Healthcare Services, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 122,698 USD | 7,215 | ||||||||||||||||||||
Amphastar Pharmaceuticals, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 296,657 USD | 928 | ||||||||||||||||||||
Amphenol Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 409,809 USD | (446 | ) | |||||||||||||||||||
Amplifon SpA | 10/04/19 | M | 0.05 | % | Credit Suisse Securities (Europe) Limited | 515,691 EUR | (9,780 | ) | |||||||||||||||||||
Analog Devices, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 168,923 USD | 464 | ||||||||||||||||||||
Andeavor | 09/17/20 | M | 2.39 | % | Deutsche Bank AG | 25,817,474 USD | (205,232 | ) | |||||||||||||||||||
Andersons, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 296,126 USD | (5,882 | ) | |||||||||||||||||||
AngioDynamics, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 766,935 USD | (57,733 | ) | |||||||||||||||||||
ANI Pharmaceuticals, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 183,389 USD | 11,843 | ||||||||||||||||||||
Anika Therapeutics, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 22,068 USD | 372 | ||||||||||||||||||||
Anixter International, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 111,534 USD | (2,850 | ) | |||||||||||||||||||
Ansys, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 23,748 USD | (40 | ) | |||||||||||||||||||
Antero Resources Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 143,459 USD | (9,696 | ) | |||||||||||||||||||
Anthem, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 192,672 USD | 1,082 | ||||||||||||||||||||
Anworth Mortgage Asset Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 2,246 USD | (84 | ) | |||||||||||||||||||
Aon PLC | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 223,402 USD | (1,036 | ) | |||||||||||||||||||
Apogee Enterprises, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 139,009 USD | (3,934 | ) |
See Notes to Consolidated Financial Statements.
136
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Apollo Commercial Real Estate Finance, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 132,431 USD | $ | (114 | ) | ||||||||||||||||||
Apple Hospitality REIT, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 116,154 USD | 400 | ||||||||||||||||||||
Applied Industrial Technologies, Inc | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 207,850 USD | (3,461 | ) | |||||||||||||||||||
AptarGroup, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 485,760 USD | (10,196 | ) | |||||||||||||||||||
AquaVenture Holdings Ltd. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 211,933 USD | 426 | ||||||||||||||||||||
Aramark | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 64,177 USD | (120 | ) | |||||||||||||||||||
Aratana Therapeutics, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 117,597 USD | (2,368 | ) | |||||||||||||||||||
ArcBest Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 185,190 USD | 7,894 | ||||||||||||||||||||
Archer Daniels Midland Co. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 513,249 USD | (194 | ) | |||||||||||||||||||
Archrock, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 516,498 USD | 17,508 | ||||||||||||||||||||
Arcus Biosciences, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 126,251 USD | 4,018 | ||||||||||||||||||||
Ardagh Group SA | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 176,761 USD | (98 | ) | |||||||||||||||||||
Ardmore Shipping Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 188,213 USD | (12,186 | ) | |||||||||||||||||||
Ares Commercial Real Estate Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 204,717 USD | (4,304 | ) | |||||||||||||||||||
Argo Group | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 149,048 USD | 3,344 | ||||||||||||||||||||
Arhtur J. Gallagher & Co. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 490,427 USD | 579 |
See Notes to Consolidated Financial Statements.
137
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Armada Hoffler Properties, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 141,961 USD | $ | 2,097 | |||||||||||||||||||
Armor Residential REIT, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 180,436 USD | (252 | ) | |||||||||||||||||||
Armstrong Flooring, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 369,828 USD | (27,593 | ) | |||||||||||||||||||
Aroundtown SA | 03/26/19 | M | 0.05 | % | Credit Suisse Securities (Europe) Limited | 240,361 EUR | (5,387 | ) | |||||||||||||||||||
Aroundtown SA | 09/02/20 | M | 0.07 | % | JPMorgan Chase Bank, N.A. | 234,600 EUR | (5,573 | ) | |||||||||||||||||||
Arris International PLC | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 99,915 USD | (1,569 | ) | |||||||||||||||||||
Arrow Electronics, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 484,490 USD | (12,535 | ) | |||||||||||||||||||
Arrow Financial Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 72,387 USD | (2,457 | ) | |||||||||||||||||||
Ascena Retail Group, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 128,681 USD | 9,424 | ||||||||||||||||||||
Ascential PLC | 03/26/19 | M | 1.12 | % | Credit Suisse Securities (Europe) Limited | 63,896 GBP | (1,794 | ) | |||||||||||||||||||
ASGN, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 39,340 USD | (33 | ) | |||||||||||||||||||
Ashland Global Holdings, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 54,417 USD | (1,166 | ) | |||||||||||||||||||
Ashtead Group PLC | 03/26/19 | M | 1.12 | % | Credit Suisse Securities (Europe) Limited | 328,600 GBP | 14,141 | ||||||||||||||||||||
Aspen Technology, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 261,551 USD | 6,137 | ||||||||||||||||||||
ASR Nederland NV | 03/26/19 | M | 0.05 | % | Credit Suisse Securities (Europe) Limited | 65,808 EUR | (1,417 | ) | |||||||||||||||||||
Assertio Therapeutics, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 141,232 USD | (5,981 | ) | |||||||||||||||||||
Associated Banc-Corp | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 9,980 USD | (256 | ) |
See Notes to Consolidated Financial Statements.
138
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Assured Guaranty Ltd. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 44,396 USD | $ | (266 | ) | ||||||||||||||||||
AstraZeneca PLC | 07/27/20 | M | 0.55 | % | Morgan Stanley Capital Services LLC | 13,411,861 GBP | 893,177 | ||||||||||||||||||||
AstraZeneca PLC | 03/26/19 | M | 1.12 | % | Credit Suisse Securities (Europe) Limited | 239,060 GBP | 15,384 | ||||||||||||||||||||
AT&T, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 347,698 USD | (2,361 | ) | |||||||||||||||||||
Atlas Air Worldwide Holdings | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 287,957 USD | 2,934 | ||||||||||||||||||||
Atmos Energy Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 1,032,422 USD | 306 | ||||||||||||||||||||
ATN Internatinal, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 306,035 USD | 6,256 | ||||||||||||||||||||
Atos SE | 07/27/20 | M | 0.07 | % | JPMorgan Chase Bank, N.A. | 15,355,912 EUR | (947,036 | ) | |||||||||||||||||||
Atos SE | 03/26/19 | M | 0.05 | % | Credit Suisse Securities (Europe) Limited | 892,512 EUR | (38,848 | ) | |||||||||||||||||||
Atricure, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 253,060 USD | (1,579 | ) | |||||||||||||||||||
Avangrid, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 1,283,357 USD | (27,974 | ) | |||||||||||||||||||
Avanos Medical, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 427,052 USD | 456 | ||||||||||||||||||||
Avaya Holdings Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 347,017 USD | 8,906 | ||||||||||||||||||||
Avery Dennison Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 211,540 USD | (4,267 | ) | |||||||||||||||||||
Aveva Group PLC | 03/26/19 | M | 1.12 | % | Credit Suisse Securities (Europe) Limited | 448,991 GBP | 206 | ||||||||||||||||||||
Avid Technology, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 31,720 USD | 936 | ||||||||||||||||||||
Avista Corp. | 09/17/20 | M | 2.39 | % | Deutsche Bank AG | 10,407,627 USD | 20,626 | ||||||||||||||||||||
Aviva PLC | 03/26/19 | M | 1.12 | % | Credit Suisse Securities (Europe) Limited | 8,939 GBP | (45 | ) | |||||||||||||||||||
Aviva PLC | 07/27/20 | M | 1.02 | % | JPMorgan Chase Bank, N.A. | 494,506 GBP | (2,492 | ) | |||||||||||||||||||
Avnet, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 994,016 USD | (45,608 | ) |
See Notes to Consolidated Financial Statements.
139
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
AVX Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 1,199,916 USD | $ | (70,148 | ) | ||||||||||||||||||
AXA SA | 07/27/20 | M | 0.07 | % | JPMorgan Chase Bank, N.A. | 10,873,751 EUR | (105,456 | ) | |||||||||||||||||||
AXA SA | 03/26/19 | M | 0.05 | % | Credit Suisse Securities (Europe) Limited | 9,684,879 EUR | (90,696 | ) | |||||||||||||||||||
Axfood AB | 03/26/19 | M | 0.05 | % | Credit Suisse Securities (Europe) Limited | 978,512 SEK | 1,395 | ||||||||||||||||||||
AXIS Capital Holdings Ltd. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 70,921 USD | 294 | ||||||||||||||||||||
AZZ, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 329,941 USD | (5,529 | ) | |||||||||||||||||||
B&G Foods, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 343,572 USD | (32,316 | ) | |||||||||||||||||||
B. Riley Financial, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 83,043 USD | 740 | ||||||||||||||||||||
Badger Meter, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 341,591 USD | (8,112 | ) | |||||||||||||||||||
Baker Hughes | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 212,933 USD | 3,579 | ||||||||||||||||||||
Bakkafrost | 03/25/19 | M | 1.44 | % | Credit Suisse Securities (Europe) Limited | 2,711,217 NOK | (6,084 | ) | |||||||||||||||||||
Ball Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 13,594 USD | (177 | ) | |||||||||||||||||||
BancFirst Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 307,053 USD | (12,998 | ) | |||||||||||||||||||
Banco Bilbao Vizcaya | 03/26/19 | M | 0.05 | % | Credit Suisse Securities (Europe) Limited | 3,223,910 EUR | (90,004 | ) | |||||||||||||||||||
Banco Bilbao Vizcaya Argentaria | 07/27/20 | M | 0.07 | % | JPMorgan Chase Bank, N.A. | 2,405,956 EUR | (59,697 | ) | |||||||||||||||||||
Banco BPM SpA | 10/04/19 | M | 0.05 | % | Credit Suisse Securities (Europe) Limited | 1,747,886 EUR | (171,522 | ) | |||||||||||||||||||
Bank of Hawaii Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 144,304 USD | (3,923 | ) | |||||||||||||||||||
Bank of Marin | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 62,198 USD | (1,371 | ) | |||||||||||||||||||
Bank of N. T. Butterfield & Son Ltd. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 197,413 USD | 1,419 | ||||||||||||||||||||
BankFinancial | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 77,811 USD | (677 | ) |
See Notes to Consolidated Financial Statements.
140
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Banner Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 87,329 USD | $ | (3,959 | ) | ||||||||||||||||||
Barclays PLC | 09/30/20 | M | 1.02 | % | JPMorgan Chase Bank, N.A. | 704,000 GBP | (22,001 | ) | |||||||||||||||||||
Barclays PLC | 03/26/19 | M | 1.12 | % | Credit Suisse Securities (Europe) Limited | 1,083,928 GBP | (31,216 | ) | |||||||||||||||||||
Barnes & Noble Education, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 106,921 USD | 1,125 | ||||||||||||||||||||
Barnes & Noble, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 672,428 USD | 5,847 | ||||||||||||||||||||
Basett Furniture Industries, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 169,520 USD | 7,131 | ||||||||||||||||||||
BASF SE | 03/26/19 | M | 0.05 | % | Credit Suisse Securities (Europe) Limited | 2,750,604 EUR | (198,744 | ) | |||||||||||||||||||
BASF SE | 07/27/20 | M | 0.07 | % | JPMorgan Chase Bank, N.A. | 579,083 EUR | (41,841 | ) | |||||||||||||||||||
BAWAG Group AG | 10/25/18 | M | 0.05 | % | Credit Suisse Securities (Europe) Limited | 1,307,929 EUR | (31,962 | ) | |||||||||||||||||||
Baxter International, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 546,145 USD | (3,200 | ) | |||||||||||||||||||
Bayer AG REG | 07/27/20 | M | 0.55 | % | Morgan Stanley Capital Services LLC | 16,034,766 EUR | (2,433 | ) | |||||||||||||||||||
Bayer AG REG | 03/26/19 | M | 0.05 | % | Credit Suisse Securities (Europe) Limited | 928,111 EUR | (141 | ) | |||||||||||||||||||
Bayer AG REG | 07/27/20 | M | 0.07 | % | JPMorgan Chase Bank, N.A. | 2,628,232 EUR | (399 | ) | |||||||||||||||||||
BBX Capital Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 66,627 USD | 910 | ||||||||||||||||||||
Beachtle AG | 03/26/19 | M | 0.05 | % | Credit Suisse Securities (Europe) Limited | 135,984 EUR | 712 | ||||||||||||||||||||
Beazer Homes USA, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 224,403 USD | (14,025 | ) | |||||||||||||||||||
Becton Dickinson & Co. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 824,088 USD | (1,677 | ) | |||||||||||||||||||
Bed Bath & Beyond, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 260,186 USD | (46,751 | ) | |||||||||||||||||||
Bel Fuse, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 125,694 USD | 7,601 |
See Notes to Consolidated Financial Statements.
141
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Bemis Company | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 558,934 USD | $ | 2,541 | |||||||||||||||||||
Bemis Company, Inc. | 09/17/20 | M | 2.39 | % | Deutsche Bank AG | 5,108,057 USD | 23,228 | ||||||||||||||||||||
Benchmark Electronics, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 614,023 USD | (38,196 | ) | |||||||||||||||||||
Berkshire Hathaway, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 62,572 USD | (266 | ) | |||||||||||||||||||
Berkshire Hills Bancorp, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 187,083 USD | (6,863 | ) | |||||||||||||||||||
BHP Billiton PLC | 03/26/19 | M | 1.12 | % | Credit Suisse Securities (Europe) Limited | 89,035 GBP | (470 | ) | |||||||||||||||||||
Big 5 Sporting Goods Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 160,454 USD | (1,783 | ) | |||||||||||||||||||
Big Lots, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 58,626 USD | (37 | ) | |||||||||||||||||||
Biglari Holdings, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 93,664 USD | (1,357 | ) | |||||||||||||||||||
Bilfinger SE | 03/26/19 | M | 0.05 | % | Credit Suisse Securities (Europe) Limited | 82,862 EUR | 668 | ||||||||||||||||||||
Bio Rad Laboratories | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 212,500 USD | 9,410 | ||||||||||||||||||||
Bio Techne Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 558,531 USD | 22,774 | ||||||||||||||||||||
BioScrip, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 139,029 USD | — | ||||||||||||||||||||
BioSpecifics Technologies Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 389,099 USD | (199 | ) | |||||||||||||||||||
BioTelemetry, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 79,615 USD | 4,234 | ||||||||||||||||||||
BJ’s Restaurants, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 136,012 USD | 5,284 | ||||||||||||||||||||
Black Hills Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 308,467 USD | 920 | ||||||||||||||||||||
Blue Bird Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 84,314 USD | (2,827 | ) | |||||||||||||||||||
BNP Paribas SA | 07/27/20 | M | 0.07 | % | JPMorgan Chase Bank, N.A. | 14,212,250 EUR | (542,774 | ) |
See Notes to Consolidated Financial Statements.
142
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
BNP Paribas SA | 03/26/19 | M | 0.05 | % | Credit Suisse Securities (Europe) Limited | 5,453,164 EUR | $ | (183,228 | ) | ||||||||||||||||||
Bodycote PLC | 03/26/19 | M | 1.12 | % | Credit Suisse Securities (Europe) Limited | 68,698 GBP | (1,554 | ) | |||||||||||||||||||
Boise Cascade Co. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 122,972 USD | (5,617 | ) | |||||||||||||||||||
Bojangles’, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 68,534 USD | 12,980 | ||||||||||||||||||||
BOK Financial Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 102,331 USD | (7,288 | ) | |||||||||||||||||||
Bonanza Creek Energy, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 100,626 USD | (298 | ) | |||||||||||||||||||
Booz Allen Hamilton Holdings | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 644,355 USD | 141 | ||||||||||||||||||||
Bottomline Technologies | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 199,625 USD | 5,926 | ||||||||||||||||||||
BP PLC | 03/26/19 | M | 1.12 | % | Credit Suisse Securities (Europe) Limited | 85,203 GBP | 4,368 | ||||||||||||||||||||
Brady Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 399,116 USD | (3,616 | ) | |||||||||||||||||||
Bridge Bancorp, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 102,270 USD | (5,260 | ) | |||||||||||||||||||
Briggs & Stratton | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 439,096 USD | (24,574 | ) | |||||||||||||||||||
Brightcove, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 225,910 USD | 4,107 | ||||||||||||||||||||
Brinker International, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 483,142 USD | (10,982 | ) | |||||||||||||||||||
Bristol Myers Squibb Co. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 832,810 USD | (752 | ) | |||||||||||||||||||
Broadcom, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 115,074 USD | (98 | ) | |||||||||||||||||||
Broadridge Financial Solutions, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 359,930 USD | (2,345 | ) | |||||||||||||||||||
Brookdale Senior Living, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 103,876 USD | 2,445 | ||||||||||||||||||||
Brooks Automation, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 9,402 USD | 161 |
See Notes to Consolidated Financial Statements.
143
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Brown & Brown, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 315,661 USD | $ | (5,057 | ) | ||||||||||||||||||
Bruker Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 347,304 USD | 6,128 | ||||||||||||||||||||
Brunswick Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 22,119 USD | (203 | ) | |||||||||||||||||||
Bryn Mawr Bank Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 344,497 USD | (7,192 | ) | |||||||||||||||||||
BSB Bancorp, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 28,809 USD | (349 | ) | |||||||||||||||||||
Buckle, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 591,676 USD | 9,123 | ||||||||||||||||||||
Bunge Ltd. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 140,103 USD | 4,257 | ||||||||||||||||||||
BWX Technologies, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 12,266 USD | (8 | ) | |||||||||||||||||||
Byline Bancorp, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 80,155 USD | (1,795 | ) | |||||||||||||||||||
C.H. Robinson Worldwide, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 259,432 USD | 1,720 | ||||||||||||||||||||
CA Immobilien Anlagen AG | 10/25/18 | M | 0.05 | % | Credit Suisse Securities (Europe) Limited | 365,861 EUR | (5,444 | ) | |||||||||||||||||||
CA, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 704,594 USD | 967 | ||||||||||||||||||||
CA, Inc. | 09/17/20 | M | 2.39 | % | Deutsche Bank AG | 25,067,987 USD | 34,114 | ||||||||||||||||||||
Cable One, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 109,440 USD | 128 | ||||||||||||||||||||
Cabot Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 76,982 USD | (3,349 | ) | |||||||||||||||||||
Cabot Microelectionics Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 257,816 USD | (510 | ) | |||||||||||||||||||
CACI International, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 250,216 USD | (4,007 | ) | |||||||||||||||||||
Cadence BanCorp | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 23,192 USD | (807 | ) | |||||||||||||||||||
Cal-Maine Foods, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 57,548 USD | (1,376 | ) | |||||||||||||||||||
Calavo Growers, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 106,049 USD | (4,136 | ) |
See Notes to Consolidated Financial Statements.
144
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Caleres, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 128,622 USD | $ | 1,514 | |||||||||||||||||||
Calix, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 166,089 USD | (1,019 | ) | |||||||||||||||||||
Callaway Golf Company | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 86,389 USD | 6,010 | ||||||||||||||||||||
Cambium Learning Group, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 145,926 USD | (2,543 | ) | |||||||||||||||||||
Cambrex Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 98,842 USD | 11,419 | ||||||||||||||||||||
Camden National Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 132,209 USD | (3,062 | ) | |||||||||||||||||||
Cantel Medical Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 72,887 USD | (3,474 | ) | |||||||||||||||||||
Capital Senior Living Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 64,577 USD | 1,541 | ||||||||||||||||||||
Capitol Federal Financial, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 246,248 USD | (4,367 | ) | |||||||||||||||||||
Capstead Mortgage Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 38,127 USD | (894 | ) | |||||||||||||||||||
Carbo Cermaics, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 39,159 USD | (3,619 | ) | |||||||||||||||||||
Carbon Black, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 1,382 USD | (132 | ) | |||||||||||||||||||
Cardinal Health, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 1,409,988 USD | (19,812 | ) | |||||||||||||||||||
Cardiovascular Systems, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 113,203 USD | 7,231 | ||||||||||||||||||||
Career Education Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 102,422 USD | 1,744 | ||||||||||||||||||||
Carl Zeiss Meditec AG | 03/26/19 | M | 0.05 | % | Credit Suisse Securities (Europe) Limited | 539,952 EUR | (17,140 | ) | |||||||||||||||||||
Carlisle Cos., Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 104,181 USD | (407 | ) | |||||||||||||||||||
Carnival Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 268,787 USD | (10,391 | ) | |||||||||||||||||||
Carolina Financial Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 106,079 USD | (5,367 | ) |
See Notes to Consolidated Financial Statements.
145
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Carpenter Technology | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 281,636 USD | $ | (1,505 | ) | ||||||||||||||||||
Carriage Services, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 275,199 USD | (10,134 | ) | |||||||||||||||||||
Carrols Restaurant Group, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 219,226 USD | 6,972 | ||||||||||||||||||||
Cars.com, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 175,759 USD | 7,627 | ||||||||||||||||||||
Casella Waste Systems, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 133,856 USD | (1,292 | ) | |||||||||||||||||||
Casino Guichard Perrachon | 03/26/19 | M | 3.40 | % | Credit Suisse Securities (Europe) Limited | 2,932,286 EUR | 17,004 | ||||||||||||||||||||
Cass Information Systems, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 330,686 USD | (4,825 | ) | |||||||||||||||||||
Castellum AB | 03/26/19 | M | 0.05 | % | Credit Suisse Securities (Europe) Limited | 2,087,301 SEK | (1,476 | ) | |||||||||||||||||||
Catalyst Biosciences, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 459,025 USD | 26,193 | ||||||||||||||||||||
CatchMark Timber Trust, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 86,848 USD | (2,723 | ) | |||||||||||||||||||
Cathay General Bancorp | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 68,319 USD | (1,601 | ) | |||||||||||||||||||
Cato Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 705,706 USD | 25,390 | ||||||||||||||||||||
Cavco Industries, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 37,673 USD | 783 | ||||||||||||||||||||
CBIZ, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 331,205 USD | (3,457 | ) | |||||||||||||||||||
CBRE Group, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 222,474 USD | (5,767 | ) | |||||||||||||||||||
CDK Global, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 303,334 USD | (1,858 | ) | |||||||||||||||||||
CDW Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 330,331 USD | 95 | ||||||||||||||||||||
CECO Environmental Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 124,657 USD | (3,226 | ) |
See Notes to Consolidated Financial Statements.
146
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Centene Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 190,489 USD | $ | 2,937 | |||||||||||||||||||
Centerstate Banks, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 56,670 USD | (4,638 | ) | |||||||||||||||||||
Central Pacific Financial Co. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 104,288 USD | (4,674 | ) | |||||||||||||||||||
Central Valley Community Bancorp | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 38,588 USD | (36 | ) | |||||||||||||||||||
Century Casinos, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 126,975 USD | (1,625 | ) | |||||||||||||||||||
Century Communities, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 177,066 USD | (6,336 | ) | |||||||||||||||||||
CenturyLink, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 244,606 USD | (18,105 | ) | |||||||||||||||||||
Cerus Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 122,051 USD | (2,487 | ) | |||||||||||||||||||
CF Industries Holdings, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 108,658 USD | 2,508 | ||||||||||||||||||||
CGG SA | 03/26/19 | M | 0.05 | % | Credit Suisse Securities (Europe) Limited | 2,119,063 EUR | 2,045 | ||||||||||||||||||||
ChannelAdvisor Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 171,297 USD | 21,703 | ||||||||||||||||||||
Charles River Laboratories | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 32,125 USD | 703 | ||||||||||||||||||||
Chatham Lodging Trust | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 59,907 USD | 173 | ||||||||||||||||||||
Cheesecake Factory, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 249,022 USD | 5,079 | ||||||||||||||||||||
Chemed Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 611,751 USD | 10,471 | ||||||||||||||||||||
Chemical Financial Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 78,235 USD | (4,436 | ) | |||||||||||||||||||
Cherry Hill Mortgage Investment Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 121,791 USD | (666 | ) | |||||||||||||||||||
Chesapeake Lodging Trust | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 150,399 USD | (5,122 | ) |
See Notes to Consolidated Financial Statements.
147
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Chesapeake Utilities Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 155,770 USD | $ | (6,763 | ) | ||||||||||||||||||
Chevron Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 496,368 USD | 3,024 | ||||||||||||||||||||
Chico’s FAS, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 218,236 USD | 8,364 | ||||||||||||||||||||
Chimera Investment Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 320,417 USD | 12 | ||||||||||||||||||||
Chimerix, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 154,860 USD | (2,757 | ) | |||||||||||||||||||
Chocoladefabriken Lindt PC | 03/26/19 | M | 0.33 | % | Credit Suisse Securities (Europe) Limited | 135,236 CHF | 2,409 | ||||||||||||||||||||
Choice Hotels International, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 559,766 USD | (157 | ) | |||||||||||||||||||
Chr. Hansen A/S | 03/25/19 | M | 0.09 | % | Credit Suisse Securities (Europe) Limited | 1,517,589 DKK | 4,305 | ||||||||||||||||||||
Christian Dior SE | 03/26/19 | M | 0.05 | % | Credit Suisse Securities (Europe) Limited | 399,991 EUR | 5,576 | ||||||||||||||||||||
Chubb Ltd. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 69,027 USD | (68 | ) | |||||||||||||||||||
Churchill Downs, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 64,056 USD | (185 | ) | |||||||||||||||||||
Chuy’s Holdings, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 203,685 USD | (7,834 | ) | |||||||||||||||||||
Cincinnati Financial Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 195,569 USD | 297 | ||||||||||||||||||||
Cinemark Holdings, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 386,702 USD | 14,856 | ||||||||||||||||||||
CIT Group, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 85,990 USD | (2,433 | ) | |||||||||||||||||||
CitiTrends, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 420,791 USD | (7,136 | ) | |||||||||||||||||||
Citrix Systems, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 17,118 USD | — | ||||||||||||||||||||
City Hodling Co. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 260,798 USD | (4,210 | ) | |||||||||||||||||||
City Office REIT, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 276,916 USD | 4,233 |
See Notes to Consolidated Financial Statements.
148
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Civista Bancshares, Inc | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 1,831 USD | $ | (72 | ) | ||||||||||||||||||
Civitas Solutions, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 116,072 USD | 792 | ||||||||||||||||||||
Clarus Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 289,729 USD | 7,394 | ||||||||||||||||||||
Clearfield, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 55,702 USD | 479 | ||||||||||||||||||||
Clearway Energy, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 773,216 USD | (32,160 | ) | |||||||||||||||||||
CME Group, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 14,386 USD | (88 | ) | |||||||||||||||||||
CNA Financial Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 119,856 USD | (71 | ) | |||||||||||||||||||
CNB Financial Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 11,141 USD | (348 | ) | |||||||||||||||||||
CNX Resources Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 286,339 USD | (5,734 | ) | |||||||||||||||||||
Codexis, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 206,280 USD | (9,741 | ) | |||||||||||||||||||
Cogent Communications Holdings, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 579,045 USD | 9,868 | ||||||||||||||||||||
Cohen & Steers, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 62,697 USD | (970 | ) | |||||||||||||||||||
Cohu, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 317,115 USD | 48,843 | ||||||||||||||||||||
Coloplast B | 03/25/19 | M | 0.09 | % | Credit Suisse Securities (Europe) Limited | 741,763 DKK | 986 | ||||||||||||||||||||
Columbus McKinnon Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 40,069 USD | (3,138 | ) | |||||||||||||||||||
Com Hem Holding AB | 03/26/19 | M | 0.05 | % | Credit Suisse Securities (Europe) Limited | 2,618,895 SEK | (11,456 | ) | |||||||||||||||||||
Com Hem Holding AB | 09/17/20 | M | 0.16 | % | Deutsche Bank AG | 49,972,248 SEK | (220,503 | ) | |||||||||||||||||||
Commerce Bancshares, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 116,596 USD | (4,494 | ) | |||||||||||||||||||
Commercial Metals Co. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 242,886 USD | 1,158 |
See Notes to Consolidated Financial Statements.
149
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Commerzbank AG | 03/26/19 | M | 0.05 | % | Credit Suisse Securities (Europe) Limited | 1,245,775 EUR | $ | (74,120 | ) | ||||||||||||||||||
Community Bank System, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 165,541 USD | (5,599 | ) | |||||||||||||||||||
Community Healthcare Trust, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 169,963 USD | 5,786 | ||||||||||||||||||||
Community Trust Bancorp, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 233,026 USD | (4,196 | ) | |||||||||||||||||||
Compagnie de Saint Gobain | 07/27/20 | M | 0.07 | % | JPMorgan Chase Bank, N.A. | 3,291,977 EUR | (139,303 | ) | |||||||||||||||||||
Compagnie de Saint Gobain | 03/26/19 | M | 0.05 | % | Credit Suisse Securities (Europe) Limited | 1,126,200 EUR | (47,656 | ) | |||||||||||||||||||
Compass Minerals International, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 810,889 USD | (21,155 | ) | |||||||||||||||||||
Computer Programs & Systems, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 716,189 USD | (13,390 | ) | |||||||||||||||||||
Comtech Telecommunications Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 675,863 USD | 59,838 | ||||||||||||||||||||
Concert Pharmaceuticals, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 208,113 USD | 20,319 | ||||||||||||||||||||
Conduent, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 332,162 USD | 3,115 | ||||||||||||||||||||
CONMED Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 1,052,446 USD | 15,598 | ||||||||||||||||||||
ConocoPhillips | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 87,235 USD | 227 | ||||||||||||||||||||
Consolidated Communications, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 235,702 USD | (4,568 | ) | |||||||||||||||||||
Consolidated Edison, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 670,029 USD | 9,358 | ||||||||||||||||||||
Consolidated Water Co. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 126,487 USD | (6,034 | ) | |||||||||||||||||||
Continental Building Product | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 53,196 USD | (514 | ) |
See Notes to Consolidated Financial Statements.
150
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Convergys Corp. | 09/17/20 | M | 2.39 | % | Deutsche Bank AG | 5,517,257 USD | $ | (218,726 | ) | ||||||||||||||||||
Cooper Cos., Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 66,076 USD | 2,103 | ||||||||||||||||||||
Cooper Standard Holding | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 73,570 USD | (982 | ) | |||||||||||||||||||
Cooper Tire & Rubber | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 132,851 USD | (7,737 | ) | |||||||||||||||||||
Copa Holdings SA | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 301,098 USD | 1,416 | ||||||||||||||||||||
Core Mark Holding Co., Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 61,792 USD | (52 | ) | |||||||||||||||||||
CoreLogic, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 96,162 USD | (1,344 | ) | |||||||||||||||||||
CorEnergy Infrastructure Trust, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 251,287 USD | (2,357 | ) | |||||||||||||||||||
Corn | 11/30/18 | 3M | 0.00 | % | J.P. Morgan Securities LLC | 4,640,652 USD | (365,652 | ) | |||||||||||||||||||
Corn | 11/30/18 | 3M | 0.00 | % | J.P. Morgan Securities LLC | 4,642,872 USD | (367,872 | ) | |||||||||||||||||||
Corn | 11/30/18 | 3M | 0.00 | % | J.P. Morgan Securities LLC | 2,722,320 USD | (157,320 | ) | |||||||||||||||||||
Corn | 11/30/18 | 3M | 0.00 | % | JPMorgan Chase Bank, N.A. | 2,390,400 USD | (110,400 | ) | |||||||||||||||||||
Corning, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 469,857 USD | (7,639 | ) | |||||||||||||||||||
Corvel Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 411,037 USD | 9,629 | ||||||||||||||||||||
Corvus Pharmaceuticals, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 134,344 USD | (4,383 | ) | |||||||||||||||||||
Costamare, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 504,184 USD | (23,301 | ) | |||||||||||||||||||
Covanta Holding Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 701,362 USD | (28,888 | ) | |||||||||||||||||||
Covenant Transportation Group, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 51,755 USD | (1,772 | ) | |||||||||||||||||||
Covia Holdings Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 141,183 USD | (10,760 | ) |
See Notes to Consolidated Financial Statements.
151
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
CRA International, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 444,586 USD | $ | (15,657 | ) | ||||||||||||||||||
Cracker Barrel Old Country Store, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 440,415 USD | 2,447 | ||||||||||||||||||||
Craft Brew Alliance, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 120,218 USD | (8,220 | ) | |||||||||||||||||||
Cray, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 40,973 USD | (1,112 | ) | |||||||||||||||||||
Credit Acceptance Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 101,250 USD | (2,684 | ) | |||||||||||||||||||
Credit Agricole SA | 07/27/20 | M | 0.07 | % | JPMorgan Chase Bank, N.A. | 2,078,318 EUR | (111,491 | ) | |||||||||||||||||||
Credit Agricole SA | 03/26/19 | M | 0.05 | % | Credit Suisse Securities (Europe) Limited | 5,521,442 EUR | (262,735 | ) | |||||||||||||||||||
Croda International PLC | 03/26/19 | M | 1.12 | % | Credit Suisse Securities (Europe) Limited | 1,314,774 GBP | 13,940 | ||||||||||||||||||||
Croda International PLC | 07/27/20 | M | 1.02 | % | JPMorgan Chase Bank, N.A. | 5,160,000 GBP | 54,743 | ||||||||||||||||||||
Cross Country Healthcare, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 435,317 USD | 363 | ||||||||||||||||||||
Crown Castle International Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 71,720 USD | 756 | ||||||||||||||||||||
CryoLife, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 371,742 USD | 6,446 | ||||||||||||||||||||
CSG Systems International, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 697,208 USD | (27,953 | ) | |||||||||||||||||||
CSW Industrials, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 207,983 USD | (1,882 | ) | |||||||||||||||||||
CSX Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 176,613 USD | 959 | ||||||||||||||||||||
CTS Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 566,499 USD | (31,591 | ) | |||||||||||||||||||
CubeSmart | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 39,341 USD | (1,054 | ) |
See Notes to Consolidated Financial Statements.
152
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Cubic Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 75,885 USD | $ | 745 | |||||||||||||||||||
Culp, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 197,410 USD | (3,786 | ) | |||||||||||||||||||
CVB Financial Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 159,218 USD | (8,380 | ) | |||||||||||||||||||
CVR Energy, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 543,255 USD | 13,994 | ||||||||||||||||||||
Cypress Semiconductor Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 323,944 USD | (24,754 | ) | |||||||||||||||||||
Cypress Semiconductor Corp. | 01/27/20 | M | 2.22 | % | Credit Suisse Securities (Europe) Limited | 18,969 USD | 13 | ||||||||||||||||||||
Daktronics, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 281,085 USD | (6,309 | ) | |||||||||||||||||||
Dalata Hotel Group PLC | 03/25/19 | M | 0.05 | % | Credit Suisse Securities (Europe) Limited | 88,698 EUR | 910 | ||||||||||||||||||||
Danaher Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 501,164 USD | 3,670 | ||||||||||||||||||||
Danone | 03/26/19 | M | 0.05 | % | Credit Suisse Securities (Europe) Limited | 1,725,821 EUR | (1,501 | ) | |||||||||||||||||||
Danone | 07/27/20 | M | 0.07 | % | JPMorgan Chase Bank, N.A. | 8,701,730 EUR | (7,568 | ) | |||||||||||||||||||
Danske Bank A/S | 03/25/19 | M | 0.09 | % | Credit Suisse Securities (Europe) Limited | 53,798,038 DKK | (66,496 | ) | |||||||||||||||||||
Darden Restaurants, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 272,701 USD | (2,843 | ) | |||||||||||||||||||
Darling Ingredients, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 242,713 USD | 4,197 | ||||||||||||||||||||
Dassault Aviation SA | 03/26/19 | M | 0.05 | % | Credit Suisse Securities (Europe) Limited | 6,194,648 EUR | (44,840 | ) | |||||||||||||||||||
Dassault Systemes SA | 03/26/19 | M | 0.05 | % | Credit Suisse Securities (Europe) Limited | 466,358 EUR | 5,203 | ||||||||||||||||||||
Davide Campari Milano SpA | 10/04/19 | M | 0.05 | % | Credit Suisse Securities (Europe) Limited | 112,775 EUR | 1,482 | ||||||||||||||||||||
Davita, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 184,097 USD | 3,645 | ||||||||||||||||||||
Dawson Geophysical Co. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 101,277 USD | (163 | ) |
See Notes to Consolidated Financial Statements.
153
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Dean Foods Co. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 549,184 USD | $ | (36,131 | ) | ||||||||||||||||||
Dechra Pharamaceuticals PLC | 03/26/19 | M | 1.12 | % | Credit Suisse Securities (Europe) Limited | 207,474 GBP | (16,094 | ) | |||||||||||||||||||
Del Frisco’s Restaurant Group | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 16,319 USD | (839 | ) | |||||||||||||||||||
Del Taco Restaurants, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 246,644 USD | 11,818 | ||||||||||||||||||||
Delek US Holdings, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 239,957 USD | (10,495 | ) | |||||||||||||||||||
Delivery Hero SE | 03/26/19 | M | 0.05 | % | Credit Suisse Securities (Europe) Limited | 312,024 EUR | (13,762 | ) | |||||||||||||||||||
Delta Air Lines, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 156,497 USD | (703 | ) | |||||||||||||||||||
Deluxe Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 152,135 USD | 578 | ||||||||||||||||||||
Denny’s Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 341,786 USD | 11,273 | ||||||||||||||||||||
Dentsply Sirona, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 533,454 USD | (12,717 | ) | |||||||||||||||||||
Deutsche Boerse AG | 03/26/19 | M | 0.05 | % | Credit Suisse Securities (Europe) Limited | 409,741 EUR | (83 | ) | |||||||||||||||||||
Deutsche Wohnen AG | 03/26/19 | M | 0.05 | % | Credit Suisse Securities (Europe) Limited | 218,888 EUR | (3,665 | ) | |||||||||||||||||||
DHT Holdings, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 523,304 USD | 11,382 | ||||||||||||||||||||
Diamond Hill Investment Group | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 72,816 USD | 617 | ||||||||||||||||||||
Diamond Offshore Drilling, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 80,184 USD | 2,736 | ||||||||||||||||||||
DiamondRock Hospitality Co. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 28,913 USD | (391 | ) | |||||||||||||||||||
Diasorin SpA | 10/04/19 | M | 0.05 | % | Credit Suisse Securities (Europe) Limited | 105,626 EUR | (2,194 | ) | |||||||||||||||||||
Digi International, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 158,463 USD | 2,372 | ||||||||||||||||||||
DineEquity, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 646,062 USD | 271 |
See Notes to Consolidated Financial Statements.
154
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Diodes, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 209,101 USD | $ | (4,367 | ) | ||||||||||||||||||
Diplomat Pharmacy, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 64,007 USD | (1,545 | ) | |||||||||||||||||||
DNA Oyj | 03/25/19 | M | 0.05 | % | Credit Suisse Securities (Europe) Limited | 122,773 EUR | (1,465 | ) | |||||||||||||||||||
DNO ASA | 03/25/19 | M | 1.44 | % | Credit Suisse Securities (Europe) Limited | 2,306,661 NOK | 23,771 | ||||||||||||||||||||
Dolby Laboratories, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 430,107 USD | 2,377 | ||||||||||||||||||||
Dominion Energy, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 198,107 USD | 3,315 | ||||||||||||||||||||
Domino’s Pizza, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 127,275 USD | 1,257 | ||||||||||||||||||||
Domtar Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 935,846 USD | (26,732 | ) | |||||||||||||||||||
Donaldson Co., Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 101,389 USD | (1,299 | ) | |||||||||||||||||||
Dorian LPG Ltd. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 172,025 USD | 5,953 | ||||||||||||||||||||
Douglas Dynamics, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 326,641 USD | (18,595 | ) | |||||||||||||||||||
Dril Quip, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 73,213 USD | 1,087 | ||||||||||||||||||||
Drive Shack, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 30,975 USD | 464 | ||||||||||||||||||||
DSV A/S | 03/25/19 | M | 0.09 | % | Credit Suisse Securities (Europe) Limited | 1,831,919 DKK | 469 | ||||||||||||||||||||
DSW, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 365,907 USD | 16,260 | ||||||||||||||||||||
DTE Energy Co. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 423,329 USD | 6,643 | ||||||||||||||||||||
Ducommun, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 138,000 USD | 5,225 | ||||||||||||||||||||
Duke Eneregy Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 948,684 USD | 6,115 | ||||||||||||||||||||
Dunkin Brands Group, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 493,074 USD | 186 | ||||||||||||||||||||
DXC Technology Co. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 206,049 USD | (4,888 | ) |
See Notes to Consolidated Financial Statements.
155
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Dynex Capital, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 44,979 USD | $ | (70 | ) | ||||||||||||||||||
Eagle Bulk Shipping, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 385,779 USD | (2,669 | ) | |||||||||||||||||||
Eagle Pharmaceuticals, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 15,991 USD | 232 | ||||||||||||||||||||
Easterly Government Properties, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 122,126 USD | (2,168 | ) | |||||||||||||||||||
EastGroup Properties, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 2,277 USD | 18 | ||||||||||||||||||||
Eaton Corp. PLC | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 454,544 USD | (3,808 | ) | |||||||||||||||||||
Eaton Vance Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 159,209 USD | (162 | ) | |||||||||||||||||||
Ebix, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 150,911 USD | (2,346 | ) | |||||||||||||||||||
Echo Global Logistics, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 133,892 USD | (17,489 | ) | |||||||||||||||||||
EchoStar Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 419,290 USD | (1,542 | ) | |||||||||||||||||||
Edenred | 03/26/19 | M | 0.05 | % | Credit Suisse Securities (Europe) Limited | 293,920 EUR | 961 | ||||||||||||||||||||
EDF | 03/26/19 | M | 0.05 | % | Credit Suisse Securities (Europe) Limited | 310,825 EUR | (5,065 | ) | |||||||||||||||||||
EDF | 09/02/20 | M | 0.07 | % | JPMorgan Chase Bank, N.A. | 153,500 EUR | (2,612 | ) | |||||||||||||||||||
EDP Energias de Portugal SA | 03/27/20 | M | 0.05 | % | Credit Suisse Securities (Europe) Limited | 1,288,863 EUR | (40,046 | ) | |||||||||||||||||||
EDP Energias de Portugal SA | 09/29/20 | M | 0.07 | % | JPMorgan Chase Bank, N.A. | 1,431,860 EUR | (42,322 | ) | |||||||||||||||||||
Egypt Treasury Bill | 10/11/18 | 3M | 0.00 | % | Citibank N.A. | 110,030,568 EGP | 90,566 | ||||||||||||||||||||
El Paso Electric Co. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 228,116 USD | (6,638 | ) | |||||||||||||||||||
Elekta AB | 03/26/19 | M | 0.05 | % | Credit Suisse Securities (Europe) Limited | 3,758,962 SEK | (14,563 | ) | |||||||||||||||||||
Eli Lilly & Co. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 1,143,934 USD | 11,151 |
See Notes to Consolidated Financial Statements.
156
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Elisa Oyj | 03/25/19 | M | 0.05 | % | Credit Suisse Securities (Europe) Limited | 96,111 EUR | $ | (1,358 | ) | ||||||||||||||||||
EMC Insurance Group, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 31,679 USD | 284 | ||||||||||||||||||||
Emerald Expositions Events, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 394,884 USD | 4,361 | ||||||||||||||||||||
Emergent BioSolutions, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 163,779 USD | (323 | ) | |||||||||||||||||||
Emerson Electric Co. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 252,096 USD | (991 | ) | |||||||||||||||||||
Enanta Pharmaceuticals, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 23,287 USD | (1,751 | ) | |||||||||||||||||||
ENCE Energia y Celulosa, SA | 03/26/19 | M | 0.05 | % | Credit Suisse Securities (Europe) Limited | 631,291 EUR | 14,401 | ||||||||||||||||||||
Encompass Health Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 1,207,182 USD | 14,450 | ||||||||||||||||||||
Encore Wire Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 235,644 USD | (3,931 | ) | |||||||||||||||||||
Enel SpA | 10/04/19 | M | 0.05 | % | Credit Suisse Securities (Europe) Limited | 5,024,683 EUR | (278,285 | ) | |||||||||||||||||||
Energen Corp. | 09/17/20 | M | 2.39 | % | Deutsche Bank AG | 25,262,171 USD | 1,372,373 | ||||||||||||||||||||
Enersys | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 168,659 USD | 2,552 | ||||||||||||||||||||
Engility Holdings, Inc. | 09/17/20 | M | 2.39 | % | Deutsche Bank AG | 375,625 USD | 7,668 | ||||||||||||||||||||
Ennis, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 413,985 USD | (2,224 | ) | |||||||||||||||||||
Enova International, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 212,001 USD | (14,231 | ) | |||||||||||||||||||
EnPro Industries, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 32,490 USD | (766 | ) | |||||||||||||||||||
Ensign Group, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 791,896 USD | 35,632 | ||||||||||||||||||||
Entegra Financial Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 48,740 USD | 936 |
See Notes to Consolidated Financial Statements.
157
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Entercom Communications Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 345,633 USD | $ | — | |||||||||||||||||||
Entergy Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 741,171 USD | (6,701 | ) | |||||||||||||||||||
Enterprise Financial Service | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 429,340 USD | (12,951 | ) | |||||||||||||||||||
Entravision Communications Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 203,961 USD | (3,253 | ) | |||||||||||||||||||
Enzo Biochem, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 136,504 USD | 2,171 | ||||||||||||||||||||
ePlus, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 111,978 USD | (1,109 | ) | |||||||||||||||||||
EPR Properties | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 86,650 USD | 1,463 | ||||||||||||||||||||
Equifax, Inc. | 07/23/20 | M | 2.48 | % | Morgan Stanley Capital Services LLC | 30,034 USD | (3 | ) | |||||||||||||||||||
Equinor ASA | 03/25/19 | M | 1.44 | % | Credit Suisse Securities (Europe) Limited | 3,362,725 NOK | 23,450 | ||||||||||||||||||||
Equity Bancshares, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 195,792 USD | (7,344 | ) | |||||||||||||||||||
Equity LifeStyle Properties, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 42,096 USD | 245 | ||||||||||||||||||||
Era Group, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 135,675 USD | (2,937 | ) | |||||||||||||||||||
ERG SpA | 10/04/19 | M | 0.05 | % | Credit Suisse Securities (Europe) Limited | 333,237 EUR | (361 | ) | |||||||||||||||||||
Ericsson LM | 03/26/19 | M | 0.05 | % | Credit Suisse Securities (Europe) Limited | 2,590,042 SEK | 4,285 | ||||||||||||||||||||
Erie Indemnity Company | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 376,809 USD | (2,764 | ) | |||||||||||||||||||
Eros International PLC | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 49,346 USD | (1,773 | ) | |||||||||||||||||||
Erste Group Bank AG | 10/25/18 | M | 0.05 | % | Credit Suisse Securities (Europe) Limited | 1,750,714 EUR | (47,232 | ) | |||||||||||||||||||
ESCO Technologies, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 140,414 USD | 518 |
See Notes to Consolidated Financial Statements.
158
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Ethan Allen Interiors, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 658,703 USD | $ | (28,837 | ) | ||||||||||||||||||
Evercore Partners, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 132,641 USD | (1,524 | ) | |||||||||||||||||||
Evergy, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 102,354 USD | (1,740 | ) | |||||||||||||||||||
Eversource Energy | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 509,835 USD | (1,726 | ) | |||||||||||||||||||
EVERTEC, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 362,906 USD | 11,633 | ||||||||||||||||||||
Evolent Health, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 138,837 USD | 3,930 | ||||||||||||||||||||
Evraz PLC | 03/26/19 | M | 1.12 | % | Credit Suisse Securities (Europe) Limited | 511,302 GBP | 23,097 | ||||||||||||||||||||
EW Scripps Co. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 150,588 USD | 1,196 | ||||||||||||||||||||
Exantas Capital Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 100,534 USD | (1,176 | ) | |||||||||||||||||||
Exelon Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 704,427 USD | 1,730 | ||||||||||||||||||||
Exlservice Holdings, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 294,596 USD | 127 | ||||||||||||||||||||
Expeditors International of Washington, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 300,438 USD | 1,697 | ||||||||||||||||||||
Experian PLC | 03/26/19 | M | 1.12 | % | Credit Suisse Securities (Europe) Limited | 331,369 GBP | 5,022 | ||||||||||||||||||||
Exponent, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 301,281 USD | 4,936 | ||||||||||||||||||||
Express Scripts Holding Co. | 09/17/20 | M | 2.39 | % | Deutsche Bank AG | 26,055,560 USD | 118,459 | ||||||||||||||||||||
Extended Stay America, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 455,446 USD | 9,864 | ||||||||||||||||||||
Exterran Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 151,841 USD | 6,039 | ||||||||||||||||||||
Extra Space Storage, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 58,864 USD | (208 | ) | |||||||||||||||||||
Exxon Mobil Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 472,299 USD | (2,053 | ) |
See Notes to Consolidated Financial Statements.
159
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Fabege AB | 03/26/19 | M | 0.05 | % | Credit Suisse Securities (Europe) Limited | 2,654,658 SEK | $ | (1,040 | ) | ||||||||||||||||||
Factset Research Systems, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 221,345 USD | (2,109 | ) | |||||||||||||||||||
Fair Isaac Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 121,413 USD | (968 | ) | |||||||||||||||||||
Farmer Bros. Co. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 119,034 USD | (3,587 | ) | |||||||||||||||||||
Faro Technologies, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 151,208 USD | (2,881 | ) | |||||||||||||||||||
FB Financial Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 107,966 USD | (11,740 | ) | |||||||||||||||||||
FBL Financial Group, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 55,338 USD | (3,641 | ) | |||||||||||||||||||
FCB Financial Holdings | 09/17/20 | M | 2.39 | % | Deutsche Bank AG | 3,841,157 USD | (151,778 | ) | |||||||||||||||||||
Federal Signal Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 41,103 USD | 31 | ||||||||||||||||||||
Fedex Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 50,327 USD | (1 | ) | |||||||||||||||||||
FedNat Holding Co. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 216,286 USD | 2,842 | ||||||||||||||||||||
Ferguson PLC | 03/26/19 | M | 1.12 | % | Credit Suisse Securities (Europe) Limited | 293,148 GBP | 1,394 | ||||||||||||||||||||
Ferrari | 10/04/19 | M | 0.05 | % | Credit Suisse Securities (Europe) Limited | 122,511 EUR | 2,069 | ||||||||||||||||||||
Fevertree Drinks PLC | 03/26/19 | M | 1.12 | % | Credit Suisse Securities (Europe) Limited | 471,135 GBP | (5,035 | ) | |||||||||||||||||||
Fidelity National Information Services, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 353,874 USD | (3,105 | ) | |||||||||||||||||||
Fidelity Southern Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 81,811 USD | (2,466 | ) | |||||||||||||||||||
Fiesta Restaurant Group | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 105,437 USD | 1,804 | ||||||||||||||||||||
Financial Institutions, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 212,017 USD | (5,908 | ) |
See Notes to Consolidated Financial Statements.
160
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
FinecoBank SpA | 10/04/19 | M | 0.05 | % | Credit Suisse Securities (Europe) Limited | 288,513 EUR | $ | (3,762 | ) | ||||||||||||||||||
First American Financial Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 193,752 USD | (2,353 | ) | |||||||||||||||||||
First Bancorp | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 234,422 USD | (922 | ) | |||||||||||||||||||
First BanCorp | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 220,138 USD | (364 | ) | |||||||||||||||||||
First Bancshares, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 183,245 USD | (5,020 | ) | |||||||||||||||||||
First Busey Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 374,348 USD | (2,990 | ) | |||||||||||||||||||
First Business Financial Services, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 34,402 USD | (1,162 | ) | |||||||||||||||||||
First Citizens Bancshares | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 10,236 USD | (285 | ) | |||||||||||||||||||
First Commonwealth Financial Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 69,797 USD | (1,315 | ) | |||||||||||||||||||
First Community Bancshares | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 66,181 USD | (658 | ) | |||||||||||||||||||
First Defiance Financial Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 249,355 USD | (9,710 | ) | |||||||||||||||||||
First Financial Bankshares, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 240,644 USD | (7,495 | ) | |||||||||||||||||||
First Financial Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 120,759 USD | (3,843 | ) | |||||||||||||||||||
First Hawaiian, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 27,262 USD | (754 | ) | |||||||||||||||||||
First Interstate BancSystem, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 325,887 USD | (6,418 | ) | |||||||||||||||||||
First Merchants Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 217,786 USD | (12,631 | ) | |||||||||||||||||||
First Midwest Bancorp, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 252,824 USD | (8,010 | ) |
See Notes to Consolidated Financial Statements.
161
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
FirstCash, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 19,090 USD | $ | (230 | ) | ||||||||||||||||||
FirstEnergy Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 382,820 USD | 2,633 | ||||||||||||||||||||
Five Prime Therapeutics, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 50,648 USD | 146 | ||||||||||||||||||||
Flexsteel Industries | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 144,104 USD | (7,865 | ) | |||||||||||||||||||
FLIR Systems, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 429,474 USD | 2,415 | ||||||||||||||||||||
Flowers Foods, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 461,156 USD | (16,078 | ) | |||||||||||||||||||
Fluidigm Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 155,932 USD | (7,548 | ) | |||||||||||||||||||
FNF Group | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 172,601 USD | (641 | ) | |||||||||||||||||||
Fonar Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 117,784 USD | 1,163 | ||||||||||||||||||||
Foot Locker, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 18,336 USD | 323 | ||||||||||||||||||||
Ford Motor Co. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 729,304 USD | (44,425 | ) | |||||||||||||||||||
Forestar Group, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 119,812 USD | (12,625 | ) | |||||||||||||||||||
Forrester Research, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 280,182 USD | 3,985 | ||||||||||||||||||||
Fortum Oyj | 03/25/19 | M | 0.05 | % | Credit Suisse Securities (Europe) Limited | 478,182 EUR | (5,999 | ) | |||||||||||||||||||
Forward Air Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 503,903 USD | 16,998 | ||||||||||||||||||||
Foundation Building Material | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 165,624 USD | (5,522 | ) | |||||||||||||||||||
Four Corners Property Trust | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 82,465 USD | — | ||||||||||||||||||||
Frank’s International NV | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 360,109 USD | 17,853 | ||||||||||||||||||||
Franklin Covey Co. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 17,704 USD | (37 | ) |
See Notes to Consolidated Financial Statements.
162
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Franklin Electric Co., Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 618 USD | $ | (3 | ) | ||||||||||||||||||
FreightCar America, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 120,378 USD | (1,637 | ) | |||||||||||||||||||
Fresh del Monte Produce, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 444,596 USD | (15,718 | ) | |||||||||||||||||||
Freshpet, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 65,901 USD | 3,498 | ||||||||||||||||||||
Frontier Communications Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 18,006 USD | 43 | ||||||||||||||||||||
FRP Holdings, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 172,949 USD | (6,335 | ) | |||||||||||||||||||
FTI Consulting, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 252,274 USD | 1,256 | ||||||||||||||||||||
FTS International, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 58,392 USD | 500 | ||||||||||||||||||||
FutureFuel Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 313,921 USD | 21,801 | ||||||||||||||||||||
Galenica AG | 03/26/19 | M | 0.33 | % | Credit Suisse Securities (Europe) Limited | 263,001 CHF | 1,432 | ||||||||||||||||||||
GAMCO Investors, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 51,584 USD | (3,221 | ) | |||||||||||||||||||
Gamestop Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 509,677 USD | (37,483 | ) | |||||||||||||||||||
Gaming and Leisure Properties, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 209,109 USD | 4,224 | ||||||||||||||||||||
Gannett Co., Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 898,214 USD | (29,507 | ) | |||||||||||||||||||
Gap, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 53,190 USD | 903 | ||||||||||||||||||||
Garmin Ltd. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 589,857 USD | 735 | ||||||||||||||||||||
GasLog Ltd. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 485,711 USD | (7,268 | ) | |||||||||||||||||||
GATX Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 498,195 USD | 4,460 |
See Notes to Consolidated Financial Statements.
163
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Gemalto | 08/26/20 | M | 0.05 | % | Credit Suisse Securities (Europe) Limited | 1,556,496 EUR | $ | 2,163 | |||||||||||||||||||
Gemalto | 09/17/20 | M | 0.05 | % | Deutsche Bank AG | 13,612,208 EUR | 18,912 | ||||||||||||||||||||
Gemalto | 03/26/19 | M | 0.05 | % | Credit Suisse Securities (Europe) Limited | 5,539,768 EUR | 7,697 | ||||||||||||||||||||
Genco Shipping Trading Ltd. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 389,328 USD | 10,862 | ||||||||||||||||||||
Gencor Industries, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 14,407 USD | (574 | ) | |||||||||||||||||||
General Mills, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 286,689 USD | (8,353 | ) | |||||||||||||||||||
General Motors Co. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 201,438 USD | (2,381 | ) | |||||||||||||||||||
Genesco, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 142,404 USD | (21 | ) | |||||||||||||||||||
Genesee & Wyoming, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 497,734 USD | (1,929 | ) | |||||||||||||||||||
Genomic Health, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 54,283 USD | 840 | ||||||||||||||||||||
Genpact Ltd. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 328,600 USD | (2,451 | ) | |||||||||||||||||||
Gentex Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 192,240 USD | (8,886 | ) | |||||||||||||||||||
Gentherm, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 123,053 USD | (8,565 | ) | |||||||||||||||||||
Genuine Parts Co. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 308,704 USD | (67 | ) | |||||||||||||||||||
German American Bancorp | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 123,869 USD | (5,116 | ) | |||||||||||||||||||
Getty Realty Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 95,103 USD | 401 | ||||||||||||||||||||
Gibraltar Industries, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 24,149 USD | (300 | ) | |||||||||||||||||||
Gilead Sciences, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 831,291 USD | 18,482 | ||||||||||||||||||||
Glacier Bancorp, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 110,312 USD | (3,018 | ) |
See Notes to Consolidated Financial Statements.
164
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Gladstone Commercial Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 120,169 USD | $ | 1,012 | |||||||||||||||||||
Glatfelter | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 584,715 USD | (22,881 | ) | |||||||||||||||||||
Global Brass & Copper Holdings, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 3,252 USD | (4 | ) | |||||||||||||||||||
Global Net Lease, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 31,861 USD | 727 | ||||||||||||||||||||
Globus Medical, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 238,258 USD | 11,656 | ||||||||||||||||||||
GN Store Nord A/S | 03/25/19 | M | 0.09 | % | Credit Suisse Securities (Europe) Limited | 3,203,416 DKK | (10,758 | ) | |||||||||||||||||||
Goodyear Tire & Rubber Co. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 119,730 USD | (5,750 | ) | |||||||||||||||||||
Gorman Rupp Co. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 378,830 USD | (15,144 | ) | |||||||||||||||||||
GP Strategies Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 39,198 USD | (4,066 | ) | |||||||||||||||||||
GrafTech International Ltd. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 56,942 USD | (1,339 | ) | |||||||||||||||||||
Graham Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 107,627 USD | 292 | ||||||||||||||||||||
Graham Holdings Co. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 191,571 USD | 177 | ||||||||||||||||||||
Grand City Properties | 03/26/19 | M | 0.05 | % | Credit Suisse Securities (Europe) Limited | 373,126 EUR | (1,221 | ) | |||||||||||||||||||
Granges AB | 03/26/19 | M | 0.05 | % | Credit Suisse Securities (Europe) Limited | 963,872 SEK | (5,810 | ) | |||||||||||||||||||
Granite Point Mortgage Trust | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 77,980 USD | 316 | ||||||||||||||||||||
Graphic Packaging Holding Co. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 425,746 USD | (19,708 | ) | |||||||||||||||||||
Great Ajax Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 90,954 USD | (598 | ) | |||||||||||||||||||
Great Southern Bancorp, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 149,847 USD | (6,103 | ) |
See Notes to Consolidated Financial Statements.
165
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Great Western Bancorp, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 60,523 USD | $ | (1,499 | ) | ||||||||||||||||||
Green Brick Partners, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 215,843 USD | 5,478 | ||||||||||||||||||||
Green Plains, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 523,888 USD | (6,116 | ) | |||||||||||||||||||
Greenbrier Companies, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 256,094 USD | (849 | ) | |||||||||||||||||||
Greenhill & Co., Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 118,687 USD | (5,988 | ) | |||||||||||||||||||
Greif, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 456,584 USD | (37,124 | ) | |||||||||||||||||||
Grenke AG | 03/26/19 | M | 0.05 | % | Credit Suisse Securities (Europe) Limited | 207,800 EUR | (5,290 | ) | |||||||||||||||||||
Grieg Seafood ASA | 03/25/19 | M | 1.44 | % | Credit Suisse Securities (Europe) Limited | 3,085,880 NOK | 9,604 | ||||||||||||||||||||
Griffon Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 121,241 USD | (4,799 | ) | |||||||||||||||||||
Group 1 Automotive, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 296,457 USD | (19,724 | ) | |||||||||||||||||||
Guaranty Bancorp | 09/17/20 | M | 2.39 | % | Deutsche Bank AG | 812,924 USD | (13,459 | ) | |||||||||||||||||||
Guess?, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 112,791 USD | (175 | ) | |||||||||||||||||||
GulfMark Offshore, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 4,257 USD | 107 | ||||||||||||||||||||
GVC Holding | 03/26/19 | M | 1.12 | % | Credit Suisse Securities (Europe) Limited | 309,311 GBP | (20,276 | ) | |||||||||||||||||||
H&E Equipment Services, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 164,996 USD | 2,974 | ||||||||||||||||||||
H&R Block, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 12,145 USD | 112 | ||||||||||||||||||||
Hackett Group, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 393,405 USD | (4,631 | ) | |||||||||||||||||||
Haemonetics Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 232,941 USD | 5,844 | ||||||||||||||||||||
Hallador Energy Co. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 70,009 USD | 2,784 |
See Notes to Consolidated Financial Statements.
166
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Halma PLC | 03/26/19 | M | 1.12 | % | Credit Suisse Securities (Europe) Limited | 78,301 GBP | $ | 3,245 | |||||||||||||||||||
Hamilton Lane, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 345,171 USD | (18,208 | ) | |||||||||||||||||||
Hannover Rueck SE | 03/26/19 | M | 0.05 | % | Credit Suisse Securities (Europe) Limited | 124,366 EUR | 1,567 | ||||||||||||||||||||
Hanover Insurance Group, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 313,345 USD | 8,281 | ||||||||||||||||||||
HarborOne Bancorp, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 2,651 USD | (88 | ) | |||||||||||||||||||
Hargreaves Lansdown PLC | 03/26/19 | M | 1.12 | % | Credit Suisse Securities (Europe) Limited | 380,275 GBP | (5,521 | ) | |||||||||||||||||||
Harley Davidson, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 149,050 USD | 486 | ||||||||||||||||||||
Harmonic, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 15,325 USD | 223 | ||||||||||||||||||||
Hartford Financial Services Group | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 50,856 USD | 54 | ||||||||||||||||||||
Hasbro, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 87,091 USD | (1,629 | ) | |||||||||||||||||||
Haverty Furniture Co., Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 394,110 USD | 3,933 | ||||||||||||||||||||
Hawaiian Electric Industries, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 716,180 USD | 5,407 | ||||||||||||||||||||
Hawkins, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 189,646 USD | (1,919 | ) | |||||||||||||||||||
Haynes International, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 509,275 USD | 540 | ||||||||||||||||||||
HCA Healthcare, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 402,536 USD | 16,494 | ||||||||||||||||||||
Health Insurance Innovations | 07/23/20 | M | 2.48 | % | Morgan Stanley Capital Services LLC | 29,008 USD | 29 |
See Notes to Consolidated Financial Statements.
167
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
HealthEquity, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 71,345 USD | $ | 973 | |||||||||||||||||||
HealthStream, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 484,019 USD | 13,630 | ||||||||||||||||||||
Heartland Express, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 111,389 USD | (1,394 | ) | |||||||||||||||||||
Heartland Financial USA, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 332,967 USD | (16,362 | ) | |||||||||||||||||||
Heidrick & Struggles International | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 439,744 USD | (17,296 | ) | |||||||||||||||||||
Helen of Troy Ltd. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 80,700 USD | 196 | ||||||||||||||||||||
Helix Energy Solutions Group | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 145,097 USD | 2,086 | ||||||||||||||||||||
Helmerich & Payne | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 717,313 USD | 11,236 | ||||||||||||||||||||
Hemfosa Fastigheter AB | 03/26/19 | M | 0.05 | % | Credit Suisse Securities (Europe) Limited | 1,080,176 SEK | (2,933 | ) | |||||||||||||||||||
Hemisphere Media Group, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 72,350 USD | 1,069 | ||||||||||||||||||||
Heritage Commerce Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 166,963 USD | (4,783 | ) | |||||||||||||||||||
Heritage Crystal Clean, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 114,309 USD | 4,162 | ||||||||||||||||||||
Heritage Financial Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 91,575 USD | (4,579 | ) | |||||||||||||||||||
Herman Miller, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 124,346 USD | (3,310 | ) | |||||||||||||||||||
Hersha Hospitality Trust | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 131,463 USD | (1,382 | ) | |||||||||||||||||||
Hershey Co. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 209,698 USD | (2,026 | ) | |||||||||||||||||||
Heska Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 84,161 USD | 1,728 | ||||||||||||||||||||
HESS CORP | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 20,095 USD | 305 |
See Notes to Consolidated Financial Statements.
168
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Hewlett Packard Enterprise | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 487,367 USD | $ | (19,711 | ) | ||||||||||||||||||
Hexagon AB | 03/26/19 | M | 0.05 | % | Credit Suisse Securities (Europe) Limited | 2,252,982 SEK | (2,130 | ) | |||||||||||||||||||
Hexel Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 96,704 USD | 49 | ||||||||||||||||||||
Hikma PHarmaceuticals PLC | 03/26/19 | M | 1.12 | % | Credit Suisse Securities (Europe) Limited | 118,796 GBP | (443 | ) | |||||||||||||||||||
Hill-Rom Holdings, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 725,663 USD | 24,439 | ||||||||||||||||||||
Hillenbrand, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 288,650 USD | 830 | ||||||||||||||||||||
HMS Holdings Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 274,104 USD | 6,323 | ||||||||||||||||||||
HNI Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 293,123 USD | 188 | ||||||||||||||||||||
HollyFrontier Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 449,980 USD | 18,630 | ||||||||||||||||||||
Hologic, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 64,262 USD | 405 | ||||||||||||||||||||
Home Bancorp, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 60,006 USD | (1,177 | ) | |||||||||||||||||||
Home Depot, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 225,183 USD | (11 | ) | |||||||||||||||||||
HomeServe PLC | 03/26/19 | M | 1.12 | % | Credit Suisse Securities (Europe) Limited | 243,739 GBP | (4,388 | ) | |||||||||||||||||||
HomeStreet, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 61,325 USD | (4,403 | ) | |||||||||||||||||||
HomeTrust Bancshares, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 142,086 USD | (3,099 | ) | |||||||||||||||||||
Hooker Furniture Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 369,920 USD | (13,905 | ) | |||||||||||||||||||
Horace Mann Educators | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 123,630 USD | (4,510 | ) | |||||||||||||||||||
Horizon Bancorp Indiana | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 185,500 USD | (2,319 | ) | |||||||||||||||||||
Horizon Pharma PLC | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 117,145 USD | 3,644 |
See Notes to Consolidated Financial Statements.
169
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Hormel Foods Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 230,715 USD | $ | (3,377 | ) | ||||||||||||||||||
Hospitality Properties Trust | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 203,645 USD | 1,061 | ||||||||||||||||||||
Hostess Brands, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 47,548 USD | (2,383 | ) | |||||||||||||||||||
Houlihan Lokey, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 102,961 USD | (925 | ) | |||||||||||||||||||
Howard Hughes Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 76,225 USD | (575 | ) | |||||||||||||||||||
Howden Joinery Group PLC | 03/26/19 | M | 1.12 | % | Credit Suisse Securities (Europe) Limited | 83,038 GBP | (1,277 | ) | |||||||||||||||||||
HP, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 458,075 USD | (1,121 | ) | |||||||||||||||||||
Hub Group, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 54,788 USD | (569 | ) | |||||||||||||||||||
Hubbell, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 232,128 USD | (1,720 | ) | |||||||||||||||||||
Humana, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 642,409 USD | 1,456 | ||||||||||||||||||||
Hurco Companies, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 148,574 USD | (1,864 | ) | |||||||||||||||||||
Huron Consulting Group, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 165,459 USD | (117 | ) | |||||||||||||||||||
Hyatt Hotels Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 197,941 USD | 1,591 | ||||||||||||||||||||
Hyster Yale Materials | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 196,050 USD | (14,598 | ) | |||||||||||||||||||
ICF International, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 335,765 USD | 7,004 | ||||||||||||||||||||
ICU Medical, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 188,548 USD | 12,204 | ||||||||||||||||||||
IdaCorp., Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 421,538 USD | 884 | ||||||||||||||||||||
IDEXX Laboratories, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 198,696 USD | 7,024 | ||||||||||||||||||||
IES Holdings, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 40,864 USD | 105 |
See Notes to Consolidated Financial Statements.
170
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
IG Group Holdings PLC | 03/26/19 | M | 1.12 | % | Credit Suisse Securities (Europe) Limited | 372,678 GBP | $ | (86,297 | ) | ||||||||||||||||||
IHS Markit Ltd. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 233,671 USD | 1,648 | ||||||||||||||||||||
IMCD NV | 03/26/19 | M | 0.05 | % | Credit Suisse Securities (Europe) Limited | 276,253 EUR | 3,962 | ||||||||||||||||||||
Imperial Brands PLC | 03/26/19 | M | 1.12 | % | Credit Suisse Securities (Europe) Limited | 3,486,313 GBP | 22,225 | ||||||||||||||||||||
Independen Bank Group, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 20,197 USD | (374 | ) | |||||||||||||||||||
Independence Contract Drilling, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 128,608 USD | 6,762 | ||||||||||||||||||||
Independence Holding Co. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 47,053 USD | 3,674 | ||||||||||||||||||||
Indtuit, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 274,544 USD | 6,067 | ||||||||||||||||||||
Inel Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 144,789 USD | 3,465 | ||||||||||||||||||||
Informa PLC | 03/26/19 | M | 1.12 | % | Credit Suisse Securities (Europe) Limited | 3,655 GBP | 174 | ||||||||||||||||||||
Informa PLC | 07/27/20 | M | 1.02 | % | JPMorgan Chase Bank, N.A. | 2,585,865 GBP | 122,827 | ||||||||||||||||||||
Information Services Group | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 100,637 USD | (66 | ) | |||||||||||||||||||
ING Groep NV | 03/26/19 | M | 0.05 | % | Credit Suisse Securities (Europe) Limited | 1,814,422 EUR | (55,573 | ) | |||||||||||||||||||
ING Groep NV | 07/27/20 | M | 0.07 | % | JPMorgan Chase Bank, N.A. | 11,750,340 EUR | (518,673 | ) | |||||||||||||||||||
Ingles Markets, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 375,043 USD | 2,255 | ||||||||||||||||||||
Ingredion, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 147,168 USD | 1,455 | ||||||||||||||||||||
Innogy SE | 03/26/19 | M | 0.05 | % | Credit Suisse Securities (Europe) Limited | 9,511,896 EUR | 25,454 | ||||||||||||||||||||
Innogy SE | 09/16/20 | M | 0.07 | % | JPMorgan Chase Bank, N.A. | 597,814 EUR | 1,668 | ||||||||||||||||||||
Innophos Holdings, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 693,629 USD | (18,127 | ) | |||||||||||||||||||
Innospec, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 157,941 USD | 932 |
See Notes to Consolidated Financial Statements.
171
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Innoviva, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 90,667 USD | $ | 1,520 | |||||||||||||||||||
Inovalon Holdings, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 78,597 USD | (4,428 | ) | |||||||||||||||||||
Insight Enterprises, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 240,389 USD | (5,584 | ) | |||||||||||||||||||
Insperity, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 247,640 USD | 3,712 | ||||||||||||||||||||
Insteel Industries, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 166,702 USD | (1,151 | ) | |||||||||||||||||||
Integer Holdings Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 384,368 USD | (3,794 | ) | |||||||||||||||||||
Integra LifeSciences Holding | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 63,330 USD | 2,408 | ||||||||||||||||||||
Integrated Device Technology, Inc. | 09/17/20 | M | 2.39 | % | Deutsche Bank AG | 24,006,153 USD | (35,425 | ) | |||||||||||||||||||
Integrated Device Technology, Inc. | 09/29/20 | M | 2.48 | % | Goldman Sachs International | 595,957 USD | (340 | ) | |||||||||||||||||||
Inter Parfums, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 64,953 USD | (309 | ) | |||||||||||||||||||
Intercontinental Hotels Group | 03/26/19 | M | 1.12 | % | Credit Suisse Securities (Europe) Limited | 1,930,109 GBP | 16,955 | ||||||||||||||||||||
InterContinental Hotels Group | 07/27/20 | M | 1.02 | % | JPMorgan Chase Bank, N.A. | 4,748,000 GBP | 41,709 | ||||||||||||||||||||
InterDigital, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 471,481 USD | 1,079 | ||||||||||||||||||||
Interface, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 86,363 USD | (551 | ) | |||||||||||||||||||
International Bancshares Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 231,381 USD | (9,846 | ) |
See Notes to Consolidated Financial Statements.
172
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
International Business Machines Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 638,746 USD | $ | (186 | ) | ||||||||||||||||||
International Game Technology PLC | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 141,987 USD | 1,477 | ||||||||||||||||||||
International Paper Co. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 505,965 USD | (42,628 | ) | |||||||||||||||||||
International Speedway Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 585,965 USD | (16,259 | ) | |||||||||||||||||||
Interpublic Group of Cos., Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 177,013 USD | (2,355 | ) | |||||||||||||||||||
Intertek Group PLC | 03/26/19 | M | 1.12 | % | Credit Suisse Securities (Europe) Limited | 73,869 GBP | 797 | ||||||||||||||||||||
INTL FCStone, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 226,652 USD | (707 | ) | |||||||||||||||||||
Intra-Cellular Therapies, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 71,113 USD | 84 | ||||||||||||||||||||
Invacare Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 742,693 USD | (9,882 | ) | |||||||||||||||||||
Invesco Mortgage Capital, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 233,870 USD | 1,010 | ||||||||||||||||||||
Ipsen | 03/26/19 | M | 0.05 | % | Credit Suisse Securities (Europe) Limited | 123,209 EUR | 1,532 | ||||||||||||||||||||
IQVIA Holdings, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 7,447 USD | (52 | ) | |||||||||||||||||||
Iridium Communications, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 162,385 USD | 19,843 | ||||||||||||||||||||
J&J Snack Foods Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 284,670 USD | 6,095 | ||||||||||||||||||||
J. Alexander’s Holdings, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 108,669 USD | (8,006 | ) | |||||||||||||||||||
J.B. Hunt Transport Services, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 418,929 USD | (1,212 | ) |
See Notes to Consolidated Financial Statements.
173
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
J2 Global, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 497,750 USD | $ | 7,966 | |||||||||||||||||||
Jabil, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 323,355 USD | (25,394 | ) | |||||||||||||||||||
Jack Henry & Associates, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 491,805 USD | 2,362 | ||||||||||||||||||||
Jack in the Box, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 168,640 USD | (561 | ) | |||||||||||||||||||
Jardine Lloyd Thompson Group PLC | 09/17/20 | M | 1.07 | % | Deutsche Bank AG | 5,354,879 GBP | 53,469 | ||||||||||||||||||||
JD Sports Fashion PLC | 03/26/19 | M | 1.12 | % | Credit Suisse Securities (Europe) Limited | 286,071 GBP | 5,431 | ||||||||||||||||||||
JM Smucker Co. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 205,595 USD | (13,612 | ) | |||||||||||||||||||
John B. Sanfilippo & Son, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 487,788 USD | (1,975 | ) | |||||||||||||||||||
John Wiley & Sons, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 400,859 USD | 10,069 | ||||||||||||||||||||
Johnson & Johnson | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 900,447 USD | (20,995 | ) | |||||||||||||||||||
Johnson Controls International PLC | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 321,041 USD | (13,531 | ) | |||||||||||||||||||
Johnson Mathey PLC | 03/26/19 | M | 1.12 | % | Credit Suisse Securities (Europe) Limited | 70,007 GBP | (2,758 | ) | |||||||||||||||||||
Johnson Outdoors, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 45,668 USD | (1,219 | ) | |||||||||||||||||||
Jones Lang Lasalle, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 47,802 USD | (465 | ) | |||||||||||||||||||
Juniper Networks, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 238,050 USD | 1,680 | ||||||||||||||||||||
K12, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 343,948 USD | 2,742 | ||||||||||||||||||||
Kaiser Aluminum Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 457,892 USD | (3,766 | ) | |||||||||||||||||||
Kaman Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 350,503 USD | 426 |
See Notes to Consolidated Financial Statements.
174
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Kansas City Southern Railway | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 340,295 USD | $ | (9,291 | ) | ||||||||||||||||||
KapStone Paper and Packaging | 09/17/20 | M | 2.39 | % | Deutsche Bank AG | 6,087,687 USD | (3,588 | ) | |||||||||||||||||||
KAR Auction Services, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 259,141 USD | (5,698 | ) | |||||||||||||||||||
Kearny Financial Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 214,046 USD | (2,293 | ) | |||||||||||||||||||
Kellogg Co. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 300,763 USD | (12,280 | ) | |||||||||||||||||||
Kelly Services, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 606,815 USD | (6,714 | ) | |||||||||||||||||||
Kennedy Wilson Holdings, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 210,588 USD | (1,114 | ) | |||||||||||||||||||
Kering | 03/26/19 | M | 0.05 | % | Credit Suisse Securities (Europe) Limited | 231,223 EUR | 3,855 | ||||||||||||||||||||
Kering | 09/02/20 | M | 0.07 | % | JPMorgan Chase Bank, N.A. | 682,050 EUR | 12,191 | ||||||||||||||||||||
Kesko Oyj | 03/25/19 | M | 0.05 | % | Credit Suisse Securities (Europe) Limited | 94,184 EUR | (1,407 | ) | |||||||||||||||||||
Keysight Technologies, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 60,180 USD | 1,195 | ||||||||||||||||||||
Keywords Studios | 03/26/19 | M | 1.12 | % | Credit Suisse Securities (Europe) Limited | 327,735 GBP | 14,006 | ||||||||||||||||||||
Kforce, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 494,551 USD | (8,458 | ) | |||||||||||||||||||
Kimball Electronics, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 159,439 USD | (294 | ) | |||||||||||||||||||
Kimball International | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 285,368 USD | (16,380 | ) | |||||||||||||||||||
Kinder Morgan, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 581,841 USD | (8,984 | ) | |||||||||||||||||||
Kindred Biosciences, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 281,147 USD | 17,104 | ||||||||||||||||||||
Kinnevik AB | 03/26/19 | M | 0.05 | % | Credit Suisse Securities (Europe) Limited | 692,440 SEK | (1,337 | ) |
See Notes to Consolidated Financial Statements.
175
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Kinsale Capital Group, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 179,647 USD | $ | 2,290 | |||||||||||||||||||
Kirkland’s, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 228,637 USD | 17,832 | ||||||||||||||||||||
KKR Real Estate Finance Trust | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 111,895 USD | (2,069 | ) | |||||||||||||||||||
KLA Tencor Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 107,922 USD | 399 | ||||||||||||||||||||
KMG Chemicals, Inc. | 09/17/20 | M | 2.39 | % | Deutsche Bank AG | 604,999 USD | (1,199 | ) | |||||||||||||||||||
Knoll, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 480,409 USD | (12,957 | ) | |||||||||||||||||||
Knowles Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 301,085 USD | 2,114 | ||||||||||||||||||||
Kohl’s Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 149,045 USD | (1,212 | ) | |||||||||||||||||||
Koninklijke KPN NV | 03/26/19 | M | 0.05 | % | Credit Suisse Securities (Europe) Limited | 5,899,689 EUR | (187,667 | ) | |||||||||||||||||||
Koninklijke KPN NV | 03/26/19 | M | 0.05 | % | Credit Suisse Securities (Europe) Limited | 2,291,497 EUR | (49,583 | ) | |||||||||||||||||||
Koninklijke Kpn Nv | 03/26/19 | M | 0.05 | % | Credit Suisse Securities (Europe) Limited | 115,145 EUR | 2,863 | ||||||||||||||||||||
Koninklijke KPN NV | 07/27/20 | M | 0.07 | % | JPMorgan Chase Bank, N.A. | 4,720,818 EUR | (150,167 | ) | |||||||||||||||||||
Korn/Ferry International | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 141,060 USD | 751 | ||||||||||||||||||||
Kraft Heinz Co. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 440,534 USD | (15,195 | ) | |||||||||||||||||||
Kronos Worldwide, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 176,124 USD | (8,067 | ) | |||||||||||||||||||
KVH Industries, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 31,544 USD | 2,005 | ||||||||||||||||||||
L Brands, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 89,683 USD | (56 | ) | |||||||||||||||||||
L.B. Foster Co. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 79,198 USD | (7,972 | ) | |||||||||||||||||||
L3 Technologies, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 41,831 USD | 55 |
See Notes to Consolidated Financial Statements.
176
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
La-Z-Boy, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 216,996 USD | $ | (4,043 | ) | ||||||||||||||||||
Laboratory Corporation of America Holdings | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 403,361 USD | 5,134 | ||||||||||||||||||||
Ladder Capital Corp. REIT | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 224,441 USD | (663 | ) | |||||||||||||||||||
Lakeland Financial Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 311,453 USD | (12,540 | ) | |||||||||||||||||||
Lamar Advertising Co. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 184,285 USD | 1,734 | ||||||||||||||||||||
Lamb Weston Holdings, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 352,020 USD | (1,970 | ) | |||||||||||||||||||
Lancaster Colony Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 411,789 USD | (5,938 | ) | |||||||||||||||||||
Landec Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 166,281 USD | 12,409 | ||||||||||||||||||||
Landstar System, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 467,490 USD | 2,698 | ||||||||||||||||||||
Lannett Co., Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 473,572 USD | (23,320 | ) | |||||||||||||||||||
Las Vegas Sands Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 329,159 USD | (6,404 | ) | |||||||||||||||||||
LaSalle Hotel Properties | 09/17/20 | M | 2.39 | % | Deutsche Bank AG | 3,513,155 USD | 12,534 | ||||||||||||||||||||
Lattice Semiconductor Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 66,198 USD | 2,490 | ||||||||||||||||||||
Lawson Products, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 79,433 USD | 7,013 | ||||||||||||||||||||
Lazard Ltd. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 15,686 USD | 197 | ||||||||||||||||||||
Leaf Group Ltd. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 130,069 USD | 3,181 | ||||||||||||||||||||
Leg Immobilien AG | 03/26/19 | M | 0.05 | % | Credit Suisse Securities (Europe) Limited | 111,584 EUR | (271 | ) | |||||||||||||||||||
Leggett & Platt, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 424,717 USD | (10,945 | ) | |||||||||||||||||||
Leidos Holdings, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 563,231 USD | (3,934 | ) |
See Notes to Consolidated Financial Statements.
177
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Lemaitre Vascular, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 446,239 USD | $ | 53,972 | |||||||||||||||||||
Lennox International, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 266,851 USD | 2,218 | ||||||||||||||||||||
Lereoy Seafood Group | 03/25/19 | M | 1.44 | % | Credit Suisse Securities (Europe) Limited | 1,500,889 NOK | 2,669 | ||||||||||||||||||||
LHC Group, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 225,837 USD | 9,289 | ||||||||||||||||||||
Liberty Latin America | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 260,456 USD | (10,897 | ) | |||||||||||||||||||
Life Storage, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 145,812 USD | (693 | ) | |||||||||||||||||||
Lifepoint Health, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 446,572 USD | (989 | ) | |||||||||||||||||||
Lifetime Brands, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 36,277 USD | (972 | ) | |||||||||||||||||||
Limoneira Co. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 124,556 USD | (6,277 | ) | |||||||||||||||||||
Lincoln National Corp. | 01/27/20 | M | 2.52 | % | Credit Suisse Securities (Europe) Limited | 2,329,913 USD | (88,134 | ) | |||||||||||||||||||
Lindblad Expeditions Holdings, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 237,853 USD | (319 | ) | |||||||||||||||||||
Lindsay Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 23,559 USD | 198 | ||||||||||||||||||||
Liquidity Services, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 82,043 USD | 1,916 | ||||||||||||||||||||
Lithia Motors, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 56,834 USD | (651 | ) | |||||||||||||||||||
Littelfuse, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 41,788 USD | 362 | ||||||||||||||||||||
Livanova PLC | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 243,108 USD | 2,600 | ||||||||||||||||||||
Live Oak Bancshares, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 15,644 USD | (985 | ) | |||||||||||||||||||
Lloyds Banking Group PLC | 07/27/20 | M | 1.02 | % | JPMorgan Chase Bank, N.A. | 7,423,200 GBP | (405,097 | ) | |||||||||||||||||||
Lloyds Banking Group PLC | 03/26/19 | M | 1.12 | % | Credit Suisse Securities (Europe) Limited | 4,163,855 GBP | (208,762 | ) | |||||||||||||||||||
Lockheed Martin Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 339,362 USD | 2,101 | ||||||||||||||||||||
Loews Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 141,935 USD | (387 | ) | |||||||||||||||||||
Logitech International REG | 03/26/19 | M | 0.33 | % | Credit Suisse Securities (Europe) Limited | 238,662 CHF | (735 | ) |
See Notes to Consolidated Financial Statements.
178
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Logmein, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 39,062 USD | $ | 766 | |||||||||||||||||||
London Stock Exchange Group | 03/26/19 | M | 1.12 | % | Credit Suisse Securities (Europe) Limited | 366,559 GBP | (17,812 | ) | |||||||||||||||||||
Lonza Group AG REG | 03/26/19 | M | 0.33 | % | Credit Suisse Securities (Europe) Limited | 225,675 CHF | 15,819 | ||||||||||||||||||||
Loral Space & Communications | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 168,609 USD | 4,774 | ||||||||||||||||||||
LPL Financial Holdings, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 13,636 USD | (25 | ) | |||||||||||||||||||
LSB Industries, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 287,169 USD | 1,400 | ||||||||||||||||||||
LSC Communications, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 365,439 USD | (33,617 | ) | |||||||||||||||||||
LTC Properties, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 11,040 USD | 120 | ||||||||||||||||||||
Luminex Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 794,065 USD | 25,972 | ||||||||||||||||||||
Lundin Petroleum AB | 03/26/19 | M | 0.05 | % | Credit Suisse Securities (Europe) Limited | 5,184,746 SEK | 52,890 | ||||||||||||||||||||
LVMH Moet Hennessy Louis Vuitton | 03/26/19 | M | 0.05 | % | Credit Suisse Securities (Europe) Limited | 266,063 EUR | (1,231 | ) | |||||||||||||||||||
M/I Homes, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 380,388 USD | (19,835 | ) | |||||||||||||||||||
Macatawa Bank Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 54,695 USD | (1,719 | ) | |||||||||||||||||||
Macquarie Infrastructure Co. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 565,538 USD | (4,043 | ) | |||||||||||||||||||
Macy’s, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 272,993 USD | (6,718 | ) | |||||||||||||||||||
Magellan Health, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 431,622 USD | (7,175 | ) | |||||||||||||||||||
MallInckrodt PLC | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 378,090 USD | (3,421 | ) | |||||||||||||||||||
ManpowerGroup, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 35,131 USD | 714 | ||||||||||||||||||||
Mantech International Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 721,776 USD | 10,794 | ||||||||||||||||||||
Marcus & Millichap, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 294,228 USD | 426 | ||||||||||||||||||||
Marcus Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 627,218 USD | 19,216 | ||||||||||||||||||||
Marine Harvest | 03/25/19 | M | 1.44 | % | Credit Suisse Securities (Europe) Limited | 830,716 NOK | 2,228 |
See Notes to Consolidated Financial Statements.
179
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Marine Products Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 123,401 USD | $ | 4,188 | |||||||||||||||||||
Markel Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 246,063 USD | (1,234 | ) | |||||||||||||||||||
Marsh & Mclennan Cos. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 259,678 USD | (1,840 | ) | |||||||||||||||||||
Marten Transport Ltd. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 325,552 USD | (771 | ) | |||||||||||||||||||
Masco Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 50,637 USD | (971 | ) | |||||||||||||||||||
Masimo Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 165,257 USD | 2,001 | ||||||||||||||||||||
Materion Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 353,058 USD | 7,764 | ||||||||||||||||||||
Matrix Service Co. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 147,978 USD | (300 | ) | |||||||||||||||||||
Matson, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 429,206 USD | 9,212 | ||||||||||||||||||||
Matthews International Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 205,516 USD | (5,367 | ) | |||||||||||||||||||
Maxim Integrated Products | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 280,420 USD | (5,237 | ) | |||||||||||||||||||
Maximus, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 247,508 USD | 45 | ||||||||||||||||||||
Maxwell Technologies, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 65,354 USD | (685 | ) | |||||||||||||||||||
MB Financial, Inc. | 09/17/20 | M | 2.39 | % | Deutsche Bank AG | 7,655,019 USD | (316,705 | ) | |||||||||||||||||||
McCormick & Co. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 87,148 USD | 1,124 | ||||||||||||||||||||
Mcdonald’s Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 251,784 USD | 824 | ||||||||||||||||||||
McGrath RentCorp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 530,386 USD | (3,771 | ) | |||||||||||||||||||
McKesson Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 498,072 USD | (5,410 | ) | |||||||||||||||||||
MDC Holdings, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 624,373 USD | (26,354 | ) | |||||||||||||||||||
MDU Resources Group, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 188,263 USD | (2,036 | ) | |||||||||||||||||||
Medical Properties Trust, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 172,828 USD | 2,588 | ||||||||||||||||||||
MediciNova, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 99,175 USD | 3,330 |
See Notes to Consolidated Financial Statements.
180
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Mednax, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 445,159 USD | $ | 9,449 | |||||||||||||||||||
Medpace Holdings, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 34,690 USD | 1,136 | ||||||||||||||||||||
Medtronic PLC | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 1,191,260 USD | 5,313 | ||||||||||||||||||||
Menlo Therapeutics, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 334,180 USD | (43,576 | ) | |||||||||||||||||||
Mercantile Bank Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 131,703 USD | (5,230 | ) | |||||||||||||||||||
Merck & Co., Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 1,324,857 USD | (1,968 | ) | |||||||||||||||||||
Meredith Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 339,895 USD | (14,349 | ) | |||||||||||||||||||
Meridian Bioscience, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 690,842 USD | (11,074 | ) | |||||||||||||||||||
Merit Medical Systems, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 197,696 USD | 235 | ||||||||||||||||||||
Meritage Homes Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 149,592 USD | (10,181 | ) | |||||||||||||||||||
Mesa Laboratories, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 151,533 USD | 3,645 | ||||||||||||||||||||
Methode Electronics, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 413,863 USD | (7,120 | ) | |||||||||||||||||||
Metsa Serla | 03/25/19 | M | 0.05 | % | Credit Suisse Securities (Europe) Limited | 105,710 EUR | (491 | ) | |||||||||||||||||||
MGE Energy, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 161,115 USD | (2,640 | ) | |||||||||||||||||||
Microsoft Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 91,638 USD | (142 | ) | |||||||||||||||||||
Microsoft Corp. | 01/27/20 | M | 2.52 | % | Credit Suisse Securities (Europe) Limited | 1,900,685 USD | 2,089 | ||||||||||||||||||||
Microstrategy, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 232,815 USD | (10,635 | ) | |||||||||||||||||||
Midland States Bancorp, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 97,516 USD | (2,918 | ) | |||||||||||||||||||
Midstates Petroleum Co, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 108,045 USD | (1,080 | ) | |||||||||||||||||||
Midwestone Financial Group, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 2,110 USD | (45 | ) | |||||||||||||||||||
Miller Industries, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 84,122 USD | 1,420 |
See Notes to Consolidated Financial Statements.
181
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Minerva Neurosciences, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 101,003 USD | $ | 3,325 | |||||||||||||||||||
miRagen Therapeutics, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 27,049 USD | (193 | ) | |||||||||||||||||||
Mistras Group, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 268,903 USD | (910 | ) | |||||||||||||||||||
Mobile Mini, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 358,808 USD | 4,139 | ||||||||||||||||||||
Modern Times Group | 03/26/19 | M | 0.05 | % | Credit Suisse Securities (Europe) Limited | 40,148 SEK | (79 | ) | |||||||||||||||||||
Modine Manufacturing Co. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 166,295 USD | (10,947 | ) | |||||||||||||||||||
Moelis & Co. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 242,765 USD | (8,275 | ) | |||||||||||||||||||
Molina Healthcare, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 81,567 USD | (1,864 | ) | |||||||||||||||||||
Molson Coors Brewing Co. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 1,734 USD | (12 | ) | |||||||||||||||||||
Monarch Casino & Resort, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 363,546 USD | (718 | ) | |||||||||||||||||||
Moncler SpA | 10/04/19 | M | 0.05 | % | Credit Suisse Securities (Europe) Limited | 61,793 EUR | (1,532 | ) | |||||||||||||||||||
Mondelez International, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 146,258 USD | (2,213 | ) | |||||||||||||||||||
Monmouth Real Estate Investment Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 177,974 USD | (742 | ) | |||||||||||||||||||
Monotype Imaging Holdings, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 773,998 USD | (3,813 | ) | |||||||||||||||||||
Moody’s Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 184,348 USD | (4,942 | ) | |||||||||||||||||||
MOOG, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 45,179 USD | (217 | ) | |||||||||||||||||||
Morningstar, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 382,378 USD | (13,616 | ) | |||||||||||||||||||
Morphosys AG | 03/26/19 | M | 0.05 | % | Credit Suisse Securities (Europe) Limited | 330,612 EUR | (1,787 | ) | |||||||||||||||||||
Mosaic Co. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 63,974 USD | 44 | ||||||||||||||||||||
Motorcar Parts of America, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 68,623 USD | (4,229 | ) |
See Notes to Consolidated Financial Statements.
182
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Motorola Solutions, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 411,675 USD | $ | 2,691 | |||||||||||||||||||
Movado Group, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 138,762 USD | 4,620 | ||||||||||||||||||||
MSA Safety, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 155,123 USD | 1,450 | ||||||||||||||||||||
MSC Industrial Direct Co. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 265,059 USD | 681 | ||||||||||||||||||||
MSCI, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 344,696 USD | (344 | ) | |||||||||||||||||||
MSG Networks, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 46,594 USD | 1,781 | ||||||||||||||||||||
MTS Systems Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 563,881 USD | (6,799 | ) | |||||||||||||||||||
MTU Aero Engines AG | 03/26/19 | M | 0.05 | % | Credit Suisse Securities (Europe) Limited | 407,973 EUR | 5,438 | ||||||||||||||||||||
Mueller Industries, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 110,811 USD | 1,748 | ||||||||||||||||||||
Mueller Water Products, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 84,965 USD | (2,991 | ) | |||||||||||||||||||
Murphy Oil Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 569,362 USD | 20,889 | ||||||||||||||||||||
Myers Industries, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 406,589 USD | (35,147 | ) | |||||||||||||||||||
Mylan NV | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 171,599 USD | (7,045 | ) | |||||||||||||||||||
MYR Group, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 26,961 USD | (99 | ) | |||||||||||||||||||
Nabors Industries Ltd. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 269,684 USD | (3,350 | ) | |||||||||||||||||||
Nacco Industries | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 75,242 USD | (572 | ) | |||||||||||||||||||
Nanometrics, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 22,855 USD | 557 | ||||||||||||||||||||
NantKwest, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 62,285 USD | 7,426 | ||||||||||||||||||||
Napco Security Technologies, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 204,534 USD | 5,559 | ||||||||||||||||||||
Nasdaq, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 173,957 USD | (3,043 | ) | |||||||||||||||||||
Natera, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 190,530 USD | (1,595 | ) | |||||||||||||||||||
Nathan’s Famous, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 222,343 USD | (10,163 | ) |
See Notes to Consolidated Financial Statements.
183
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
National Bank Holdings Corp | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 181,459 USD | $ | (1,529 | ) | ||||||||||||||||||
National CineMedia, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 672,422 USD | 59,993 | ||||||||||||||||||||
National Commerce Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 212,584 USD | (10,751 | ) | |||||||||||||||||||
National Fuel Gas Co. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 477,156 USD | (702 | ) | |||||||||||||||||||
National General Holdings Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 156,305 USD | 3,635 | ||||||||||||||||||||
National Health Investors, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 170,738 USD | 2,514 | ||||||||||||||||||||
National Healthcare Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 572,181 USD | 12,917 | ||||||||||||||||||||
National Instruments Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 446,913 USD | (2,277 | ) | |||||||||||||||||||
National Oilwell Varco, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 129,846 USD | (907 | ) | |||||||||||||||||||
National Presto Industries, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 922,293 USD | 37,766 | ||||||||||||||||||||
National Research Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 197,223 USD | 4,308 | ||||||||||||||||||||
National Retail Properties | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 13,886 USD | 142 | ||||||||||||||||||||
National Storage Affiliates | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 135,135 USD | (2,872 | ) | |||||||||||||||||||
National Western Life Group | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 89,533 USD | (157 | ) | |||||||||||||||||||
Natural Gas | 03/26/19 | M | 0.05 | % | Credit Suisse Securities (Europe) Limited | 123,576 EUR | (1,100 | ) | |||||||||||||||||||
Natural Gas Services Group | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 105,023 USD | 646 | ||||||||||||||||||||
Natural Health Trends Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 164,549 USD | (6,059 | ) | |||||||||||||||||||
Natus Medical, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 208,422 USD | 7,260 | ||||||||||||||||||||
Nautilus, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 138,282 USD | (2,911 | ) |
See Notes to Consolidated Financial Statements.
184
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Navigant Consulting, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 228,142 USD | $ | (2,200 | ) | ||||||||||||||||||
NBT Bancorp, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 427,715 USD | (15,053 | ) | |||||||||||||||||||
Neenah Paper, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 641,059 USD | (33,334 | ) | |||||||||||||||||||
Nemetschek | 03/26/19 | M | 0.05 | % | Credit Suisse Securities (Europe) Limited | 581,873 EUR | 8,333 | ||||||||||||||||||||
Neogen Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 299,403 USD | (59,635 | ) | |||||||||||||||||||
Neogenomics, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 170,556 USD | 13,813 | ||||||||||||||||||||
Neste Oyj | 03/25/19 | M | 0.05 | % | Credit Suisse Securities (Europe) Limited | 377,967 EUR | (5,417 | ) | |||||||||||||||||||
NetApp, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 99,475 USD | 673 | ||||||||||||||||||||
NetScout Systems, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 246,034 USD | (4,367 | ) | |||||||||||||||||||
Nevsun Resources Ltd. | 09/17/20 | M | 2.17 | % | Deutsche Bank AG | 7,569,588 CAD | (32,739 | ) | |||||||||||||||||||
New Home Co., Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 102,359 USD | (6,518 | ) | |||||||||||||||||||
New Jersey Resources Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 597,820 USD | (7,048 | ) | |||||||||||||||||||
New Media Investment Group | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 1,186,400 USD | (32 | ) | |||||||||||||||||||
New Residential Investment Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 206,360 USD | (4,513 | ) | |||||||||||||||||||
New York Mortgage Trust, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 37,519 USD | (1,368 | ) | |||||||||||||||||||
Newell Brands, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 172,526 USD | (9,537 | ) | |||||||||||||||||||
Newmarket Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 22,780 USD | (71 | ) | |||||||||||||||||||
Newpark Resources, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 72,820 USD | 2,549 | ||||||||||||||||||||
News Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 559,951 USD | 16,611 | ||||||||||||||||||||
NEX Group PLC | 03/26/19 | M | 1.12 | % | Credit Suisse Securities (Europe) Limited | 377,856 GBP | (21,425 | ) | |||||||||||||||||||
NEX Group PLC | 09/17/20 | M | 1.07 | % | Deutsche Bank AG | 4,077,351 GBP | (235,061 | ) |
See Notes to Consolidated Financial Statements.
185
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Nexeo Solutions, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 186,263 USD | $ | (2,549 | ) | ||||||||||||||||||
Nexeo Solutions, Inc. | 09/17/20 | M | 2.39 | % | Deutsche Bank AG | 1,906,240 USD | (17,559 | ) | |||||||||||||||||||
Nexpoint Residential Trust, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 172,405 USD | 3,024 | ||||||||||||||||||||
Nexstar Media Group, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 253,754 USD | (2,961 | ) | |||||||||||||||||||
Next PLC | 03/26/19 | M | 1.12 | % | Credit Suisse Securities (Europe) Limited | 86,736 GBP | 6,392 | ||||||||||||||||||||
Nextera Energy, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 90,940 USD | 904 | ||||||||||||||||||||
NextGen Healthcare, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 389,463 USD | (6,678 | ) | |||||||||||||||||||
Nibe Industrier AB | 03/26/19 | M | 0.05 | % | Credit Suisse Securities (Europe) Limited | 2,320,608 SEK | (2,945 | ) | |||||||||||||||||||
NIC, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 464,247 USD | 7,977 | ||||||||||||||||||||
Nielsen Holdings PLC | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 11,156 USD | (37 | ) | |||||||||||||||||||
NMC Health PLC | 03/26/19 | M | 1.12 | % | Credit Suisse Securities (Europe) Limited | 315,476 GBP | 9,727 | ||||||||||||||||||||
NN, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 196,924 USD | (629 | ) | |||||||||||||||||||
Noble Corp. PLC | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 60,406 USD | 706 | ||||||||||||||||||||
Nolato AB | 03/26/19 | M | 0.05 | % | Credit Suisse Securities (Europe) Limited | 2,198,417 SEK | (11,019 | ) | |||||||||||||||||||
Northfield Bancorp, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 104,357 USD | (845 | ) | |||||||||||||||||||
Northrim Bancorp, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 134,934 USD | (4,550 | ) | |||||||||||||||||||
Northwest Bancshares, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 529,406 USD | (21,411 | ) | |||||||||||||||||||
Northwest Natural Gas Co. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 565,875 USD | (20,640 | ) | |||||||||||||||||||
Northwest Pipe Co. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 109,058 USD | (4,857 | ) | |||||||||||||||||||
Northwestern Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 796,882 USD | (1,569 | ) | |||||||||||||||||||
Novanta, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 38,899 USD | (1,210 | ) | |||||||||||||||||||
Nucor Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 173,012 USD | 16 |
See Notes to Consolidated Financial Statements.
186
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
NuVasive, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 45,587 USD | $ | 1,543 | |||||||||||||||||||
NVE Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 311,720 USD | 3,061 | ||||||||||||||||||||
Nvent Electric PLC | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 200,883 USD | (15,353 | ) | |||||||||||||||||||
NxStage Medical, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 345,111 USD | (3,430 | ) | |||||||||||||||||||
NXStage Medical, Inc. | 09/17/20 | M | 2.39 | % | Deutsche Bank AG | 4,554,976 USD | (45,275 | ) | |||||||||||||||||||
Nymox Pharmaceutical Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 37,689 USD | (2,892 | ) | |||||||||||||||||||
Ocado Group PLC | 03/26/19 | M | 1.12 | % | Credit Suisse Securities (Europe) Limited | 339,802 GBP | (2,688 | ) | |||||||||||||||||||
Occidental Petroleum Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 682,740 USD | 19,732 | ||||||||||||||||||||
Oceaneering International, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 61,099 USD | 421 | ||||||||||||||||||||
OceanFirst Financial Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 259,171 USD | (9,891 | ) | |||||||||||||||||||
OCI NV | 03/26/19 | M | 0.05 | % | Credit Suisse Securities (Europe) Limited | 263,409 EUR | (6,395 | ) | |||||||||||||||||||
Oclaro, Inc. | 09/17/20 | M | 2.39 | % | Deutsche Bank AG | 3,404,922 USD | (85,402 | ) | |||||||||||||||||||
Office Depot, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 579,557 USD | (16,138 | ) | |||||||||||||||||||
OFG Bancorp | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 71,372 USD | (2,492 | ) | |||||||||||||||||||
OGE Energy Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 590,234 USD | (1,595 | ) | |||||||||||||||||||
Oil States International, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 11,928 USD | 290 | ||||||||||||||||||||
Old Dominion Freight Line | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 94,922 USD | 1,996 | ||||||||||||||||||||
Old Line Bancshares, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 256,698 USD | (11,899 | ) | |||||||||||||||||||
Old Republic International Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 265,302 USD | (6,589 | ) | |||||||||||||||||||
Olin Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 105,802 USD | (7,396 | ) | |||||||||||||||||||
Olympic Steel, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 330,470 USD | (1,496 | ) | |||||||||||||||||||
Omega Flex, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 238,853 USD | (5,733 | ) |
See Notes to Consolidated Financial Statements.
187
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Omega Healthcare Investors, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 69,865 USD | $ | 1,082 | |||||||||||||||||||
Omnicell Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 177,721 USD | 4,905 | ||||||||||||||||||||
Omnicom Group | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 116,029 USD | (1,279 | ) | |||||||||||||||||||
One Gas Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 598,181 USD | 5,919 | ||||||||||||||||||||
One Liberty Properties, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 81,233 USD | (3,310 | ) | |||||||||||||||||||
Oneok, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 748,686 USD | (13,639 | ) | |||||||||||||||||||
Onespan, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 155,513 USD | 6,374 | ||||||||||||||||||||
Ooma, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 253,394 USD | (3,017 | ) | |||||||||||||||||||
Oppenheimer Holdings | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 338,966 USD | 39 | ||||||||||||||||||||
Opus Bank | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 57,883 USD | (3,193 | ) | |||||||||||||||||||
Oracle Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 5,692 USD | (21 | ) | |||||||||||||||||||
Orange Belgium | 03/26/19 | M | 0.05 | % | Credit Suisse Securities (Europe) Limited | 311,593 EUR | (1,066 | ) | |||||||||||||||||||
Orange Belgium | 07/27/20 | M | 0.63 | % | JPMorgan Chase Bank, N.A. | 743,424 EUR | (2,542 | ) | |||||||||||||||||||
ORBCOMM, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 6,077 USD | (72 | ) | |||||||||||||||||||
Orion Group Holdings, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 252,841 USD | (7,149 | ) | |||||||||||||||||||
Oritani Financial Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 165,497 USD | (4,150 | ) | |||||||||||||||||||
Orrstown Financial Services, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 13,559 USD | (279 | ) | |||||||||||||||||||
Orsted A/S | 03/25/19 | M | 0.09 | % | Credit Suisse Securities (Europe) Limited | 1,696,303 DKK | 11,621 | ||||||||||||||||||||
Orthofix Medical, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 402,688 USD | 26,898 | ||||||||||||||||||||
Otter Tail Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 398,441 USD | (2,069 | ) | |||||||||||||||||||
Ovid Therapeutics, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 66,652 USD | 379 | ||||||||||||||||||||
Owens & Minor, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 2,644,191 USD | (92,727 | ) |
See Notes to Consolidated Financial Statements.
188
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Oxford Immunotec Global PLC | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 108,540 USD | $ | 1,629 | |||||||||||||||||||
Oxford Industries, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 40,832 USD | 209 | ||||||||||||||||||||
P.A.M. Transportation Services, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 25,728 USD | 959 | ||||||||||||||||||||
Packaging Corporation of America | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 320,658 USD | (13,636 | ) | |||||||||||||||||||
PacWest Bancorp | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 101,964 USD | (5,283 | ) | |||||||||||||||||||
Pagegroup PLC | 03/26/19 | M | 1.12 | % | Credit Suisse Securities (Europe) Limited | 97,741 GBP | 2,322 | ||||||||||||||||||||
Pandora Media, Inc. | 09/17/20 | M | 2.39 | % | Deutsche Bank AG | 339,038 USD | 15,304 | ||||||||||||||||||||
Panhandle Oil and Gas, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 107,480 USD | (1,872 | ) | |||||||||||||||||||
Papeles y Cartones de Europa | 09/17/20 | M | 0.05 | % | Deutsche Bank AG | 3,480,313 EUR | (4,828 | ) | |||||||||||||||||||
Par Pacific Holdings, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 168,562 USD | 3,206 | ||||||||||||||||||||
Paramount Group, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 47,023 USD | (1,391 | ) | |||||||||||||||||||
Park Electrochemical Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 280,972 USD | (3,961 | ) | |||||||||||||||||||
Park Hotels & Resorts, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 177,089 USD | (25 | ) | |||||||||||||||||||
Park Ohio Holdings Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 226,781 USD | (2,779 | ) | |||||||||||||||||||
Partners Holdings Group AG | 03/26/19 | M | 0.33 | % | Credit Suisse Securities (Europe) Limited | 479,434 CHF | 918 | ||||||||||||||||||||
Pattern Energy Group, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 351,769 USD | (6,588 | ) | |||||||||||||||||||
Patterson Cos, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 2,284,440 USD | (101,446 | ) | |||||||||||||||||||
Paychex, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 818,412 USD | (12,607 | ) | |||||||||||||||||||
PBF Energy, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 571,010 USD | 23,169 | ||||||||||||||||||||
PC Connection, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 623,257 USD | (12,101 | ) |
See Notes to Consolidated Financial Statements.
189
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
PCSB Financial Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 145,083 USD | $ | (2,316 | ) | ||||||||||||||||||
PDF Solutions, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 90,261 USD | (846 | ) | |||||||||||||||||||
PDL Biopharma, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 713,197 USD | 58,697 | ||||||||||||||||||||
Peabody Energy Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 278,433 USD | (42,211 | ) | |||||||||||||||||||
Peapack Gladstone Financial Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 77,446 USD | (3,495 | ) | |||||||||||||||||||
PennyMac Mortgage Investment Trust | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 172,942 USD | 1,344 | ||||||||||||||||||||
Penske Automotive Group, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 594,260 USD | (29,751 | ) | |||||||||||||||||||
People’s United Financial, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 52,228 USD | (1,433 | ) | |||||||||||||||||||
People’s Utah Bancorp | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 51,405 USD | (3,128 | ) | |||||||||||||||||||
Peoples Bancorp, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 290,841 USD | (14,664 | ) | |||||||||||||||||||
Perficient, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 414,218 USD | (20,544 | ) | |||||||||||||||||||
Perkinelmer, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 264,311 USD | 1,527 | ||||||||||||||||||||
Perrigo Co. PLC | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 549,336 USD | (18,053 | ) | |||||||||||||||||||
Perspecta, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 180,797 USD | 1,044 | ||||||||||||||||||||
Petroleum Geo-Services | 03/25/19 | M | 1.44 | % | Credit Suisse Securities (Europe) Limited | 746,110 NOK | 9,289 | ||||||||||||||||||||
Pfizer, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 1,625,207 USD | 1,284 | ||||||||||||||||||||
PHI, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 105,026 USD | 1,711 | ||||||||||||||||||||
Phibro Animal Health Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 691,244 USD | 9,742 | ||||||||||||||||||||
Philip Morris International | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 143,316 USD | 2,804 | ||||||||||||||||||||
Phillips 66 | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 388,475 USD | 2,437 | ||||||||||||||||||||
Photronics, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 488,167 USD | 48 | ||||||||||||||||||||
PICO Holdings, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 177,871 USD | — |
See Notes to Consolidated Financial Statements.
190
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Pinnacle Entertainment, Inc. | 09/17/20 | M | 2.39 | % | Deutsche Bank AG | 10,029,301 USD | $ | 78,002 | |||||||||||||||||||
Pinnacle Foods, Inc. | 09/17/20 | M | 2.39 | % | Deutsche Bank AG | 25,098,063 USD | (845,708 | ) | |||||||||||||||||||
Pinnacle West Capital | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 543,418 USD | (401 | ) | |||||||||||||||||||
Pitney Bowes, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 149,069 USD | (7,972 | ) | |||||||||||||||||||
PJT Partners, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 201,858 USD | (2,771 | ) | |||||||||||||||||||
Planet Fitness, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 43,371 USD | (255 | ) | |||||||||||||||||||
Plantronics, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 183,893 USD | 2,555 | ||||||||||||||||||||
Playtech Ltd. | 03/26/19 | M | 1.12 | % | Credit Suisse Securities (Europe) Limited | 5,881,951 GBP | (259,805 | ) | |||||||||||||||||||
Plexus Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 295,235 USD | (9,472 | ) | |||||||||||||||||||
Plus 500 Ltd. | 03/26/19 | M | 1.12 | % | Credit Suisse Securities (Europe) Limited | 297,762 GBP | (39,262 | ) | |||||||||||||||||||
PNM Resources, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 188,332 USD | 239 | ||||||||||||||||||||
Pool Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 99,926 USD | 35 | ||||||||||||||||||||
Popular, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 119,129 USD | (2,843 | ) | |||||||||||||||||||
Portland General Electric Co. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 592,629 USD | (1,341 | ) | |||||||||||||||||||
Post Holdings, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 37,649 USD | (884 | ) | |||||||||||||||||||
Potbelly Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 295,065 USD | (3,555 | ) | |||||||||||||||||||
Powell Industries, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 260,582 USD | 7,053 | ||||||||||||||||||||
Power Integrations, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 111,457 USD | (288 | ) | |||||||||||||||||||
PPL Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 205,983 USD | 505 | ||||||||||||||||||||
Preformed Line Products Co. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 136,832 USD | (6,814 | ) | |||||||||||||||||||
Premier Oil PLC | 03/26/19 | M | 1.12 | % | Credit Suisse Securities (Europe) Limited | 226,603 GBP | 31,930 | ||||||||||||||||||||
Premier, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 418,002 USD | 18,694 |
See Notes to Consolidated Financial Statements.
191
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Presidio, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 168,906 USD | $ | (4,633 | ) | ||||||||||||||||||
Prestige Brands Holdings, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 152,674 USD | (3,122 | ) | |||||||||||||||||||
PriceSmart, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 63,719 USD | (335 | ) | |||||||||||||||||||
Primerica, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 151,809 USD | (1,242 | ) | |||||||||||||||||||
Primo Water Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 126,641 USD | (2,746 | ) | |||||||||||||||||||
Progress Software Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 229,435 USD | (34,210 | ) | |||||||||||||||||||
Progressive Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 333,976 USD | 1,120 | ||||||||||||||||||||
PROS Holdings, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 67,199 USD | (2,727 | ) | |||||||||||||||||||
Providence Service Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 510,569 USD | 8,698 | ||||||||||||||||||||
Provident Financial Services | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 123,129 USD | (1,925 | ) | |||||||||||||||||||
Prudential PLC | 03/26/19 | M | 1.12 | % | Credit Suisse Securities (Europe) Limited | 4,008,884 GBP | (158,382 | ) | |||||||||||||||||||
Prudential PLC | 07/27/20 | M | 1.02 | % | JPMorgan Chase Bank, N.A. | 10,887,000 GBP | (430,122 | ) | |||||||||||||||||||
Prysmian SpA | 10/04/19 | M | 0.05 | % | Credit Suisse Securities (Europe) Limited | 3,284,684 EUR | (258,735 | ) | |||||||||||||||||||
Public Service Enterprise Group | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 295,794 USD | 7,326 | ||||||||||||||||||||
Publicis Groupe | 03/26/19 | M | 0.05 | % | Credit Suisse Securities (Europe) Limited | 695,494 EUR | 60 | ||||||||||||||||||||
Publicis Groupe | 07/27/20 | M | 0.07 | % | JPMorgan Chase Bank, N.A. | 5,224,987 EUR | (9,413 | ) | |||||||||||||||||||
Puma SE | 03/26/19 | M | 0.05 | % | Credit Suisse Securities (Europe) Limited | 4,593 EUR | 96 | ||||||||||||||||||||
Pyxus International, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 190,075 USD | (15,206 | ) | |||||||||||||||||||
QAD, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 585,023 USD | (18,353 | ) |
See Notes to Consolidated Financial Statements.
192
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Qiagen N.V. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 165,031 USD | $ | 1,793 | |||||||||||||||||||
Quad Graphics, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 510,598 USD | (27,798 | ) | |||||||||||||||||||
Qualcomm, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 549,819 USD | (10,099 | ) | |||||||||||||||||||
Qualys, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 21,903 USD | 283 | ||||||||||||||||||||
Quanex Building Products | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 104,118 USD | (1,688 | ) | |||||||||||||||||||
Quest Diagnostics, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 1,281,978 USD | 3,338 | ||||||||||||||||||||
Quidel Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 132,119 USD | 762 | ||||||||||||||||||||
R1 RCM, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 344,653 USD | 19,725 | ||||||||||||||||||||
Radiant Logistics, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 59,378 USD | 5,608 | ||||||||||||||||||||
Radnet, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 330,313 USD | (10,621 | ) | |||||||||||||||||||
Rambus, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 386,919 USD | (11,113 | ) | |||||||||||||||||||
Rapid7, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 66,102 USD | 1,278 | ||||||||||||||||||||
Rational AG | 03/26/19 | M | 0.05 | % | Credit Suisse Securities (Europe) Limited | 119,357 EUR | (925 | ) | |||||||||||||||||||
Raven Industries, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 143,740 USD | (1,823 | ) | |||||||||||||||||||
Rayonier Advanced Materials | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 253,333 USD | (28,063 | ) | |||||||||||||||||||
Rayonier, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 183,652 USD | 545 | ||||||||||||||||||||
RCI Hospitality Holdings, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 197,955 USD | (2,706 | ) | |||||||||||||||||||
Reading International, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 127,765 USD | 1,906 |
See Notes to Consolidated Financial Statements.
193
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Reckitt Benckiser Group PLC | 03/26/19 | M | 1.12 | % | Credit Suisse Securities (Europe) Limited | 565,801 GBP | $ | 6,361 | |||||||||||||||||||
Red Lion Hotels Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 262,076 USD | (8,126 | ) | |||||||||||||||||||
Red Rock Resorts, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 127,756 USD | (5,673 | ) | |||||||||||||||||||
Regal Beloit Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 511,117 USD | (16,665 | ) | |||||||||||||||||||
Regis Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 239,609 USD | (4,337 | ) | |||||||||||||||||||
Reinsurance Group of America | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 81,944 USD | 599 | ||||||||||||||||||||
Reis, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 294,092 USD | 308 | ||||||||||||||||||||
Reliance Steel & Aluminum | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 497,527 USD | (2,333 | ) | |||||||||||||||||||
Renaissancere Holdings Ltd. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 38,743 USD | 262 | ||||||||||||||||||||
Renasant Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 290,561 USD | (16,556 | ) | |||||||||||||||||||
Renault SA | 07/27/20 | M | 0.07 | % | JPMorgan Chase Bank, N.A. | 4,579,800 EUR | (127,483 | ) | |||||||||||||||||||
Renault SA | 03/26/19 | M | 0.05 | % | Credit Suisse Securities (Europe) Limited | 351,729 EUR | (9,791 | ) | |||||||||||||||||||
Renewable Energy Group, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 362,690 USD | 20,062 | ||||||||||||||||||||
Rentokil Initial PLC | 03/26/19 | M | 1.12 | % | Credit Suisse Securities (Europe) Limited | 62,278 GBP | 487 | ||||||||||||||||||||
Repligen Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 165,556 USD | 658 | ||||||||||||||||||||
Repsol SA | 03/26/19 | M | 0.05 | % | Credit Suisse Securities (Europe) Limited | 80,670 EUR | 3,893 | ||||||||||||||||||||
Republic Bancorp, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 79,221 USD | (2,833 | ) | |||||||||||||||||||
Republic Services, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 26,255 USD | (25 | ) | |||||||||||||||||||
ResMed, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 827,309 USD | 11,098 |
See Notes to Consolidated Financial Statements.
194
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Resources Connection, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 552,364 USD | $ | (16,151 | ) | ||||||||||||||||||
resTORbio, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 40,834 USD | 272 | ||||||||||||||||||||
Resurs Holding AB | 03/26/19 | M | 0.05 | % | Credit Suisse Securities (Europe) Limited | 2,171,428 SEK | (3,980 | ) | |||||||||||||||||||
Retrophin, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 55,585 USD | 1,818 | ||||||||||||||||||||
REX American Resources Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 278,709 USD | 2,715 | ||||||||||||||||||||
Rexford Industrial Realty, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 7,200 USD | (9 | ) | |||||||||||||||||||
Ribbon Communication, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 260,804 USD | (7,780 | ) | |||||||||||||||||||
Rightmove PLC | 03/26/19 | M | 1.12 | % | Credit Suisse Securities (Europe) Limited | 81,171 GBP | (392 | ) | |||||||||||||||||||
Rio Tinto PLC | 03/26/19 | M | 1.12 | % | Credit Suisse Securities (Europe) Limited | 64,422 GBP | (878 | ) | |||||||||||||||||||
RLI Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 397,631 USD | 612 | ||||||||||||||||||||
RMR Group, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 502,998 USD | 14,362 | ||||||||||||||||||||
Robert Half International, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 230,731 USD | (1,714 | ) | |||||||||||||||||||
Roche Holdings AG | 03/26/19 | M | 0.33 | % | Credit Suisse Securities (Europe) Limited | 5,590,926 CHF | 62,989 | ||||||||||||||||||||
Rocket Internet SE | 03/26/19 | M | 0.05 | % | Credit Suisse Securities (Europe) Limited | 365,292 EUR | 613 | ||||||||||||||||||||
Rockwell Collins, Inc. | 09/17/20 | M | 2.39 | % | Deutsche Bank AG | 24,847,636 USD | (264,262 | ) | |||||||||||||||||||
Rockwool International | 03/25/19 | M | 0.09 | % | Credit Suisse Securities (Europe) Limited | 4,102,068 DKK | (10,559 | ) | |||||||||||||||||||
Rocky Brands, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 254,786 USD | 1,358 | ||||||||||||||||||||
Rosetta Stone, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 361,980 USD | 36,238 | ||||||||||||||||||||
Royal Bank of Scotland Group | 03/26/19 | M | 1.12 | % | Credit Suisse Securities (Europe) Limited | 6,284,359 GBP | (368,281 | ) |
See Notes to Consolidated Financial Statements.
195
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Royal Bank of Scotland Group | 09/02/20 | M | 1.02 | % | JPMorgan Chase Bank, N.A. | 1,370,500 GBP | $ | (59,305 | ) | ||||||||||||||||||
Royal Dutch Shell PLC | 03/26/19 | M | 0.05 | % | Credit Suisse Securities (Europe) Limited | 7,856,420 EUR | 306,022 | ||||||||||||||||||||
Royal Gold, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 57,291 USD | 889 | ||||||||||||||||||||
Royal Unibrew | 03/25/19 | M | 0.09 | % | Credit Suisse Securities (Europe) Limited | 4,042,619 DKK | (13,507 | ) | |||||||||||||||||||
RR Donnelley & Sons Co. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 259,372 USD | (22,382 | ) | |||||||||||||||||||
RSA Insurance Group PLC | 07/27/20 | M | 1.02 | % | JPMorgan Chase Bank, N.A. | 3,150,000 GBP | (358,435 | ) | |||||||||||||||||||
RSA Insurance Group PLC | 03/26/19 | M | 1.12 | % | Credit Suisse Securities (Europe) Limited | 4,508,941 GBP | (513,068 | ) | |||||||||||||||||||
Rudolph Technologies, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 124,493 USD | (507 | ) | |||||||||||||||||||
Rush Enterprises, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 73,984 USD | (5,732 | ) | |||||||||||||||||||
Ruth’s Hospitality Group, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 349,966 USD | 9,105 | ||||||||||||||||||||
RWE AG | 03/26/19 | M | 0.05 | % | Credit Suisse Securities (Europe) Limited | 3,368,604 EUR | (16,495 | ) | |||||||||||||||||||
Ryder System, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 697,509 USD | (7,582 | ) | |||||||||||||||||||
Ryman Hospitality Properties | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 358,825 USD | (5,011 | ) | |||||||||||||||||||
S&P Global, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 370,514 USD | (15,686 | ) | |||||||||||||||||||
S&T AG | 03/26/19 | M | 0.05 | % | Credit Suisse Securities (Europe) Limited | 375,102 EUR | (6 | ) | |||||||||||||||||||
S&T Bancorp, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 358,449 USD | (17,683 | ) | |||||||||||||||||||
Sabra Health Care REIT, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 105,601 USD | 1,121 | ||||||||||||||||||||
Sabre Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 513,132 USD | 4,687 | ||||||||||||||||||||
Safe Bulkers, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 143,217 USD | 7,318 |
See Notes to Consolidated Financial Statements.
196
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Safety Insurance Group, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 346,161 USD | $ | (5,771 | ) | ||||||||||||||||||
Safran SA | 07/27/20 | M | 0.07 | % | JPMorgan Chase Bank, N.A. | 9,483,680 EUR | 50,404 | ||||||||||||||||||||
Safran SA | 03/26/19 | M | 0.05 | % | Credit Suisse Securities (Europe) Limited | 1,656,438 EUR | 8,605 | ||||||||||||||||||||
SAIA, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 124,444 USD | (824 | ) | |||||||||||||||||||
SAIPEM SPA | 10/04/19 | M | 0.05 | % | Credit Suisse Securities (Europe) Limited | 40,491 EUR | 4,350 | ||||||||||||||||||||
Salmar ASA | 03/25/19 | M | 1.44 | % | Credit Suisse Securities (Europe) Limited | 4,087,106 NOK | 2,405 | ||||||||||||||||||||
SandRidge Energy, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 146,209 USD | (1,464 | ) | |||||||||||||||||||
Sandy Spring Bancorp, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 139,949 USD | (2,757 | ) | |||||||||||||||||||
Sanmina Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 24,449 USD | (161 | ) | |||||||||||||||||||
Sanofi | 03/26/19 | M | 0.05 | % | Credit Suisse Securities (Europe) Limited | 2,582,393 EUR | 82,906 | ||||||||||||||||||||
Sanofi | 07/27/20 | M | 0.07 | % | JPMorgan Chase Bank, N.A. | 3,725,000 EUR | 119,588 | ||||||||||||||||||||
Sanofi Aventis | 07/27/20 | M | 0.55 | % | Morgan Stanley Capital Services LLC | 9,051,154 EUR | 295,736 | ||||||||||||||||||||
SAP SE | 03/26/19 | M | 0.05 | % | Credit Suisse Securities (Europe) Limited | 1,312,389 EUR | 27,811 | ||||||||||||||||||||
SAP SE | 07/27/20 | M | 0.07 | % | JPMorgan Chase Bank, N.A. | 9,589,380 EUR | 203,210 | ||||||||||||||||||||
Sartorius AG | 03/26/19 | M | 0.05 | % | Credit Suisse Securities (Europe) Limited | 464,785 EUR | (7,408 | ) | |||||||||||||||||||
Sartorius Stedim Biotech | 03/26/19 | M | 0.05 | % | Credit Suisse Securities (Europe) Limited | 277,294 EUR | 13,478 | ||||||||||||||||||||
SBA Communications Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 26,059 USD | 124 | ||||||||||||||||||||
SCANA Corp. | 09/17/20 | M | 2.39 | % | Deutsche Bank AG | 10,542,954 USD | 1,218,821 | ||||||||||||||||||||
ScanSource, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 516,045 USD | (4,487 | ) | |||||||||||||||||||
Schibsted ASA | 03/25/19 | M | 1.44 | % | Credit Suisse Securities (Europe) Limited | 1,022,346 NOK | (3,206 | ) | |||||||||||||||||||
Schlumberger Ltd. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 444,992 USD | (6,551 | ) |
See Notes to Consolidated Financial Statements.
197
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Schneider National, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 251,101 USD | $ | (5,698 | ) | ||||||||||||||||||
Schnitzer Steel Industries, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 497,412 USD | (5,265 | ) | |||||||||||||||||||
Scholastic Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 812,101 USD | 59,554 | ||||||||||||||||||||
Schweitzer Mauduit International, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 1,050,975 USD | (81,387 | ) | |||||||||||||||||||
Science Applications International Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 334,507 USD | 4,496 | ||||||||||||||||||||
Scorpio Bulkers, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 356,238 USD | 23,575 | ||||||||||||||||||||
Scout24 AG | 03/26/19 | M | 0.05 | % | Credit Suisse Securities (Europe) Limited | 349,475 EUR | (10,914 | ) | |||||||||||||||||||
Seacoast Banking Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 94,088 USD | (5,320 | ) | |||||||||||||||||||
Seacor Holdings, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 337,001 USD | 469 | ||||||||||||||||||||
SeaCor Marine Holdings, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 156,187 USD | 9,442 | ||||||||||||||||||||
Sealed Air Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 290,882 USD | (9,912 | ) | |||||||||||||||||||
SeaSpine Holdings Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 173,493 USD | (3,282 | ) | |||||||||||||||||||
Secureworks Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 195,821 USD | 23,724 | ||||||||||||||||||||
Securitas AB | 03/26/19 | M | 0.05 | % | Credit Suisse Securities (Europe) Limited | 1,013,733 SEK | 666 | ||||||||||||||||||||
Segro PLC | 03/26/19 | M | 1.12 | % | Credit Suisse Securities (Europe) Limited | 339,178 GBP | (2,913 | ) | |||||||||||||||||||
Select Income REIT | 09/17/20 | M | 2.39 | % | Deutsche Bank AG | 5,381,016 USD | 95,362 | ||||||||||||||||||||
Select Medical Holdings Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 230,718 USD | 4,747 |
See Notes to Consolidated Financial Statements.
198
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Selective Insurance Group | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 139,707 USD | $ | (7 | ) | ||||||||||||||||||
Semgroup Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 676,455 USD | 5,750 | ||||||||||||||||||||
Seneca Foods Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 92,891 USD | 4,805 | ||||||||||||||||||||
Senior Housing Property Trust | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 35,024 USD | 500 | ||||||||||||||||||||
ServiceSource International | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 78,027 USD | (1,080 | ) | |||||||||||||||||||
ServisFirst Banchares, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 104,558 USD | (3,982 | ) | |||||||||||||||||||
Shenandoah Telecommunications Co. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 77,520 USD | 1,530 | ||||||||||||||||||||
Shiloh Industries, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 94,366 USD | (4,804 | ) | |||||||||||||||||||
Ship Finance Internatiional Ltd. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 1,029,056 USD | 7,258 | ||||||||||||||||||||
Shire PLC | 03/26/19 | M | 1.12 | % | Credit Suisse Securities (Europe) Limited | 7,466,803 GBP | 117,345 | ||||||||||||||||||||
Shire PLC | 07/27/20 | M | 1.02 | % | JPMorgan Chase Bank, N.A. | 1,421,507 GBP | 22,101 | ||||||||||||||||||||
Shire PLC ADR | 09/17/20 | M | 2.39 | % | Deutsche Bank AG | 17,288,054 USD | 280,090 | ||||||||||||||||||||
Shoe Carnival, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 147,529 USD | (1,499 | ) | |||||||||||||||||||
Shore Bancshares, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 52,546 USD | (1,545 | ) | |||||||||||||||||||
Shutterstock, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 65,441 USD | 2,293 | ||||||||||||||||||||
Siegfried Holding AG REG | 03/26/19 | M | 0.33 | % | Credit Suisse Securities (Europe) Limited | 524,629 CHF | (1,042 | ) | |||||||||||||||||||
Sierra Bancorp | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 67,956 USD | (2,295 | ) | |||||||||||||||||||
Silgan Holdings, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 520,455 USD | (14,912 | ) |
See Notes to Consolidated Financial Statements.
199
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
SilverBow Resources, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 127,515 USD | $ | (7,287 | ) | ||||||||||||||||||
Simcorp A/S | 03/25/19 | M | 0.09 | % | Credit Suisse Securities (Europe) Limited | 2,091,282 DKK | (1,671 | ) | |||||||||||||||||||
Simmons First National Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 17,590 USD | (1,274 | ) | |||||||||||||||||||
Simon Property Group, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 137,847 USD | (158 | ) | |||||||||||||||||||
Simpson Manufacturing Co., Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 234,273 USD | (2,908 | ) | |||||||||||||||||||
Simulations Plus, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 230,229 USD | 1,728 | ||||||||||||||||||||
Sirius XM Holdings, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 148,255 USD | (14,018 | ) | |||||||||||||||||||
Six Flags Entertainment Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 655,080 USD | 8,280 | ||||||||||||||||||||
SIXT SE | 03/26/19 | M | 0.05 | % | Credit Suisse Securities (Europe) Limited | 453,319 EUR | 781 | ||||||||||||||||||||
Sky PLC | 09/17/20 | M | 1.07 | % | Deutsche Bank AG | 7,902,588 GBP | 935,794 | ||||||||||||||||||||
Sky PLC | 07/27/20 | M | 1.02 | % | JPMorgan Chase Bank, N.A. | 115,214 GBP | 13,643 | ||||||||||||||||||||
Skywest, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 324,318 USD | (427 | ) | |||||||||||||||||||
Smith & Nephew PLC | 03/26/19 | M | 1.12 | % | Credit Suisse Securities (Europe) Limited | 14,986 GBP | 77 | ||||||||||||||||||||
Smith & Nephew PLC | 07/27/20 | M | 1.02 | % | JPMorgan Chase Bank, N.A. | 5,043,004 GBP | 25,934 | ||||||||||||||||||||
Smith (A.O.) Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 6,114 USD | (137 | ) | |||||||||||||||||||
Smurfit Kappa Group PLC | 03/26/19 | M | 1.12 | % | Credit Suisse Securities (Europe) Limited | 178,315 GBP | (8,334 | ) | |||||||||||||||||||
Sonic Automotive, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 325,231 USD | (19,056 | ) | |||||||||||||||||||
Sonoco Products Co. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 939,597 USD | (19,740 | ) | |||||||||||||||||||
Sothern Co. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 343,030 USD | (2,383 | ) |
See Notes to Consolidated Financial Statements.
200
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
South Jersey Industries | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 349,775 USD | $ | (7,092 | ) | ||||||||||||||||||
Southern First Bancshares | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 130,398 USD | (6,014 | ) | |||||||||||||||||||
Southern National Bancorp of Virginia, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 121,262 USD | (4,331 | ) | |||||||||||||||||||
Southside Bancshares, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 154,492 USD | (8,158 | ) | |||||||||||||||||||
Southwest Gas Holdings, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 267,490 USD | (606 | ) | |||||||||||||||||||
SP Plus Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 95,975 USD | (6,951 | ) | |||||||||||||||||||
Spartannash Co. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 347,178 USD | (10,230 | ) | |||||||||||||||||||
Speedway Motorsports, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 92,784 USD | 625 | ||||||||||||||||||||
Spie SA | 03/26/19 | M | 0.05 | % | Credit Suisse Securities (Europe) Limited | 3,830,797 EUR | (25,799 | ) | |||||||||||||||||||
Spie SA | 07/27/20 | M | 0.07 | % | JPMorgan Chase Bank, N.A. | 2,104,418 EUR | (14,172 | ) | |||||||||||||||||||
Spirax Sarco Engineering PLC | 03/26/19 | M | 1.12 | % | Credit Suisse Securities (Europe) Limited | 195,352 GBP | 6,941 | ||||||||||||||||||||
Spire, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 636,433 USD | (8,537 | ) | |||||||||||||||||||
Spirit Realty Capital, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 7,319 USD | 234 | ||||||||||||||||||||
Spok Holdings, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 283,273 USD | 15,425 | ||||||||||||||||||||
Sprint Corp. | 09/17/20 | M | 2.39 | % | Deutsche Bank AG | 17,007,630 USD | 399,240 | ||||||||||||||||||||
SPS Commerce, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 128,810 USD | 3,973 | ||||||||||||||||||||
Staar Surgical Co. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 50,471 USD | 1,129 | ||||||||||||||||||||
Stag Industrial, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 32,494 USD | (512 | ) | |||||||||||||||||||
Standard Chartered PLC | 03/26/19 | M | 1.12 | % | Credit Suisse Securities (Europe) Limited | 2,358,890 GBP | (55,505 | ) |
See Notes to Consolidated Financial Statements.
201
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Standard Chartered PLC | 07/27/20 | M | 1.02 | % | JPMorgan Chase Bank, N.A. | 907,340 GBP | $ | (21,350 | ) | ||||||||||||||||||
Standard Life Aberdeen PLC | 03/26/19 | M | 1.12 | % | Credit Suisse Securities (Europe) Limited | 2,325,421 GBP | (164,013 | ) | |||||||||||||||||||
Standard Motor Products, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 381,962 USD | (18,965 | ) | |||||||||||||||||||
Standex International Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 120,216 USD | (7,209 | ) | |||||||||||||||||||
State Auto Financial Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 80,019 USD | (2,142 | ) | |||||||||||||||||||
State Bank Financial Corp. | 09/17/20 | M | 2.39 | % | Deutsche Bank AG | 1,079,687 USD | (42,280 | ) | |||||||||||||||||||
State Bank Financial Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 175,205 USD | (6,861 | ) | |||||||||||||||||||
Steelcase, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 625,621 USD | (18,063 | ) | |||||||||||||||||||
Steris PLC | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 1,105,962 USD | 4,405 | ||||||||||||||||||||
Stewart Information Services | 09/17/20 | M | 2.39 | % | Deutsche Bank AG | 1,902,793 USD | (12,599 | ) | |||||||||||||||||||
Stock Yards BanCorp. Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 105,023 USD | (2,403 | ) | |||||||||||||||||||
Stora Enso Oyj | 03/25/19 | M | 0.05 | % | Credit Suisse Securities (Europe) Limited | 142,692 EUR | 1,471 | ||||||||||||||||||||
Store Capital Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 71,085 USD | (526 | ) | |||||||||||||||||||
Stratasys Ltd. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 184,674 USD | (72 | ) | |||||||||||||||||||
Straumann Holding AG REG | 03/26/19 | M | 0.33 | % | Credit Suisse Securities (Europe) Limited | 125,607 CHF | 602 | ||||||||||||||||||||
Stryker Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 481,364 USD | 8,322 | ||||||||||||||||||||
Sturm Ruger & Co., Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 340,918 USD | 6,542 |
See Notes to Consolidated Financial Statements.
202
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Sun Communities, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 147,930 USD | $ | 521 | |||||||||||||||||||
Suncoke Energy, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 105,630 USD | 182 | ||||||||||||||||||||
Sunrun, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 4,475 USD | 140 | ||||||||||||||||||||
Sunstone Hotel Investors, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 13,406 USD | (138 | ) | |||||||||||||||||||
Superior Industires International | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 603,651 USD | (36,585 | ) | |||||||||||||||||||
SuperValu, Inc. | 09/17/20 | M | 2.39 | % | Deutsche Bank AG | 8,455,208 USD | (7,865 | ) | |||||||||||||||||||
Surface Oncology, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 25,089 USD | (2,235 | ) | |||||||||||||||||||
Surgery Partners, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 593,283 USD | 40,696 | ||||||||||||||||||||
Surmodics, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 512,753 USD | 12,932 | ||||||||||||||||||||
Sutherland Asset Management | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 80,850 USD | (1,196 | ) | |||||||||||||||||||
Svenska Cellulosa AB | 03/26/19 | M | 0.05 | % | Credit Suisse Securities (Europe) Limited | 4,271,052 SEK | (1,367 | ) | |||||||||||||||||||
Swedish Match AB | 03/26/19 | M | 0.05 | % | Credit Suisse Securities (Europe) Limited | 5,755,192 SEK | (3,828 | ) | |||||||||||||||||||
Swedish Orphan Biovitrum AB | 03/26/19 | M | 0.05 | % | Credit Suisse Securities (Europe) Limited | 4,202,496 SEK | 4,463 | ||||||||||||||||||||
Sykes Enterprises, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 632,293 USD | (5,754 | ) | |||||||||||||||||||
Symrise AG | 03/26/19 | M | 0.05 | % | Credit Suisse Securities (Europe) Limited | 287,722 EUR | 4,048 | ||||||||||||||||||||
Syneos Health, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 108,705 USD | 5,272 | ||||||||||||||||||||
Synopsys, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 21,838 USD | 54 | ||||||||||||||||||||
Syntel, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 106,285 USD | 99 | ||||||||||||||||||||
Syntel, Inc. | 09/17/20 | M | 2.39 | % | Deutsche Bank AG | 1,951,364 USD | 1,907 |
See Notes to Consolidated Financial Statements.
203
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Sysco Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 256,476 USD | $ | 192 | |||||||||||||||||||
Systemax, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 106,786 USD | (4,606 | ) | |||||||||||||||||||
T. Rowe Price Group, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 64,993 USD | (140 | ) | |||||||||||||||||||
Tactile Systems Technology, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 133,572 USD | 14,923 | ||||||||||||||||||||
TAG Immobilien AG | 03/26/19 | M | 0.05 | % | Credit Suisse Securities (Europe) Limited | 517,373 EUR | (588 | ) | |||||||||||||||||||
Tailored Brands, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 75,610 USD | (670 | ) | |||||||||||||||||||
Talos Energy, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 31,158 USD | 1,203 | ||||||||||||||||||||
Targa Resources Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 625,825 USD | 10,816 | ||||||||||||||||||||
Taubman Centers, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 173,719 USD | 87 | ||||||||||||||||||||
Taylor Morrison Home Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 173,587 USD | (10,343 | ) | |||||||||||||||||||
TCF Financial Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 179,803 USD | (8,537 | ) | |||||||||||||||||||
Team, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 173,426 USD | 2,524 | ||||||||||||||||||||
Tecan Group AG REG | 03/26/19 | M | 0.33 | % | Credit Suisse Securities (Europe) Limited | 252,840 CHF | 8,071 | ||||||||||||||||||||
Tech Data Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 288,283 USD | (7,586 | ) | |||||||||||||||||||
TechTarget | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 195,120 USD | (5,659 | ) | |||||||||||||||||||
Teekay Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 483,035 USD | 21,751 | ||||||||||||||||||||
Tegna, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 139,439 USD | 1,294 | ||||||||||||||||||||
Tejon Ranch Co. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 52,657 USD | (75 | ) | |||||||||||||||||||
Teledyne Technologies, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 22,662 USD | 279 | ||||||||||||||||||||
Teleflex, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 236,631 USD | (3,004 | ) |
See Notes to Consolidated Financial Statements.
204
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Teleperformance | 03/26/19 | M | 0.05 | % | Credit Suisse Securities (Europe) Limited | 414,285 EUR | $ | 7,463 | |||||||||||||||||||
Telephone and Data Systems, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 476,929 USD | (486 | ) | |||||||||||||||||||
Temenos Group AG REG | 03/26/19 | M | 0.33 | % | Credit Suisse Securities (Europe) Limited | 354,201 CHF | (2,414 | ) | |||||||||||||||||||
Terreno Realty Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 17,555 USD | 51 | ||||||||||||||||||||
Territorial BanCorp. Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 47,627 USD | (110 | ) | |||||||||||||||||||
Tesco PLC | 03/26/19 | M | 1.12 | % | Credit Suisse Securities (Europe) Limited | 233,041 GBP | 3,584 | ||||||||||||||||||||
Tetra Tech, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 83,145 USD | (843 | ) | |||||||||||||||||||
Tetra Technologies, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 85,012 USD | 2,324 | ||||||||||||||||||||
Tetraphase Pharmaceuticals, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 75,823 USD | (2,048 | ) | |||||||||||||||||||
Texas Instruements, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 114,021 USD | 28 | ||||||||||||||||||||
Texas Roadhouse, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 277,480 USD | (1,567 | ) | |||||||||||||||||||
Textainer Group Holdings Ltd. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 37,991 USD | (2,343 | ) | |||||||||||||||||||
TFS Financial Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 260,700 USD | (9,538 | ) | |||||||||||||||||||
TGS Nopec Geophysical Co. ASA | 03/25/19 | M | 1.44 | % | Credit Suisse Securities (Europe) Limited | 3,694,929 NOK | 26,109 | ||||||||||||||||||||
Thales SA | 03/26/19 | M | 0.05 | % | Credit Suisse Securities (Europe) Limited | 3,012,649 EUR | 19,859 | ||||||||||||||||||||
Thermon Group Holdings, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 251,868 USD | (3,659 | ) |
See Notes to Consolidated Financial Statements.
205
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Thule Group PLC | 03/26/19 | M | 0.05 | % | Credit Suisse Securities (Europe) Limited | 2,143,434 SEK | $ | 2,263 | |||||||||||||||||||
Tidewater, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 96,731 USD | 207 | ||||||||||||||||||||
Tier REIT, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 91,748 USD | 3,109 | ||||||||||||||||||||
Tile Shop Holdings, Inc. | 07/23/20 | M | 2.48 | % | Morgan Stanley Capital Services LLC | 28,981 USD | (130 | ) | |||||||||||||||||||
Timken Co. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 24,279 USD | (1,049 | ) | |||||||||||||||||||
Tivo Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 1,604,318 USD | (110,467 | ) | |||||||||||||||||||
TJX Companies, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 28,892 USD | 9 | ||||||||||||||||||||
TLG ImmobilienAG | 03/26/19 | M | 0.05 | % | Credit Suisse Securities (Europe) Limited | 115,839 EUR | 601 | ||||||||||||||||||||
Toll Brothers, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 812 USD | (20 | ) | |||||||||||||||||||
Tompkins Financial Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 18,385 USD | (1,172 | ) | |||||||||||||||||||
Tootsie Roll Industries | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 435,830 USD | 4,529 | ||||||||||||||||||||
Topdanmark A/S | 03/25/19 | M | 0.09 | % | Credit Suisse Securities (Europe) Limited | 839,714 DKK | 4,613 | ||||||||||||||||||||
Torchmark Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 187,974 USD | 143 | ||||||||||||||||||||
Total SA | 07/27/20 | M | 0.07 | % | JPMorgan Chase Bank, N.A. | 5,648,332 EUR | 112,286 | ||||||||||||||||||||
Total SA | 03/26/19 | M | 0.05 | % | Credit Suisse Securities (Europe) Limited | 1,847,605 EUR | 36,730 | ||||||||||||||||||||
Total System Services, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 131,119 USD | 403 | ||||||||||||||||||||
Tower International, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 422,803 USD | (21,869 | ) | |||||||||||||||||||
Towne Bank | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 109,419 USD | (4,097 | ) | |||||||||||||||||||
TPG Real Estate Finance Trust, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 45,053 USD | 372 |
See Notes to Consolidated Financial Statements.
206
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Transdigm Group, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 24,776 USD | $ | 168 | |||||||||||||||||||
Traveler’s Co. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 110,089 USD | 164 | ||||||||||||||||||||
Travelport Worldwide Ltd. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 441,930 USD | 1,616 | ||||||||||||||||||||
Trecora Resources | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 82,106 USD | (1,914 | ) | |||||||||||||||||||
Tredegar Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 539,167 USD | (37,104 | ) | |||||||||||||||||||
Tri Pointe Group, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 65,905 USD | (4,264 | ) | |||||||||||||||||||
TriMas Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 100,108 USD | (3,649 | ) | |||||||||||||||||||
Trinity Industries, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 245,036 USD | (3,432 | ) | |||||||||||||||||||
Trinseo SA | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 2,209 USD | 62 | ||||||||||||||||||||
Triple-S Management Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 964,736 USD | (99,309 | ) | |||||||||||||||||||
TriState Capital Holdings, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 28,135 USD | (839 | ) | |||||||||||||||||||
Triton International Ltd. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 653,198 USD | (77,295 | ) | |||||||||||||||||||
Triumph Bancorp, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 54,312 USD | (4,499 | ) | |||||||||||||||||||
TrueBlue, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 127,355 USD | 5,370 | ||||||||||||||||||||
Trustmark Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 264,171 USD | (9,541 | ) | |||||||||||||||||||
TTEC Holdings, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 500,194 USD | (14,077 | ) | |||||||||||||||||||
TTM Technologies | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 212,496 USD | (17,058 | ) | |||||||||||||||||||
TUI AG | 03/26/19 | M | 1.12 | % | Credit Suisse Securities (Europe) Limited | 114,874 GBP | 5,152 | ||||||||||||||||||||
Tupperware Brands Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 367,409 USD | (8,691 | ) |
See Notes to Consolidated Financial Statements.
207
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Turning Point Brands, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 159,099 USD | $ | (2,463 | ) | ||||||||||||||||||
Tutor Perini Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 91,354 USD | (4,855 | ) | |||||||||||||||||||
Twenty First Century Fox | 01/27/20 | M | 2.52 | % | Credit Suisse Securities (Europe) Limited | 13,719,827 USD | 586,873 | ||||||||||||||||||||
Tyler Technologies, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 126,597 USD | (146 | ) | |||||||||||||||||||
Tyson Foods, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 29,718 USD | (786 | ) | |||||||||||||||||||
U.S. Physical Therapy, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 1,086,397 USD | 15,159 | ||||||||||||||||||||
Ubisoft Entertainment | 03/26/19 | M | 0.05 | % | Credit Suisse Securities (Europe) Limited | 391,832 EUR | 5,282 | ||||||||||||||||||||
UBS Group AG REG | 03/26/19 | M | 0.33 | % | Credit Suisse Securities (Europe) Limited | 2,254,964 CHF | (50,738 | ) | |||||||||||||||||||
UBS Group AG REG | 07/27/20 | M | 0.48 | % | JPMorgan Chase Bank, N.A. | 287,931 CHF | (6,479 | ) | |||||||||||||||||||
UCB SA | 03/26/19 | M | 0.05 | % | Credit Suisse Securities (Europe) Limited | 259,690 EUR | (1,813 | ) | |||||||||||||||||||
UGI Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 692,132 USD | 13,352 | ||||||||||||||||||||
Umicore NV | 03/26/19 | M | 0.05 | % | Credit Suisse Securities (Europe) Limited | 281,897 EUR | (11,808 | ) | |||||||||||||||||||
Umpqua Holdings Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 36,169 USD | (1,308 | ) | |||||||||||||||||||
Unicredit SpA | 10/04/19 | M | 0.05 | % | Credit Suisse Securities (Europe) Limited | 16,702,452 EUR | (1,451,508 | ) | |||||||||||||||||||
Unifi, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 158,230 USD | (1,395 | ) | |||||||||||||||||||
UniFirst Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 39,536 USD | (291 | ) | |||||||||||||||||||
Union Bankshares Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 115,307 USD | (4,418 | ) | |||||||||||||||||||
Union Pacific Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 468,033 USD | (4,293 | ) | |||||||||||||||||||
Uniper SE | 03/26/19 | M | 0.05 | % | Credit Suisse Securities (Europe) Limited | 201,692 EUR | 1,257 | ||||||||||||||||||||
Unisys Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 104,192 USD | (437 | ) | |||||||||||||||||||
Unit Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 45,687 USD | (473 | ) |
See Notes to Consolidated Financial Statements.
208
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Unite Group PLC | 03/26/19 | M | 1.12 | % | Credit Suisse Securities (Europe) Limited | 363,851 GBP | $ | (2,837 | ) | ||||||||||||||||||
United Bankshares, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 39,075 USD | (1,744 | ) | |||||||||||||||||||
United Community Banks | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 116,452 USD | (5,339 | ) | |||||||||||||||||||
United Community Financial | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 33,908 USD | (1,184 | ) | |||||||||||||||||||
United Financial Bancorp, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 178,218 USD | (5,441 | ) | |||||||||||||||||||
United Fire Group, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 65,189 USD | (1,066 | ) | |||||||||||||||||||
United Insurance Holdings Co. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 261,151 USD | 12,087 | ||||||||||||||||||||
United Natural Foods, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 36,595 USD | (1,224 | ) | |||||||||||||||||||
United Parcel Service | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 369,431 USD | (2,369 | ) | |||||||||||||||||||
United Therapeutics Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 105,457 USD | 3,369 | ||||||||||||||||||||
UnitedHealth Group, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 893,775 USD | (147 | ) | |||||||||||||||||||
Uniti Group, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 156,987 USD | (2,033 | ) | |||||||||||||||||||
Unitil Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 384,147 USD | (1,939 | ) | |||||||||||||||||||
Unity Bancorp, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 8,936 USD | (96 | ) | |||||||||||||||||||
Universal Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 553,064 USD | (18,504 | ) | |||||||||||||||||||
Universal Forest Products | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 318,066 USD | 646 | ||||||||||||||||||||
Universal Health Services, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 531,116 USD | 5,045 |
See Notes to Consolidated Financial Statements.
209
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Universal Insurance Holdings, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 407,358 USD | $ | 7,259 | |||||||||||||||||||
Universal Logistics Holdings | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 556,522 USD | 9,940 | ||||||||||||||||||||
Upland Sofware, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 51,357 USD | (501 | ) | |||||||||||||||||||
UPM Kymmene Oyj | 03/25/19 | M | 0.05 | % | Credit Suisse Securities (Europe) Limited | 111,672 EUR | 44 | ||||||||||||||||||||
Urstadt Biddle Properties, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 124,680 USD | 2,145 | ||||||||||||||||||||
US Cellular Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 297,476 USD | 2,684 | ||||||||||||||||||||
US Ecology, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 140,169 USD | (4,911 | ) | |||||||||||||||||||
USA Truck, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 34,665 USD | (1,366 | ) | |||||||||||||||||||
USG Corp. | 09/17/20 | M | 2.39 | % | Deutsche Bank AG | 16,944,648 USD | (15,635 | ) | |||||||||||||||||||
Utah Medical Products, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 314,602 USD | (3,554 | ) | |||||||||||||||||||
Vail Resorts, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 289,744 USD | (9,561 | ) | |||||||||||||||||||
Valeo SA | 03/26/19 | M | 0.05 | % | Credit Suisse Securities (Europe) Limited | 646,355 EUR | (65,057 | ) | |||||||||||||||||||
Valero Energy Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 422,249 USD | 3,404 | ||||||||||||||||||||
Valhi, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 85,258 USD | (17,052 | ) | |||||||||||||||||||
Vanda Pharmaceuticals, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 10,331 USD | 1,465 | ||||||||||||||||||||
Varex Imaging Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 209,685 USD | (8,434 | ) | |||||||||||||||||||
Varian Medical Systems, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 41,035 USD | 44 | ||||||||||||||||||||
Vector Group Ltd. | 07/23/20 | M | �� | 2.23 | % | Morgan Stanley Capital Services LLC | 827,934 USD | (29,548 | ) | ||||||||||||||||||
Vectren Corp. | 09/17/20 | M | 2.39 | % | Deutsche Bank AG | 16,690,468 USD | (13,996 | ) |
See Notes to Consolidated Financial Statements.
210
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Veeco Instruments, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 181,095 USD | $ | (6,036 | ) | ||||||||||||||||||
Veeva Systems, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 14,507 USD | 626 | ||||||||||||||||||||
Veracyte, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 63,059 USD | (3,018 | ) | |||||||||||||||||||
Verbund AG | 10/25/18 | M | 0.05 | % | Credit Suisse Securities (Europe) Limited | 517,001 EUR | 41,240 | ||||||||||||||||||||
Verint Systems, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 103,189 USD | 3,624 | ||||||||||||||||||||
Verisk Analytics, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 133,716 USD | (26 | ) | |||||||||||||||||||
Veritex Holdings, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 93,277 USD | (4,343 | ) | |||||||||||||||||||
Veritiv Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 11,220 USD | (81 | ) | |||||||||||||||||||
Verizon Communications, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 560,256 USD | (9,539 | ) | |||||||||||||||||||
Verso Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 376,895 USD | 60,579 | ||||||||||||||||||||
Versum Materials, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 12,137 USD | 35 | ||||||||||||||||||||
Viacom, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 60,532 USD | 2,599 | ||||||||||||||||||||
Viad Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 164,310 USD | (1,194 | ) | |||||||||||||||||||
Victrex PLC | 03/26/19 | M | 1.12 | % | Credit Suisse Securities (Europe) Limited | 490,340 GBP | (10,136 | ) | |||||||||||||||||||
Vifor Pharma AG | 03/26/19 | M | 0.33 | % | Credit Suisse Securities (Europe) Limited | 548,154 CHF | 591 | ||||||||||||||||||||
Village Super Market, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 111,906 USD | (4,956 | ) | |||||||||||||||||||
Virgin Money Holdings | 03/26/19 | M | 1.12 | % | Credit Suisse Securities (Europe) Limited | 336,967 GBP | (10,960 | ) | |||||||||||||||||||
Virgin Money Holdings | 09/17/20 | M | 1.07 | % | Deutsche Bank AG | 180,405 GBP | (5,973 | ) | |||||||||||||||||||
Virtusa Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 93,038 USD | 310 | ||||||||||||||||||||
Viscofan SA | 03/26/19 | M | 0.05 | % | Credit Suisse Securities (Europe) Limited | 102,273 EUR | 908 |
See Notes to Consolidated Financial Statements.
211
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Vishay Intertechnology, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 385,839 USD | $ | (20,638 | ) | ||||||||||||||||||
Vishay Precision Group | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 218,130 USD | 585 | ||||||||||||||||||||
Vista Outdoor, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 75,546 USD | 254 | ||||||||||||||||||||
Vivendi | 07/27/20 | M | 0.07 | % | JPMorgan Chase Bank, N.A. | 11,863,196 EUR | 65,604 | ||||||||||||||||||||
Vivendi | 03/26/19 | M | 0.05 | % | Credit Suisse Securities (Europe) Limited | 2,378,616 EUR | 8,729 | ||||||||||||||||||||
Vocera Communcations, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 144,959 USD | 4,287 | ||||||||||||||||||||
Vodafone Group PLC | 07/27/20 | M | 1.02 | % | JPMorgan Chase Bank, N.A. | 4,273,500 GBP | (209,847 | ) | |||||||||||||||||||
Vodafone Group PLC | 03/26/19 | M | 1.12 | % | Credit Suisse Securities (Europe) Limited | 5,094,446 GBP | (250,159 | ) | |||||||||||||||||||
Vodafone Group PLC | 01/27/20 | M | 2.52 | % | Credit Suisse Securities (Europe) Limited | 42,769 USD | (2,081 | ) | |||||||||||||||||||
Vonage Holdings Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 146,840 USD | 6,159 | ||||||||||||||||||||
Vontobel Holding AG | 03/26/19 | M | 0.33 | % | Credit Suisse Securities (Europe) Limited | 87,446 CHF | (3,520 | ) | |||||||||||||||||||
VSE Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 157,118 USD | (2,766 | ) | |||||||||||||||||||
Washington Federal, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 98,968 USD | (3,864 | ) | |||||||||||||||||||
Washington Trust BanCorp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 108,194 USD | (4,230 | ) | |||||||||||||||||||
Waterstone Financial, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 62,983 USD | 369 | ||||||||||||||||||||
WatsCo, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 149,044 USD | 738 | ||||||||||||||||||||
Watts Water Technologies | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 110,204 USD | 1,929 | ||||||||||||||||||||
WD 40 Co. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 148,505 USD | (671 | ) | |||||||||||||||||||
WEC Energy Group, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 339,847 USD | 4,969 |
See Notes to Consolidated Financial Statements.
212
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Weis Markets, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 554,068 USD | $ | (18,339 | ) | ||||||||||||||||||
WellCare Health Plans, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 156,554 USD | 8,498 | ||||||||||||||||||||
Wendy’s Co. | 07/23/20 | M | 2.48 | % | Morgan Stanley Capital Services LLC | 3,082 USD | (14 | ) | |||||||||||||||||||
Werner Enterprises, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 115,842 USD | (813 | ) | |||||||||||||||||||
WesbanCo, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 266,724 USD | (8,962 | ) | |||||||||||||||||||
Wesco International, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 10,908 USD | 30 | ||||||||||||||||||||
West Pharmaceutical Services | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 382,993 USD | 4,580 | ||||||||||||||||||||
Westamerica BanCorporation | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 183,695 USD | (5,681 | ) | |||||||||||||||||||
Western Asset Mortgage Capital | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 91,559 USD | (6,058 | ) | |||||||||||||||||||
Western Digital Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 353,013 USD | (9,735 | ) | |||||||||||||||||||
Western Union Co. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 831,573 USD | 1,139 | ||||||||||||||||||||
WestRock Co. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 760,728 USD | (35,280 | ) | |||||||||||||||||||
Weyco Group, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 96,445 USD | (404 | ) | |||||||||||||||||||
Whirlpool Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 57,757 USD | (282 | ) | |||||||||||||||||||
White Mountains Insureance Group | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 117,312 USD | (328 | ) | |||||||||||||||||||
William Demant Holding | 03/25/19 | M | 0.09 | % | Credit Suisse Securities (Europe) Limited | 3,005,321 DKK | (19,377 | ) | |||||||||||||||||||
William Lyon Homes | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 264,951 USD | (22,947 | ) | |||||||||||||||||||
William’s Sonoma, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 30,809 USD | 79 |
See Notes to Consolidated Financial Statements.
213
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Willis Lease Finance Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 69,160 USD | $ | (968 | ) | ||||||||||||||||||
Willis Towers Watcon PLC | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 139,897 USD | (85 | ) | |||||||||||||||||||
Wingstop, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 198,672 USD | 3,135 | ||||||||||||||||||||
Wirecard AG | 03/26/19 | M | 0.05 | % | Credit Suisse Securities (Europe) Limited | 625,967 EUR | 32,343 | ||||||||||||||||||||
Wolters Kluwer | 03/26/19 | M | 0.05 | % | Credit Suisse Securities (Europe) Limited | 376,522 EUR | 12,640 | ||||||||||||||||||||
Workiva, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 163,529 USD | 12,957 | ||||||||||||||||||||
World Wrestling Entertainment, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 99,613 USD | 5,629 | ||||||||||||||||||||
Worldline SA | 03/26/19 | M | 0.05 | % | Credit Suisse Securities (Europe) Limited | 156,065 EUR | 8,719 | ||||||||||||||||||||
Worthington Industries | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 226,875 USD | (2,443 | ) | |||||||||||||||||||
WP Carey, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 347,209 USD | (1,093 | ) | |||||||||||||||||||
WR Berkley Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 316,284 USD | 2,397 | ||||||||||||||||||||
Xcel Energy, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 410,776 USD | (1,324 | ) | |||||||||||||||||||
Xcerra Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 481,123 USD | 26,690 | ||||||||||||||||||||
Xencor, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 87,281 USD | (7,977 | ) | |||||||||||||||||||
Xenia Hotels & Resorts, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 86,615 USD | (110 | ) | |||||||||||||||||||
Xerox Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 1,020,549 USD | (31,678 | ) | |||||||||||||||||||
Xilinx, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 53,798 USD | 317 | ||||||||||||||||||||
XO Group, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 109,418 USD | 25,951 | ||||||||||||||||||||
Xperi Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 1,012,783 USD | (47,875 | ) | |||||||||||||||||||
Yum! Brands, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 471,274 USD | 3,276 |
See Notes to Consolidated Financial Statements.
214
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Zimmer Biomet Holdings, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 575,628 USD | $ | 605 | |||||||||||||||||||
Zix Corp. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 148,938 USD | 1,628 | ||||||||||||||||||||
Zoetis, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 160,643 USD | 2,517 | ||||||||||||||||||||
Zynga, Inc. | 07/23/20 | M | 2.23 | % | Morgan Stanley Capital Services LLC | 18,542 USD | 426 | ||||||||||||||||||||
|
| ||||||||||||||||||||||||||
Total Buys | $ | (8,690,633 | ) | ||||||||||||||||||||||||
|
| ||||||||||||||||||||||||||
Sells | |||||||||||||||||||||||||||
Ringcentral, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 158,733 USD | (3,826 | ) | |||||||||||||||||||
1-800 FLOWERS.COM, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 19,755 USD | (199 | ) | |||||||||||||||||||
2U, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 455,221 USD | 6,336 | ||||||||||||||||||||
3D Systems Corp. | 07/23/20 | M | 0.10 | % | Morgan Stanley Capital Services LLC | 496,038 USD | (1,316 | ) | |||||||||||||||||||
3M Co. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 363,086 USD | 5,722 | ||||||||||||||||||||
8X8, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 113,283 USD | 233 | ||||||||||||||||||||
Aaron’s, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 57,611 USD | 1,027 | ||||||||||||||||||||
ABIOMED, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 128,751 USD | (1,227 | ) | |||||||||||||||||||
ABN AMRO Group NV | 03/26/19 | M | 0.40 | % | Credit Suisse Securities (Europe) Limited | 1,575,716 EUR | 39,688 | ||||||||||||||||||||
Acacia Communications, Inc. | 07/23/20 | M | 1.20 | % | Morgan Stanley Capital Services LLC | 530,488 USD | (19,775 | ) | |||||||||||||||||||
Acadia Pharmaceuticals, Inc. | 07/23/20 | M | 1.20 | % | Morgan Stanley Capital Services LLC | 715,968 USD | (20,804 | ) | |||||||||||||||||||
Acadia Realty Trust | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 142,442 USD | 2,152 | ||||||||||||||||||||
Acceleron Pharma, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 348,681 USD | (2,825 | ) | |||||||||||||||||||
Aclaris Therapeutics, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 16,171 USD | 693 | ||||||||||||||||||||
Activision Blizzard, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 323,625 USD | (11,548 | ) |
See Notes to Consolidated Financial Statements.
215
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Actuant Corp. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 154,215 USD | $ | 9,833 | |||||||||||||||||||
Acuity Brands, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 606,133 USD | 27,637 | ||||||||||||||||||||
Acxiom Corp. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 53,242 USD | 1,016 | ||||||||||||||||||||
Adamas Pharmaceuticals, Inc. | 07/23/20 | M | 0.65 | % | Morgan Stanley Capital Services LLC | 335,034 USD | (14,855 | ) | |||||||||||||||||||
Adesto Technologies Corp. | 07/23/20 | M | 0.80 | % | Morgan Stanley Capital Services LLC | 190,247 USD | 12,770 | ||||||||||||||||||||
ADMA Biologics, Inc. | 07/23/20 | M | 0.10 | % | Morgan Stanley Capital Services LLC | 248,192 USD | (1,934 | ) | |||||||||||||||||||
Adobe Systems, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 307,893 USD | (4,169 | ) | |||||||||||||||||||
Adobe Systems, Inc. | 01/27/20 | M | 1.92 | % | Credit Suisse Securities (Europe) Limited | 865,079 USD | (27,106 | ) | |||||||||||||||||||
Adtalem Global Education, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 73,327 USD | (2,202 | ) | |||||||||||||||||||
Aduro Biotech, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 105,685 USD | (19,603 | ) | |||||||||||||||||||
Advance Auto Parts, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 264,788 USD | 173 | ||||||||||||||||||||
Advanced Energy Industries | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 323,595 USD | 11,423 | ||||||||||||||||||||
Advanced Micro Devices | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 565,494 USD | 3,018 | ||||||||||||||||||||
Advansix, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 363,911 USD | 8,386 | ||||||||||||||||||||
Aecom | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 50,043 USD | 40 | ||||||||||||||||||||
Aeglea BioTherapeutics, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 113,611 USD | (5,085 | ) | |||||||||||||||||||
Aegon N.V. | 07/27/20 | M | 0.67 | % | JPMorgan Chase Bank, N.A. | 5,778,240 EUR | (38,640 | ) |
See Notes to Consolidated Financial Statements.
216
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Aegon N.V. | 03/26/19 | M | 0.40 | % | Credit Suisse Securities (Europe) Limited | 4,797,475 EUR | $ | (28,627 | ) | ||||||||||||||||||
Aerie Pharmaceuticals, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 280,454 USD | (14,863 | ) | |||||||||||||||||||
Aerohive Networks, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 147,000 USD | (2,172 | ) | |||||||||||||||||||
Aerojet Rocketdyne Holdings | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 683,485 USD | (1,549 | ) | |||||||||||||||||||
Aerovironment, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 423,507 USD | (19,116 | ) | |||||||||||||||||||
Affiliated Managers Group | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 350,648 USD | 24,161 | ||||||||||||||||||||
AGCO Corp. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 231,427 USD | (1,763 | ) | |||||||||||||||||||
Ageas | 03/26/19 | M | 0.40 | % | Credit Suisse Securities (Europe) Limited | 6,140,406 EUR | (26,157 | ) | |||||||||||||||||||
Agios Pharmaceuticals, Inc. | 07/23/20 | M | 1.40 | % | Morgan Stanley Capital Services LLC | 301,026 USD | (13,007 | ) | |||||||||||||||||||
Aimmune Therapeutics, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 294,956 USD | (486 | ) | |||||||||||||||||||
Air Liquide SA | 03/26/19 | M | 0.90 | % | Credit Suisse Securities (Europe) Limited | 872,363 EUR | (27,548 | ) | |||||||||||||||||||
Air Liquide SA | 07/27/20 | M | 0.67 | % | JPMorgan Chase Bank, N.A. | 233,174 EUR | (7,363 | ) | |||||||||||||||||||
Air Products & Chemicals, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 131,782 USD | 1,483 | ||||||||||||||||||||
Air Transport Services Group | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 114,720 USD | 2,991 | ||||||||||||||||||||
Airbus SE | 03/26/19 | M | 0.40 | % | Credit Suisse Securities (Europe) Limited | 107,261 EUR | (188 | ) | |||||||||||||||||||
AK Steel Holding Corp. | 07/23/20 | M | 1.05 | % | Morgan Stanley Capital Services LLC | 792,447 USD | (26,749 | ) | |||||||||||||||||||
Akamai Technologies, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 150,532 USD | 429 |
See Notes to Consolidated Financial Statements.
217
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Akorn, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 359,016 USD | $ | 6,518 | |||||||||||||||||||
Alamo Group, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 47,127 USD | 1,689 | ||||||||||||||||||||
Alarm.com Holdings, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 280,030 USD | (3,526 | ) | |||||||||||||||||||
Alaska Air Group, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 178,898 USD | (69 | ) | |||||||||||||||||||
Albemarle Corp. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 644,751 USD | 30,007 | ||||||||||||||||||||
Alcoa Corp. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 533,145 USD | 38,851 | ||||||||||||||||||||
Alder Biopharmaceuticals, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 137,693 USD | (3,698 | ) | |||||||||||||||||||
Aldeyra Therapeutics, Inc. | 07/23/20 | M | 0.25 | % | Morgan Stanley Capital Services LLC | 103,704 USD | (53,561 | ) | |||||||||||||||||||
Alexander & Baldwin, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 208,480 USD | 2,092 | ||||||||||||||||||||
Alexion Pharmaceuticals, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 320,107 USD | (36,315 | ) | |||||||||||||||||||
Alibaba | 01/27/20 | M | 1.92 | % | Credit Suisse Securities (Europe) Limited | 145,301,450 USD | (114,737 | ) | |||||||||||||||||||
Align Technology, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 146,117 USD | (2,938 | ) | |||||||||||||||||||
Alkermes PLC | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 345,302 USD | (6,229 | ) | |||||||||||||||||||
Allegheny Technologies, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 315,433 USD | (8,494 | ) | |||||||||||||||||||
Allegiant Travel Co. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 29,247 USD | 463 | ||||||||||||||||||||
Allegion PLC | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 126,098 USD | (700 | ) | |||||||||||||||||||
Alliance Data Systems Corp. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 4,498 USD | 11 | ||||||||||||||||||||
Alliance Data Systems Corp. | 09/23/20 | M | 1.93 | % | Goldman Sachs International | 905,729 USD | 45,634 |
See Notes to Consolidated Financial Statements.
218
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Allianz SE REG | 03/26/19 | M | 0.40 | % | Credit Suisse Securities (Europe) Limited | 2,473,718 EUR | $ | 15,593 | |||||||||||||||||||
Allison Transmission Holding | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 122,166 USD | 2,855 | ||||||||||||||||||||
Ally Financial, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 20,338 USD | 78 | ||||||||||||||||||||
Alnylam Pharmaceuticals, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 543,117 USD | 39,090 | ||||||||||||||||||||
Alphabet, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 565,598 USD | (13,801 | ) | |||||||||||||||||||
Alta Mesa Resources, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 42,913 USD | 2,513 | ||||||||||||||||||||
Altair Engineering, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 228,088 USD | (13,146 | ) | |||||||||||||||||||
Alteryx, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 237,639 USD | 6,453 | ||||||||||||||||||||
Amazon.Com, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 909,074 USD | (36,342 | ) | |||||||||||||||||||
AMBAC Financial Group, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 95,258 USD | 4,021 | ||||||||||||||||||||
Ambarella, Inc. | 07/23/20 | M | 0.55 | % | Morgan Stanley Capital Services LLC | 378,374 USD | (1,967 | ) | |||||||||||||||||||
AMC Networks, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 268,379 USD | (4,809 | ) | |||||||||||||||||||
Amcor Limited | 09/17/19 | M | 1.35 | % | Deutsche Bank AG | 7,181,964 AUD | (7,601 | ) | |||||||||||||||||||
American Airlines Group, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 417,601 USD | 21,742 | ||||||||||||||||||||
American Assets Trust, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 30,360 USD | 193 | ||||||||||||||||||||
American Axle & Manufact. Holdings, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 67,775 USD | 928 | ||||||||||||||||||||
American Campus Communities | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 51,546 USD | 1,042 | ||||||||||||||||||||
American Equity Investment Life Holdings | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 26,776 USD | 1,034 |
See Notes to Consolidated Financial Statements.
219
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
American Express Co. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 52,561 USD | $ | 594 | |||||||||||||||||||
American Outdoor Brands Corp. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 412,482 USD | 5,115 | ||||||||||||||||||||
American Public Education | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 117,778 USD | (7,184 | ) | |||||||||||||||||||
American States Water Co. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 61,520 USD | (1,883 | ) | |||||||||||||||||||
American Tower Corp. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 17,374 USD | (62 | ) | |||||||||||||||||||
American Water Works Co., Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 186,948 USD | (253 | ) | |||||||||||||||||||
American Woodmark Corp. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 629,472 USD | 34,507 | ||||||||||||||||||||
Ameris Bancorp | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 125,893 USD | 1,864 | ||||||||||||||||||||
Amicus Therapeutics, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 362,149 USD | 3,559 | ||||||||||||||||||||
Amneal Pharmaceuticals, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 173,460 USD | 9,077 | ||||||||||||||||||||
Anadarko Petroleum Corp. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 188,295 USD | (6,385 | ) | |||||||||||||||||||
Analog Devices, Inc. | 01/27/20 | M | 1.92 | % | Credit Suisse Securities (Europe) Limited | 954,778 USD | 11,131 | ||||||||||||||||||||
Anaptysbio, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 406,229 USD | (22,782 | ) | |||||||||||||||||||
Anglo American PLC | 03/26/19 | M | 0.72 | % | Credit Suisse Securities (Europe) Limited | 12,037,075 GBP | 336,807 | ||||||||||||||||||||
Anheuser Busch Inbev SA NV | 03/26/19 | M | 0.95 | % | Credit Suisse Securities (Europe) Limited | 158,014 EUR | 6,697 | ||||||||||||||||||||
Annaly Capital Management, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 66,144 USD | 386 | ||||||||||||||||||||
Antares Pharma, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 332,122 USD | (10,188 | ) | |||||||||||||||||||
Apache Corp. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 2,482 USD | (92 | ) | |||||||||||||||||||
Apartment Investment & Management Co. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 103,984 USD | 1,161 |
See Notes to Consolidated Financial Statements.
220
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Apartment Investment & Management Co. | 07/23/20 | M | 1.53 | % | Morgan Stanley Capital Services LLC | 2,946,026 USD | $ | 16,502 | |||||||||||||||||||
Apellis Pharmaceuticals, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 276,835 USD | 27,008 | ||||||||||||||||||||
Apergy Corp. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 64,231 USD | 1,069 | ||||||||||||||||||||
AppFolio, Inc. | 07/23/20 | M | 0.85 | % | Morgan Stanley Capital Services LLC | 15,436 USD | 305 | ||||||||||||||||||||
Apple, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 36,063 USD | (55 | ) | |||||||||||||||||||
Applied Materials, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 403,927 USD | 8,924 | ||||||||||||||||||||
Apptio, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 120,489 USD | 2,365 | ||||||||||||||||||||
Aptiv PLC | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 359,346 USD | 7,218 | ||||||||||||||||||||
Aqua America, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 19,041 USD | 74 | ||||||||||||||||||||
Arch Capital Group Ltd. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 43,743 USD | (107 | ) | |||||||||||||||||||
Arch Coal, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 29,867 USD | 365 | ||||||||||||||||||||
Arconic, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 479,953 USD | 16,973 | ||||||||||||||||||||
Arena Pharmaceuticals, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 238,969 USD | (12,714 | ) | |||||||||||||||||||
Argan, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 279,176 USD | 5,094 | ||||||||||||||||||||
Arista Networks, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 565,608 USD | 6,239 | ||||||||||||||||||||
Arkema | 03/26/19 | M | 0.40 | % | Credit Suisse Securities (Europe) Limited | 202,707 EUR | 10,132 | ||||||||||||||||||||
Arlington Asset Investment | 07/23/20 | M | 1.30 | % | Morgan Stanley Capital Services LLC | 2,342 USD | 185 | ||||||||||||||||||||
Armstrong World Industries | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 94,374 USD | 135 | ||||||||||||||||||||
Arqule, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 207,049 USD | (22,985 | ) | |||||||||||||||||||
Array Biopharma, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 416,903 USD | 2,262 | ||||||||||||||||||||
Arrowhead Pharmaceuticals, Inc. | 07/23/20 | M | 0.30 | % | Morgan Stanley Capital Services LLC | 249,465 USD | (19,375 | ) |
See Notes to Consolidated Financial Statements.
221
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Artesian Resources Corp. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 31,500 USD | $ | (242 | ) | ||||||||||||||||||
Artisan Partners Asset Management, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 4,836 USD | 138 | ||||||||||||||||||||
Ashford Hospitality Trust | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 158,611 USD | 1,027 | ||||||||||||||||||||
Aspen Insurance Holdings Ltd. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 206,587 USD | (1,493 | ) | |||||||||||||||||||
Assembly Biosciences, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 266,460 USD | (7,596 | ) | |||||||||||||||||||
Assicurazioni Generali | 10/04/19 | M | 0.40 | % | Credit Suisse Securities (Europe) Limited | 5,022,071 EUR | 170,013 | ||||||||||||||||||||
Associated Capital Group, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 61,047 USD | (3,203 | ) | |||||||||||||||||||
Assurant, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 2,894 USD | (129 | ) | |||||||||||||||||||
Astec Industries, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 110,773 USD | 4,156 | ||||||||||||||||||||
Astronics Corp. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 79,236 USD | (195 | ) | |||||||||||||||||||
Asure Software, Inc. | 07/23/20 | M | 0.25 | % | Morgan Stanley Capital Services LLC | 148,695 USD | 4,189 | ||||||||||||||||||||
At Home Group, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 311,363 USD | 14,193 | ||||||||||||||||||||
AT&T, Inc. | 01/27/20 | M | 1.92 | % | Credit Suisse Securities (Europe) Limited | 753,429 USD | 4,461 | ||||||||||||||||||||
Atara Biotherapeutics, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 197,029 USD | (5,793 | ) | |||||||||||||||||||
Athenahealth, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 95,862 USD | 71 | ||||||||||||||||||||
Athene Holding Ltd. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 188,609 USD | 4,958 | ||||||||||||||||||||
Athenex, Inc. | 07/23/20 | M | 0.50 | % | Morgan Stanley Capital Services LLC | 55,019 USD | 2,463 | ||||||||||||||||||||
Atkore International Group, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 270,290 USD | (236 | ) | |||||||||||||||||||
Atlassian Corp PLC | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 192,226 USD | (8,130 | ) |
See Notes to Consolidated Financial Statements.
222
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Audentes Therapeutics, Inc. | 07/23/20 | M | 1.31 | % | Morgan Stanley Capital Services LLC | 231,846 USD | $ | (11,949 | ) | ||||||||||||||||||
Autodesk, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 382,082 USD | (8,661 | ) | |||||||||||||||||||
Autonation, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 56,819 USD | 3,635 | ||||||||||||||||||||
Autozone, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 198,626 USD | (1,504 | ) | |||||||||||||||||||
AvalonBay Communities, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 210,112 USD | 884 | ||||||||||||||||||||
AvalonBay Communities, Inc. | 07/23/20 | M | 1.53 | % | Morgan Stanley Capital Services LLC | 2,940,076 USD | 32,070 | ||||||||||||||||||||
Aveo Pharmaceuticals, Inc. | 07/23/20 | M | 1.00 | % | Morgan Stanley Capital Services LLC | 11,829 USD | (1,861 | ) | |||||||||||||||||||
Avid Bioservices, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 287,488 USD | 836 | ||||||||||||||||||||
Avis Budget Group, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 889,525 USD | 42,379 | ||||||||||||||||||||
Axalta Coating Systems Ltd. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 661,590 USD | 29,809 | ||||||||||||||||||||
Axcelis Technologies, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 75,474 USD | 2,317 | ||||||||||||||||||||
AxoGen, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 96,943 USD | (3,068 | ) | |||||||||||||||||||
Axon Enterprise, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 417,436 USD | (23,459 | ) | |||||||||||||||||||
Axos Financial, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 4,836 USD | 193 | ||||||||||||||||||||
AXT, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 143,314 USD | 7,593 | ||||||||||||||||||||
Baker Hughes | 01/27/20 | M | 1.92 | % | Credit Suisse Securities (Europe) Limited | 87,020 USD | (2,460 | ) | |||||||||||||||||||
Balchem Corp. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 43,430 USD | 275 | ||||||||||||||||||||
Banc of California, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 36,153 USD | 1,112 | ||||||||||||||||||||
Banco Latinoamericano de Comercico Exterior SA | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 140,026 USD | 5,344 | ||||||||||||||||||||
Bancorp, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 24,966 USD | 435 |
See Notes to Consolidated Financial Statements.
223
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
BancorpSouth Bank | 07/27/20 | M | 1.93 | % | Goldman Sachs International | 3,631,411 USD | $ | 149,090 | |||||||||||||||||||
BancorpSouth Bank | 07/23/20 | M | 1.53 | % | Morgan Stanley Capital Services LLC | 7,891,695 USD | 162,000 | ||||||||||||||||||||
Bank of America Corp. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 215,483 USD | 5,286 | ||||||||||||||||||||
Bank of New York Mellon Corp. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 280,458 USD | 12,607 | ||||||||||||||||||||
Bank OZK | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 256,758 USD | 9,866 | ||||||||||||||||||||
Bankunited, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 2,630 USD | 10 | ||||||||||||||||||||
Barnes Group, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 100,739 USD | 587 | ||||||||||||||||||||
Barrett Business Services, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 39,666 USD | (1,938 | ) | |||||||||||||||||||
Basic Energy Services, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 264,180 USD | (21,134 | ) | |||||||||||||||||||
Bayerische Motoren Werke AG | 03/26/19 | M | 0.90 | % | Credit Suisse Securities (Europe) Limited | 126,854 EUR | 13,841 | ||||||||||||||||||||
BB&T Corp. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 7,430 USD | 4 | ||||||||||||||||||||
BB&T Corp. | 07/23/20 | M | 1.53 | % | Morgan Stanley Capital Services LLC | 12,152,597 USD | 342,560 | ||||||||||||||||||||
Beacon Roofing Supply, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 462,031 USD | 33,143 | ||||||||||||||||||||
Beiersdorf AG | 03/26/19 | M | 0.90 | % | Credit Suisse Securities (Europe) Limited | 29,777 EUR | 498 | ||||||||||||||||||||
Belden, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 26,532 USD | 182 | ||||||||||||||||||||
Bellicum Pharmaceuticals, Inc. | 07/23/20 | M | 1.00 | % | Morgan Stanley Capital Services LLC | 325,970 USD | (2,131 | ) | |||||||||||||||||||
Benefitfocus, Inc. | 07/23/20 | M | 0.75 | % | Morgan Stanley Capital Services LLC | 91,910 USD | (114 | ) | |||||||||||||||||||
Berry Global Group, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 93,195 USD | 141 | ||||||||||||||||||||
Best Buy Co., Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 137,330 USD | 2,180 | ||||||||||||||||||||
BGC Partners, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 182,218 USD | (2,659 | ) | |||||||||||||||||||
Biocryst Pharmaceuticals, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 152,145 USD | (7,315 | ) | |||||||||||||||||||
Biogen, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 438,076 USD | (8,508 | ) |
See Notes to Consolidated Financial Statements.
224
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Biohaven Pharmaceutical Holdings | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 366,063 USD | $ | 889 | |||||||||||||||||||
Biomarin Pharmaceutical, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 302,041 USD | 2,500 | ||||||||||||||||||||
Black Knight, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 72,799 USD | 2,043 | ||||||||||||||||||||
Blackbaud, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 48,025 USD | (178 | ) | |||||||||||||||||||
Blackline, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 114,346 USD | (2,208 | ) | |||||||||||||||||||
Blackrock, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 222,207 USD | 5,395 | ||||||||||||||||||||
Bloomin Brands, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 61,376 USD | 1,037 | ||||||||||||||||||||
Blucora, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 119,214 USD | (14,819 | ) | |||||||||||||||||||
Bluebird Bio, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 483,224 USD | (18,870 | ) | |||||||||||||||||||
Bluelinx Holdings, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 453,619 USD | 40,502 | ||||||||||||||||||||
Blueprint Medicines Corp. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 418,020 USD | (50,184 | ) | |||||||||||||||||||
BMC Stock Holdings, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 26,480 USD | 2,794 | ||||||||||||||||||||
Boeing Co. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 332,128 USD | (1,095 | ) | |||||||||||||||||||
Boingo Wireless, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 322,686 USD | (24,255 | ) | |||||||||||||||||||
Booking Holdings, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 992,752 USD | (13,136 | ) | |||||||||||||||||||
Boot Barn Holdings, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 136,361 USD | (3,445 | ) | |||||||||||||||||||
Borgwarner, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 178,981 USD | 1,872 | ||||||||||||||||||||
Boston Beer Company, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 209,965 USD | 5,553 | ||||||||||||||||||||
Boston Properties, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 150,340 USD | 1,032 | ||||||||||||||||||||
Boston Scientific Corp. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 97,906 USD | (230 | ) |
See Notes to Consolidated Financial Statements.
225
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Box, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 527,001 USD | $ | (4,661 | ) | ||||||||||||||||||
Boyd Gaming Corp. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 36,150 USD | 438 | ||||||||||||||||||||
Bper Banca | 10/04/19 | M | 0.40 | % | Credit Suisse Securities (Europe) Limited | 1,735,675 EUR | 124,676 | ||||||||||||||||||||
Brandywine Realty Trust | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 22,884 USD | 719 | ||||||||||||||||||||
Bright Horizons Family Solutions, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 265,389 USD | (1,990 | ) | |||||||||||||||||||
Brighthouse Financial, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 461,349 USD | 21,337 | ||||||||||||||||||||
BrightSphere Investment Group PLC | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 172,790 USD | 7,721 | ||||||||||||||||||||
BrightView Holdings, Inc. | 07/23/20 | M | 1.25 | % | Morgan Stanley Capital Services LLC | 6,829 USD | (104 | ) | |||||||||||||||||||
Brink’s Co. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 511,425 USD | 14,945 | ||||||||||||||||||||
Bristow Group, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 2,955 USD | (5 | ) | |||||||||||||||||||
Brixmor Property Group, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 132,041 USD | 226 | ||||||||||||||||||||
Brookline Bancorp, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 34,320 USD | 1,939 | ||||||||||||||||||||
Brookline Bancorp, Inc. | 09/23/20 | M | 1.93 | % | Goldman Sachs International | 3,679,175 USD | 207,863 | ||||||||||||||||||||
Brown Forman Corp. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 265,413 USD | (1,491 | ) | |||||||||||||||||||
Builders Firstsource, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 517,283 USD | 32,990 | ||||||||||||||||||||
Burberry Group PLC | 03/26/19 | M | 0.72 | % | Credit Suisse Securities (Europe) Limited | 54,666 GBP | (106 | ) | |||||||||||||||||||
Burlington Stores, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 133,208 USD | (3,482 | ) | |||||||||||||||||||
Cabot Microelectronics Corp. | 09/17/20 | M | 1.84 | % | Deutsche Bank AG | 155,660 USD | 1,627 | ||||||||||||||||||||
Cabot Oil & Gas Corp. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 165,371 USD | 4,916 | ||||||||||||||||||||
Cactus, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 100,696 USD | (3,540 | ) | |||||||||||||||||||
Cadence Bancorp | 09/17/20 | M | 1.84 | % | Deutsche Bank AG | 1,068,233 USD | 43,545 |
See Notes to Consolidated Financial Statements.
226
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Cadence Design Systems, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 63,980 USD | $ | 305 | |||||||||||||||||||
Caesar’s Entertainment Corp. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 537,300 USD | 27,362 | ||||||||||||||||||||
Caesarstone Ltd. | 07/23/20 | M | 0.50 | % | Morgan Stanley Capital Services LLC | 456,933 USD | 58,943 | ||||||||||||||||||||
CAI International, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 18,351 USD | 2,502 | ||||||||||||||||||||
Caixabank S.A | 09/02/20 | M | 0.77 | % | JPMorgan Chase Bank, N.A. | 802,000 EUR | 16,719 | ||||||||||||||||||||
Caixabank SA | 03/26/19 | M | 0.40 | % | Credit Suisse Securities (Europe) Limited | 1,317,499 EUR | 31,202 | ||||||||||||||||||||
CalAmp Corp. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 79,962 USD | (4,737 | ) | |||||||||||||||||||
California Resources Corp. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 165,662 USD | (35,252 | ) | |||||||||||||||||||
Callon Petroleum Co. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 212,393 USD | (4,338 | ) | |||||||||||||||||||
Camden Property Trust | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 44,605 USD | (121 | ) | |||||||||||||||||||
Camden Property Trust | 07/23/20 | M | 1.53 | % | Morgan Stanley Capital Services LLC | 2,908,991 USD | 20,535 | ||||||||||||||||||||
Capgemini | 03/26/19 | M | 0.40 | % | Credit Suisse Securities (Europe) Limited | 1,363,351 EUR | 26,561 | ||||||||||||||||||||
Capgemini SE | 09/02/20 | M | 0.77 | % | JPMorgan Chase Bank, N.A. | 551,250 EUR | 10,740 | ||||||||||||||||||||
Capital One Financial Corp. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 37,993 USD | 210 | ||||||||||||||||||||
Capitol Federal Financial, Inc. | 09/23/20 | M | 1.93 | % | Goldman Sachs International | 9,227,701 USD | 163,637 | ||||||||||||||||||||
CapStar Financial Holdings, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 77,279 USD | 2,948 | ||||||||||||||||||||
Carbonite, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 145,824 USD | 5,114 | ||||||||||||||||||||
Cardlytics, Inc. | 07/23/20 | M | 1.20 | % | Morgan Stanley Capital Services LLC | 90,521 USD | 802 | ||||||||||||||||||||
Cardtronics PLC | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 261,444 USD | 2,787 | ||||||||||||||||||||
Care.Com, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 155,818 USD | (7,442 | ) |
See Notes to Consolidated Financial Statements.
227
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Caretrust Reit, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 81,564 USD | $ | 1,001 | |||||||||||||||||||
Cargurus, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 258,522 USD | (19,706 | ) | |||||||||||||||||||
Carmax, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 400,116 USD | 17,357 | ||||||||||||||||||||
Carrizo Oil & Gas, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 467,650 USD | 7,473 | ||||||||||||||||||||
Carter’s, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 263,053 USD | (10,266 | ) | |||||||||||||||||||
Carvana Co. | 07/23/20 | M | 0.55 | % | Morgan Stanley Capital Services LLC | 81,074 USD | 1,243 | ||||||||||||||||||||
Casa Systems, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 192,471 USD | 15,722 | ||||||||||||||||||||
Catalent, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 22,607 USD | (988 | ) | |||||||||||||||||||
Catalyst Pharmaceuticals, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 95,020 USD | (19,004 | ) | |||||||||||||||||||
Caterpillar, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 559,937 USD | 10,058 | ||||||||||||||||||||
Cathay General Bancorp | 07/23/20 | M | 1.53 | % | Morgan Stanley Capital Services LLC | 22,094,445 USD | 366,850 | ||||||||||||||||||||
CBL & Associates Properties | 07/23/20 | M | 0.80 | % | Morgan Stanley Capital Services LLC | 889,344 USD | 75,472 | ||||||||||||||||||||
CBOE Holdings, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 187,602 USD | 19,576 | ||||||||||||||||||||
CBS Corp. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 313,640 USD | (4,001 | ) | |||||||||||||||||||
CBS Corp. | 01/27/20 | M | 1.92 | % | Credit Suisse Securities (Europe) Limited | 201,427 USD | (2,521 | ) | |||||||||||||||||||
Cedar Realty Trust, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 160,715 USD | (7,613 | ) | |||||||||||||||||||
Celanese Corp. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 355,850 USD | 4,616 | ||||||||||||||||||||
Celcuity, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 68,528 USD | 194 | ||||||||||||||||||||
Celgene Corp. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 606,437 USD | (11,402 | ) | |||||||||||||||||||
Centennial Resource Development, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 193,573 USD | (9,479 | ) | |||||||||||||||||||
Central Garden & Pet Co. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 275,526 USD | 19,750 |
See Notes to Consolidated Financial Statements.
228
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Century Aluminum Company | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 673,042 USD | $ | 58,406 | |||||||||||||||||||
Ceridian HCM Holding, Inc. | 07/23/20 | M | 1.15 | % | Morgan Stanley Capital Services LLC | 141,161 USD | (480 | ) | |||||||||||||||||||
Cerner Corp. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 16,397 USD | (28 | ) | |||||||||||||||||||
CEVA, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 102,024 USD | 1,227 | ||||||||||||||||||||
Charah Solutions, Inc. | �� | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 36,460 USD | (2,432 | ) | ||||||||||||||||||
Chart Industries, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 109,547 USD | (3,327 | ) | |||||||||||||||||||
Charter Communications, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 498,074 USD | 8,277 | ||||||||||||||||||||
Chefs’ Warehouse, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 46,831 USD | 885 | ||||||||||||||||||||
Chegg, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 239,000 USD | 13,607 | ||||||||||||||||||||
Chemocentryx, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 73,691 USD | 1,833 | ||||||||||||||||||||
Chemours Co. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 741,256 USD | 24,434 | ||||||||||||||||||||
Chemung Financial Corp. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 7,041 USD | (3 | ) | |||||||||||||||||||
Chesapeake Energy Corp. | 07/23/20 | M | 1.00 | % | Morgan Stanley Capital Services LLC | 481,665 USD | (5,424 | ) | |||||||||||||||||||
Children’s Place, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 190,743 USD | (4,663 | ) | |||||||||||||||||||
Chipotle Mexican Grill, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 561,466 USD | 15,133 | ||||||||||||||||||||
Church & Dwight Co, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 484,441 USD | 575 | ||||||||||||||||||||
Ciena Corp. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 140,520 USD | (747 | ) | |||||||||||||||||||
Cigna Corp. | 09/17/20 | M | 1.84 | % | Deutsche Bank AG | 13,282,669 USD | (395,400 | ) | |||||||||||||||||||
Cimarex Energy Co. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 303,689 USD | (1,433 | ) | |||||||||||||||||||
Cimpress NV | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 407,325 USD | 21,675 | ||||||||||||||||||||
Cintas Corp. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 203,695 USD | 12,412 |
See Notes to Consolidated Financial Statements.
229
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Circor International, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 200,211 USD | $ | (97 | ) | ||||||||||||||||||
Cirrus Logic, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 63,500 USD | 1,933 | ||||||||||||||||||||
Cisco Systems, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 41,186 USD | (70 | ) | |||||||||||||||||||
Cision Ltd. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 299,826 USD | (8,252 | ) | |||||||||||||||||||
Citigroup, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 88,253 USD | 2,596 | ||||||||||||||||||||
Citizens Financial Group | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 22,186 USD | 394 | ||||||||||||||||||||
Clean Energy Fuels Corp. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 156,924 USD | 4,114 | ||||||||||||||||||||
Clean Harbors, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 160,360 USD | (5,276 | ) | |||||||||||||||||||
Clearside Biomedical, Inc. | 07/23/20 | 0 | 0.00 | % | Morgan Stanley Capital Services LLC | 128,400 USD | 1,649 | ||||||||||||||||||||
Clearwater Paper Corp. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 59,000 USD | 3,253 | ||||||||||||||||||||
Cleveland Cliffs, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 448,096 USD | (18,425 | ) | |||||||||||||||||||
Clipper Realty, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 90,350 USD | (2,966 | ) | |||||||||||||||||||
Clorox Company | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 329,741 USD | (258 | ) | |||||||||||||||||||
Cloud Peak Energy, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 98,162 USD | 4,480 | ||||||||||||||||||||
Cloudera, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 697,585 USD | (1,585 | ) | |||||||||||||||||||
Clovis Oncology, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 579,152 USD | 49,758 | ||||||||||||||||||||
CME Group, Inc. | 09/17/20 | M | 1.97 | % | Deutsche Bank AG | 2,952,173 USD | 82,773 | ||||||||||||||||||||
CMS Energy Corp. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 18,913 USD | 48 | ||||||||||||||||||||
CNO Financial Group, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 123,450 USD | 3,833 | ||||||||||||||||||||
CNP Assurances | 03/26/19 | M | 0.40 | % | Credit Suisse Securities (Europe) Limited | 1,160,102 EUR | (26,066 | ) | |||||||||||||||||||
CNP Assurances | 07/27/20 | M | 0.77 | % | JPMorgan Chase Bank, N.A. | 427,140 EUR | (10,240 | ) | |||||||||||||||||||
Coca-Cola Bottling Co. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 306,868 USD | (3,373 | ) | |||||||||||||||||||
Coca-Cola Co. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 146,908 USD | (346 | ) |
See Notes to Consolidated Financial Statements.
230
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Co EUR Mining, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 337,026 USD | $ | 16,821 | |||||||||||||||||||
Cognex Corp. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 376,565 USD | 14,517 | ||||||||||||||||||||
Cognizant Technology Solutions Corp. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 46,486 USD | (36 | ) | |||||||||||||||||||
Coherent, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 529,031 USD | 37,773 | ||||||||||||||||||||
Coherus Biosciences, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 173,066 USD | (5,976 | ) | |||||||||||||||||||
Colfax Corp. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 193,109 USD | 2,171 | ||||||||||||||||||||
Colgate Palmolive Co. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 55,745 USD | (91 | ) | |||||||||||||||||||
Collegium Pharmaceutical, Inc. | 07/23/20 | M | 1.35 | % | Morgan Stanley Capital Services LLC | 359,018 USD | 12,304 | ||||||||||||||||||||
Colony Capital, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 446,158 USD | 7,770 | ||||||||||||||||||||
Columbia Banking System, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 20,661 USD | (81 | ) | |||||||||||||||||||
Columbia Property Trust, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 27,942 USD | (24 | ) | |||||||||||||||||||
Columbia Sportswear Co. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 373,137 USD | (7,985 | ) | |||||||||||||||||||
Comcast Corp. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 177,357 USD | 10,895 | ||||||||||||||||||||
Comerica, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 130,837 USD | 949 | ||||||||||||||||||||
Comfort Systems USA, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 136,058 USD | (2,291 | ) | |||||||||||||||||||
Commerce Bancshares, Inc. | 07/23/20 | M | 1.53 | % | Morgan Stanley Capital Services LLC | 18,664,024 USD | 397,855 | ||||||||||||||||||||
Commercial Vehicle Group, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 401,278 USD | 4,229 | ||||||||||||||||||||
Commscope Holding Co, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 413,241 USD | (3,250 | ) |
See Notes to Consolidated Financial Statements.
231
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Community Health Systems, Inc. | 07/23/20 | M | 1.20 | % | Morgan Stanley Capital Services LLC | 368,304 USD | $ | (5,400 | ) | ||||||||||||||||||
Commvault Systems, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 140,221 USD | (3,069 | ) | |||||||||||||||||||
Conagra Brands, Inc. | 09/17/20 | M | 1.84 | % | Deutsche Bank AG | 8,949,239 USD | 831,598 | ||||||||||||||||||||
Conn’s, Inc. | 07/23/20 | M | 1.35 | % | Morgan Stanley Capital Services LLC | 305,934 USD | 15,605 | ||||||||||||||||||||
CONSOL Energy, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 168,736 USD | 3,211 | ||||||||||||||||||||
Constellation Brands, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 531,526 USD | 454 | ||||||||||||||||||||
Container Store Group, Inc. | 07/23/20 | M | 1.35 | % | Morgan Stanley Capital Services LLC | 38,863 USD | 313 | ||||||||||||||||||||
Continental Resources, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 33,712 USD | (360 | ) | |||||||||||||||||||
Control4 Corp. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 260,894 USD | 981 | ||||||||||||||||||||
Copart, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 237,069 USD | 3,999 | ||||||||||||||||||||
Corcept Therapeutics, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 380,576 USD | 8,752 | ||||||||||||||||||||
Corecivic, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 140,981 USD | 4,270 | ||||||||||||||||||||
CoreSite Realty Corp. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 41,279 USD | 713 | ||||||||||||||||||||
Corium International, Inc. | 07/23/20 | M | 0.10 | % | Morgan Stanley Capital Services LLC | 233,646 USD | (2,734 | ) | |||||||||||||||||||
Cornerstone Ondemand, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 182,189 USD | (603 | ) | |||||||||||||||||||
Corporate Office Properties | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 110,452 USD | 1,245 | ||||||||||||||||||||
CoStar Group, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 32,733 USD | (93 | ) | |||||||||||||||||||
Costco Wholesale Corp. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 13,374 USD | (14 | ) | |||||||||||||||||||
Coty, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 22,376 USD | 873 | ||||||||||||||||||||
Coupa Software, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 178,880 USD | (2,734 | ) | |||||||||||||||||||
Cousins Properties, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 33,562 USD | 846 |
See Notes to Consolidated Financial Statements.
232
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Covestro AG | 03/26/19 | M | 0.90 | % | Credit Suisse Securities (Europe) Limited | 50,766 EUR | $ | 2,084 | |||||||||||||||||||
Cowen, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 363,983 USD | (9,157 | ) | |||||||||||||||||||
Crane Co. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 66,021 USD | (168 | ) | |||||||||||||||||||
Cree, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 76,299 USD | 4,686 | ||||||||||||||||||||
Crown Holdings, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 593,857 USD | 7,345 | ||||||||||||||||||||
Cullen Frost Bankers, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 9,289 USD | (7 | ) | |||||||||||||||||||
Cummins Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 302,749 USD | 7,834 | ||||||||||||||||||||
Curtiss-Wright Corp. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 46,440 USD | (145 | ) | |||||||||||||||||||
Customers Bancorp, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 316,406 USD | 10,210 | ||||||||||||||||||||
Cutera, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 231,155 USD | (18,504 | ) | |||||||||||||||||||
CVS Health Corp. | 09/17/20 | M | 1.84 | % | Deutsche Bank AG | 8,377,962 USD | 91,580 | ||||||||||||||||||||
CYBG PLC | 09/17/20 | M | 6.78 | % | Deutsche Bank AG | 175,169 GBP | 4,966 | ||||||||||||||||||||
Cymabay Therapeutics, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 72,657 USD | 1,977 | ||||||||||||||||||||
Cyrusone, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 26,549 USD | 809 | ||||||||||||||||||||
Cytokinetics, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 341,088 USD | (54,173 | ) | |||||||||||||||||||
Cytomx Therapeutics, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 183,713 USD | (4,117 | ) | |||||||||||||||||||
Daimler AG | 03/26/19 | M | 0.40 | % | Credit Suisse Securities (Europe) Limited | 340,245 EUR | 22,354 | ||||||||||||||||||||
Dana, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 114,842 USD | 2,953 | ||||||||||||||||||||
Deciphera Pharmaceuticals, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 258,762 USD | 1,506 | ||||||||||||||||||||
Deckers Outdoor Corp. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 293,123 USD | (16,846 | ) | |||||||||||||||||||
Deere & Co. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 587,024 USD | 7,952 | ||||||||||||||||||||
Dell Technologies, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 333,459 USD | (3,062 | ) |
See Notes to Consolidated Financial Statements.
233
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Denbury Resources, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 305,057 USD | $ | (33,289 | ) | ||||||||||||||||||
Dermira, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 448,529 USD | (24,749 | ) | |||||||||||||||||||
Deutsche Telekom AG | 07/27/20 | M | 0.67 | % | JPMorgan Chase Bank, N.A. | 2,085,000 EUR | 2,612 | ||||||||||||||||||||
Deutsche Telekom AG | 03/26/19 | M | 0.40 | % | Credit Suisse Securities (Europe) Limited | 3,601,366 EUR | 6,383 | ||||||||||||||||||||
Deutshe Bank AG | 03/26/19 | M | 0.40 | % | Credit Suisse Securities (Europe) Limited | 3,524,482 EUR | 274,982 | ||||||||||||||||||||
Devon Energy Corp. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 292,301 USD | 4,094 | ||||||||||||||||||||
Dexcom, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 230,489 USD | (3,382 | ) | |||||||||||||||||||
Diamondback Energy, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 327,153 USD | (13,121 | ) | |||||||||||||||||||
Diamondback Energy, Inc. | 09/17/20 | M | 1.84 | % | Deutsche Bank AG | 25,199,271 USD | (1,301,619 | ) | |||||||||||||||||||
Dicerna Pharmaceuticals, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 310,877 USD | 13,993 | ||||||||||||||||||||
Dick’s Sporting Goods, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 51,218 USD | 2,930 | ||||||||||||||||||||
Digimarc Corp. | 07/23/20 | M | 0.65 | % | Morgan Stanley Capital Services LLC | 176,337 USD | 280 | ||||||||||||||||||||
Digital Realty Trust, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 123,562 USD | 6,357 | ||||||||||||||||||||
Discover Financial Services | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 59,291 USD | 578 | ||||||||||||||||||||
Discover Financial Services | 07/23/20 | M | 1.53 | % | Morgan Stanley Capital Services LLC | 19,875,755 USD | 439,806 | ||||||||||||||||||||
Discovery Communications, Inc. | 07/23/20 | M | 0.81 | % | Morgan Stanley Capital Services LLC | 321,166 USD | (2,002 | ) | |||||||||||||||||||
Dish Network Corp. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 475,689 USD | 9,271 | ||||||||||||||||||||
Distribuidora Internacional | 03/26/19 | M | 0.95 | % | Credit Suisse Securities (Europe) Limited | 598,828 EUR | (3,318 | ) | |||||||||||||||||||
DMC Global, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 98,097 USD | (5,494 | ) | |||||||||||||||||||
DNB ASA | 03/25/19 | M | 0.99 | % | Credit Suisse Securities (Europe) Limited | 27,629,964 NOK | 8,897 | ||||||||||||||||||||
Dollar General Corp. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 388,370 USD | (3,798 | ) | |||||||||||||||||||
Dollar Tree, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 622,044 USD | 25,098 |
See Notes to Consolidated Financial Statements.
234
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Dominion Energy, Inc. | 09/17/20 | M | 1.84 | % | Deutsche Bank AG | 11,281,717 USD | $ | 75,361 | |||||||||||||||||||
Donnelley Financial Solution | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 311,822 USD | 40,567 | ||||||||||||||||||||
Dorman Products, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 29,268 USD | 653 | ||||||||||||||||||||
Douglas Emmett, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 147,601 USD | 3,586 | ||||||||||||||||||||
Dover Corp. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 144,876 USD | 1,103 | ||||||||||||||||||||
DowDuPont, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 1,033,243 USD | 45,891 | ||||||||||||||||||||
Dr Horton, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 97,911 USD | 1,572 | ||||||||||||||||||||
Duke Realty Corp. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 164,221 USD | 2,058 | ||||||||||||||||||||
DXP Enterprises, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 62,626 USD | 1,599 | ||||||||||||||||||||
Dycom Industries, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 800,172 USD | (11,311 | ) | |||||||||||||||||||
Dynavax Technologies Corp. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 477,396 USD | (15,913 | ) | |||||||||||||||||||
E-Trade Financial Corp. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 87,795 USD | 2,347 | ||||||||||||||||||||
Eagle Bancorp, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 472,370 USD | 21,220 | ||||||||||||||||||||
Eagle Materials, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 290,852 USD | 5,554 | ||||||||||||||||||||
Earthstone Energy, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 135,717 USD | 4,612 | ||||||||||||||||||||
East West Bancorp, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 88,277 USD | 1,164 | ||||||||||||||||||||
Eastman Chemical Co. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 99,788 USD | 1,770 | ||||||||||||||||||||
Ebay, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 549,979 USD | 15,749 | ||||||||||||||||||||
Ecolab, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 422,349 USD | 2,962 | ||||||||||||||||||||
Edgewell Personal Care Co. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 310,415 USD | 12,416 | ||||||||||||||||||||
Edison International | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 170,649 USD | 1,381 |
See Notes to Consolidated Financial Statements.
235
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Editas Medicine, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 396,112 USD | $ | (21,207 | ) | ||||||||||||||||||
Edwards Lifesciences Corp. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 128,444 USD | (2,305 | ) | |||||||||||||||||||
eGain Corp. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 74,944 USD | (6,566 | ) | |||||||||||||||||||
Ehealth, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 360,797 USD | (8,081 | ) | |||||||||||||||||||
Eldorado Resorts, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 173,107 USD | (1,464 | ) | |||||||||||||||||||
Electro Scientific Industries, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 205,317 USD | 2,653 | ||||||||||||||||||||
Electronic Arts, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 407,638 USD | (18,897 | ) | |||||||||||||||||||
Electronics for Imaging | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 132,866 USD | 2,374 | ||||||||||||||||||||
Elevate Credit, Inc. | 07/23/20 | M | 0.50 | % | Morgan Stanley Capital Services LLC | 124,966 USD | 4,308 | ||||||||||||||||||||
Ellie Mae, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 81,283 USD | (1,261 | ) | |||||||||||||||||||
EMCOR Group, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 55,978 USD | (354 | ) | |||||||||||||||||||
Empire State Realty Trust, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 94,616 USD | 454 | ||||||||||||||||||||
Employers Holdings, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 42,985 USD | 448 | ||||||||||||||||||||
Encore Capital Group, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 344,514 USD | 15,124 | ||||||||||||||||||||
Endo International PLC | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 164,795 USD | (7,258 | ) | |||||||||||||||||||
Endocyte, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 211,827 USD | (2,714 | ) | |||||||||||||||||||
Endurance International Group Holdings, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 141,285 USD | 2,368 | ||||||||||||||||||||
Energen Corp. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 42,904 USD | (267 | ) | |||||||||||||||||||
Energizer Holdings, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 138,886 USD | 5,223 |
See Notes to Consolidated Financial Statements.
236
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Energy Recovery, Inc. | 07/23/20 | M | 0.45 | % | Morgan Stanley Capital Services LLC | 448,262 USD | $ | 9,318 | |||||||||||||||||||
Energy XXI Gulf Coast, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 223,579 USD | (13,920 | ) | |||||||||||||||||||
Enstar Group Ltd. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 1,042 USD | — | ||||||||||||||||||||
Entegris, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 162,633 USD | 6,361 | ||||||||||||||||||||
Envestnet, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 112,055 USD | 821 | ||||||||||||||||||||
EOG Resources, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 86,616 USD | (259 | ) | |||||||||||||||||||
EPAM Systems, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 30,727 USD | 19 | ||||||||||||||||||||
Epizyme, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 268,714 USD | (9,176 | ) | |||||||||||||||||||
EQT Corp. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 194,938 USD | 16,204 | ||||||||||||||||||||
Equinix, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 151,658 USD | 1,878 | ||||||||||||||||||||
Equity Commonwealth | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 238,904 USD | 1,406 | ||||||||||||||||||||
Equity Residential | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 281,830 USD | 2,346 | ||||||||||||||||||||
Esperion Therapeutics, Inc. | 07/23/20 | M | 0.10 | % | Morgan Stanley Capital Services LLC | 518,352 USD | (14,532 | ) | |||||||||||||||||||
Essent Group Ltd. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 186,397 USD | 1,255 | ||||||||||||||||||||
Essex Property Trust, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 141,700 USD | (652 | ) | |||||||||||||||||||
Essex Property Trust, Inc. | 07/23/20 | M | 1.53 | % | Morgan Stanley Capital Services LLC | 2,913,476 USD | 3,123 | ||||||||||||||||||||
Essilor International S.A. | 03/26/19 | M | 0.90 | % | Credit Suisse Securities (Europe) Limited | 221,277 EUR | (9,295 | ) | |||||||||||||||||||
Essilor International S.A. | 07/27/20 | M | 0.67 | % | JPMorgan Chase Bank, N.A. | 2,181,405 EUR | (91,631 | ) | |||||||||||||||||||
Essilor International S.A. | 07/27/20 | M | 0.35 | % | Morgan Stanley Capital Services LLC | 11,421,780 EUR | (479,777 | ) | |||||||||||||||||||
Estee Lauder Companies | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 536,483 USD | (6,578 | ) | |||||||||||||||||||
Esterline Technologies Corp. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 137,751 USD | (1,766 | ) |
See Notes to Consolidated Financial Statements.
237
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Etsy, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 336,570 USD | $ | (24,169 | ) | ||||||||||||||||||
Euronet Worldwide, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 221,100 USD | 4,024 | ||||||||||||||||||||
Everbridge, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 3,761 USD | (43 | ) | |||||||||||||||||||
Everest Re Group Ltd. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 13,058 USD | 36 | ||||||||||||||||||||
Everi Holdings, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 71,757 USD | 1,231 | ||||||||||||||||||||
Evoqua Water Technologies LLC | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 309,886 USD | 2,879 | ||||||||||||||||||||
Exact Sciences Corp. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 609,094 USD | (19,741 | ) | |||||||||||||||||||
Exela Technologies, Inc. | 07/23/20 | M | 1.25 | % | Morgan Stanley Capital Services LLC | 98,672 USD | (2,410 | ) | |||||||||||||||||||
Exelixis, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 411,579 USD | (21,675 | ) | |||||||||||||||||||
Expedia, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 702,412 USD | 16,740 | ||||||||||||||||||||
Express, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 110,507 USD | (1,519 | ) | |||||||||||||||||||
Extraction Oil & Gas, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 176,755 USD | (4,495 | ) | |||||||||||||||||||
Extreme Networks, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 665,682 USD | 48,497 | ||||||||||||||||||||
EZCorp, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 196,528 USD | 3,307 | ||||||||||||||||||||
F5 Network, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 180,287 USD | (2,780 | ) | |||||||||||||||||||
Fabrinet | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 24,895 USD | (270 | ) | |||||||||||||||||||
Facebook, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 561,675 USD | (4,890 | ) | |||||||||||||||||||
Farmers National Banc Corp. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 5,929 USD | 39 | ||||||||||||||||||||
Fastenal Co. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 41,471 USD | 103 | ||||||||||||||||||||
Fate Therapeutics, Inc. | 07/23/20 | M | 1.25 | % | Morgan Stanley Capital Services LLC | 237,537 USD | (26,409 | ) |
See Notes to Consolidated Financial Statements.
238
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Federal Agricultural Mortgage Corp. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 138,085 USD | $ | 12,203 | |||||||||||||||||||
Federal Realty Investment Trust | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 65,457 USD | (434 | ) | |||||||||||||||||||
Federated Investors, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 335,944 USD | 14,014 | ||||||||||||||||||||
Ferro Corp. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 326,466 USD | 6,773 | ||||||||||||||||||||
Fiat Chrysler Automoblies NV | 10/04/19 | M | 0.40 | % | Credit Suisse Securities (Europe) Limited | 505,468 EUR | 15,323 | ||||||||||||||||||||
Fibrogen, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 302,695 USD | (14,846 | ) | |||||||||||||||||||
Fifth Third Bancorp | 09/17/20 | M | 1.84 | % | Deutsche Bank AG | 6,717,769 USD | 359,799 | ||||||||||||||||||||
Fifth Third Bancorp | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 55,473 USD | 2,369 | ||||||||||||||||||||
Fifth Third Bancorp | 07/23/20 | M | 1.53 | % | Morgan Stanley Capital Services LLC | 6,603,044 USD | 176,827 | ||||||||||||||||||||
Financial Select Sector SPDR Fund | 07/27/20 | M | 1.97 | % | Goldman Sachs International | 12,888,580 USD | 512,882 | ||||||||||||||||||||
Finisar Corporation | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 227,292 USD | (7,137 | ) | |||||||||||||||||||
FireEye, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 393,319 USD | (4,209 | ) | |||||||||||||||||||
First Commonwealth Financial Corp. | 07/23/20 | M | 1.53 | % | Morgan Stanley Capital Services LLC | 10,629,628 USD | 100,158 | ||||||||||||||||||||
First Commonwealth Financial Corp. | 09/23/20 | M | 1.88 | % | Goldman Sachs International | 3,054,452 USD | 57,561 | ||||||||||||||||||||
First Connecticut Bancorp, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 46,854 USD | 2,264 | ||||||||||||||||||||
First Data Corp. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 332,089 USD | 11,655 | ||||||||||||||||||||
First Financial Bancorp | 09/23/20 | M | 1.93 | % | Goldman Sachs International | 8,185,565 USD | 188,483 | ||||||||||||||||||||
First Foundation, Inc. | 09/23/20 | M | 1.93 | % | Goldman Sachs International | 305,325 USD | 19,916 |
See Notes to Consolidated Financial Statements.
239
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
First Foundation, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 73,235 USD | $ | 2,570 | |||||||||||||||||||
First Horizon National Corp. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 73,748 USD | 3,345 | ||||||||||||||||||||
First Industrial Realty Trust, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 96,702 USD | 1,246 | ||||||||||||||||||||
First Internet Bancorp | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 128,836 USD | 2,286 | ||||||||||||||||||||
First Interstate BancSystem, Inc. | 09/23/20 | M | 1.93 | % | Goldman Sachs International | 3,778,659 USD | 74,416 | ||||||||||||||||||||
First of Long Island Corp. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 77,053 USD | 2,734 | ||||||||||||||||||||
First Republic Bank | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 107,504 USD | �� | 2,672 | |||||||||||||||||||
First Solar, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 3,180 USD | (16 | ) | |||||||||||||||||||
Fiserv, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 9,892 USD | (76 | ) | |||||||||||||||||||
Fitbit, Inc. | 07/23/20 | M | 1.15 | % | Morgan Stanley Capital Services LLC | 188,446 USD | 18,718 | ||||||||||||||||||||
Five Below | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 282,313 USD | (10,842 | ) | |||||||||||||||||||
Five9, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 166,039 USD | (1,206 | ) | |||||||||||||||||||
Flagstar Bancorp, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 108,153 USD | 2,288 | ||||||||||||||||||||
Fleetcor Technologies, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 189,887 USD | (2,182 | ) | |||||||||||||||||||
Flexion Therapeutics, Inc. | 07/23/20 | M | 0.10 | % | Morgan Stanley Capital Services LLC | 278,503 USD | (4,785 | ) | |||||||||||||||||||
Floor & DeCor Holdings Inc. A | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 560,708 USD | 60,097 | ||||||||||||||||||||
Flotek Industries, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 300,700 USD | 19,891 | ||||||||||||||||||||
Flowserve Corp. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 218,680 USD | 2,709 | ||||||||||||||||||||
Fluor Corp. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 217,709 USD | 2,100 | ||||||||||||||||||||
FMC Corp. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 602,311 USD | 14,456 | ||||||||||||||||||||
FNF Group | 09/17/20 | M | 1.84 | % | Deutsche Bank AG | 927,774 USD | 6,787 |
See Notes to Consolidated Financial Statements.
240
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
ForeScout Technologies, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 371,946 USD | $ | 22,402 | |||||||||||||||||||
Forest City Realty Trust | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 262,220 USD | 104 | ||||||||||||||||||||
FormFactor, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 169,976 USD | (7,082 | ) | |||||||||||||||||||
Fortive Corp. | 07/23/20 | M | 1.00 | % | Morgan Stanley Capital Services LLC | 744,597 USD | 7,847 | ||||||||||||||||||||
Fortune Brands Home & Security, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 22,585 USD | �� | 1,170 | |||||||||||||||||||
Forum Energy Technologies, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 118,373 USD | 8,984 | ||||||||||||||||||||
Fossil Group, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 311,391 USD | (4,891 | ) | |||||||||||||||||||
Fox Factory Holding Corp. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 108,152 USD | 1,186 | ||||||||||||||||||||
Francesca’s Holdings Corp. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 181,196 USD | 6,945 | ||||||||||||||||||||
Franklin Financial Network | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 31,518 USD | 1,607 | ||||||||||||||||||||
Freeport-McMoRan, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 672,145 USD | 30,308 | ||||||||||||||||||||
Front Yard Residential Corp. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 117,149 USD | 1,281 | ||||||||||||||||||||
Fulton Financial Corp. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 56,353 USD | 2,890 | ||||||||||||||||||||
Fulton Financial Corp. | 07/23/20 | M | 1.53 | % | Morgan Stanley Capital Services LLC | 16,449,755 USD | 421,789 | ||||||||||||||||||||
G-III Apparel Group Ltd. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 291,224 USD | (4,470 | ) | |||||||||||||||||||
G1 Therapeutics, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 121,668 USD | 9,610 | ||||||||||||||||||||
Gaia, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 33,844 USD | 857 | ||||||||||||||||||||
Gain Capital Holdings, Inc. | 07/23/20 | M | 0.50 | % | Morgan Stanley Capital Services LLC | 359,036 USD | 2,192 | ||||||||||||||||||||
Gardner Denver Holdings, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 477,739 USD | 16,336 |
See Notes to Consolidated Financial Statements.
241
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Gartner, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 185,156 USD | $ | 187 | |||||||||||||||||||
GCP Applied Technologies | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 419,719 USD | (621 | ) | |||||||||||||||||||
Generac Holdings, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 237,155 USD | 6,382 | ||||||||||||||||||||
General Dynamics Corp. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 245,482 USD | (1,615 | ) | |||||||||||||||||||
General Electric Co. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 43,313 USD | 3,132 | ||||||||||||||||||||
General Finance Corp. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 66,091 USD | (6,609 | ) | |||||||||||||||||||
Genmark Diagnostics, Inc. | 07/23/20 | M | 1.00 | % | Morgan Stanley Capital Services LLC | 253,657 USD | 16,157 | ||||||||||||||||||||
Genworth Financial, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 156,167 USD | 3,299 | ||||||||||||||||||||
GEO Group, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 93,487 USD | (486 | ) | |||||||||||||||||||
Givaudan REG | 03/26/19 | M | 1.33 | % | Credit Suisse Securities (Europe) Limited | 237,400 CHF | (3,974 | ) | |||||||||||||||||||
Glaukos Corp. | 07/23/20 | M | 1.35 | % | Morgan Stanley Capital Services LLC | 247,082 USD | (25,174 | ) | |||||||||||||||||||
Global Blood Therapeutics, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 396,068 USD | 15,042 | ||||||||||||||||||||
Global Medical REIT, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 49,087 USD | (848 | ) | |||||||||||||||||||
Global Payments, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 112,784 USD | (347 | ) | |||||||||||||||||||
GLU Mobile, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 57,028 USD | (1,172 | ) | |||||||||||||||||||
Glycomimetics, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 28,644 USD | (444 | ) | |||||||||||||||||||
GMS, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 245,730 USD | 18,277 | ||||||||||||||||||||
GNC Holdings, Inc. | 07/23/20 | M | 0.75 | % | Morgan Stanley Capital Services LLC | 20,909 USD | (950 | ) | |||||||||||||||||||
Gobal Indemniy Ltd. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 32,693 USD | (634 | ) | |||||||||||||||||||
GoDaddy, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 201,186 USD | (1,369 | ) | |||||||||||||||||||
Golden Entertainment, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 113,975 USD | (3,602 | ) |
See Notes to Consolidated Financial Statements.
242
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
GoPro, Inc. | 07/23/20 | 0 | 0.00 | % | Morgan Stanley Capital Services LLC | 102,972 USD | $ | (11,796 | ) | ||||||||||||||||||
Government Properties Income | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 258,921 USD | 9,073 | ||||||||||||||||||||
Government Properties Income Trust | 09/17/20 | M | 1.84 | % | Deutsche Bank AG | 2,721,062 USD | 74,054 | ||||||||||||||||||||
Graco, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 40,630 USD | 407 | ||||||||||||||||||||
Grand Canyon Education, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 287,689 USD | (5,027 | ) | |||||||||||||||||||
Granite Construction, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 363,132 USD | (823 | ) | |||||||||||||||||||
Gray Television, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 84,349 USD | 717 | ||||||||||||||||||||
Green Bancorp, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 166,444 USD | 9,247 | ||||||||||||||||||||
Green Dot Corp. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 78,202 USD | (315 | ) | |||||||||||||||||||
Greenhill & Co., Inc. | 09/23/20 | M | 1.93 | % | Goldman Sachs International | 2,850,407 USD | 143,788 | ||||||||||||||||||||
Greenlight Capital Re, Ltd. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 344,971 USD | 6,302 | ||||||||||||||||||||
Groupon, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 567,574 USD | 17,607 | ||||||||||||||||||||
Grubhub, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 424,676 USD | (7,541 | ) | |||||||||||||||||||
Guidewire Software, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 132,771 USD | (2,582 | ) | |||||||||||||||||||
Gulfport Energy Corp. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 150,550 USD | 14,106 | ||||||||||||||||||||
H.B. Fuller Co. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 112,988 USD | 2,363 | ||||||||||||||||||||
Habit Restaurants, Inc. | 07/23/20 | M | 0.25 | % | Morgan Stanley Capital Services LLC | 169,394 USD | (27 | ) | |||||||||||||||||||
Hain Celestial Group, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 194,318 USD | (5,312 | ) | |||||||||||||||||||
HalCon Resources Corp. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 222,231 USD | 5,337 | ||||||||||||||||||||
Halliburton Co. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 4,762 USD | 60 | ||||||||||||||||||||
Halliburton Co. | 01/27/20 | M | 1.92 | % | Credit Suisse Securities (Europe) Limited | 93,389 USD | 413 |
See Notes to Consolidated Financial Statements.
243
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Halozyme Therapeutics, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 158,980 USD | $ | (5,804 | ) | ||||||||||||||||||
Hamilton Beach Brand | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 174,987 USD | 14,101 | ||||||||||||||||||||
Hancock Holding Co. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 48,417 USD | 202 | ||||||||||||||||||||
Hanesbrands, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 421,467 USD | 5,595 | ||||||||||||||||||||
Hanmi Financial Corp. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 50,141 USD | 1,561 | ||||||||||||||||||||
Hannon Armstrong Sustainable | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 185,860 USD | 1,970 | ||||||||||||||||||||
Harris Corp. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 53,149 USD | (1,506 | ) | |||||||||||||||||||
Harsco Corp. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 425,395 USD | — | ||||||||||||||||||||
Hawaiian Holdings, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 238,218 USD | 24 | ||||||||||||||||||||
HC2 Holdings, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 160,063 USD | (4,516 | ) | |||||||||||||||||||
HCI Group, Inc. | 07/23/20 | M | 1.30 | % | Morgan Stanley Capital Services LLC | 91,956 USD | (1,931 | ) | |||||||||||||||||||
HCP, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 200,960 USD | 533 | ||||||||||||||||||||
HD Supply Holdings, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 320,891 USD | (1,874 | ) | |||||||||||||||||||
Healthcare Realty Trust, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 150,434 USD | 1,325 | ||||||||||||||||||||
Healthcare Services Group | 07/23/20 | M | 1.35 | % | Morgan Stanley Capital Services LLC | 364,521 USD | 24,857 | ||||||||||||||||||||
Healthcare Trust of America, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 141,132 USD | 475 | ||||||||||||||||||||
Heico Corp. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 77,951 USD | (1,508 | ) | |||||||||||||||||||
Hennes & Mauritz AB | 07/27/20 | M | 0.81 | % | JPMorgan Chase Bank, N.A. | 14,500,000 SEK | (216,486 | ) | |||||||||||||||||||
Hennes & Mauritz AB | 03/26/19 | M | 1.75 | % | Credit Suisse Securities (Europe) Limited | 5,671,820 SEK | (84,681 | ) | |||||||||||||||||||
Henry Schein, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 64,440 USD | (523 | ) | |||||||||||||||||||
Herbalife Ltd. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 210,613 USD | 2,177 |
See Notes to Consolidated Financial Statements.
244
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Herc Holdings, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 307,526 USD | $ | 1,708 | |||||||||||||||||||
Heritage Insurance Holdings | 07/23/20 | M | 0.65 | % | Morgan Stanley Capital Services LLC | 190,881 USD | 10,151 | ||||||||||||||||||||
Heron Therapeutics, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 320,450 USD | (3,266 | ) | |||||||||||||||||||
Hertz Global Holdings, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 892,350 USD | 83,738 | ||||||||||||||||||||
HFF, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 156,484 USD | 4,278 | ||||||||||||||||||||
Hibbett Sports, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 42,106 USD | 2,080 | ||||||||||||||||||||
HighPoint Resources Corp. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 115,690 USD | 6,700 | ||||||||||||||||||||
Highwoods Properties, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 160,929 USD | 2,513 | ||||||||||||||||||||
Hilltop Holdings, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 250,550 USD | 9,720 | ||||||||||||||||||||
Hilton Grand Vacations, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 303,707 USD | 1,272 | ||||||||||||||||||||
Home Bancshares, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 38,822 USD | 2,424 | ||||||||||||||||||||
Honeywell International, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 378,177 USD | 449 | ||||||||||||||||||||
Hortonworks, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 316,862 USD | (3,003 | ) | |||||||||||||||||||
Host Hotels & Resorts, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 36,348 USD | 34 | ||||||||||||||||||||
Houghton Mifflin Harcourt Co. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 82,723 USD | 8,006 | ||||||||||||||||||||
Howard Bancorp, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 111,341 USD | 398 | ||||||||||||||||||||
HSBC Holdings PLC | 03/26/19 | M | 0.72 | % | Credit Suisse Securities (Europe) Limited | 5,508,796 GBP | 111,667 | ||||||||||||||||||||
HSBC Holdings PLC | 07/27/20 | M | 0.42 | % | JPMorgan Chase Bank, N.A. | 5,643,238 GBP | 114,590 | ||||||||||||||||||||
HubSpot, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 284,709 USD | (10,096 | ) | |||||||||||||||||||
Hudson Ltd. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 103,740 USD | 821 |
See Notes to Consolidated Financial Statements.
245
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Huntington Bancshares, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 5,997 USD | $ | 387 | |||||||||||||||||||
Huntington Ingalls Industries | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 330,974 USD | (138 | ) | |||||||||||||||||||
Huntsman Corp. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 52,882 USD | 1,853 | ||||||||||||||||||||
IAC/ InterActiveCorp | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 376,077 USD | (9,251 | ) | |||||||||||||||||||
IberiaBank Corp. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 51,814 USD | 157 | ||||||||||||||||||||
Ichor Holdings, Ltd. | 07/23/20 | M | 0.25 | % | Morgan Stanley Capital Services LLC | 568,477 USD | 23,304 | ||||||||||||||||||||
Idera Pharmaceuticals, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 152,015 USD | (8,275 | ) | |||||||||||||||||||
IDEX Corp. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 119,683 USD | 3,524 | ||||||||||||||||||||
II VI, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 234,868 USD | 3,666 | ||||||||||||||||||||
Illinois Tool Works | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 531,255 USD | 21,812 | ||||||||||||||||||||
Illumina, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 184,470 USD | (2,731 | ) | |||||||||||||||||||
IMAX Corp. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 148,130 USD | (5,354 | ) | |||||||||||||||||||
Immersion Corp. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 197,749 USD | (6,675 | ) | |||||||||||||||||||
ImmunoGen, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 279,247 USD | (12,637 | ) | |||||||||||||||||||
Immunomedics, Inc. | 07/23/20 | M | 1.00 | % | Morgan Stanley Capital Services LLC | 397,956 USD | 12,705 | ||||||||||||||||||||
Imperva, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 98,314 USD | (1,833 | ) | |||||||||||||||||||
Incyte Corp. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 462,658 USD | (16,205 | ) | |||||||||||||||||||
Independent Bank Group, Inc. | 09/17/20 | M | 1.84 | % | Deutsche Bank AG | 851,333 USD | 15,754 | ||||||||||||||||||||
Industrial Logistics Properties Trust | 09/17/20 | M | 1.84 | % | Deutsche Bank AG | 2,469,364 USD | (127,038 | ) | |||||||||||||||||||
Infinera Corp. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 302,487 USD | (11,618 | ) | |||||||||||||||||||
InfraREIT, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 39,846 USD | (170 | ) |
See Notes to Consolidated Financial Statements.
246
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Infrastructure & Energy Alabama | 07/23/20 | M | 0.10 | % | Morgan Stanley Capital Services LLC | 142,580 USD | $ | — | |||||||||||||||||||
Ingersoll Rand PLC | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 195,711 USD | 2,773 | ||||||||||||||||||||
Ingevity Corp. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 323,703 USD | 3,596 | ||||||||||||||||||||
InnerWorkings, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 46,227 USD | 1,083 | ||||||||||||||||||||
Inogen, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 33,170 USD | 458 | ||||||||||||||||||||
Inovio Pharmaceuticals, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 223,048 USD | (39,139 | ) | |||||||||||||||||||
Inphi Corp. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 353,765 USD | (13,198 | ) | |||||||||||||||||||
Insmed, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 385,885 USD | 19,923 | ||||||||||||||||||||
Installed Building Products | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 461,169 USD | 59,391 | ||||||||||||||||||||
Instructure, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 241,064 USD | 12,663 | ||||||||||||||||||||
Insulet Corp. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 137,034 USD | (2,078 | ) | |||||||||||||||||||
Integrated Device Technology, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 327,644 USD | 455 | ||||||||||||||||||||
Intellia Therapeutics, Inc. | 07/23/20 | M | 1.00 | % | Morgan Stanley Capital Services LLC | 388,847 USD | (25,485 | ) | |||||||||||||||||||
Intelsat SA | 07/23/20 | M | 0.50 | % | Morgan Stanley Capital Services LLC | 89,174 USD | (29,566 | ) | |||||||||||||||||||
Interactive Brokers Group, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 25,808 USD | 642 | ||||||||||||||||||||
Intercept Pharmaceuticals, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 198,989 USD | (17,845 | ) | |||||||||||||||||||
Intercontinental Exchange, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 105,057 USD | 3,956 | ||||||||||||||||||||
Interl Corp. | 01/27/20 | M | 1.92 | % | Credit Suisse Securities (Europe) Limited | 673,767 USD | (19,079 | ) | |||||||||||||||||||
Internap Corp. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 577,085 USD | 21,402 |
See Notes to Consolidated Financial Statements.
247
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
International Business Machines Corp. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 375,728 USD | $ | 104 | |||||||||||||||||||
Intersect ENT, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 141,399 USD | 4,060 | ||||||||||||||||||||
Intesa San Paolo | 10/04/19 | M | 0.40 | % | Credit Suisse Securities (Europe) Limited | 4,256,211 EUR | 500,835 | ||||||||||||||||||||
INTL BUSINESS MACHINES CORP | 01/27/20 | M | 1.92 | % | Credit Suisse Securities (Europe) Limited | 945,786 USD | 875 | ||||||||||||||||||||
Intrepid Potash, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 257,083 USD | 5,604 | ||||||||||||||||||||
Intrexon Corp. | 07/23/20 | M | 1.55 | % | Morgan Stanley Capital Services LLC | 94,641 USD | (17,753 | ) | |||||||||||||||||||
Intricon Corp. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 236,136 USD | 32,861 | ||||||||||||||||||||
Intuitive Surgical, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 156,450 USD | (826 | ) | |||||||||||||||||||
Invesco Ltd. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 442,369 USD | 26,022 | ||||||||||||||||||||
Investment Technology Group | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 247,783 USD | 4,779 | ||||||||||||||||||||
Investors Bancorp, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 183,249 USD | 5,223 | ||||||||||||||||||||
Investors Bancorp, Inc. | 07/23/20 | M | 1.53 | % | Morgan Stanley Capital Services LLC | 405,019 USD | 5,772 | ||||||||||||||||||||
Investors Bancorp, Inc. | 09/23/20 | M | 1.93 | % | Goldman Sachs International | 2,580,966 USD | 73,567 | ||||||||||||||||||||
Invitae Corp. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 347,525 USD | (208 | ) | |||||||||||||||||||
ION Geophysical Corp. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 249,078 USD | (18,025 | ) | |||||||||||||||||||
Ionis Pharmaceuticals, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 458,087 USD | (18,976 | ) | |||||||||||||||||||
Iovance Biotherapeutics, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 127,397 USD | 21,625 | ||||||||||||||||||||
IPG Photonics Corp. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 545,292 USD | 37,753 | ||||||||||||||||||||
iRhythm Technologies, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 78,500 USD | (635 | ) | |||||||||||||||||||
iRobot Corp. | 07/23/20 | M | 0.65 | % | Morgan Stanley Capital Services LLC | 15,948 USD | 75 |
See Notes to Consolidated Financial Statements.
248
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Iron Mountain, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 8,815 USD | $ | 254 | |||||||||||||||||||
Ironwood Pharmaceuticals, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 92,028 USD | (5,367 | ) | |||||||||||||||||||
iShares US Real Estate ETF | 09/23/20 | M | 1.97 | % | Goldman Sachs International | 6,243,800 USD | 23,205 | ||||||||||||||||||||
iStar, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 107,927 USD | 2,270 | ||||||||||||||||||||
Iteris, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 86,865 USD | (980 | ) | |||||||||||||||||||
Itron, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 107,745 USD | 2,201 | ||||||||||||||||||||
ITT, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 162,270 USD | (191 | ) | |||||||||||||||||||
J. Jill, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 368,224 USD | (13,169 | ) | |||||||||||||||||||
Jacobs Engineering Group, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 462,377 USD | 2,000 | ||||||||||||||||||||
James River Group Holdings Ltd. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 80,100 USD | 400 | ||||||||||||||||||||
Janus Henderson Group PLC | 09/23/20 | M | 1.93 | % | Goldman Sachs International | 1,481,938 USD | 51,467 | ||||||||||||||||||||
Jazz Pharmaceuticals PLC | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 35,305 USD | (339 | ) | |||||||||||||||||||
JBG Smith Properties | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 18,775 USD | 360 | ||||||||||||||||||||
JCDecaux SA | 03/26/19 | M | 0.70 | % | Credit Suisse Securities (Europe) Limited | 244,133 EUR | (15,168 | ) | |||||||||||||||||||
Jefferies Financial Group, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 128,866 USD | 8,547 | ||||||||||||||||||||
JELD-WEN Holding, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 475,590 USD | 17,284 | ||||||||||||||||||||
Jernigan Capital, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 15,177 USD | (139 | ) | |||||||||||||||||||
Jetblue Airways Corp. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 104,045 USD | 2,772 | ||||||||||||||||||||
John Bean Technologies Corp. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 537,589 USD | (7,731 | ) | |||||||||||||||||||
Jounce Therapeutics, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 86,987 USD | 3,222 | ||||||||||||||||||||
JPMorgan Chase & Co. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 142,536 USD | 1,937 |
See Notes to Consolidated Financial Statements.
249
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Kadant, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 3,845 USD | $ | (38 | ) | ||||||||||||||||||
Kadmon Holdings, Inc. | 07/23/20 | M | 0.13 | % | Morgan Stanley Capital Services LLC | 29,548 USD | 593 | ||||||||||||||||||||
Kala Pharmaceuticals, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 299,022 USD | 24,478 | ||||||||||||||||||||
Karyopharm Therapeutics, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 123,236 USD | 7,330 | ||||||||||||||||||||
KB Home | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 19,180 USD | 1,104 | ||||||||||||||||||||
KBC Groep NV | 03/26/19 | M | 0.40 | % | Credit Suisse Securities (Europe) Limited | 778,055 EUR | 35,734 | ||||||||||||||||||||
KBC Groep NV | 07/27/20 | M | 0.67 | % | JPMorgan Chase Bank, N.A. | 485,934 EUR | 22,318 | ||||||||||||||||||||
Keane Group, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 295,423 USD | 4,728 | ||||||||||||||||||||
Kearny Financial Corp. | 09/23/20 | M | 1.93 | % | Goldman Sachs International | 10,869,059 USD | 108,467 | ||||||||||||||||||||
Kemet Corp. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 434,738 USD | 36,377 | ||||||||||||||||||||
Kennametal, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 46,444 USD | 532 | ||||||||||||||||||||
Keurig Dr Pepper, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 267,691 USD | 1,723 | ||||||||||||||||||||
Key Energy Services, Inc. | 07/23/20 | M | 0.30 | % | Morgan Stanley Capital Services LLC | 111,107 USD | 16,635 | ||||||||||||||||||||
KeyCorp | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 94,591 USD | 4,051 | ||||||||||||||||||||
KEYW Holding Corp. | 07/23/20 | M | 1.20 | % | Morgan Stanley Capital Services LLC | 228,848 USD | 3,385 | ||||||||||||||||||||
Kilroy Realty Corp. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 167,528 USD | (657 | ) | |||||||||||||||||||
Kimberly Clark Corp. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 382,904 USD | (631 | ) | |||||||||||||||||||
Kimco Realty Corp. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 260,663 USD | 1,394 | ||||||||||||||||||||
Kingstone Cos, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 71,131 USD | 1,287 | ||||||||||||||||||||
Kirby Corp | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 32,774 USD | 285 | ||||||||||||||||||||
Kite Realty Group Trust | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 127,380 USD | 457 | ||||||||||||||||||||
KMG Chemicals, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 200,607 USD | 146 |
See Notes to Consolidated Financial Statements.
250
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Knight Swift Transportation | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 83,094 USD | $ | 1,273 | |||||||||||||||||||
Koppers Holdings, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 345,772 USD | 17,950 | ||||||||||||||||||||
Kraton Corp. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 189,343 USD | 6,118 | ||||||||||||||||||||
Kratos Defense & Security Solutions, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 433,507 USD | (20,948 | ) | |||||||||||||||||||
Kroger Co. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 144,041 USD | 3,527 | ||||||||||||||||||||
Kura Oncology, Inc. | 07/23/20 | M | 1.30 | % | Morgan Stanley Capital Services LLC | 206,329 USD | (4,826 | ) | |||||||||||||||||||
L’ Oreal | 03/26/19 | M | 0.90 | % | Credit Suisse Securities (Europe) Limited | 375,514 EUR | (3,385 | ) | |||||||||||||||||||
L’Oreal | 07/27/20 | M | 0.67 | % | JPMorgan Chase Bank, N.A. | 1,508,240 EUR | (13,595 | ) | |||||||||||||||||||
La Jolla Pharmaceutical Co | 07/23/20 | M | 1.30 | % | Morgan Stanley Capital Services LLC | 368,940 USD | 22,542 | ||||||||||||||||||||
Lam Research Corp. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 318,837 USD | 6,639 | ||||||||||||||||||||
Lands End, Inc. | 07/23/20 | M | 0.90 | % | Morgan Stanley Capital Services LLC | 178,488 USD | 4,094 | ||||||||||||||||||||
Lantheus Holdings, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 228,299 USD | 8,908 | ||||||||||||||||||||
Laredo Petroleum, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 425,911 USD | 30,491 | ||||||||||||||||||||
Laureate Education, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 159,964 USD | 5,502 | ||||||||||||||||||||
LCI Industries | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 65,094 USD | 3,739 | ||||||||||||||||||||
Lear Corp. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 235,020 USD | 1,860 | ||||||||||||||||||||
LegacyTexas Financial Group, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 1,665 USD | 3 | ||||||||||||||||||||
Legal & General Group PLC | 07/27/20 | M | 0.02 | % | JPMorgan Chase Bank, N.A. | 1,473,920 GBP | 7,299 | ||||||||||||||||||||
Legal & General Group PLC | 03/26/19 | M | 0.72 | % | Credit Suisse Securities (Europe) Limited | 3,162,543 GBP | 15,661 |
See Notes to Consolidated Financial Statements.
251
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Legg Mason, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 276,415 USD | $ | 8,742 | |||||||||||||||||||
Legg Mason, Inc. | 09/23/20 | M | 1.93 | % | Goldman Sachs International | 3,207,262 USD | 101,439 | ||||||||||||||||||||
LendingClub Corp. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 859,787 USD | (74,501 | ) | |||||||||||||||||||
LendingTree, Inc. | 07/23/20 | M | 1.15 | % | Morgan Stanley Capital Services LLC | 539,175 USD | (6,162 | ) | |||||||||||||||||||
Lennar Corp. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 118,008 USD | 6,792 | ||||||||||||||||||||
Leonardo SpA | 10/04/19 | M | 0.40 | % | Credit Suisse Securities (Europe) Limited | 460,577 EUR | 13,312 | ||||||||||||||||||||
Lexicon Pharmaceuticals, Inc. | 07/23/20 | M | 1.00 | % | Morgan Stanley Capital Services LLC | 206,225 USD | (3,739 | ) | |||||||||||||||||||
LGI Homes, Inc. | 07/23/20 | M | 1.00 | % | Morgan Stanley Capital Services LLC | 338,106 USD | 19,310 | ||||||||||||||||||||
Liberty Broadband Corp. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 2,834 USD | (33 | ) | |||||||||||||||||||
Liberty Expedia Holdings | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 12,494 USD | 28 | ||||||||||||||||||||
Liberty Global PLC | 01/27/20 | M | 1.92 | % | Credit Suisse Securities (Europe) Limited | 58,324 USD | 638 | ||||||||||||||||||||
Liberty Media Corp. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 108,567 USD | (344 | ) | |||||||||||||||||||
Liberty Property Trust | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 101,944 USD | 2,149 | ||||||||||||||||||||
Liberty TripAdvisor Holdings, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 486,212 USD | (10,001 | ) | |||||||||||||||||||
Ligand Pharmaceuticals, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 31,954 USD | (162 | ) | |||||||||||||||||||
Limelight Networks, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 55,303 USD | 329 | ||||||||||||||||||||
LIncoln Electric Holdings | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 212,222 USD | 8,149 | ||||||||||||||||||||
Lincoln National Corp. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 224,638 USD | 8,193 | ||||||||||||||||||||
Lions Gate Entertainment Corp. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 32,515 USD | (2,923 | ) | |||||||||||||||||||
Live Nation Entertainment, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 379,770 USD | (7,294 | ) |
See Notes to Consolidated Financial Statements.
252
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
LivePerson, Inc. | 07/23/20 | M | 1.93 | % | Morgan Stanley Capital Services LLC | 5,802 USD | $ | 41 | |||||||||||||||||||
LKQ Corp. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 348,630 USD | 5,327 | ||||||||||||||||||||
Louisiana Pacific Corp. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 134,654 USD | 5,780 | ||||||||||||||||||||
Lowe’s Cos, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 160,040 USD | 2,507 | ||||||||||||||||||||
Loxo Oncology, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 209,189 USD | (11,182 | ) | |||||||||||||||||||
Lululemon Athletica, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 495,374 USD | (16,145 | ) | |||||||||||||||||||
Lumber Liquidators Holdings | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 601,528 USD | 76,293 | ||||||||||||||||||||
Lumentum Holdings, Inc. | 09/17/20 | M | 1.84 | % | Deutsche Bank AG | 1,365,730 USD | 34,421 | ||||||||||||||||||||
Luxottica Group SpA | 10/04/19 | M | 0.90 | % | Credit Suisse Securities (Europe) Limited | 217,853 EUR | (8,580 | ) | |||||||||||||||||||
Lydall, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 101,108 USD | (1,901 | ) | |||||||||||||||||||
LyondellBasell Industries NV | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 19,453 USD | (24 | ) | |||||||||||||||||||
M&T Bank Corp. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 68,376 USD | 750 | ||||||||||||||||||||
Macerich Co. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 101,213 USD | 2,520 | ||||||||||||||||||||
Mack Cali Realty Corp. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 216,269 USD | (8,237 | ) | |||||||||||||||||||
Macom Technology Solutions Holdings, Inc. | 07/23/20 | M | 0.90 | % | Morgan Stanley Capital Services LLC | 586,880 USD | 20,380 | ||||||||||||||||||||
MacroGenics, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 18,079 USD | 627 | ||||||||||||||||||||
Madison Square Garden Co. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 39,013 USD | (717 | ) | |||||||||||||||||||
Madrigal Pharmaceuticals, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 311,603 USD | (2,740 | ) | |||||||||||||||||||
Malibu Boats, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 162,334 USD | (4,726 | ) | |||||||||||||||||||
Mammoth Energy Services, Inc. | 07/23/20 | M | 1.05 | % | Morgan Stanley Capital Services LLC | 88,218 USD | 481 |
See Notes to Consolidated Financial Statements.
253
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Manhattan Associates, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 35,870 USD | $ | 1,035 | |||||||||||||||||||
Manitex International, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 126,510 USD | (1,134 | ) | |||||||||||||||||||
Manitowoc Company, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 500,904 USD | 35,858 | ||||||||||||||||||||
Marathon Oil Corp. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 17,357 USD | (1,127 | ) | |||||||||||||||||||
Marathon Petroleum Corp. | 09/17/20 | M | 1.84 | % | Deutsche Bank AG | 21,815,511 USD | 889,681 | ||||||||||||||||||||
Marinemax, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 163,125 USD | 3,750 | ||||||||||||||||||||
Marinus Pharmaceuticals, Inc. | 07/23/20 | M | 1.00 | % | Morgan Stanley Capital Services LLC | 212,511 USD | (29,529 | ) | |||||||||||||||||||
MarketAxess Holdings, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 9,019 USD | 95 | ||||||||||||||||||||
Marlin Business Services, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 81,939 USD | (1,149 | ) | |||||||||||||||||||
Marriott International, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 109,984 USD | (1,053 | ) | |||||||||||||||||||
Martin Marietta Materials | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 379,857 USD | 16,866 | ||||||||||||||||||||
Masonite International Corp. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 35,604 USD | 1,311 | ||||||||||||||||||||
Mastec, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 619,571 USD | 11,482 | ||||||||||||||||||||
Mastercard, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 138,188 USD | (53 | ) | |||||||||||||||||||
Matador Resources Co. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 149,072 USD | (2,430 | ) | |||||||||||||||||||
Match Group, Inc. | 07/23/20 | M | 0.50 | % | Morgan Stanley Capital Services LLC | 295,508 USD | (13,500 | ) | |||||||||||||||||||
Mattel, Inc. | 07/23/20 | M | 0.55 | % | Morgan Stanley Capital Services LLC | 184,840 USD | 5,735 | ||||||||||||||||||||
Maui Land & Pineapple Co. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 51,866 USD | 653 | ||||||||||||||||||||
Maxlinear, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 254,637 USD | 1,823 | ||||||||||||||||||||
MB Financial, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 86,998 USD | 773 |
See Notes to Consolidated Financial Statements.
254
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
MCBC Holdings, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 127,501 USD | $ | 3,284 | |||||||||||||||||||
McDermott International, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 393,050 USD | 1,541 | ||||||||||||||||||||
MedEquities Realty Trust, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 74,695 USD | 2,019 | ||||||||||||||||||||
Medicines Company | 07/23/20 | M | 1.35 | % | Morgan Stanley Capital Services LLC | 442,914 USD | 46,726 | ||||||||||||||||||||
Medidata Solutions, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 138,554 USD | 438 | ||||||||||||||||||||
Medifast, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 188,777 USD | (5,301 | ) | |||||||||||||||||||
Meet Group, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 115,029 USD | (3,102 | ) | |||||||||||||||||||
Mercury General Corp. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 44,661 USD | 320 | ||||||||||||||||||||
Mercury Systems, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 480,400 USD | (21,241 | ) | |||||||||||||||||||
Meridian Bancorp, Inc. | 07/23/20 | M | 1.53 | % | Morgan Stanley Capital Services LLC | 13,451,674 USD | 302,285 | ||||||||||||||||||||
Meritor, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 652,372 USD | 46,462 | ||||||||||||||||||||
Mersana Therapeutics, Inc. | 07/23/20 | M | 1.05 | % | Morgan Stanley Capital Services LLC | 133,558 USD | 19,308 | ||||||||||||||||||||
Meta Financial Group, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 159,603 USD | 1,245 | ||||||||||||||||||||
Metlife, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 101,288 USD | 4,297 | ||||||||||||||||||||
Mettler Toledo International | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 146,988 USD | 223 | ||||||||||||||||||||
MFA Financial, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 28,392 USD | 1,006 | ||||||||||||||||||||
MGIC Investment Corp. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 281,257 USD | (4,509 | ) | |||||||||||||||||||
MGM Resorts International | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 216,467 USD | 4,407 | ||||||||||||||||||||
MGP Ingredients, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 357,680 USD | (731 | ) | |||||||||||||||||||
Michael Kors Holdings Ltd. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 608,035 USD | 27,194 | ||||||||||||||||||||
Michelin | 03/26/19 | M | 0.90 | % | Credit Suisse Securities (Europe) Limited | 282,677 EUR | 13,599 |
See Notes to Consolidated Financial Statements.
255
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Microchip Technology, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 60,613 USD | $ | 2,772 | |||||||||||||||||||
Micron Technology, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 332,301 USD | (3,170 | ) | |||||||||||||||||||
Micron Technology, Inc. | 01/27/20 | M | 1.92 | % | Credit Suisse Securities (Europe) Limited | 767,567 USD | (9,846 | ) | |||||||||||||||||||
Mid America Apartment Communities, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 90,300 USD | 1,641 | ||||||||||||||||||||
Middleby Corp. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 674,965 USD | (2,700 | ) | |||||||||||||||||||
Middlesex Water Co. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 47,158 USD | 529 | ||||||||||||||||||||
Midsouth Bancorp, Inc. | 07/23/20 | M | 0.75 | % | Morgan Stanley Capital Services LLC | 19,499 USD | 433 | ||||||||||||||||||||
Milacron Holdings Corp. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 27,802 USD | 1,335 | ||||||||||||||||||||
Mindbody, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 332,863 USD | 9,005 | ||||||||||||||||||||
Minerals Technologies, Inc. | 07/23/20 | M | 1.93 | % | Morgan Stanley Capital Services LLC | 8,589 USD | 3 | ||||||||||||||||||||
Mirati Therapeutics, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 251,697 USD | 43,704 | ||||||||||||||||||||
Mitek Systems, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 23,278 USD | 77 | ||||||||||||||||||||
MKS Instruments, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 143,810 USD | 5,551 | ||||||||||||||||||||
Model N, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 37,808 USD | 354 | ||||||||||||||||||||
Mohawk Industries, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 303,116 USD | 14,315 | ||||||||||||||||||||
Molecular Templates, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 4,063 USD | 96 | ||||||||||||||||||||
Momenta Pharmaceuticals, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 20,229 USD | 451 | ||||||||||||||||||||
MoneyGram International, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 244,052 USD | 22,375 |
See Notes to Consolidated Financial Statements.
256
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Monolithic Power Systems, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 24,509 USD | $ | 1,286 | |||||||||||||||||||
Monster Beverage Corp. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 501,134 USD | 3,772 | ||||||||||||||||||||
MRC Global, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 197,336 USD | 3,104 | ||||||||||||||||||||
MSHCCIBB | 07/29/20 | M | 1.58 | % | Morgan Stanley Capital Services LLC | 24,611,568 USD | (424,237 | ) | |||||||||||||||||||
MSHCCIHF | 07/29/20 | M | 1.58 | % | Morgan Stanley Capital Services LLC | 19,865,698 USD | (276,141 | ) | |||||||||||||||||||
MSHCCIHI | 07/29/20 | M | 1.58 | % | Morgan Stanley Capital Services LLC | 12,524,021 USD | (195,583 | ) | |||||||||||||||||||
MSHCCXLV | 07/29/20 | M | 1.58 | % | Morgan Stanley Capital Services LLC | 47,253,994 USD | (605,179 | ) | |||||||||||||||||||
MSHCQQQ | 07/29/20 | M | 1.83 | % | Morgan Stanley Capital Services LLC | 23,517,224 USD | (1,109 | ) | |||||||||||||||||||
MSHCSERV | 07/29/20 | M | 1.48 | % | Morgan Stanley Capital Services LLC | 7,536,298 USD | (19,325 | ) | |||||||||||||||||||
MSHCSPY | 07/29/20 | M | 1.83 | % | Morgan Stanley Capital Services LLC | 20,706,464 USD | 685 | ||||||||||||||||||||
Muenchener Rueckver AG REG | 03/26/19 | M | 0.40 | % | Credit Suisse Securities (Europe) Limited | 2,957,473 EUR | (21,383 | ) | |||||||||||||||||||
Multi-Color Corp. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 185,918 USD | 8,692 | ||||||||||||||||||||
Murphy USA, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 70,962 USD | 372 | ||||||||||||||||||||
MyoKardia, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 237,466 USD | (6,969 | ) | |||||||||||||||||||
Myriad Genetics, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 66,107 USD | 189 | ||||||||||||||||||||
NanoString Technologies, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 211,454 USD | (13,525 | ) | |||||||||||||||||||
National Bank Holdings Corp. | 07/23/20 | M | 1.53 | % | Morgan Stanley Capital Services LLC | 16,797,017 USD | 70,780 | ||||||||||||||||||||
National Beverage Corp. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 392,135 USD | (11,020 | ) | |||||||||||||||||||
National Vision Holdings, Inc. | 07/23/20 | M | 1.00 | % | Morgan Stanley Capital Services LLC | 253,669 USD | (10,535 | ) | |||||||||||||||||||
Natixis | 03/26/19 | M | 0.70 | % | Credit Suisse Securities (Europe) Limited | 45,555 EUR | 2,336 | ||||||||||||||||||||
Natixis | 07/27/20 | M | 0.67 | % | JPMorgan Chase Bank, N.A. | 611,400 EUR | 31,348 |
See Notes to Consolidated Financial Statements.
257
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Natural Grocers by Vitamin C | 07/23/20 | M | 1.15 | % | Morgan Stanley Capital Services LLC | 23,892 USD | $ | (447 | ) | ||||||||||||||||||
Navient Corp. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 131,280 USD | 7,614 | ||||||||||||||||||||
Navigators Group, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | �� | 82,654 USD | 11 | |||||||||||||||||||
Navistar International Corp. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 494,981 USD | 34,675 | ||||||||||||||||||||
NBT Bancorp, Inc. | 07/23/20 | M | 1.53 | % | Morgan Stanley Capital Services LLC | 2,881,186 USD | 50,700 | ||||||||||||||||||||
NCI Building Systems, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 304,213 USD | 12,515 | ||||||||||||||||||||
NCS Multistage Holdings, Inc. | 07/23/20 | M | 1.25 | % | Morgan Stanley Capital Services LLC | 119,016 USD | (2,646 | ) | |||||||||||||||||||
Nektar Therapeutics | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 435,967 USD | (13,369 | ) | |||||||||||||||||||
Nelnet, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 50,761 USD | (120 | ) | |||||||||||||||||||
Neophotonics Corp. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 87,728 USD | (6,469 | ) | |||||||||||||||||||
Neos Therapeutics, Inc. | 07/23/20 | M | 0.50 | % | Morgan Stanley Capital Services LLC | 204,795 USD | 6,144 | ||||||||||||||||||||
Nestle SA | 03/26/19 | M | 1.08 | % | Credit Suisse Securities (Europe) Limited | 200,433 CHF | (3,194 | ) | |||||||||||||||||||
Nestle SA REG | 07/27/20 | M | 1.18 | % | JPMorgan Chase Bank, N.A. | 1,871,892 CHF | (29,832 | ) | |||||||||||||||||||
Netflix, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 664,478 USD | (22,425 | ) | |||||||||||||||||||
Netgear, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 7,524 USD | 45 | ||||||||||||||||||||
Neurocrine Biosciences, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 289,331 USD | (6,732 | ) | |||||||||||||||||||
Nevro Corp. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 566,194 USD | 19,450 | ||||||||||||||||||||
New Relic, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 342,848 USD | 5,505 | ||||||||||||||||||||
New Senior Investment Group | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 305,046 USD | (8,504 | ) | |||||||||||||||||||
New York & Co. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 126,040 USD | 2,829 | ||||||||||||||||||||
New York Community Bancorp | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 163,999 USD | 9,393 | ||||||||||||||||||||
New York Times Co. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 108,866 USD | 1,195 |
See Notes to Consolidated Financial Statements.
258
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Newfield Exploration Co. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 411,594 USD | $ | 2,842 | |||||||||||||||||||
Newmont Mining Corp. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 187,261 USD | 8,024 | ||||||||||||||||||||
NewStar Financial, Inc. | 07/23/20 | M | 1.93 | % | Morgan Stanley Capital Services LLC | — USD | — | ||||||||||||||||||||
NII Holdings, Inc. | 07/23/20 | M | 0.10 | % | Morgan Stanley Capital Services LLC | 128,509 USD | (23,013 | ) | |||||||||||||||||||
Nike, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 821,425 USD | 6,842 | ||||||||||||||||||||
Nine Energy Service, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 24,954 USD | 1,499 | ||||||||||||||||||||
NiSource, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 187,409 USD | 4,621 | ||||||||||||||||||||
NL Industries, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 27,001 USD | 2,077 | ||||||||||||||||||||
NMI Holdings, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 24,487 USD | 161 | ||||||||||||||||||||
NN Group NV | 07/27/20 | M | 0.67 | % | JPMorgan Chase Bank, N.A. | 1,943,000 EUR | 24,963 | ||||||||||||||||||||
NN Group NV | 03/26/19 | M | 0.40 | % | Credit Suisse Securities (Europe) Limited | 4,769,210 EUR | 61,272 | ||||||||||||||||||||
Noble Energy, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 15,844 USD | (374 | ) | |||||||||||||||||||
Noodles & Co. | 07/23/20 | M | 2.15 | % | Morgan Stanley Capital Services LLC | 31,563 USD | 1,010 | ||||||||||||||||||||
Nordea Bank Abp | 03/26/19 | M | 0.50 | % | Credit Suisse Securities (Europe) Limited | 26,285,572 SEK | 2,441 | ||||||||||||||||||||
Nordson Corp. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 241,164 USD | 9,063 | ||||||||||||||||||||
Nordstrom, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 108,431 USD | 952 | ||||||||||||||||||||
Northern Trust Corp. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 109,122 USD | 3,009 | ||||||||||||||||||||
Northrop Grumman Corp. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 459,762 USD | (12,484 | ) | |||||||||||||||||||
Northwest Bancshares, Inc. | 07/23/20 | M | 1.53 | % | Morgan Stanley Capital Services LLC | 24,706,262 USD | 499,600 | ||||||||||||||||||||
Novocure Ltd. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 84,773 USD | (6,141 | ) | |||||||||||||||||||
Now, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 258,605 USD | 4,000 | ||||||||||||||||||||
NRG Energy, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 593,024 USD | (20,336 | ) |
See Notes to Consolidated Financial Statements.
259
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Nu Skin Enterprises, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 119,878 USD | $ | 39 | |||||||||||||||||||
Nuance Communications, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 121,075 USD | (3,525 | ) | |||||||||||||||||||
Nutanix, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 557,783 USD | 38,521 | ||||||||||||||||||||
Nutrisystem, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 233,355 USD | 2,200 | ||||||||||||||||||||
Nuvectra Corp. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 172,982 USD | 3,671 | ||||||||||||||||||||
NV5 Global, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 222,480 USD | 3,996 | ||||||||||||||||||||
Nvidia Corp. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 436,018 USD | (27,384 | ) | |||||||||||||||||||
NVR, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 388,375 USD | 15,285 | ||||||||||||||||||||
NXP Semiconductors N.V. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 480,621 USD | 38,244 | ||||||||||||||||||||
O’Reilly Automotive, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 294,211 USD | (2,400 | ) | |||||||||||||||||||
Oasis Petroleum, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 159,855 USD | (14,913 | ) | |||||||||||||||||||
Ocean Rig UDW, Inc. | 07/23/20 | M | 0.25 | % | Morgan Stanley Capital Services LLC | 54,534 USD | (1,273 | ) | |||||||||||||||||||
Ocular Therapeutix, Inc. | 07/23/20 | M | 1.00 | % | Morgan Stanley Capital Services LLC | 91,648 USD | (6,110 | ) | |||||||||||||||||||
Odonate Therapeutics, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 91,478 USD | 6,966 | ||||||||||||||||||||
Okta, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 412,993 USD | (10,364 | ) | |||||||||||||||||||
Ollie’s Bargain Outlet Holdings, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 249,929 USD | (8,772 | ) | |||||||||||||||||||
Omnicrom Group | 01/27/20 | M | 1.92 | % | Credit Suisse Securities (Europe) Limited | 1,718,368 USD | 68,611 | ||||||||||||||||||||
Omnova Solutions, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 104,581 USD | 4,081 | ||||||||||||||||||||
On Deck Capital, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 33,148 USD | (992 | ) |
See Notes to Consolidated Financial Statements.
260
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
On Semiconductor Corp. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 319,237 USD | $ | 11,770 | |||||||||||||||||||
ON Semiconductor Corp. | 01/27/20 | M | 1.92 | % | Credit Suisse Securities (Europe) Limited | 423,279 USD | 11,958 | ||||||||||||||||||||
OneMain Holdings, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 347,062 USD | 11,399 | ||||||||||||||||||||
Orange | 03/26/19 | M | 0.40 | % | Credit Suisse Securities (Europe) Limited | 1,224,947 EUR | 3,100 | ||||||||||||||||||||
Orange | 07/27/20 | M | 0.77 | % | JPMorgan Chase Bank, N.A. | 963,550 EUR | 2,438 | ||||||||||||||||||||
Orasure Technologies, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 58,086 USD | (454 | ) | |||||||||||||||||||
Ormat Technologies, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 461,171 USD | 24,558 | ||||||||||||||||||||
Orthopediatrics Corp. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 193,495 USD | (23,231 | ) | |||||||||||||||||||
Oshkosh Corp. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 314,305 USD | 18,018 | ||||||||||||||||||||
OSI Systems, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 210,612 USD | 4,956 | ||||||||||||||||||||
Outfront Media, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 205,135 USD | 308 | ||||||||||||||||||||
Owens Corning | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 130,672 USD | 7,534 | ||||||||||||||||||||
Owens Illinois, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 241,269 USD | 8,010 | ||||||||||||||||||||
PACCAR, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 68,926 USD | 736 | ||||||||||||||||||||
Pacific Biosciences of California | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 242,477 USD | (30,247 | ) | |||||||||||||||||||
Pacific Premier BanCorp, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 58,580 USD | 1,478 | ||||||||||||||||||||
Pacira Pharmaceuticals, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 297,184 USD | 7,002 | ||||||||||||||||||||
Palo Alto Networks, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 544,780 USD | 8,436 | ||||||||||||||||||||
Papa John’s International, Inc. | 07/23/20 | M | 0.65 | % | Morgan Stanley Capital Services LLC | 176,968 USD | (19,331 | ) | |||||||||||||||||||
Par Technology Corp. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 186,732 USD | (5,360 | ) |
See Notes to Consolidated Financial Statements.
261
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Paratek Pharmaceuticals, Inc. | 07/23/20 | M | 1.25 | % | Morgan Stanley Capital Services LLC | 64,558 USD | $ | (335 | ) | ||||||||||||||||||
Parker Hannifin Corp. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 484,586 USD | 14,829 | ||||||||||||||||||||
Parsley Energy, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 321,465 USD | (4,526 | ) | |||||||||||||||||||
Party City Holdco, Inc. | 07/23/20 | M | 1.25 | % | Morgan Stanley Capital Services LLC | 116,137 USD | 5,705 | ||||||||||||||||||||
Patrick Industries, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 364,141 USD | 13,618 | ||||||||||||||||||||
Patterson UTI Energy, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 102,184 USD | 4,366 | ||||||||||||||||||||
Paycom Software, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 240,274 USD | (1,855 | ) | |||||||||||||||||||
Paylocity Holding Corp. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 99,174 USD | 1,344 | ||||||||||||||||||||
Paypal Holdings, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 490,294 USD | 14,025 | ||||||||||||||||||||
PDC Energy, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 89,920 USD | (166 | ) | |||||||||||||||||||
pdvWireless, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 99,730 USD | (7,428 | ) | |||||||||||||||||||
Pearson PLC | 03/26/19 | M | 0.72 | % | Credit Suisse Securities (Europe) Limited | 137,885 GBP | (1,384 | ) | |||||||||||||||||||
Pebblebrook Hotel Trust | 09/17/20 | M | 1.84 | % | Deutsche Bank AG | 2,576,752 USD | 33,071 | ||||||||||||||||||||
Pegasystems, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 80,329 USD | 702 | ||||||||||||||||||||
Penn National Gaming, Inc. | 09/17/20 | M | 1.84 | % | Deutsche Bank AG | 3,964,123 USD | (61,137 | ) | |||||||||||||||||||
Penn Real Estate Investment Trust | 07/23/20 | M | 1.20 | % | Morgan Stanley Capital Services LLC | 307,940 USD | 2,902 | ||||||||||||||||||||
Penn Virginia Corp. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 25,120 USD | (975 | ) | |||||||||||||||||||
PennyMac Financial Service, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 52,552 USD | 1,348 | ||||||||||||||||||||
Pentair PLC | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 9,827 USD | 333 | ||||||||||||||||||||
Penumbra, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 152,139 USD | 343 | ||||||||||||||||||||
People’s United Financial, Inc. | 07/23/20 | M | 1.53 | % | Morgan Stanley Capital Services LLC | 18,689,784 USD | 427,136 |
See Notes to Consolidated Financial Statements.
262
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
PepsiCo., Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 333,910 USD | $ | (1,378 | ) | ||||||||||||||||||
Performance Food Group Co. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 30,795 USD | 92 | ||||||||||||||||||||
Petiq, Inc. | 07/23/20 | M | 0.60 | % | Morgan Stanley Capital Services LLC | 202,386 USD | 9,846 | ||||||||||||||||||||
PetMed Express, Inc. | 07/23/20 | M | 1.00 | % | Morgan Stanley Capital Services LLC | 217,921 USD | 17,715 | ||||||||||||||||||||
PG&E Corp. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 548,744 USD | 8,403 | ||||||||||||||||||||
PGT Innovations, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 63,456 USD | 147 | ||||||||||||||||||||
Physicians Realty Trust | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 101,163 USD | (301 | ) | |||||||||||||||||||
Piedmont Office Realty Trust, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 27,658 USD | 417 | ||||||||||||||||||||
Pieris Pharmaceuticals, Inc. | 07/23/20 | M | 1.00 | % | Morgan Stanley Capital Services LLC | 197,656 USD | (9,236 | ) | |||||||||||||||||||
Pilgrim’s Pride Corp. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 280,091 USD | 6,986 | ||||||||||||||||||||
Pinnacle Financial Partners | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 119,203 USD | 1,189 | ||||||||||||||||||||
Pinnacle Foods, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 25,889 USD | 872 | ||||||||||||||||||||
Pioneer Natural Resources Co. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 180,064 USD | (397 | ) | |||||||||||||||||||
Piper Jaffray Cos. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 17,007 USD | 591 | ||||||||||||||||||||
Platform Specialty Products Corp. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 147,609 USD | 3,693 | ||||||||||||||||||||
PlayAGS, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 175,750 USD | 1,642 | ||||||||||||||||||||
PNC Financial Services Group, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 64,061 USD | 597 | ||||||||||||||||||||
Polaris Industries, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 113,660 USD | 3,523 | ||||||||||||||||||||
PolyOne Corporation | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 23,403 USD | 188 |
See Notes to Consolidated Financial Statements.
263
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Portola Pharmaceuticals, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 635,770 USD | $ | 20,324 | |||||||||||||||||||
Poste Italiane SpA | 10/04/19 | M | 0.90 | % | Credit Suisse Securities (Europe) Limited | 477,779 EUR | 15,361 | ||||||||||||||||||||
PPG Industries, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 704,284 USD | 23,313 | ||||||||||||||||||||
PQ Group Holdings, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 89,630 USD | 900 | ||||||||||||||||||||
PRA Group, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 144,377 USD | 7,001 | ||||||||||||||||||||
PRA Health Sciences, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 21,336 USD | 69 | ||||||||||||||||||||
Praxair, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 348,346 USD | 8,723 | ||||||||||||||||||||
Preferred Apartment Communities, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 156,538 USD | (2,350 | ) | |||||||||||||||||||
Preferred Bank | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 109,789 USD | 3,904 | ||||||||||||||||||||
Preferred Bank | 07/23/20 | M | 1.53 | % | Morgan Stanley Capital Services LLC | 14,786,945 USD | 343,462 | ||||||||||||||||||||
Primoris Services Corp. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 7,583 USD | 38 | ||||||||||||||||||||
Principal Financial Group | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 96,367 USD | 630 | ||||||||||||||||||||
Proassurance Corp. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 179,383 USD | 2,945 | ||||||||||||||||||||
Procter & Gamble Co. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 388,861 USD | 6,169 | ||||||||||||||||||||
Profire Energy, Inc. | 07/23/20 | M | 3.00 | % | Morgan Stanley Capital Services LLC | 23,975 USD | 443 | ||||||||||||||||||||
Progenics Pharmaceuticals, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 269,573 USD | 5,888 | ||||||||||||||||||||
Prologis, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 165,693 USD | (1,206 | ) | |||||||||||||||||||
Proofpoint, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 336,418 USD | (5,114 | ) | |||||||||||||||||||
Propetro Holding Corp. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 235,710 USD | 10,852 | ||||||||||||||||||||
Prosperity Bancshares, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 20,286 USD | 36 |
See Notes to Consolidated Financial Statements.
264
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Prothena Corp. PLC | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 94,167 USD | $ | 1,835 | |||||||||||||||||||
Proto Labs, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 116,404 USD | (1,350 | ) | |||||||||||||||||||
Provident Financial Services | 07/23/20 | M | 1.53 | % | Morgan Stanley Capital Services LLC | 5,157,193 USD | 40,323 | ||||||||||||||||||||
Prudential Financial, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 34,174 USD | (376 | ) | |||||||||||||||||||
PS Business Parks, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 83,079 USD | 852 | ||||||||||||||||||||
PTC Therapeutics, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 276,668 USD | (10,596 | ) | |||||||||||||||||||
PTC, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 52,217 USD | (559 | ) | |||||||||||||||||||
Public Storage | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 86,798 USD | 500 | ||||||||||||||||||||
PulteGroup, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 7,590 USD | 357 | ||||||||||||||||||||
Puma Biotechnology, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 763,474 USD | 24,051 | ||||||||||||||||||||
Pure Cycle Corp. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 74,232 USD | (323 | ) | |||||||||||||||||||
Pure Storage, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 323,645 USD | 11,025 | ||||||||||||||||||||
PVH Corp. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 548,795 USD | (10,467 | ) | |||||||||||||||||||
Pzena Investment Management, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 138,025 USD | (3,205 | ) | |||||||||||||||||||
Q2 Holdings, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 152,314 USD | 2,392 | ||||||||||||||||||||
QCR Holdings, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 24,106 USD | 168 | ||||||||||||||||||||
QEP Resources, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 53,798 USD | (1,116 | ) | |||||||||||||||||||
Qorvo, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 230,362 USD | 4,997 | ||||||||||||||||||||
QTS Realty Trust, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 424,256 USD | 19,915 | ||||||||||||||||||||
Quaker Chemical Corp. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 35,689 USD | (507 | ) | |||||||||||||||||||
Quanta Services, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 96,971 USD | 2,139 |
See Notes to Consolidated Financial Statements.
265
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Quantenna Communications, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 209,249 USD | $ | 4,657 | |||||||||||||||||||
Quanterix Corp. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 224,614 USD | (24,415 | ) | |||||||||||||||||||
QuinStreet, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 273,209 USD | (6,794 | ) | |||||||||||||||||||
Quorum Health Corp. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 131,967 USD | (33,343 | ) | |||||||||||||||||||
Quotient Technology, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 165,078 USD | (6,073 | ) | |||||||||||||||||||
Qurate Retail, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 432,414 USD | 8,025 | ||||||||||||||||||||
Ra Pharmaceuticals, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 232,772 USD | (24,775 | ) | |||||||||||||||||||
Radius Health, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 409,279 USD | 2,353 | ||||||||||||||||||||
Ralph Lauren Corp. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 295,316 USD | (3,305 | ) | |||||||||||||||||||
Ramco Gershenson Properties | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 30,171 USD | (89 | ) | |||||||||||||||||||
Range Resources Corp. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 86,211 USD | 2,416 | ||||||||||||||||||||
Raymond James Financial, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 216,717 USD | 4,818 | ||||||||||||||||||||
Raytheon Company | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 187,320 USD | (2,394 | ) | |||||||||||||||||||
RBC Bearings, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 198,976 USD | 1,704 | ||||||||||||||||||||
Re/Max Holdings, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 384,668 USD | (6,942 | ) | |||||||||||||||||||
Realogy Holdings Corp. | 07/23/20 | M | 1.15 | % | Morgan Stanley Capital Services LLC | 434,120 USD | (1,054 | ) | |||||||||||||||||||
RealPage, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 5,233 USD | (302 | ) | |||||||||||||||||||
Realty Income Corp. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 96,193 USD | (748 | ) | |||||||||||||||||||
Reata Pharmaceuticals, Inc. | 07/23/20 | M | 0.75 | % | Morgan Stanley Capital Services LLC | 69,776 USD | 3,141 | ||||||||||||||||||||
Recro Pharma, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 153,735 USD | (1,057 | ) |
See Notes to Consolidated Financial Statements.
266
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Red Hat, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 449,501 USD | $ | (5,266 | ) | ||||||||||||||||||
Red Robin Gourmet Burgers | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 248,016 USD | (6,013 | ) | |||||||||||||||||||
Redwood Trust, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 267,649 USD | 2,126 | ||||||||||||||||||||
Regency Centers Corp. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 74,275 USD | 292 | ||||||||||||||||||||
Regeneron Pharmaceuticals | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 372,188 USD | (12,458 | ) | |||||||||||||||||||
REGENXBIO, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 178,963 USD | (10,920 | ) | |||||||||||||||||||
Regional Management Corp. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 4,521 USD | 24 | ||||||||||||||||||||
Regions Financial Corp. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 11,980 USD | 511 | ||||||||||||||||||||
Regions Financial Corp. | 07/27/20 | M | 1.93 | % | Goldman Sachs International | 2,802,451 USD | 157,133 | ||||||||||||||||||||
RELX PLC | 07/27/20 | M | 0.42 | % | JPMorgan Chase Bank, N.A. | 844,715 GBP | (45,033 | ) | |||||||||||||||||||
RELX PLC | 03/26/19 | M | 0.22 | % | Credit Suisse Securities (Europe) Limited | 8,011 GBP | (427 | ) | |||||||||||||||||||
RELX PLC | 03/26/19 | M | 0.90 | % | Credit Suisse Securities (Europe) Limited | 916,411 EUR | (45,140 | ) | |||||||||||||||||||
Restoration Hardware Holdings, Inc. | 07/23/20 | M | 1.16 | % | Morgan Stanley Capital Services LLC | 648,191 USD | 26,025 | ||||||||||||||||||||
Retail Opportunity Investments Corp. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 22,934 USD | (86 | ) | |||||||||||||||||||
Retail Properties of America, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 44,085 USD | 1,468 | ||||||||||||||||||||
REV Group Inc | 07/23/20 | M | 0.55 | % | Morgan Stanley Capital Services LLC | 205,640 USD | 4,695 | ||||||||||||||||||||
Revance Therapeutics, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 217,090 USD | 2,162 | ||||||||||||||||||||
Rexnord Corp. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 162,367 USD | 4,795 | ||||||||||||||||||||
Rhythm Pharmaceuticals, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 285,997 USD | 22,971 |
See Notes to Consolidated Financial Statements.
267
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Rigel Pharmaceuticals, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 407,634 USD | $ | 3,774 | |||||||||||||||||||
Rignet, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 83,829 USD | (7,624 | ) | |||||||||||||||||||
RLJ Lodging Trust | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 51,891 USD | 1,420 | ||||||||||||||||||||
Rocket Pharmaceuticals, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 197,462 USD | (10,208 | ) | |||||||||||||||||||
Rockwell Automation, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 193,014 USD | 8,307 | ||||||||||||||||||||
Rogers Corp. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 125,379 USD | 2,219 | ||||||||||||||||||||
Roku, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 361,876 USD | (2,763 | ) | |||||||||||||||||||
Rollins, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 25,093 USD | 453 | ||||||||||||||||||||
Roper Technologies, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 396,201 USD | 7,277 | ||||||||||||||||||||
Ross Stores, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 45,699 USD | (680 | ) | |||||||||||||||||||
Rowan Companies PLC | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 10,614 USD | (477 | ) | |||||||||||||||||||
Royal Caribbean Cruises Ltd | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 1,296 USD | (3 | ) | |||||||||||||||||||
RPC, Inc. | 07/23/20 | M | 0.75 | % | Morgan Stanley Capital Services LLC | 89,998 USD | 1,127 | ||||||||||||||||||||
RPM International, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 34,968 USD | 95 | ||||||||||||||||||||
Ryerson Holding Corp. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 370,341 USD | 1,407 | ||||||||||||||||||||
S & T Bancorp, Inc. | 09/23/20 | M | 1.93 | % | Goldman Sachs International | 2,134,138 USD | 105,280 | ||||||||||||||||||||
Safeguard Scientifics, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 134,969 USD | (2,327 | ) | |||||||||||||||||||
Safety Income & Growth, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 61,955 USD | 371 | ||||||||||||||||||||
Sage Therapeutics, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 496,195 USD | 12,555 |
See Notes to Consolidated Financial Statements.
268
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
SailPoint Technologies Holdings, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 228,612 USD | $ | (6,874 | ) | ||||||||||||||||||
Sainsbury PLC | 03/26/19 | M | 0.72 | % | Credit Suisse Securities (Europe) Limited | 1,352,153 GBP | (42,630 | ) | |||||||||||||||||||
Salesforce.com, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 152,933 USD | 423 | ||||||||||||||||||||
Salesforce.com, Inc. | 01/27/20 | M | 1.92 | % | Credit Suisse Securities (Europe) Limited | 328,458 USD | (7,413 | ) | |||||||||||||||||||
Sally Beauty Holdings, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 319,134 USD | (521 | ) | |||||||||||||||||||
Sanderson Farms, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 165,991 USD | (5,190 | ) | |||||||||||||||||||
Sandy Spring Bancorp, Inc. | 07/23/20 | M | 1.53 | % | Morgan Stanley Capital Services LLC | 5,363,776 USD | 52,835 | ||||||||||||||||||||
Sangamo Therapeutics, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 574,670 USD | (43,784 | ) | |||||||||||||||||||
Santander Consumer USA Holdings, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 24,453 USD | 164 | ||||||||||||||||||||
Sarepta Therapeutics, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 398,878 USD | (32,839 | ) | |||||||||||||||||||
Saul Centers, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 110,733 USD | (4,571 | ) | |||||||||||||||||||
Schlumberger Ltd. | 01/27/20 | M | 1.92 | % | Credit Suisse Securities (Europe) Limited | 95,057 USD | 327 | ||||||||||||||||||||
Schwab (Charles) Corp. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 345,471 USD | 16,657 | ||||||||||||||||||||
Science Applications International Corp. | 09/17/20 | M | 1.84 | % | Deutsche Bank AG | 341,231 USD | (5,026 | ) | |||||||||||||||||||
Scientific Games Corp. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 509,407 USD | 16,495 | ||||||||||||||||||||
Scotts Miracle Gro Co. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 428,761 USD | (632 | ) | |||||||||||||||||||
Seattle Genetics, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 257,472 USD | 3,979 | ||||||||||||||||||||
Seaworld Entertainment, Inc. | 07/23/20 | M | 1.20 | % | Morgan Stanley Capital Services LLC | 189,120 USD | (7,474 | ) | |||||||||||||||||||
SEI Investments Company | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 29,451 USD | 306 |
See Notes to Consolidated Financial Statements.
269
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Select Energy Services, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 254,323 USD | $ | 9,307 | |||||||||||||||||||
Select Income REIT | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 37,982 USD | (874 | ) | |||||||||||||||||||
Selecta Biosciences, Inc. | 07/23/20 | M | 1.30 | % | Morgan Stanley Capital Services LLC | 239,179 USD | 1,528 | ||||||||||||||||||||
Sempra Energy | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 421,721 USD | 3,462 | ||||||||||||||||||||
Semtech Corp. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 219,369 USD | 6,365 | ||||||||||||||||||||
Sendgrid, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 315,149 USD | (11,252 | ) | |||||||||||||||||||
Sensata Technologies Holding | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 170,590 USD | 7,125 | ||||||||||||||||||||
Sensient Technologies Corp. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 13,451 USD | (15 | ) | |||||||||||||||||||
Seres Therapeutics, Inc. | 07/23/20 | M | 0.70 | % | Morgan Stanley Capital Services LLC | 160,925 USD | (2,367 | ) | |||||||||||||||||||
Seritage Growth Properties | 07/23/20 | M | 1.55 | % | Morgan Stanley Capital Services LLC | 1,828 USD | 71 | ||||||||||||||||||||
Service Corporation International | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 113,280 USD | (712 | ) | |||||||||||||||||||
Servicemaster Global Holding | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 247,164 USD | (5,794 | ) | |||||||||||||||||||
ServiceNow, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 395,921 USD | (7,273 | ) | |||||||||||||||||||
Shake Shack, Inc. | 07/23/20 | M | 1.00 | % | Morgan Stanley Capital Services LLC | 219,183 USD | (16,916 | ) | |||||||||||||||||||
Sherwin Williams Co. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 996,657 USD | 17,500 | ||||||||||||||||||||
ShotSpotter, Inc | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 394,628 USD | 3,414 | ||||||||||||||||||||
Shutterfly, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 473,063 USD | 19,081 | ||||||||||||||||||||
SI Green Realty Corp. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 64,649 USD | 962 | ||||||||||||||||||||
Sienna Biopharmaceuticcals, Inc. | 07/23/20 | M | 0.38 | % | Morgan Stanley Capital Services LLC | 10,948 USD | 426 | ||||||||||||||||||||
Sientra, Inc. | 07/23/20 | M | 1.00 | % | Morgan Stanley Capital Services LLC | 317,265 USD | 5,679 | ||||||||||||||||||||
Signature Bank | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 235,273 USD | 2,607 |
See Notes to Consolidated Financial Statements.
270
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Signet Jewelers Ltd. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 252,627 USD | $ | 2,028 | |||||||||||||||||||
Silicon Laboratories, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 98,225 USD | 2,018 | ||||||||||||||||||||
Simply Good Foods Co. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 139,070 USD | (10,870 | ) | |||||||||||||||||||
Sirius XM Holdings, Inc. | 09/17/20 | M | 1.84 | % | Deutsche Bank AG | 342,379 USD | 2,963 | ||||||||||||||||||||
Siteone Landscape Supply, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 456,114 USD | 29,463 | ||||||||||||||||||||
Skandinaviska Enskilda Banken AB | 03/26/19 | M | 0.50 | % | Credit Suisse Securities (Europe) Limited | 12,004,210 SEK | (11,530 | ) | |||||||||||||||||||
Skechers USA, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 822,095 USD | (28,597 | ) | |||||||||||||||||||
Sky PLC | 03/26/19 | M | 1.12 | % | Credit Suisse Securities (Europe) Limited | 125,563 GBP | (154 | ) | |||||||||||||||||||
Skyline Champion Corp | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 338,505 USD | 14,807 | ||||||||||||||||||||
Skyworks Solutions, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 75,501 USD | 1,391 | ||||||||||||||||||||
Sleep Number Corp. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 298,043 USD | (1,714 | ) | |||||||||||||||||||
SLM Corp. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 177,908 USD | 4,447 | ||||||||||||||||||||
SM Energy Co. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 82,437 USD | 238 | ||||||||||||||||||||
Smart & Final Stores, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 226,324 USD | 26,317 | ||||||||||||||||||||
Smart Global Holdings, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 562,578 USD | 19,737 | ||||||||||||||||||||
Snap-on, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 12,301 USD | (1 | ) | |||||||||||||||||||
Solaris Oilfield Infrastructure, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 314,379 USD | (26,170 | ) | |||||||||||||||||||
Solvay SA | 03/26/19 | M | 0.40 | % | Credit Suisse Securities (Europe) Limited | 712,747 EUR | 7,103 | ||||||||||||||||||||
Sothebys | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 348,509 USD | (1,429 | ) | |||||||||||||||||||
South State Corp. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 18,037 USD | (85 | ) | |||||||||||||||||||
Southern Copper Corp. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 7,637 USD | 88 |
See Notes to Consolidated Financial Statements.
271
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Southwest Airlines Co. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 206,166 USD | $ | 2,204 | |||||||||||||||||||
Southwestern Energy Co. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 367,799 USD | 40,938 | ||||||||||||||||||||
Spark Therapeutics, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 678,714 USD | 11,622 | ||||||||||||||||||||
Spartan Motors, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 99,248 USD | 3,859 | ||||||||||||||||||||
SPARTON CORP | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 239,652 USD | 3,332 | ||||||||||||||||||||
SPDR S&P 500 ETF Trust | 08/19/20 | M | 1.97 | % | Goldman Sachs International | 31,637,150 USD | 60,888 | ||||||||||||||||||||
SPDR S&P Regional Banking ETF | 07/23/20 | M | 1.25 | % | Morgan Stanley Capital Services LLC | 13,313,451 USD | 304,668 | ||||||||||||||||||||
Spectrum Brands Holdings, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 667,020 USD | 44,378 | ||||||||||||||||||||
Spectrum Pharmaceuticals, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 438,542 USD | 79,006 | ||||||||||||||||||||
Spero Therapeutics, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 66,317 USD | (1,682 | ) | |||||||||||||||||||
Spirit Aerosystems Hold | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 266,305 USD | 4,771 | ||||||||||||||||||||
Spirit Airlines, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 199,490 USD | 5,316 | ||||||||||||||||||||
Splunk, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 333,695 USD | (12,712 | ) | |||||||||||||||||||
Sportsman’s Warehouse Holding, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 216,141 USD | 8,858 | ||||||||||||||||||||
Sprouts Farmers Market, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 211,735 USD | 1,172 | ||||||||||||||||||||
SPX Corp. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 208,147 USD | 8,187 | ||||||||||||||||||||
SPX Flow, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 124,507 USD | 3,451 | ||||||||||||||||||||
Square, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 415,912 USD | (62,801 | ) | |||||||||||||||||||
St. Joe Co. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 76,300 USD | 1,557 | ||||||||||||||||||||
Stamps.com, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 466,750 USD | (127 | ) | |||||||||||||||||||
Stanley Black & Decker, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 434,403 USD | 19,099 |
See Notes to Consolidated Financial Statements.
272
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Starbucks Corp. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 62,678 USD | $ | 666 | |||||||||||||||||||
Starwood Property Trust, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 157,755 USD | 2,596 | ||||||||||||||||||||
State Street Corp. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 381,505 USD | 21,083 | ||||||||||||||||||||
Steel Dynamics, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 34,139 USD | 518 | ||||||||||||||||||||
Stemline Therapeutics, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 69,442 USD | 2,810 | ||||||||||||||||||||
Stepan Co. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 16,891 USD | 11 | ||||||||||||||||||||
Stericycle, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 391,384 USD | 17,886 | ||||||||||||||||||||
Sterling BanCorp | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 73,689 USD | 3,509 | ||||||||||||||||||||
Sterling Construction Co. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 275,119 USD | (4,193 | ) | |||||||||||||||||||
Steven Madden, Ltd. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 237,111 USD | 14,296 | ||||||||||||||||||||
Stifel Financial Corp. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 195,971 USD | 12,358 | ||||||||||||||||||||
Stoneridge, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 60,552 USD | (404 | ) | |||||||||||||||||||
Storebrand ASA | 03/25/19 | M | 0.99 | % | Credit Suisse Securities (Europe) Limited | 5,037,902 NOK | 8,067 | ||||||||||||||||||||
Storebrand ASA | 07/27/20 | M | 0.68 | % | JPMorgan Chase Bank, N.A. | 14,732,000 NOK | 23,591 | ||||||||||||||||||||
Strategic Education, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 22,445 USD | (165 | ) | |||||||||||||||||||
Summit Hotel Properties, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 44,015 USD | (593 | ) | |||||||||||||||||||
Sun Hydraulics Corp. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 204,950 USD | 10,098 | ||||||||||||||||||||
Superior Energy Services, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 306,573 USD | (7,084 | ) | |||||||||||||||||||
Supernus Pharmaceuticals, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 205,722 USD | (6,100 | ) | |||||||||||||||||||
SuperValu, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 588,222 USD | 562 | ||||||||||||||||||||
SVB Financial Group | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 62,660 USD | 494 | ||||||||||||||||||||
Swatch Group AG | 03/26/19 | M | 1.33 | % | Credit Suisse Securities (Europe) Limited | 125,069 CHF | 972 |
See Notes to Consolidated Financial Statements.
273
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Switch, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 322,569 USD | $ | 7,868 | |||||||||||||||||||
Symantec Corp. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 297,470 USD | (5,409 | ) | |||||||||||||||||||
Synaptics, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 172,328 USD | 5,404 | ||||||||||||||||||||
Synchrony Financial | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 177,394 USD | 4,527 | ||||||||||||||||||||
Syndax Pharmaceuticals, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 37,939 USD | (7,341 | ) | |||||||||||||||||||
Synlogic, Inc. | 07/23/20 | M | 1.00 | % | Morgan Stanley Capital Services LLC | 517 USD | (38 | ) | |||||||||||||||||||
Synnex Corp. | 09/17/20 | M | 1.84 | % | Deutsche Bank AG | 2,052,228 USD | 184,762 | ||||||||||||||||||||
Synovus Financial Corp. | 09/17/20 | M | 1.84 | % | Deutsche Bank AG | 3,922,310 USD | 153,106 | ||||||||||||||||||||
Syros Pharmaceuticals, Inc. | 07/23/20 | M | 1.30 | % | Morgan Stanley Capital Services LLC | 225,912 USD | 16,487 | ||||||||||||||||||||
T-Mobile US, Inc. | 09/17/20 | M | 1.84 | % | Deutsche Bank AG | 17,032,731 USD | (273,727 | ) | |||||||||||||||||||
T2 Biosystems, Inc. | 07/23/20 | M | 0.75 | % | Morgan Stanley Capital Services LLC | 92,929 USD | (16,616 | ) | |||||||||||||||||||
Tableau Software, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 227,712 USD | (2,249 | ) | |||||||||||||||||||
Tabula Rasa Healthcare, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 73,722 USD | (2,515 | ) | |||||||||||||||||||
Take Two Interactive Software, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 405,939 USD | (17,414 | ) | |||||||||||||||||||
Takeda Pharmaceutical Co. Ltd. | 09/20/20 | M | 0.40 | % | Deutsche Bank AG | 1,030,808,508 JPY | (284,897 | ) | |||||||||||||||||||
Takeda Pharmaceutical Co. Ltd. | 10/28/19 | M | 0.50 | % | Credit Suisse Securities (Europe) Limited | 57,251,900 JPY | (13,785 | ) | |||||||||||||||||||
Tandem Diabetes Care, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 290,198 USD | 5,098 | ||||||||||||||||||||
Tanger Factory Outlet Center, Inc. | 07/23/20 | M | 1.25 | % | Morgan Stanley Capital Services LLC | 172,979 USD | 1,425 | ||||||||||||||||||||
Tapestry, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 270,181 USD | (1,126 | ) | |||||||||||||||||||
Target Corp. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 74,975 USD | (709 | ) |
See Notes to Consolidated Financial Statements.
274
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
TD Ameritrade Holding Corp. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 99,843 USD | $ | 4,590 | |||||||||||||||||||
TechnipFMC PLC | 03/26/19 | M | 0.90 | % | Credit Suisse Securities (Europe) Limited | 5,773 EUR | (188 | ) | |||||||||||||||||||
TechnipFMC PLC | 07/27/20 | M | 0.77 | % | JPMorgan Chase Bank, N.A. | 49,188 EUR | (1,603 | ) | |||||||||||||||||||
Teladoc, Inc. | 07/23/20 | M | 1.25 | % | Morgan Stanley Capital Services LLC | 142,508 USD | (13,613 | ) | |||||||||||||||||||
Telaria, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 122,195 USD | 3,447 | ||||||||||||||||||||
Tele2 AB | 03/26/19 | M | 0.50 | % | Credit Suisse Securities (Europe) Limited | 7,285,699 SEK | 40,424 | ||||||||||||||||||||
Tele2 AB | 07/27/20 | M | 0.81 | % | JPMorgan Chase Bank, N.A. | 22,510,000 SEK | 124,896 | ||||||||||||||||||||
Tele2 AB | 09/17/20 | M | 0.81 | % | Deutsche Bank AG | 37,144,426 SEK | 206,094 | ||||||||||||||||||||
Telefonica S.A. | 07/27/20 | M | 0.67 | % | JPMorgan Chase Bank, N.A. | 797,751 EUR | 4,461 | ||||||||||||||||||||
Telefonica S.A. | 03/26/19 | M | 0.40 | % | Credit Suisse Securities (Europe) Limited | 1,918,143 EUR | 10,727 | ||||||||||||||||||||
Telenor ASA | 03/25/19 | M | 0.99 | % | Credit Suisse Securities (Europe) Limited | 4,446,818 NOK | 17,453 | ||||||||||||||||||||
Telia Co. AB | 03/26/19 | M | 0.80 | % | Credit Suisse Securities (Europe) Limited | 4,747,549 SEK | 5,440 | ||||||||||||||||||||
Tempur Sealy International, Inc. | 07/23/20 | M | 1.05 | % | Morgan Stanley Capital Services LLC | 515,160 USD | 8,907 | ||||||||||||||||||||
Tenet Healthcare Corp. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 8,421 USD | (89 | ) | |||||||||||||||||||
Tennant Co. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 18,176 USD | (812 | ) | |||||||||||||||||||
Tenneco, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 35,426 USD | (13 | ) | |||||||||||||||||||
Teradata Corp. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 131,648 USD | 3,434 | ||||||||||||||||||||
Teradyne, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 285,745 USD | 9,504 | ||||||||||||||||||||
Terex Corp. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 479,206 USD | 23,195 | ||||||||||||||||||||
Terraform Power, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 70,235 USD | 1,836 | ||||||||||||||||||||
Tesaro, Inc. | 07/23/20 | M | 1.25 | % | Morgan Stanley Capital Services LLC | 765,161 USD | (26,586 | ) | |||||||||||||||||||
Tesla, Inc. | 07/23/20 | M | 0.25 | % | Morgan Stanley Capital Services LLC | 856,622 USD | 98,321 | ||||||||||||||||||||
Texas Capital Bancshares, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 117,164 USD | 4,925 |
See Notes to Consolidated Financial Statements.
275
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Texas Instruments, Inc. | 01/27/20 | M | 1.92 | % | Credit Suisse Securities (Europe) Limited | 1,001,845 USD | $ | 12,309 | |||||||||||||||||||
Textron, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 165,321 USD | 797 | ||||||||||||||||||||
TG Therapeutics, Inc. | 07/23/20 | 0 | 0.00 | % | Morgan Stanley Capital Services LLC | 574,280 USD | 100,968 | ||||||||||||||||||||
Theravance Biopharma, Inc. | 07/23/20 | M | 0.65 | % | Morgan Stanley Capital Services LLC | 202,786 USD | (25,348 | ) | |||||||||||||||||||
Thermo Fisher Scientific, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 7,322 USD | (1 | ) | |||||||||||||||||||
Third Point Reinsurance Ltd | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 102,081 USD | 3,047 | ||||||||||||||||||||
Thor Industries, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 294,970 USD | 14,491 | ||||||||||||||||||||
Tiffany & Co. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 115,609 USD | (2,269 | ) | |||||||||||||||||||
Tilly’s, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 178,186 USD | (627 | ) | |||||||||||||||||||
Timkensteel Corp. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 176,026 USD | (4,362 | ) | |||||||||||||||||||
Titan International, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 317,853 USD | 5,886 | ||||||||||||||||||||
Titan Machinery, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 76,738 USD | 9,905 | ||||||||||||||||||||
Tivity Health, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 123,775 USD | 4,723 | ||||||||||||||||||||
Tocagen, Inc. | 07/23/20 | M | 0.25 | % | Morgan Stanley Capital Services LLC | 90,791 USD | (13,132 | ) | |||||||||||||||||||
Tompkins Financial Corp. | 07/23/20 | M | 1.53 | % | Morgan Stanley Capital Services LLC | 3,724,451 USD | 118,751 | ||||||||||||||||||||
Topbuild Corp. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 110,092 USD | 8,725 | ||||||||||||||||||||
Toro Co. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 86,665 USD | 3,067 | ||||||||||||||||||||
Total System Services, Inc. | 07/27/20 | M | 1.93 | % | Goldman Sachs International | 4,909,330 USD | (44,653 | ) | |||||||||||||||||||
Town Sports International Holdings, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 62,938 USD | 719 |
See Notes to Consolidated Financial Statements.
276
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
TPI Composites, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 238,149 USD | $ | (2,442 | ) | ||||||||||||||||||
Tractor Supply Company | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 75,763 USD | (758 | ) | |||||||||||||||||||
Trade Desk, Inc. | 07/23/20 | M | 1.00 | % | Morgan Stanley Capital Services LLC | 613,579 USD | (37,447 | ) | |||||||||||||||||||
Transunion | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 86,892 USD | 877 | ||||||||||||||||||||
Travelzoo | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 52,611 USD | (430 | ) | |||||||||||||||||||
Treehouse Foods, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 372,640 USD | 26,063 | ||||||||||||||||||||
Trex Company, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 460,855 USD | 15,371 | ||||||||||||||||||||
Trimble, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 132,194 USD | (12 | ) | |||||||||||||||||||
Trinet Group, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 105,663 USD | (7,258 | ) | |||||||||||||||||||
TripAdvisor, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 687,109 USD | (14,388 | ) | |||||||||||||||||||
TriState Capital Holdings, Inc. | 09/23/20 | M | 1.93 | % | Goldman Sachs International | 1,184,772 USD | 35,397 | ||||||||||||||||||||
Triumph Group, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 468,189 USD | 418 | ||||||||||||||||||||
Tronc, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 87,012 USD | 1,312 | ||||||||||||||||||||
Tronox Ltd. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 468,774 USD | 46,413 | ||||||||||||||||||||
TrueCar, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 442,481 USD | (3,798 | ) | |||||||||||||||||||
TrustCo Bank Corp. | 07/23/20 | M | 1.53 | % | Morgan Stanley Capital Services LLC | 11,018,301 USD | 95,534 | ||||||||||||||||||||
Trustmark Corp. | 07/23/20 | M | 1.53 | % | Morgan Stanley Capital Services LLC | 8,091,228 USD | 154,933 | ||||||||||||||||||||
Twenty First Century Fox, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 202,984 USD | (6,613 | ) | |||||||||||||||||||
Twilio, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 428,944 USD | (11,688 | ) | |||||||||||||||||||
Twin Disc, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 70,779 USD | (714 | ) | |||||||||||||||||||
Twitter, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 429,534 USD | 869 | ||||||||||||||||||||
Twitter, Inc. | 01/27/20 | M | 1.92 | % | Credit Suisse Securities (Europe) Limited | 179,949 USD | 253 | ||||||||||||||||||||
UBI Banca SpA | 10/04/19 | M | 0.40 | % | Credit Suisse Securities (Europe) Limited | 1,434,099 EUR | 136,248 |
See Notes to Consolidated Financial Statements.
277
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
UBI Banca SpA | 07/27/20 | M | 0.67 | % | JPMorgan Chase Bank, N.A. | 359,714 EUR | $ | 34,175 | |||||||||||||||||||
UDR, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 168,136 USD | 1,524 | ||||||||||||||||||||
Ulta Beauty, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 518,301 USD | (2,492 | ) | |||||||||||||||||||
Ultimate Software Group, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 63,119 USD | (352 | ) | |||||||||||||||||||
Ultra Clean Holdings, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 237,097 USD | 19,266 | ||||||||||||||||||||
Ultragenyx Pharmaceutical, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 259,473 USD | 24,880 | ||||||||||||||||||||
UMB Financial Corp. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 54,805 USD | — | ||||||||||||||||||||
UMH Properties, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 6,397 USD | — | ||||||||||||||||||||
Under Armour, Inc. | 07/23/20 | M | 1.20 | % | Morgan Stanley Capital Services LLC | 741,219 USD | (23,422 | ) | |||||||||||||||||||
Unilever PLC | 03/26/19 | M | 0.72 | % | Credit Suisse Securities (Europe) Limited | 147,921 GBP | 2,394 | ||||||||||||||||||||
United Continental Holdings, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 416,440 USD | 3,202 | ||||||||||||||||||||
United Rentals, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 692,462 USD | 19,248 | ||||||||||||||||||||
United States Steel Corp. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 449,010 USD | (20,809 | ) | |||||||||||||||||||
United Technologies Corp. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 62,465 USD | 110 | ||||||||||||||||||||
United Technologies Corp. | 09/17/20 | M | 1.84 | % | Deutsche Bank AG | 8,766,336 USD | 140,059 | ||||||||||||||||||||
Univar, Inc. | 09/17/20 | M | 1.84 | % | Deutsche Bank AG | 1,475,572 USD | 11,281 | ||||||||||||||||||||
Universal Display Corp. | 07/23/20 | M | 0.90 | % | Morgan Stanley Capital Services LLC | 745,476 USD | 20,627 | ||||||||||||||||||||
Universal Electronics Inc | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 435,406 USD | 8,144 | ||||||||||||||||||||
Universal Health Realty Income | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 48,538 USD | (2,284 | ) |
See Notes to Consolidated Financial Statements.
278
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Universal Stainless & Alloy Products, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 44,151 USD | $ | 2,544 | |||||||||||||||||||
Univest Corporation of Pennsylvania | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 35,616 USD | 1,046 | ||||||||||||||||||||
Unum Group | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 418,302 USD | 14,748 | ||||||||||||||||||||
Urban Edge Properties | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 145,967 USD | 593 | ||||||||||||||||||||
Urban Outfitters, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 156,528 USD | (692 | ) | |||||||||||||||||||
US BANCORP | 07/23/20 | M | 1.53 | % | Morgan Stanley Capital Services LLC | 9,159,967 USD | 193,532 | ||||||||||||||||||||
US BanCorp. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 11,823 USD | (7 | ) | |||||||||||||||||||
US Concrete, Inc. | 07/23/20 | M | 1.25 | % | Morgan Stanley Capital Services LLC | 544,246 USD | 61,033 | ||||||||||||||||||||
US Foods Holding Corp. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 228,930 USD | 3,420 | ||||||||||||||||||||
US Silica Holdings, Inc. | 07/23/20 | M | 1.30 | % | Morgan Stanley Capital Services LLC | 159,449 USD | 7,811 | ||||||||||||||||||||
USA Technologies, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 212,375 USD | 36,011 | ||||||||||||||||||||
Usana Health Sciences, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 89,352 USD | 386 | ||||||||||||||||||||
Valmont Industries | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 78,962 USD | (1,091 | ) | |||||||||||||||||||
Valvoline, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 19,417 USD | 123 | ||||||||||||||||||||
Varonis Systems, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 149,893 USD | (3,419 | ) | |||||||||||||||||||
Vectrus, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 325,537 USD | 3,220 | ||||||||||||||||||||
Ventas, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 185,523 USD | 5,362 | ||||||||||||||||||||
Vera Bradley, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 18,080 USD | 164 | ||||||||||||||||||||
Verastem, Inc. | 07/23/20 | M | 0.75 | % | Morgan Stanley Capital Services LLC | 296,297 USD | 47,956 | ||||||||||||||||||||
Vericel Corp. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 181,410 USD | (92 | ) | |||||||||||||||||||
Verisign, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 14,844 USD | (48 | ) |
See Notes to Consolidated Financial Statements.
279
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Vertex Pharmaceuticals, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 335,320 USD | $ | (19,514 | ) | ||||||||||||||||||
VF Corp. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 578,621 USD | (8,899 | ) | |||||||||||||||||||
Viasat, Inc. | 07/23/20 | M | 0.80 | % | Morgan Stanley Capital Services LLC | 90,344 USD | (1,552 | ) | |||||||||||||||||||
Viavi Solutions, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 213,199 USD | (1,706 | ) | |||||||||||||||||||
Vicor Corp. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 340,507 USD | 21,267 | ||||||||||||||||||||
Viking Therapeutics, Inc. | 07/23/20 | M | 1.15 | % | Morgan Stanley Capital Services LLC | 68,325 USD | 6,136 | ||||||||||||||||||||
Virtu Financial, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 387,505 USD | 26,481 | ||||||||||||||||||||
Virtus Investment Partners | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 101,376 USD | 6,622 | ||||||||||||||||||||
Visa, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 246,835 USD | 87 | ||||||||||||||||||||
Visteon Corp. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 393,922 USD | 21,486 | ||||||||||||||||||||
Vistra Energy Corp. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 564,239 USD | (24,621 | ) | |||||||||||||||||||
VMware, Inc. | 07/23/20 | M | 1.25 | % | Morgan Stanley Capital Services LLC | 416,409 USD | (9,322 | ) | |||||||||||||||||||
Vornado Realty Trust | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 193,701 USD | 3,682 | ||||||||||||||||||||
Voya Financial, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 28,937 USD | 476 | ||||||||||||||||||||
Voyager Therapeutics, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 375,071 USD | (14,548 | ) | |||||||||||||||||||
Vulcan Materials Co. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 475,187 USD | 15,820 | ||||||||||||||||||||
W&T Offshore, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 62,056 USD | (11,922 | ) | |||||||||||||||||||
Wabash National Corp. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 88,569 USD | 5,331 | ||||||||||||||||||||
Wabco Holdings, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 593,304 USD | 10,562 | ||||||||||||||||||||
Wabtec Corp. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 295,334 USD | 1,880 | ||||||||||||||||||||
Waddell & Reed Financial | 07/23/20 | M | 1.53 | % | Morgan Stanley Capital Services LLC | 9,710,612 USD | 10,974 |
See Notes to Consolidated Financial Statements.
280
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Waddell & Reed Financial, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 167,724 USD | $ | — | |||||||||||||||||||
Wageworks, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 476,460 USD | (30,854 | ) | |||||||||||||||||||
Walgreens Boots Alliance, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 199,601 USD | 292 | ||||||||||||||||||||
Walker & Dunlop, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 34,535 USD | 798 | ||||||||||||||||||||
Walmart Stores, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 237,900 USD | 3,970 | ||||||||||||||||||||
Walt Disney Co. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 61,671 USD | (424 | ) | |||||||||||||||||||
Walt Disney Co. | 01/27/20 | M | 1.92 | % | Credit Suisse Securities (Europe) Limited | 4,752,858 USD | (275,094 | ) | |||||||||||||||||||
Washington Federal, Inc. | 07/23/20 | M | 1.53 | % | Morgan Stanley Capital Services LLC | 19,251,529 USD | 375,781 | ||||||||||||||||||||
Washington Prime Group, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 308,573 USD | 4,170 | ||||||||||||||||||||
Washington REIT | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 94,737 USD | 825 | ||||||||||||||||||||
Waste Management, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 80,822 USD | 764 | ||||||||||||||||||||
Waters Corp. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 107,443 USD | 758 | ||||||||||||||||||||
Wave Life Sciences Ltd. | 07/23/20 | M | 0.50 | % | Morgan Stanley Capital Services LLC | 20,387 USD | 1,787 | ||||||||||||||||||||
Wayfair, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 398,596 USD | (39,541 | ) | |||||||||||||||||||
Weatherford International PLC | 07/23/20 | M | 1.35 | % | Morgan Stanley Capital Services LLC | 547,287 USD | (16,648 | ) | |||||||||||||||||||
Webster Financial Corp. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 25,704 USD | 57 | ||||||||||||||||||||
Weight Watchers International, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 430,296 USD | (12,082 | ) | |||||||||||||||||||
Weingarten Realty Investors | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 38,553 USD | 103 | ||||||||||||||||||||
Welbilt, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 507,076 USD | 26,251 | ||||||||||||||||||||
Wells Fargo & Co. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 22,717 USD | 274 |
See Notes to Consolidated Financial Statements.
281
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Welltower, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 117,516 USD | $ | 1,161 | |||||||||||||||||||
Wesco Aircraft Holdings, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 72,674 USD | 640 | ||||||||||||||||||||
Westamerica Bancorporation | 07/23/20 | M | 1.35 | % | Morgan Stanley Capital Services LLC | 11,998,077 USD | 185,537 | ||||||||||||||||||||
Western Alliance Bancorp | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 46,143 USD | 915 | ||||||||||||||||||||
Westlake Chemical Corp. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 225,183 USD | 6,022 | ||||||||||||||||||||
Westwood Holdings Group, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 86,427 USD | (134 | ) | |||||||||||||||||||
WEX, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 37,826 USD | (519 | ) | |||||||||||||||||||
Weyerhaeuser Co. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 23,767 USD | 532 | ||||||||||||||||||||
Whiting Petroleum Corp. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 104,007 USD | (5,892 | ) | |||||||||||||||||||
WideOpenWest, Inc. | 07/23/20 | M | 1.05 | % | Morgan Stanley Capital Services LLC | 269,142 USD | 5,584 | ||||||||||||||||||||
WildHorse Resource Development Corp. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 61,932 USD | (5,537 | ) | |||||||||||||||||||
Willdan Group, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 81,017 USD | (11,184 | ) | |||||||||||||||||||
Willscot Corp. | 07/23/20 | M | 0.50 | % | Morgan Stanley Capital Services LLC | 500,817 USD | (48 | ) | |||||||||||||||||||
Windstream Holdings, Inc. | 07/23/20 | M | 0.30 | % | Morgan Stanley Capital Services LLC | 63,336 USD | 385 | ||||||||||||||||||||
Winnebago Industries | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 220,173 USD | 18,223 | ||||||||||||||||||||
wintrust Financial Corp. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 52,769 USD | 616 | ||||||||||||||||||||
WisdomTree Investments, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 368,878 USD | (13,061 | ) | |||||||||||||||||||
Wolverine Worldwide, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 289,318 USD | (1,136 | ) | |||||||||||||||||||
Woodward, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 240,071 USD | 1,292 |
See Notes to Consolidated Financial Statements.
282
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Workday, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 379,188 USD | $ | (18,023 | ) | ||||||||||||||||||
World Acceptance Corp. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 141,810 USD | 2,520 | ||||||||||||||||||||
World Fuel Services Corp. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 69,938 USD | 1,845 | ||||||||||||||||||||
Worldpay, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 191,192 USD | (4,158 | ) | |||||||||||||||||||
WPP PLC | 03/26/19 | M | 0.72 | % | Credit Suisse Securities (Europe) Limited | 839,480 GBP | 20,675 | ||||||||||||||||||||
WPP PLC | 07/27/20 | M | 0.37 | % | JPMorgan Chase Bank, N.A. | 496,925 GBP | 12,264 | ||||||||||||||||||||
WPX Energy, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 144,643 USD | (13,178 | ) | |||||||||||||||||||
WR Grace & Co. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 309,243 USD | 6,325 | ||||||||||||||||||||
Wright Medical Group NV | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 9,093 USD | (106 | ) | |||||||||||||||||||
WSFS FIinancial Corp. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 20,013 USD | 210 | ||||||||||||||||||||
WW Grainger, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 125,205 USD | (603 | ) | |||||||||||||||||||
Wyndham Hotels & Resorts, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 58,446 USD | (291 | ) | |||||||||||||||||||
Wynn Resorts Ltd. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 555,946 USD | 37,668 | ||||||||||||||||||||
XPO Logistics, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 289,073 USD | (2,289 | ) | |||||||||||||||||||
Xylem, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 406,800 USD | 4,894 | ||||||||||||||||||||
Yelp, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 446,175 USD | 6,229 | ||||||||||||||||||||
Yext, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 110,855 USD | 4,797 | ||||||||||||||||||||
York Water Co. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 93,840 USD | (1,251 | ) | |||||||||||||||||||
YRC Worldwide, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 514,477 USD | 21,412 | ||||||||||||||||||||
Yum China Holdings, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 356,955 USD | 904 | ||||||||||||||||||||
Zafgen, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 159,867 USD | (13,495 | ) | |||||||||||||||||||
ZAGG, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 470,278 USD | 23,353 |
See Notes to Consolidated Financial Statements.
283
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | ||||||||||||||||||||||
Zayo Group Holdings, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 35,060 USD | $ | 409 | ||||||||||||||||||||
Zebra Technologies Corp. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 139,204 USD | (1,376 | ) | ||||||||||||||||||||
Zendesk, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 201,112 USD | (8,409 | ) | ||||||||||||||||||||
Zillow Group, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 207,428 USD | (7,428 | ) | ||||||||||||||||||||
Zions Bancorporation | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 50,345 USD | 496 | |||||||||||||||||||||
Zogenix, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 334,049 USD | (2,636 | ) | ||||||||||||||||||||
Zumiez, Inc. | 07/23/20 | M | 1.68 | % | Morgan Stanley Capital Services LLC | 10,875 USD | 677 | |||||||||||||||||||||
Zurich Insurance Group AG | 03/26/19 | M | 0.78 | % | Credit Suisse Securities (Europe) Limited | 2,007,687 CHF | (17,942 | ) | ||||||||||||||||||||
|
| |||||||||||||||||||||||||||
Total Sells | $ | 10,403,599 | ||||||||||||||||||||||||||
|
| |||||||||||||||||||||||||||
Total OTC Total Return Swaps Outstanding | $ | 1,712,966 | ||||||||||||||||||||||||||
|
|
See Notes to Consolidated Financial Statements.
284
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
Centrally Cleared Interest Rate Swaps Outstanding at September 30, 2018
|
| |||||||||||||||||||||||||||||
The Fund Pays/ Receives Floating Rate | Floating Rate Index | Fixed Rate | Pay/ | Maturity Date | Counterparty | Notional Amount | Market Value | Upfront Premium Paid (Received) | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Pays | 6-Month CHF LIBOR | (0.50% | ) | 6M/1Y | 12/19/2020 | Goldman Sachs International | 32,953,000 CHF | $ | (41,056 | ) | $ | (38,213 | ) | $ | (2,843 | ) | ||||||||||||||
Pays | 6-Month EUR EURIBOR | 1.00% | 6M/1Y | 12/19/2028 | Goldman Sachs International | 103,026,000 EUR | (386,635 | ) | (718,081 | ) | 331,446 | |||||||||||||||||||
Pays | 6-Month GBP LIBOR | 1.00% | 6M/6M | 12/19/2020 | Goldman Sachs International | 945,839,000 GBP | (5,258,504 | ) | (4,752,027 | ) | (506,477 | ) | ||||||||||||||||||
Pays | 3-Month SEK STIBOR | 1.25% | 3M/1Y | 12/19/2028 | Goldman Sachs International | 2,578,388,000 SEK | (1,920,782 | ) | 43,779 | (1,964,561 | ) | |||||||||||||||||||
Pays | 6-Month NOK NIBOR | 1.50% | 6M/1Y | 12/19/2020 | Goldman Sachs International | 11,914,034,000 NOK | (3,751,797 | ) | (2,597,718 | ) | (1,154,079 | ) | ||||||||||||||||||
Pays | 3-Month USD LIBOR | 1.90% | 3M/6M | 09/25/2024 | Morgan Stanley & Co. LLC | 5,029,000 USD | (326,842 | ) | — | (326,842 | ) | |||||||||||||||||||
Pays | 3-Month USD LIBOR | 1.93% | 3M/6M | 09/25/2024 | Morgan Stanley & Co. LLC | 1,157,000 USD | (73,354 | ) | 23 | (73,377 | ) | |||||||||||||||||||
Pays | 3-Month USD LIBOR | 1.98% | 3M/6M | 07/25/2024 | Morgan Stanley & Co. LLC | 3,506,000 USD | (207,357 | ) | — | (207,357 | ) | |||||||||||||||||||
Pays | 3-Month USD LIBOR | 1.98% | 3M/6M | 09/25/2024 | Morgan Stanley & Co. LLC | 5,839,000 USD | (354,494 | ) | — | (354,494 | ) | |||||||||||||||||||
Pays | 3-Month USD LIBOR | 1.99% | 3M/6M | 06/26/2024 | Morgan Stanley & Co. LLC | 2,320,000 USD | (134,240 | ) | (11,818 | ) | (122,422 | ) | ||||||||||||||||||
Pays | 3-Month USD LIBOR | 1.99% | 3M/6M | 05/25/2024 | Morgan Stanley & Co. LLC | 2,597,000 USD | (147,603 | ) | (12,569 | ) | (135,034 | ) | ||||||||||||||||||
Pays | 3-Month USD LIBOR | 1.99% | 3M/6M | 09/25/2024 | Morgan Stanley & Co. LLC | 4,571,000 USD | (274,252 | ) | — | (274,252 | ) | |||||||||||||||||||
Pays | 3-Month USD LIBOR | 2.03% | 3M/6M | 05/25/2024 | Morgan Stanley & Co. LLC | 2,130,000 USD | (116,759 | ) | (11,027 | ) | (105,732 | ) | ||||||||||||||||||
Pays | 3-Month USD LIBOR | 2.07% | 3M/6M | 05/25/2024 | Morgan Stanley & Co. LLC | 3,462,000 USD | (182,827 | ) | — | (182,827 | ) | |||||||||||||||||||
Pays | 3-Month USD LIBOR | 2.08% | 3M/6M | 05/25/2024 | Morgan Stanley & Co. LLC | 2,097,000 USD | (107,576 | ) | (10,927 | ) | (96,649 | ) | ||||||||||||||||||
Pays | 3-Month USD LIBOR | 2.09% | 3M/6M | 08/25/2024 | Morgan Stanley & Co. LLC | 1,515,000 USD | (80,298 | ) | (619 | ) | (79,679 | ) | ||||||||||||||||||
Pays | 3-Month USD LIBOR | 2.13% | 3M/6M | 05/25/2024 | Morgan Stanley & Co. LLC | 1,263,000 USD | (62,519 | ) | (7,155 | ) | (55,364 | ) | ||||||||||||||||||
Pays | 3-Month USD LIBOR | 2.13% | 3M/6M | 04/25/2024 | Morgan Stanley & Co. LLC | 6,446,000 USD | (314,473 | ) | (35,440 | ) | (279,033 | ) | ||||||||||||||||||
Pays | 3-Month USD LIBOR | 2.17% | 3M/6M | 04/25/2024 | Morgan Stanley & Co. LLC | 2,609,000 USD | (121,757 | ) | — | (121,757 | ) | |||||||||||||||||||
Pays | 3-Month USD LIBOR | 2.20% | 3M/6M | 11/27/2024 | Morgan Stanley & Co. LLC | 4,794,000 USD | (240,809 | ) | — | (240,809 | ) |
See Notes to Consolidated Financial Statements.
285
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
The Fund Pays/ Receives Floating Rate | Floating Rate Index | Fixed Rate | Pay/ | Maturity Date | Counterparty | Notional Amount | Market Value | Upfront Premium Paid (Received) | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Pays | 3-Month USD LIBOR | 2.20% | 3M/6M | 11/27/2024 | Morgan Stanley & Co. LLC | 5,689,000 USD | $ | (285,606 | ) | $ | — | $ | (285,606 | ) | ||||||||||||||||
Pays | 3-Month USD LIBOR | 2.20% | 3M/6M | 01/30/2024 | Morgan Stanley & Co. LLC | 5,926,500 USD | (258,221 | ) | 2,069 | (260,290 | ) | |||||||||||||||||||
Pays | 3-Month USD LIBOR | 2.22% | 3M/6M | 03/27/2024 | Morgan Stanley & Co. LLC | 2,599,000 USD | (111,947 | ) | 351 | (112,298 | ) | |||||||||||||||||||
Pays | 3-Month USD LIBOR | 2.22% | 3M/6M | 11/27/2024 | Morgan Stanley & Co. LLC | 4,569,000 USD | (224,490 | ) | (1,502 | ) | (222,988 | ) | ||||||||||||||||||
Pays | 3-Month USD LIBOR | 2.24% | 3M/6M | 11/27/2024 | Morgan Stanley & Co. LLC | 3,288,000 USD | (158,033 | ) | (181 | ) | (157,852 | ) | ||||||||||||||||||
Pays | 3-Month CAD- BA-CDOR | 2.25% | 3M/6M | 12/19/2020 | Goldman Sachs International | 1,447,677,000 CAD | (8,327,114 | ) | (6,685,077 | ) | (1,642,037 | ) | ||||||||||||||||||
Pays | 3-Month USD LIBOR | 2.25% | 3M/6M | 12/27/2024 | Morgan Stanley & Co. LLC | 1,201,000 USD | (57,148 | ) | (582 | ) | (56,566 | ) | ||||||||||||||||||
Pays | 3-Month USD LIBOR | 2.26% | 3M/6M | 04/26/2024 | Morgan Stanley & Co. LLC | 3,000,000 USD | (126,806 | ) | — | (126,806 | ) | |||||||||||||||||||
Pays | 3-Month USD LIBOR | 2.28% | 3M/6M | 12/27/2024 | Morgan Stanley & Co. LLC | 3,310,000 USD | (152,143 | ) | (1,411 | ) | (150,732 | ) | ||||||||||||||||||
Pays | 3-Month USD LIBOR | 2.31% | 3M/6M | 12/27/2024 | Morgan Stanley & Co. LLC | 770,000 USD | (34,234 | ) | (580 | ) | (33,654 | ) | ||||||||||||||||||
Pays | 3-Month USD LIBOR | 2.33% | 3M/6M | 01/25/2025 | Morgan Stanley & Co. LLC | 4,857,000 USD | (212,571 | ) | — | (212,571 | ) | |||||||||||||||||||
Pays | 3-Month USD LIBOR | 2.75% | 3M/6M | 12/19/2020 | Goldman Sachs International | 1,092,034,000 USD | (6,902,488 | ) | (5,377,694 | ) | (1,524,794 | ) | ||||||||||||||||||
Pays | 3-Month USD LIBOR | 2.75% | 3M/6M | 04/25/2025 | Morgan Stanley & Co. LLC | 1,792,000 USD | (34,326 | ) | (118 | ) | (34,208 | ) | ||||||||||||||||||
Pays | 3-Month USD LIBOR | 2.83% | 3M/6M | 02/26/2025 | Morgan Stanley & Co. LLC | 3,384,000 USD | (52,426 | ) | — | (52,426 | ) | |||||||||||||||||||
Pays | 3-Month USD LIBOR | 2.84% | 3M/6M | 03/26/2025 | Morgan Stanley & Co. LLC | 3,870,000 USD | (57,978 | ) | — | (57,978 | ) | |||||||||||||||||||
Pays | 3-Month USD LIBOR | 2.87% | 3M/6M | 04/25/2025 | Morgan Stanley & Co. LLC | 2,883,000 USD | (38,391 | ) | — | (38,391 | ) | |||||||||||||||||||
Pays | 3-Month USD LIBOR | 2.87% | 3M/6M | 08/28/2025 | Morgan Stanley & Co. LLC | 4,099,000 USD | (52,342 | ) | — | (52,342 | ) | |||||||||||||||||||
Pays | 3-Month USD LIBOR | 2.91% | 3M/6M | 07/25/2025 | Morgan Stanley & Co. LLC | 232,000 USD | (2,445 | ) | (7 | ) | (2,438 | ) | ||||||||||||||||||
Pays | 3-Month USD LIBOR | 2.92% | 3M/6M | 08/28/2025 | Morgan Stanley & Co. LLC | 3,185,000 USD | (30,895 | ) | — | (30,895 | ) | |||||||||||||||||||
Pays | 3-Month USD LIBOR | 2.94% | 3M/6M | 06/25/2025 | Morgan Stanley & Co. LLC | 6,516,000 USD | (54,712 | ) | — | (54,712 | ) |
See Notes to Consolidated Financial Statements.
286
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
The Fund Pays/ Receives Floating Rate | Floating Rate Index | Fixed Rate | Pay/ | Maturity Date | Counterparty | Notional Amount | Market Value | Upfront Premium Paid (Received) | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Pays | 3-Month USD LIBOR | 2.98% | 3M/6M | 09/25/2025 | Morgan Stanley & Co. LLC | 1,213,000 USD | $ | (7,495 | ) | $ | — | $ | (7,495 | ) | ||||||||||||||||
Pays | 3-Month USD LIBOR | 3.00% | 3M/6M | 06/25/2025 | Morgan Stanley & Co. LLC | 2,272,000 USD | (10,529 | ) | — | (10,529 | ) | |||||||||||||||||||
Pays | 6-Month AUD- BBR- BBSW | 3.00% | 6M/6M | 12/19/2028 | Goldman Sachs International | 210,113,000 AUD | 1,826,711 | 822,509 | 1,004,202 | |||||||||||||||||||||
Pays | 3-Month NZD- BBR-FRA | 3.00% | 3M/6M | 12/19/2028 | Goldman Sachs International | 429,414,000 NZD | 1,725,362 | 2,360,674 | (635,312 | ) | ||||||||||||||||||||
Pays | 3-Month USD LIBOR | 3.02% | 3M/6M | 06/25/2025 | Morgan Stanley & Co. LLC | 6,760,000 USD | (23,059 | ) | (4,952 | ) | (18,107 | ) | ||||||||||||||||||
Pays | 3-Month USD LIBOR | 3.03% | 3M/6M | 06/25/2028 | Morgan Stanley & Co. LLC | 1,000,000 USD | (6,698 | ) | (2,804 | ) | (3,894 | ) | ||||||||||||||||||
Pays | 28-Day MXN TIIE- Banxico | 7.83% | 28D/28D | 09/13/2023 | Credit Suisse Securities (USA) LLC | 184,815,508 MXN | (31,590 | ) | — | (31,590 | ) | |||||||||||||||||||
Pays | 28-Day MXN TIIE- Banxico | 7.86% | 28D/28D | 09/13/2023 | Credit Suisse Securities (USA) LLC | 186,872,404 MXN | (21,505 | ) | — | (21,505 | ) | |||||||||||||||||||
Pays | 28-Day MXN TIIE- Banxico | 7.87% | 28D/28D | 09/13/2023 | Credit Suisse Securities (USA) LLC | 141,782,000 MXN | (13,148 | ) | — | (13,148 | ) | |||||||||||||||||||
Pays | 28-Day MXN TIIE- Banxico | 7.89% | 28D/28D | 09/13/2023 | Credit Suisse Securities (USA) LLC | 131,891,631 MXN | (4,865 | ) | — | (4,865 | ) | |||||||||||||||||||
Pays | 28-Day MXN TIIE- Banxico | 7.91% | 28D/28D | 09/13/2023 | Credit Suisse Securities (USA) LLC | 115,302,198 MXN | 899 | — | 899 | |||||||||||||||||||||
Pays | 28-Day MXN TIIE- Banxico | 7.92% | 28D/28D | 09/13/2023 | Credit Suisse Securities (USA) LLC | 120,842,799 MXN | 3,641 | — | 3,641 | |||||||||||||||||||||
Pays | 28-Day MXN TIIE- Banxico | 7.95% | 28D/28D | 09/13/2023 | Credit Suisse Securities (USA) LLC | 59,764,884 MXN | 5,139 | — | 5,139 | |||||||||||||||||||||
Receives | 6-Month EUR EURIBOR | (0.25% | ) | 1Y/6M | 12/19/2020 | Goldman Sachs International | 497,123,000 EUR | 2,369,383 | (34,540 | ) | 2,403,923 | |||||||||||||||||||
Receives | 3-Month SEK STIBOR | (0.25% | ) | 1Y/3M | 12/19/2020 | Goldman Sachs International | 12,329,535,000 SEK | 9,385,466 | 8,220,201 | 1,165,265 | ||||||||||||||||||||
Receives | 6-Month CHF LIBOR | 0.50% | 1Y/6M | 12/19/2028 | Goldman Sachs International | 6,694,000 CHF | 58,073 | 51,803 | 6,270 | |||||||||||||||||||||
Receives | 3-Month USD LIBOR | 1.18% | 6M/3M | 02/22/2020 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 23,000,000 USD | 538,728 | — | 538,728 | |||||||||||||||||||||
Receives | 6-Month GBP LIBOR | 1.37% | 6M/6M | 01/5/2067 | Credit Suisse Securities (USA) LLC | 2,693,653 GBP | 380,762 | 95 | 380,667 | |||||||||||||||||||||
Receives | 6-Month GBP LIBOR | 1.38% | 6M/6M | 01/16/2068 | Credit Suisse Securities (USA) LLC | 1,427,000 GBP | 195,051 | 43 | 195,008 | |||||||||||||||||||||
Receives | 6-Month GBP LIBOR | 1.41% | 6M/6M | 08/4/2067 | Credit Suisse Securities (USA) LLC | 3,461,000 GBP | 428,551 | 123 | 428,428 |
See Notes to Consolidated Financial Statements.
287
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
The Fund Pays/ Receives Floating Rate | Floating Rate Index | Fixed Rate | Pay/ | Maturity Date | Counterparty | Notional Amount | Market Value | Upfront Premium Paid (Received) | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Receives | 6-Month GBP LIBOR | 1.50% | 6M/6M | 12/19/2028 | Goldman Sachs International | 200,777,000 GBP | $ | 4,368,969 | $ | 2,944,570 | $ | 1,424,399 | ||||||||||||||||||
Receives | 3-Month USD LIBOR | 1.52% | 6M/3M | 05/25/2019 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 18,200,000 USD | 132,347 | — | 132,347 | |||||||||||||||||||||
Receives | 3-Month USD LIBOR | 1.56% | 6M/3M | 09/26/2026 | Morgan Stanley & Co. LLC | 1,800,000 USD | 196,497 | 6,115 | 190,382 | |||||||||||||||||||||
Receives | 3-Month USD LIBOR | 1.62% | 6M/3M | 07/25/2026 | Morgan Stanley & Co. LLC | 1,900,000 USD | 198,027 | 4,658 | 193,369 | |||||||||||||||||||||
Receives | 6-Month CZK PRIBOR | 1.67% | 1Y/6M | 03/21/2023 | Credit Suisse Securities (USA) LLC | 91,015,762 CZK | 124,276 | — | 124,276 | |||||||||||||||||||||
Receives | 6-Month CZK PRIBOR | 1.74% | 1Y/6M | 03/21/2023 | Credit Suisse Securities (USA) LLC | 63,416,839 CZK | 78,065 | — | 78,065 | |||||||||||||||||||||
Receives | 3-Month USD LIBOR | 1.77% | 6M/3M | 10/24/2021 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 18,500,000 USD | 690,132 | — | 690,132 | |||||||||||||||||||||
Receives | 6-Month CZK PRIBOR | 1.80% | 1Y/6M | 03/21/2023 | Credit Suisse Securities (USA) LLC | 82,773,289 CZK | 92,750 | — | 92,750 | |||||||||||||||||||||
Receives | 6-Month CZK PRIBOR | 1.84% | 1Y/6M | 05/22/2023 | Credit Suisse Securities (USA) LLC | 331,283,027 CZK | 371,537 | — | 371,537 | |||||||||||||||||||||
Receives | 6-Month CZK PRIBOR | 1.86% | 1Y/6M | 03/21/2023 | Credit Suisse Securities (USA) LLC | 233,213,709 CZK | 234,446 | — | 234,446 | |||||||||||||||||||||
Receives | 3-Month USD LIBOR | 1.86% | 6M/3M | 12/11/2020 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 15,000,000 USD | 361,576 | — | 361,576 | |||||||||||||||||||||
Receives | 3-Month USD LIBOR | 1.86% | 6M/3M | 05/25/2022 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 8,200,000 USD | 336,959 | — | 336,959 | |||||||||||||||||||||
Receives | 6-Month CZK PRIBOR | 1.88% | 1Y/6M | 09/19/2023 | Credit Suisse Securities (USA) LLC | 338,826,171 CZK | 373,207 | — | 373,207 | |||||||||||||||||||||
Receives | 6-Month CZK PRIBOR | 1.89% | 1Y/6M | 09/19/2023 | Credit Suisse Securities (USA) LLC | 341,704,709 CZK | 369,126 | — | 369,126 | |||||||||||||||||||||
Receives | 3-Month USD LIBOR | 1.96% | 6M/3M | 11/25/2026 | Morgan Stanley & Co. LLC | 1,100,000 USD | 92,252 | — | 92,252 | |||||||||||||||||||||
Receives | 3-Month USD LIBOR | 2.04% | 6M/3M | 10/26/2025 | Morgan Stanley & Co. LLC | 3,900,000 USD | 263,565 | — | 263,565 | |||||||||||||||||||||
Receives | 3-Month USD LIBOR | 2.18% | 6M/3M | 06/26/2027 | Morgan Stanley & Co. LLC | 5,600,000 USD | 408,224 | — | 408,224 | |||||||||||||||||||||
Receives | 3-Month USD LIBOR | 2.19% | 6M/3M | 05/25/2027 | Morgan Stanley & Co. LLC | 1,500,000 USD | 106,603 | — | 106,603 | |||||||||||||||||||||
Receives | 6-Month NOK NIBOR | 2.25% | 1Y/6M | 12/19/2028 | Goldman Sachs International | 2,622,167,000 NOK | 2,477,900 | 765,954 | 1,711,946 | |||||||||||||||||||||
Receives | 3-Month AUD- BBR- BBSW | 2.25% | 3M/3M | 12/19/2020 | Goldman Sachs International | 953,611,000 AUD | (2,663,413 | ) | (938,373 | ) | (1,725,040 | ) |
See Notes to Consolidated Financial Statements.
288
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
The Fund Pays/ Receives Floating Rate | Floating Rate Index | Fixed Rate | Pay/ | Maturity Date | Counterparty | Notional Amount | Market Value | Upfront Premium Paid (Received) | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Receives | 3-Month NZD- BBR- FRA | 2.25% | 6M/3M | 12/19/2020 | Goldman Sachs International | 1,936,523,000 NZD | $ | (4,305,712 | ) | $ | (5,282,596 | ) | $ | 976,884 | ||||||||||||||||
Receives | 3-Month USD LIBOR | 2.27% | 6M/3M | 01/25/2026 | Morgan Stanley & Co. LLC | 2,000,000 USD | 110,250 | — | 110,250 | |||||||||||||||||||||
Receives | 3-Month USD LIBOR | 2.30% | 6M/3M | 01/26/2025 | Morgan Stanley & Co. LLC | 2,430,000 USD | 110,509 | — | 110,509 | |||||||||||||||||||||
Receives | 3-Month USD LIBOR | 2.33% | 6M/3M | 08/25/2025 | Morgan Stanley & Co. LLC | 35,250,000 USD | 1,687,225 | 229,547 | 1,457,678 | |||||||||||||||||||||
Receives | 3-Month USD LIBOR | 2.34% | 6M/3M | 01/25/2027 | Morgan Stanley & Co. LLC | 1,000,000 USD | 57,774 | — | 57,774 | |||||||||||||||||||||
Receives | 3-Month USD LIBOR | 2.40% | 6M/3M | 01/25/2027 | Morgan Stanley & Co. LLC | 2,900,000 USD | 154,907 | 24,111 | 130,796 | |||||||||||||||||||||
Receives | 3-Month USD LIBOR | 2.41% | 6M/3M | 02/27/2027 | Morgan Stanley & Co. LLC | 2,300,000 USD | 121,934 | — | 121,934 | |||||||||||||||||||||
Receives | 3-Month USD LIBOR | 2.41% | 6M/3M | 12/22/2022 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 50,000,000 USD | 1,288,541 | — | 1,288,541 | |||||||||||||||||||||
Receives | 3-Month USD LIBOR | 2.41% | 6M/3M | 11/27/2027 | Morgan Stanley & Co. LLC | 1,700,000 USD | 98,422 | — | 98,422 | |||||||||||||||||||||
Receives | 3-Month USD LIBOR | 2.53% | 6M/3M | 09/25/2024 | Morgan Stanley & Co. LLC | 2,130,000 USD | 64,567 | — | 64,567 | |||||||||||||||||||||
Receives | 3-Month USD LIBOR | 2.58% | 6M/3M | 03/27/2027 | Morgan Stanley & Co. LLC | 300,000 USD | 12,248 | — | 12,248 | |||||||||||||||||||||
Receives | 3-Month CAD- BA-CDOR | 2.75% | 6M/3M | 12/19/2028 | Goldman Sachs International | 319,349,000 CAD | 2,041,281 | 843 | 2,040,438 | |||||||||||||||||||||
Receives | 3-Month USD LIBOR | 2.90% | 6M/3M | 03/27/2026 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 20,000,000 USD | 276,258 | — | 276,258 | |||||||||||||||||||||
Receives | 3-Month USD LIBOR | 2.95% | 6M/3M | 02/26/2028 | Morgan Stanley & Co. LLC | 800,000 USD | 12,309 | — | 12,309 | |||||||||||||||||||||
Receives | 3-Month USD LIBOR | 2.96% | 6M/3M | 03/26/2028 | Morgan Stanley & Co. LLC | 600,000 USD | 7,297 | 354 | 6,943 | |||||||||||||||||||||
Receives | 3-Month USD LIBOR | 3.00% | 6M/3M | 12/19/2028 | Goldman Sachs International | 244,549,000 USD | 2,842,157 | 1,087,711 | 1,754,446 | |||||||||||||||||||||
Receives | 3-Month USD LIBOR | 3.02% | 6M/3M | 09/25/2025 | Morgan Stanley & Co. LLC | 2,000,000USD | 7,172 | — | 7,172 | |||||||||||||||||||||
Receives | 3-Month USD LIBOR | 3.03% | 6M/3M | 06/25/2028 | Morgan Stanley & Co. LLC | 1,600,000USD | 10,717 | — | 10,717 | |||||||||||||||||||||
Receives | 3-Month USD LIBOR | 3.05% | 6M/3M | 05/25/2028 | Morgan Stanley & Co. LLC | 600,000USD | 2,864 | — | 2,864 | |||||||||||||||||||||
Receives | 3-Month USD LIBOR | 3.08% | 6M/3M | 04/30/2027 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 20,000,000USD | 72,814 | — | 72,814 |
See Notes to Consolidated Financial Statements.
289
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
The Fund Pays/ Receives Floating Rate | Floating Rate Index | Fixed Rate | Pay/ | Maturity Date | Counterparty | Notional Amount | Market Value | Upfront Premium Paid (Received) | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Receives | 3-Month USD LIBOR | 3.15% | 6M/3M | 05/21/2022 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 20,000,000USD | $ | (1,252 | ) | $ | — | $ | (1,252 | ) | ||||||||||||||||
Receives | 3-Month USD LIBOR | 3.21% | 6M/3M | 05/25/2033 | Morgan Stanley & Co. LLC | 2,000,000USD | (2,461 | ) | (1,053 | ) | (1,408 | ) | ||||||||||||||||||
Receives | 6-Month INR MIBOR- OIS- COMPOUND | 6.67% | 6M/6M | 06/20/2023 | Credit Suisse Securities (USA) LLC | 442,659,911INR | 191,721 | — | 191,721 | |||||||||||||||||||||
|
| |||||||||||||||||||||||||||||
Total Centrally Cleared Interest Rate Swaps Outstanding | $ | (1,004,786 | ) | $ | (9,961,531 | ) | $ | 8,956,745 | ||||||||||||||||||||||
|
|
OTC Interest Rate Swaps Outstanding at September 30, 2018
|
| |||||||||||||||||||||||||||||
The | Floating Rate Index | Fixed Rate | Pay/ | Maturity Date | Counterparty | Notional Amount | Market Value | Upfront Premium Paid (Received) | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Receives | 3-Month MYR KLIBOR- BNM | 4.14% | 3M/3M | 05/18/2023 | Morgan Stanley Capital Services LLC | 16,597,969MYR | $ | (42,217 | ) | $ | — | $ | (42,217 | ) | ||||||||||||||||
Receives | 3-Month MYR KLIBOR- BNM | 4.14% | 3M/3M | 05/21/2023 | Bank of America, N.A. | 16,823,868MYR | (42,638 | ) | — | (42,638 | ) | |||||||||||||||||||
Receives | 3-Month MYR KLIBOR- BNM | 4.02% | 3M/3M | 06/8/2023 | Bank of America, N.A. | 36,673,227MYR | (45,588 | ) | — | (45,588 | ) | |||||||||||||||||||
|
| |||||||||||||||||||||||||||||
Total Centrally Cleared Interest Rate Swaps Outstanding | $ | (130,443 | ) | $ | — | $ | (130,443 | ) | ||||||||||||||||||||||
|
|
Abbreviation Legend: | ||||
1Y | Yearly | |||
28D | 28 Days | |||
3M | Quarterly | |||
6M | Semi-Annually | |||
ADR | American Depository Receipt | |||
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. | |||
ICE | Ice Futures Europe | |||
IDEM | Italian Derivatives Exchange Market | |||
ISE | Istanbul Stock Exchange |
See Notes to Consolidated Financial Statements.
290
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2018 (Unaudited)
KRX FM | Korea Exchange (Futures Market) | |||
LIBOR | London Interbank Offered Rate | |||
LME | London Metal Exchange | |||
M | Monthly | |||
MTN | Medium Term Note | |||
MYX | Bursa Malaysia | |||
Nasdaq-OMX | NASDAQ OMX Stockholm | |||
NYMEX | New York Mercantile Exchange | |||
OSE | Osaka Exchange | |||
OTC | Over the Counter | |||
PIK | Payment in Kind | |||
REG S | Regulation-S | |||
REIT | Real Estate Investment Trust | |||
SFE | ASX Trade24 | |||
SGX | Singapore Exchange | |||
T | At Maturity | |||
Currency Legend: | ||||
ARS | Argentine Peso | |||
AUD | Australian Dollar | |||
BRL | Brazilian Real | |||
CAD | Canadian Dollar | |||
CHF | Swiss Franc | |||
CNH | Chinese Renminbi | |||
CZK | Czech Koruna | |||
DKK | Danish Krone | |||
EGP | Egyptian Pound | |||
EUR | Euro | |||
GBP | British Pound | |||
HKD | Hong Kong Dollar | |||
HUF | Hungarian Forint | |||
INR | Indian Rupee | |||
JPY | Japanese Yen | |||
KRW | South Korean Won | |||
MXN | Mexican Peso | |||
MYR | Malaysian Ringgit | |||
NOK | Norwegian Krone | |||
NZD | New Zealand Dollar | |||
PLN | Polish Zloty | |||
RUB | Russian Ruble | |||
SEK | Swedish Krona | |||
SGD | Singapore Dollar | |||
THB | Thai Baht | |||
TRY | Turkish Lira | |||
USD | United States Dollar | |||
ZAR | South African Rand |
See Notes to Consolidated Financial Statements.
291
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Statement of Assets and Liabilities
As of September 30, 2018 (Unaudited)
Assets: | ||||
Investments in securities, at fair value (cost $6,135,704,449) | $ | 6,401,192,309 | ||
Cash | 92,521,539 | |||
Cash denominated in foreign currencies (cost of $71,793,500) | 77,855,740 | |||
Segregated cash balance with broker for securities sold short | 1,277,171,133 | |||
Segregated cash balance with custodian for derivative financial instruments | 132,472,933 | |||
Segregated cash balance with counterparties for futures contracts | 150,236,269 | |||
Segregated cash balance with counterparties for centrally cleared derivatives | 151,418,640 | |||
Segregated cash balance with counterparties for OTC derivatives | 55,421,985 | |||
Segregated cash balance with broker for TBAs | 950,000 | |||
Segregated cash balance with counterparties for reverse repurchase agreements | 6,795,857 | |||
Unrealized appreciation on forward foreign currency exchange contracts | 2,855,326 | |||
Income receivable | 22,242,527 | |||
Receivable for investments sold | 187,028,090 | |||
Receivable for Fund shares sold | 87,201,465 | |||
Receivable for periodic payments from swap contracts | 21,403,336 | |||
Variation margin receivable on futures | 88,115,885 | |||
Variation margin receivable on centrally cleared swaps | 650,586 | |||
Swap contracts, at fair value (net premiums paid $4,298,043) | 32,832,295 | |||
Prepaid expenses and other assets | 205,851 | |||
|
| |||
Total assets | 8,788,571,766 | |||
|
| |||
Liabilities: | ||||
Securities sold short, at fair value (proceeds of $1,329,465,437) | 1,344,095,667 | |||
Cash received as collateral from counterparty for futures contracts | 160,128 | |||
Cash received as collateral from counterparty for OTC derivatives | 3,141,783 | |||
Unrealized depreciation on forward foreign currency exchange contracts | 4,782,934 | |||
Payable for reverse repurchase agreements | 418,660,892 | |||
Payable for investments purchased | 524,536,668 | |||
Payable for Fund shares redeemed | 49,811,853 | |||
Payable for periodic payments from swap contracts | 3,492,157 | |||
Variation margin payable on futures | 385,567 | |||
Variation margin payable on centrally cleared swaps | 79,441,216 | |||
Swap contracts, at fair value (net premiums received $24,484,693) | 47,772,658 | |||
Dividend and interest income payable on securities sold short | 77,352 | |||
Management fee payable | 29,313,155 | |||
Accrued expenses and other liabilities | 9,072,649 | |||
|
| |||
Total liabilities | 2,514,744,679 | |||
|
| |||
Net assets | $ | 6,273,827,087 | ||
|
| |||
Net Assets Consist of: | ||||
Paid-in capital | $ | 6,121,232,955 | ||
Total distributable earnings | 152,594,132 | |||
|
| |||
Net assets | $ | 6,273,827,087 | ||
|
|
See Notes to Consolidated Financial Statements.
292
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Statement of Assets and Liabilities (Continued)
As of September 30, 2018 (Unaudited)
Net Asset Value: | ||||
Class I Shares | ||||
Net Assets | $ | 5,338,929,818 | ||
Class I Shares outstanding, no par value, unlimited shares authorized | 492,034,866 | |||
|
| |||
Net asset value per share | $ | 10.85 | ||
|
| |||
Class D Shares | ||||
Net Assets | $ | 221,883,932 | ||
Class D Shares outstanding, no par value, unlimited shares authorized | 20,529,380 | |||
|
| |||
Net asset value per share | $ | 10.81 | ||
|
| |||
Class Y Shares | ||||
Net Assets | $ | 713,013,337 | ||
Class Y Shares outstanding, no par value, unlimited shares authorized | 66,170,625 | |||
|
| |||
Net asset value per share | $ | 10.78 | ||
|
|
See Notes to Consolidated Financial Statements.
293
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Statement of Operations
For the Six-Months Ended September 30, 2018 (Unaudited)
Investment Income: | ||||
Interest (including net foreign taxes withheld of $24) | $ | 69,997,603 | ||
Dividends (including net foreign taxes withheld of $756,723) | 16,822,745 | |||
Stock borrow rebates | 6,702,292 | |||
|
| |||
Total income | 93,522,640 | |||
|
| |||
Expenses: | ||||
Management fees | 57,411,470 | |||
Administration fees | 3,198,590 | |||
Custodian fees | 1,644,288 | |||
Trustees’ fees | 222,462 | |||
Distribution fees—Class D | 282,360 | |||
Shareholder service fees | 2,321,565 | |||
Registration fees | 135,193 | |||
Printing and postage fees | 246,381 | |||
Professional fees | 1,928,458 | |||
Dividends on securities sold short | 12,121,787 | |||
Line of credit fee | 101,727 | |||
Interest fees | 5,847,172 | |||
Other | 257,149 | |||
|
| |||
Total expenses | 85,718,602 | |||
|
| |||
Net investment income | 7,804,038 | |||
|
| |||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain on investments in securities | 113,497,008 | |||
Net realized loss on securities sold short | (75,517,284 | ) | ||
Net realized gain on forward foreign currency exchange contracts | 32,819,832 | |||
Net realized loss on foreign currency transactions | (5,533,410 | ) | ||
Net realized gain on futures contracts | 711,029 | |||
Net realized gain on options written | 190,536 | |||
Net realized gain on swap contracts | 14,032,805 | |||
Net change in unrealized appreciation on investments in securities | 44,381,247 | |||
Net change in unrealized depreciation on securities sold short | (25,636,447 | ) | ||
Net change in unrealized depreciation on forward foreign currency exchange contracts | (287,197 | ) | ||
Net change in unrealized appreciation on foreign currency translations | 5,158,764 | |||
Net change in unrealized depreciation on futures contracts | (17,599,917 | ) | ||
Net change in unrealized depreciation on options written | (44,134 | ) | ||
Net change in unrealized appreciation on swap contracts | 12,587,776 | |||
|
| |||
Net realized and unrealized gain | 98,760,608 | |||
|
| |||
Net increase in net assets resulting from operations | $ | 106,564,646 | ||
|
|
See Notes to Consolidated Financial Statements.
294
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 | $ | 7,804,038 | $ | 6,152,792 | ||||
Net realized gain | 80,200,516 | 57,444,067 | ||||||
Net change in unrealized appreciation | 18,560,092 | 61,728,948 | ||||||
|
|
|
| |||||
Net increase in net assets resulting from operations | 106,564,646 | 125,325,807 | ||||||
|
|
|
| |||||
Distributions: | ||||||||
Distributions from earnings:1 | ||||||||
Class I Shares | — | (90,185,602 | ) | |||||
Class D Shares | — | (3,353,176 | ) | |||||
Class Y Shares | — | (9,921,226 | ) | |||||
|
|
|
| |||||
Total distributions to shareholders | — | (103,460,004 | ) | |||||
|
|
|
| |||||
Capital Transactions: | ||||||||
Shareholder subscriptions: | ||||||||
Proceeds from sale of Class I Shares | 862,383,903 | 2,562,554,600 | ||||||
Proceeds from sale of Class D Shares | 21,223,414 | 67,394,565 | ||||||
Proceeds from sale of Class Y Shares | 78,404,159 | 317,584,068 | ||||||
Shareholder reinvestments: | ||||||||
Net asset value of Class I Shares issued to shareholders in payment of distributions declared | — | 68,415,839 | ||||||
Net asset value of Class D Shares issued to shareholders in payment of distributions declared | — | 3,330,435 | ||||||
Net asset value of Class Y Shares issued to shareholders in payment of distributions declared | — | 8,795,033 | ||||||
Shareholder redemptions: | ||||||||
Cost of Class I Shares redeemed | (702,193,515 | ) | (1,157,385,421 | ) | ||||
Cost of Class D Shares redeemed | (32,299,970 | ) | (160,036,741 | ) | ||||
Cost of Class Y Shares redeemed | (64,269,698 | ) | (74,777,350 | ) | ||||
|
|
|
| |||||
Net increase in net assets resulting from capital transactions | 163,248,293 | 1,635,875,028 | ||||||
|
|
|
| |||||
Net increase in net assets | 269,812,939 | 1,657,740,831 | ||||||
|
|
|
| |||||
Net Assets: | ||||||||
Beginning of period | 6,004,014,148 | 4,346,273,317 | ||||||
|
|
|
| |||||
End of period | $ | 6,273,827,087 | $ | 6,004,014,148 | ||||
|
|
|
|
See Notes to Consolidated Financial Statements.
295
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Statement of Changes in Net Assets (Continued)
Six-Months | Year | |||||||
Share Transacations: | ||||||||
Class I Shares | ||||||||
Beginning of period | 477,029,167 | 340,734,104 | ||||||
Shares issued | 80,741,035 | 236,875,140 | ||||||
Reinvestment in Shares | — | 6,364,256 | ||||||
Shares redeemed | (65,735,336 | ) | (106,944,333 | ) | ||||
|
|
|
| |||||
Net change in shares resulting from share transactions | 15,005,699 | 136,295,063 | ||||||
|
|
|
| |||||
End of period | 492,034,866 | 477,029,167 | ||||||
|
|
|
| |||||
Class D Shares | ||||||||
Beginning of period | 21,571,025 | 30,032,248 | ||||||
Shares issued | 1,990,504 | 6,256,759 | ||||||
Reinvestment in Shares | — | 310,074 | ||||||
Shares redeemed | (3,032,149 | ) | (15,028,056 | ) | ||||
|
|
|
| |||||
Net change in shares resulting from share transactions | (1,041,645 | ) | (8,461,223 | ) | ||||
|
|
|
| |||||
End of period | 20,529,380 | 21,571,025 | ||||||
|
|
|
| |||||
Class Y Shares | ||||||||
Beginning of period | 64,824,921 | 41,247,352 | ||||||
Shares issued | 7,384,918 | 29,719,548 | ||||||
Reinvestment in Shares | — | 824,277 | ||||||
Shares redeemed | (6,039,214 | ) | (6,966,256 | ) | ||||
|
|
|
| |||||
Net change in shares resulting from share transactions | 1,345,704 | 23,577,569 | ||||||
|
|
|
| |||||
End of period | 66,170,625 | 64,824,921 | ||||||
|
|
|
|
1 | Per Securities Exchange Commission release No. 33-10532, “Disclosure Update and Simplification,��� the Fund is no longer required to differentiate distributions from earnings as either from net investment income or net realized capital gains. The presentation for the Year Ended 3/31/2018 has been adjusted for this change. At 3/31/2018 the distributions were from net investment income in the amounts of $34,554,353; $670,230 and $4,060,493 for Class I, Class D & Class Y Shares, respectively. The distributions were from net realized capital gains in the amounts of $55,631,249; $2,682,946 and $5,860,733 for Class I, Class D & Class Y Shares, respectively. As part of this update it is also no longer required to disclose the Distributions in excess of net investment income which was $51,359,222 as of 3/31/2018. |
See Notes to Consolidated Financial Statements.
296
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Statement of Cash Flows
For the Six-Months Ended September 30, 2018 (Unaudited)
Cash Flows from Operating Activities: |
| |||
Net increase in net assets resulting from operations | $ | 106,564,646 | ||
Adjustments to reconcile net increase (decrease) in net assets resulting from operations to net cash used for operating activities: |
| |||
Purchases of investments in securities | (4,786,305,190 | ) | ||
Proceeds from disposition of investments in securities | 4,250,947,550 | |||
Proceeds from securities sold short | 1,878,563,106 | |||
Payments to cover securities sold short | (2,021,003,880 | ) | ||
Net purchases/proceeds of short-term investments | (136,350,564 | ) | ||
Premiums paid on closing options written | (1,559,015 | ) | ||
Proceeds from premiums received from options written | 1,191,029 | |||
Net realized gain on investments in securities | (113,497,008 | ) | ||
Net realized loss on securities sold short | 75,517,284 | |||
Net realized gain on options written | (190,536 | ) | ||
Accretion of bond discount and amortization of bond and swap premium | (1,682,089 | ) | ||
Net change in unrealized appreciation of investments | (44,381,247 | ) | ||
Net change in unrealized depreciation on securities sold short | 25,636,447 | |||
Net change in unrealized depreciation on options written | 44,134 | |||
Changes in assets and liabilities: |
| |||
(Increase) decrease in assets: |
| |||
Segregated cash balance with broker for securities sold short | 2,402,455 | |||
Segregated cash balance with custodian for derivative financial instruments | 294,800,066 | |||
Segregated cash balance with counterparties for futures contracts | 8,810,537 | |||
Segregated cash balance with counterparties for centrally cleared derivatives | (61,029,871 | ) | ||
Segregated cash balance with counterparties for OTC derivatives | (51,974,563 | ) | ||
Segregated cash balance with broker for TBAs | 1,750,000 | |||
Segregated cash balance with counterparties for reverse repurchase agreements | (5,168,365 | ) | ||
Unrealized appreciation on forward foreign currency exchange contracts | 987,327 | |||
Income receivable | (4,804,083 | ) | ||
Receivable for periodic payments from swap contracts | (14,140,972 | ) | ||
Variation margin receivable on futures | (55,550,934 | ) | ||
Variation margin receivable on centrally cleared swaps | (411,732 | ) | ||
Swap contracts, at fair value | 27,755,706 | |||
Prepaid expenses and other assets | 850,315 | |||
Increase (decrease) in liabilities: |
| |||
Securities lending collateral payable | (36,187 | ) | ||
Cash received as collateral from custodian for derivative financial instruments | (590,000 | ) | ||
Cash received as collateral from counterparty for OTC derivatives | 2,656,534 | |||
Cash received as collateral from counterparty for centrally cleared derivatives | (247,706 | ) | ||
Cash received as collateral from counterparty for futures contracts | 12,057 | |||
Unrealized depreciation on forward foreign currency exchange contracts | (700,130 | ) | ||
Swap contracts, at fair value | (30,196,488 | ) | ||
Variation margin payable on futures | (6,895,650 | ) | ||
Variation margin payable on centrally cleared swaps | 51,267,657 | |||
Payable for periodic payments from swap contracts | (3,255,237 | ) | ||
Dividend and interest income payable on securities sold short | (820,183 | ) | ||
Interest payable on reverse repurchase agreements | 115,636 | |||
Management fee payable | 2,179,550 | |||
Accrued expenses and other liabilities | 3,173,584 | |||
|
| |||
Net cash used in operating activities | $ | (605,566,010 | ) | |
|
| |||
Cash Flows from Financing Activities |
| |||
Proceeds from shares sold | 882,919,145 | |||
Cost of shares repurchased | (753,485,848 | ) | ||
Proceeds from reverse repurchase agreements | 1,057,009,000 | |||
Repayment of reverse repurchase agreements | (824,574,000 | ) | ||
|
| |||
Net cash provided by financing activities | 361,868,297 | |||
|
| |||
Net increase (decrease) in cash and foreign currency | (243,697,713 | ) | ||
Cash and foreign currency, beginning of period | 414,074,992 | |||
|
| |||
Cash and foreign currency, end of period | $ | 170,377,279 | ||
|
| |||
Supplemental disclosure of cash flow information: |
| |||
Cash paid during the period for interest | $ | 6,508,507 | ||
|
|
See Notes to Consolidated Financial Statements.
297
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Financial Highlights
(For Shares Outstanding Throughout the Period)
�� | Class I | |||||||||||||||||||
Six-Months | Year | Year | Year | Year | ||||||||||||||||
Net Asset Value, Beginning of Period | $ | 10.67 | $ | 10.56 | $ | 9.82 | $ | 10.38 | $ | 10.00 | ||||||||||
Income From Investment Operations: | ||||||||||||||||||||
Net investment income (loss)2 | 0.01 | 0.01 | 0.07 | (0.05 | ) | (0.09 | ) | |||||||||||||
Net realized and unrealized gain (loss) | 0.17 | 0.31 | 0.72 | (0.26 | ) | 0.53 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total From Investment Operations | 0.18 | 0.32 | 0.79 | (0.31 | ) | 0.44 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less Distributions to Shareholders: | ||||||||||||||||||||
From net investment income | — | (0.08 | ) | (0.05 | ) | (0.01 | ) | (0.02 | ) | |||||||||||
From net realized capital gains | — | (0.13 | ) | — | (0.24 | ) | (0.04 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Distributions | — | (0.21 | ) | (0.05 | ) | (0.25 | ) | (0.06 | ) | |||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net Asset Value, End of Period | $ | 10.85 | $ | 10.67 | $ | 10.56 | $ | 9.82 | $ | 10.38 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Return | 1.78 | %3 | 3.06 | % | 8.03 | % | (3.01 | )% | 4.43 | %3 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Ratios to Average Net Assets:4 | ||||||||||||||||||||
Total expenses before recoupment (reimbursement) from Investment Adviser | 0.91 | %5 | 0.89 | % | 1.15 | % | 1.30 | % | 1.46 | %5 | ||||||||||
Management Fees | 1.86 | %5 | 1.88 | % | 1.88 | % | 1.92 | % | 1.95 | % | ||||||||||
Recoupment (reimbursement) from Investment Adviser | — | — | — | 0.05 | % | (0.24 | )%5 | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net expenses after recoupment (reimbursement) from Investment Adviser | 2.77 | %5 | 2.77 | % | 3.03 | % | 3.27 | % | 3.17 | %5 | ||||||||||
Excluded expenses6 | (0.61 | )%5 | (0.57 | )% | (0.81 | )% | (0.93 | )% | (0.77 | )%5 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Expenses, net of impact of excluded expenses | 2.16 | %5 | 2.20 | % | 2.22 | % | 2.34 | % | 2.40 | %5 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net investment income (loss) | 0.26 | %5 | 0.13 | % | 0.71 | % | (0.45 | )% | (1.11 | )%5 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Supplemental Data: | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 5,338,930 | $ | 5,088,031 | $ | 3,597,704 | $ | 3,921,027 | $ | 1,097,917 | ||||||||||
Portfolio turnover | 193 | %3 | 300 | % | 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. See Note 7. |
See Notes to Consolidated Financial Statements.
298
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Financial Highlights
(For Shares Outstanding Throughout the Period)
Class D | ||||||||||||||||||||
Six-Months | Year | Year | Year | Year | ||||||||||||||||
Net Asset Value, Beginning of Period | $ | 10.64 | $ | 10.53 | $ | 9.81 | $ | 10.38 | $ | 10.00 | ||||||||||
Income From Investment Operations: | ||||||||||||||||||||
Net investment income (loss)2 | (0.01 | ) | (0.03 | ) | 0.05 | (0.07 | ) | (0.05 | ) | |||||||||||
Net realized and unrealized gain (loss) | 0.18 | 0.30 | 0.70 | (0.26 | ) | 0.48 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total From Investment Operations | 0.17 | 0.27 | 0.75 | (0.33 | ) | 0.43 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less Distributions to Shareholders: | ||||||||||||||||||||
From net investment income | — | (0.03 | ) | (0.03 | ) | — | (0.01 | ) | ||||||||||||
From net realized capital gains | — | (0.13 | ) | — | (0.24 | ) | (0.04 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Distributions | — | (0.16 | ) | (0.03 | ) | (0.24 | ) | (0.05 | ) | |||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net Asset Value, End of Period | $ | 10.81 | $ | 10.64 | $ | 10.53 | $ | 9.81 | $ | 10.38 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Return | 1.60 | %3 | 2.60 | % | 7.70 | % | (3.22 | )% | 4.32 | %3 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Ratios to Average Net Assets:4 | ||||||||||||||||||||
Total expenses before recoupment (reimbursement) from Investment Adviser | 1.27 | %5 | 1.27 | % | 1.40 | % | 1.55 | % | 1.59 | %5 | ||||||||||
Management Fees | 1.86 | %5 | 1.88 | % | 1.88 | % | 1.92 | % | 1.95 | %5 | ||||||||||
Recoupment (reimbursement) from Investment Adviser | — | — | — | 0.02 | % | (0.14 | )%5 | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net expenses after recoupment (reimbursement) from Investment Adviser | 3.13 | %5 | 3.15 | % | 3.28 | % | 3.49 | % | 3.40 | %5 | ||||||||||
Excluded expenses6 | (0.86 | )%5 | (0.81 | )% | (1.06 | )% | (1.18 | )% | (1.00 | )%5 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Expenses, net of impact of excluded expenses | 2.27 | %5 | 2.34 | % | 2.22 | % | 2.31 | % | 2.40 | %5 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net investment income (loss) | (0.10 | )%5 | (0.26 | )% | 0.48 | % | (0.66 | )% | (1.29 | )%5 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Supplemental Data: | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 221,884 | $ | 229,593 | $ | 316,243 | $ | 22,811 | $ | 6,012 | ||||||||||
Portfolio turnover | 193 | %3 | 300 | % | 237 | % | 172 | % | 194 | %3 |
1 | For the period November 17, 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. See Note 7. |
See Notes to Consolidated Financial Statements.
299
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Financial Highlights
(For Shares Outstanding Throughout the Period)
Class Y | ||||||||||||||||||||
Six-Months | Year | Year | Year | Year | ||||||||||||||||
Net Asset Value, Beginning of Period | $ | 10.59 | $ | 10.48 | $ | 9.75 | $ | 10.29 | $ | 10.00 | ||||||||||
Income From Investment Operations: | ||||||||||||||||||||
Net investment income (loss)2 | 0.02 | 0.02 | 0.08 | (0.03 | ) | (0.02 | ) | |||||||||||||
Net realized and unrealized gain (loss) | 0.17 | 0.31 | 0.71 | (0.25 | ) | 0.31 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total From Investment Operations | 0.19 | 0.33 | 0.79 | (0.28 | ) | 0.29 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less Distributions to Shareholders: | ||||||||||||||||||||
From net investment income | — | (0.09 | ) | (0.06 | ) | (0.02 | ) | — | ||||||||||||
From net realized capital gains | — | (0.13 | ) | — | (0.24 | ) | — | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Distributions | — | (0.22 | ) | (0.06 | ) | (0.26 | ) | — | ||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net Asset Value, End of Period | $ | 10.78 | $ | 10.59 | $ | 10.48 | $ | 9.75 | $ | 10.29 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Return | 1.79 | %3 | 3.17 | % | 8.10 | % | (2.90 | )% | 2.90 | %3 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Ratios to Average Net Assets:4 | ||||||||||||||||||||
Total expenses before recoupment (reimbursement) from Investment Adviser | 0.85 | %5 | 0.79 | % | 1.05 | % | 1.20 | % | 1.31 | %5 | ||||||||||
Management Fees | 1.86 | % | 1.88 | % | 1.88 | % | 1.92 | % | 1.95 | % | ||||||||||
Recoupment (reimbursement) from Investment Adviser | — | — | — | 0.00 | %6 | (0.07 | )%5 | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net expenses after recoupment (reimbursement) from Investment Adviser | 2.71 | %5 | 2.67 | % | 2.93 | % | 3.12 | % | 3.19 | %5 | ||||||||||
Excluded expenses7 | (0.61 | )%5 | (0.57 | )% | (0.81 | )% | (0.92 | )% | (0.79 | )%5 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Expenses, net of impact of excluded expenses | 2.10 | %5 | 2.10 | % | 2.12 | % | 2.20 | % | 2.40 | %5 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net investment income (loss) | 0.33 | %5 | 0.23 | % | 0.78 | % | (0.34 | )% | (1.03 | )%5 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Supplemental Data: | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 713,013 | $ | 686,390 | $ | 432,327 | $ | 339,613 | $ | 105,624 | ||||||||||
Portfolio turnover | 193 | %3 | 300 | % | 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. See Note 7. |
See Notes to Consolidated Financial Statements.
300
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Notes to Consolidated Financial Statements
For the Six-Months Ended September 30, 2018 (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 consists of a single series, Blackstone Alternative Multi-Strategy Fund (the “Fund”). The Fund commenced operations offering Class I Shares on June 16, 2014. 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, 2018, 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. In pursuing the Fund’s investment objective, the Investment 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. 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 a portion of the Fund’s assets directly and, from time to time, may instruct Sub-Advisers with respect to particular investments. The Investment Adviser may allocate the Fund’s assets among discretionary and non-discretionary Sub-Advisers. Each discretionary Sub-Adviser is responsible for the day-to-day management of the portion of the Fund’s assets that the Investment Adviser allocates to it. Each non-discretionary Sub-Adviser is responsible for providing the Investment Adviser with a model portfolio for the assets allocated to it to be implemented by the Investment Adviser in its discretion. The Investment Adviser has the ultimate responsibility to oversee each Sub-Adviser (subject to the oversight of the Board). The Adviser also is responsible for recommending the hiring, termination, and replacement of Sub-Advisers.
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
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For the Six-Months Ended September 30, 2018 (Unaudited)
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.
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 consolidated 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
Valuation Policy
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”).
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),
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For the Six-Months Ended September 30, 2018 (Unaudited)
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 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, 2018.
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.
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Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Notes to Consolidated Financial Statements (Continued)
For the Six-Months Ended September 30, 2018 (Unaudited)
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 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, 2018, 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, 2018, the Fund had $336,468,514 invested in State Street Institutional U.S. Government Money Market Fund (GVMXX—Premier Class) and $467,805 invested in Morgan Stanley Institutional Liquidity Funds Treasury Securities Portfolio (MSUXX). 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 established new definitions for money market fund classifications and require certain money market funds 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.
304
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Notes to Consolidated Financial Statements (Continued)
For the Six-Months Ended September 30, 2018 (Unaudited)
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.
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, 2018, the total fair value of Level 3 investments was $10,041,285. 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
305
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Notes to Consolidated Financial Statements (Continued)
For the Six-Months Ended September 30, 2018 (Unaudited)
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 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, 2018, the Fund had no outstanding commitments.
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.
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Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Notes to Consolidated Financial Statements (Continued)
For the Six-Months Ended September 30, 2018 (Unaudited)
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.
Cash
At September 30, 2018, the Fund had $92,521,539 in domestic cash and $77,855,740 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 on October 31, 2015, October 31, 2016 and October 31, 2017, with respect to 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
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For the Six-Months Ended September 30, 2018 (Unaudited)
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.
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, 2018, 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 segregated cash balance with counterparties for OTC derivatives disclosed on the Consolidated Statement of Assets and Liabilities includes amounts for various derivative types which are comingled per our ISDA Master Agreements. These amounts are shown gross. 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
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Notes to Consolidated Financial Statements (Continued)
For the Six-Months Ended September 30, 2018 (Unaudited)
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 nature of the reverse repurchase agreements, face value approximates fair value. As of September 30, 2018, the face value of open reverse repurchase agreements for the Fund was $418,211,000. The weighted average daily balances of reverse repurchase agreements outstanding during the six-months ended September 30, 2018 for the Fund was approximately $183,730,656, at a weighted average weekly interest rate of 3.91%.
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. | $ | (3,164,223 | ) | $ | 3,164,223 | $ | — | $ | — | |||||||||||
Goldman Sachs Bank USA | (110,060,592 | ) | 110,060,592 | — | — | |||||||||||||||
JPMorgan Chase Bank, N.A. | (82,022,872 | ) | 82,022,872 | — | — | |||||||||||||||
Merrill Lynch, Pierce, Fenner & Smith, Inc. | (22,051,120 | ) | 22,051,120 | — | — | |||||||||||||||
Royal Bank of Canada | (201,362,085 | ) | 201,362,085 | — | — | |||||||||||||||
|
|
|
|
|
| �� |
|
| ||||||||||||
Total | $ | (418,660,892 | ) | $ | 418,660,892 | $ | — | $ | — | |||||||||||
|
|
|
|
|
|
|
|
(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, 2018 was 234,198,315 and 1,627,491, respectively. |
Remaining Contractual Maturity of the Agreements | |||||||||||||||||||||||||
Overnight and Continuous | <30 days | Between 30 & 90 days | >90 days | Total | |||||||||||||||||||||
Reverse Repurchase Agreements |
| ||||||||||||||||||||||||
Mortgage-Backed Securities | $ | — | $ | (363,670,181 | ) | $ | (49,546,780 | ) | $ | — | $ | (413,216,961 | ) | ||||||||||||
Cash | (5,443,931 | ) | — | — | — | (5,443,931 | ) | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Total | $ | (5,443,931 | ) | $ | (363,670,181 | ) | $ | (49,546,780 | ) | $ | — | $ | (418,660,892 | ) | |||||||||||
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|
|
|
|
|
|
|
|
| ||||||||||||||||
Gross amount of recognized liabilities for reverse repurchase agreements |
| $ | (418,660,892 | ) | |||||||||||||||||||||
|
|
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Notes to Consolidated Financial Statements (Continued)
For the Six-Months Ended September 30, 2018 (Unaudited)
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 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. As of September 30, 2018, there were no securities on loan.
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.
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 August 2018, the Financial Accounting Standards Board (“FASB”) issued ASU No. 2018-13, Fair Value Measurements (Topic 820): Disclosure Framework—Changes to the Disclosure Requirements for Fair Value Measurement to streamline disclosure requirements. The new standard eliminated the requirements to disclose Level 1 and Level 2 transfers, policy of timing of transfers, valuation process for Level 3 fair value measurements and the changes in unrealized gains and losses included in Level 3 investments held at the end of the reporting period. Also there are modifications to disclosure requirements for the timing of the
310
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Notes to Consolidated Financial Statements (Continued)
For the Six-Months Ended September 30, 2018 (Unaudited)
liquidation of an underlying Investee Fund’s assets, for restrictions from redemption from an underlying Investee Fund, and for non-public companies, the Level 3 roll forward. The guidance is effective for financial statement with fiscal years beginning on or after December 15, 2019. Early adoption is permitted. Management is currently evaluating the new guidance. The adoption of ASU No. 2018-13 is not expected to have a material impact on the consolidated financial statements.
In March 2017, the FASB issued ASU No. 2017-08, Receivables—Nonrefundable Fees and Other Costs (Subtopic 310-20): Premium Amortization on Purchased Callable Debt Securities, which shortens the amortization period for the premium on certain callable debt securities to the earliest call date. The amendments are applicable to any purchased individual debt security with an explicit and noncontingent call feature that is callable at a fixed price on a preset date. The amendments do not impact the accounting for callable debt securities held at a discount, which will continue to be accreted to maturity. ASU 2017-08 will become effective on January 1, 2019, with early adoption permitted including adoption in an interim period. The amendments will be applied on a modified retrospective basis through a cumulative-effect adjustment to retained earnings as of the beginning of the period of adoption. The Fund is currently evaluating the impact of adopting ASU 2017-08 on its consolidated financial statements.
In November 2016, the FASB issued 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.
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
311
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Notes to Consolidated Financial Statements (Continued)
For the Six-Months Ended September 30, 2018 (Unaudited)
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 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
312
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Notes to Consolidated Financial Statements (Continued)
For the Six-Months Ended September 30, 2018 (Unaudited)
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.
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” or swap execution facility). 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
313
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Notes to Consolidated Financial Statements (Continued)
For the Six-Months Ended September 30, 2018 (Unaudited)
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.
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. 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.
314
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Notes to Consolidated Financial Statements (Continued)
For the Six-Months Ended September 30, 2018 (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.
At September 30, 2018, the Fund had the following derivative financial instruments, presented on a gross basis and categorized by risk exposure:
Asset Derivatives | Liability Derivatives | |||||||||||
Consolidated Statement of Liabilities Location | Fair Value | Consolidated Statement of Liabilities Location | Fair Value | |||||||||
Interest Rate | Centrally cleared swaps, at fair value (c) | $ | 37,365,191 | Centrally cleared swaps, at fair value (c) | $ | (38,369,977 | ) | |||||
Swap contracts, at fair value (b) | 90,566 | Swap contracts, at fair value (b) | (130,443 | ) | ||||||||
Unrealized appreciation on futures contracts (c) | 5,041,539 | Unrealized depreciation on futures contracts (c) | (12,552,739 | ) | ||||||||
Equity | Swap contracts, at fair value (b) | 31,897,718 | Swap contracts, at fair value (b) | (29,274,074 | ) | |||||||
Unrealized appreciation on futures contracts (c) | 18,863,080 | Unrealized depreciation on futures contracts (c) | (10,036,845 | ) | ||||||||
Purchased options, at fair value (d) | 3,793,196 | Options written, at value | — | |||||||||
Commodity | Swap contracts, at fair value (b) | — | Swap contracts, at fair value (b) | (1,001,244 | ) | |||||||
Unrealized appreciation on futures contracts (c) | 24,937,997 | Unrealized depreciation on futures contracts (c) | (19,155,713 | ) | ||||||||
Credit | Centrally cleared swaps, at fair value (c) | 61,617,110 | Centrally cleared swaps, at fair value (c) | (23,776,319 | ) | |||||||
Swap contracts, at fair value (b) | 844,011 | Swap contracts, at fair value (b) | (17,366,897 | ) | ||||||||
Foreign Exchange | Unrealized appreciation on forward foreign currency exchange contracts | 2,855,326 | Unrealized depreciation on forward foreign currency exchange contracts | (4,782,934 | ) | |||||||
Unrealized appreciation on futures contracts (c) | 9,715,078 | Unrealized depreciation on futures contracts (c) | (3,847,856 | ) | ||||||||
|
|
|
| |||||||||
Total | $ | 197,020,812 | $ | (160,295,041 | ) | |||||||
|
|
|
| |||||||||
Amounts not subject to MNA(1) | (161,333,191 | ) | 107,739,510 | |||||||||
|
|
|
| |||||||||
Total gross amounts subject to MNA | $ | 35,687,621 | $ | (52,555,531 | ) | |||||||
|
|
|
|
(1) | See below for disclosure of financial instruments assets and liabilities subject to offset under enforceable MNA. |
315
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Notes to Consolidated Financial Statements (Continued)
For the Six-Months Ended September 30, 2018 (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 period ended September 30, 2018:
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 | — | $ | 8,075,679,384 | 501,413 | $ | 5,409,481 | ||||||||||||||
Future contracts | — | 2,966,074,448 | 11,335,661 | (14,871,676 | ) | |||||||||||||||
Purchased options (d) | 390 | — | 63,937 | — | ||||||||||||||||
Options written | 540 | — | (186,686 | ) | 79,760 | |||||||||||||||
Equity | ||||||||||||||||||||
Swap contracts | — | 2,588,323,939 | (1,373,447 | ) | 2,653,969 | |||||||||||||||
Future contracts | — | 1,696,623,122 | (48,122,289 | ) | 2,872,247 | |||||||||||||||
Purchased options (d) | 45,264 | — | (6,159,192 | ) | 1,754,301 | |||||||||||||||
Options written | 1,519 | — | 264,463 | (93,294 | ) | |||||||||||||||
Commodity | ||||||||||||||||||||
Swap contracts | — | 13,798,644 | — | (1,001,244 | ) | |||||||||||||||
Future contracts | — | 1,097,296,283 | 36,347,744 | (9,150,071 | ) | |||||||||||||||
Credit | ||||||||||||||||||||
Swap contracts | — | 1,779,589,468 | 14,842,590 | 5,525,570 | ||||||||||||||||
Foreign Exchange | ||||||||||||||||||||
Swap contracts | — | — | 62,249 | — | ||||||||||||||||
Forward foreign currency exchange contracts | — | 1,354,082,554 | 32,819,832 | (287,197 | ) | |||||||||||||||
Future contracts | — | 1,620,586,975 | 1,149,913 | 3,549,583 | ||||||||||||||||
Purchased options | — | 10,866,667 | 72,382 | 18,517 | ||||||||||||||||
Options written | — | 18,900,000 | 112,759 | (30,600 | ) | |||||||||||||||
|
|
|
| |||||||||||||||||
Total | $ | 41,731,329 | $ | (3,570,654 | ) | |||||||||||||||
|
|
|
|
(a) | Averages are based on monthly activity levels during the six-months ended September 30, 2018. |
(b) | Includes swap contract premiums 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. |
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Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Notes to Consolidated Financial Statements (Continued)
For the Six-Months Ended September 30, 2018 (Unaudited)
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).
The Master Fund uses master netting arrangements, which allows certain derivative financial instruments and collateral with the same counterparty to be offset to minimize counterparty credit exposure. The following table presents information related to derivative financial instruments and collateral related to securities loaned that are subject to an enforceable master netting arrangement or similar agreement (“MNA”) and are not offset, as shown in the Consolidated Statement of Assets and Liabilities as of September 30, 2018.
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, 2018:
Gross Amounts Not Offset in the Consolidated Statement of Assets and Liabilities | |||||||||||||||||||||||||
Gross Amount of Assets Presented in Consolidated Statement of Assets and Liabilities | Derivative Financial Instruments Available to Offset | Cash Collateral Received(4) | Non-Cash Collateral | Net Amount(2) | |||||||||||||||||||||
By Counterparty (1) | |||||||||||||||||||||||||
Barclays Bank plc | $ | 852,053 | $ | (720,019 | ) | $ | — | $ | — | $ | 132,034 | ||||||||||||||
Citibank N.A. | 90,566 | (8,601 | ) | — | — | 81,965 | |||||||||||||||||||
Citigroup Global Markets, Inc. | 12,923 | (12,923 | ) | — | — | — | |||||||||||||||||||
Credit Suisse Securities (Europe) Limited | 4,450,912 | (4,450,912 | ) | — | — | — | |||||||||||||||||||
JPMorgan Chase Bank, N.A. | 1,424,614 | (1,424,614 | ) | — | — | — | |||||||||||||||||||
State Street Bank and Trust Company | 321,988 | (321,988 | ) | — | — | — | |||||||||||||||||||
Cayman Subsidiary | |||||||||||||||||||||||||
Credit Suisse International | 301,234 | (23,003 | ) | — | — | 278,231 | |||||||||||||||||||
Morgan Stanley Capital Services LLC | 9,438,309 | (9,022,173 | ) | — | — | 416,136 | |||||||||||||||||||
State Street Bank and Trust Company | 1,190,213 | (738,164 | ) | — | — | 452,049 |
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Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Notes to Consolidated Financial Statements (Continued)
For the Six-Months Ended September 30, 2018 (Unaudited)
Gross Amounts Not Offset in the Consolidated Statement of Assets and Liabilities | |||||||||||||||||||||||||
Gross Amount of Assets Presented in Consolidated Statement of Assets and Liabilities | Derivative Financial Instruments Available to Offset | Cash Collateral Received(4) | Non-Cash Collateral | Net Amount(2) | |||||||||||||||||||||
Domestic Subsidiary IV |
| ||||||||||||||||||||||||
Credit Suisse Securities (Europe) Limited | $ | 2,163 | $ | — | $ | — | $ | — | $ | 2,163 | |||||||||||||||
Deutsche Bank AG | 7,929,185 | (5,451,558 | ) | — | — | 2,477,627 | |||||||||||||||||||
Goldman Sachs International | 2,280,113 | (44,993 | ) | — | — | 2,235,120 | |||||||||||||||||||
Morgan Stanley & Co. LLC | 477,668 | (477,668 | ) | — | — | — | |||||||||||||||||||
Morgan Stanley Capital Services LLC | 6,902,276 | (2,003,784 | ) | — | — | 4,898,492 | |||||||||||||||||||
State Street Bank and Trust Company | 13,404 | (7,791 | ) | — | — | 5,613 | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Total | $ | 35,687,621 | $ | (24,708,191 | ) | $ | — | $ | — | $ | 10,979,430 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
318
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Notes to Consolidated Financial Statements (Continued)
For the Six-Months Ended September 30, 2018 (Unaudited)
Gross Amounts Not Offset in the Consolidated Statement of Assets and Liabilities | |||||||||||||||||||||||||
Gross Amounts of Liabilities in Consolidated Statement of Assets and Liabilities | Derivative Financial Instruments Available to Offset | Cash Collateral Pledged(5) | Non-Cash Collateral | Net Amount(3) | |||||||||||||||||||||
By Counterparty (1) | |||||||||||||||||||||||||
Bank of America, N.A. | $ | (1,223,019 | ) | $ | — | $ | 1,134,793 | $ | — | $ | (88,226 | ) | |||||||||||||
Barclays Bank plc | (720,019 | ) | 720,019 | — | — | — | |||||||||||||||||||
Citibank, N.A. | (8,601 | ) | 8,601 | — | — | — | |||||||||||||||||||
Citigroup Global Markets, Inc. | (621,952 | ) | 12,923 | 609,029 | — | — | |||||||||||||||||||
Credit Suisse International | (276,817 | ) | — | 276,817 | — | — | |||||||||||||||||||
Credit Suisse Securities (Europe) Limited | (7,677,634 | ) | 4,450,912 | 3,226,722 | — | — | |||||||||||||||||||
Deutsche Bank AG | (62,252 | ) | — | 62,252 | — | — | |||||||||||||||||||
Goldman Sachs International | (1,594,525 | ) | — | 1,594,525 | — | — | |||||||||||||||||||
JPMorgan Chase Bank, N.A. | (4,220,005 | ) | 1,424,614 | 2,795,391 | — | — | |||||||||||||||||||
J.P. Morgan Securities LLC | (3,262,037 | ) | — | 3,262,037 | — | — | |||||||||||||||||||
Merrill Lynch Capital Services, Inc. | (2,767,827 | ) | — | 2,767,827 | — | — | |||||||||||||||||||
Morgan Stanley & Co. International plc | (1,037,396 | ) | — | 1,037,396 | — | — | |||||||||||||||||||
Morgan Stanley Capital Services LLC | (1,751,912 | ) | — | 1,751,912 | — | — | |||||||||||||||||||
State Street Bank and Trust Company | (602,891 | ) | 321,988 | 280,903 | — | — | |||||||||||||||||||
Cayman Subsidiary | |||||||||||||||||||||||||
Credit Suisse International | (23,003 | ) | 23,003 | — | — | — | |||||||||||||||||||
JPMorgan Chase Bank, N.A. | (1,001,244 | ) | — | 1,001,244 | — | — | |||||||||||||||||||
Morgan Stanley Capital Services LLC | (9,022,173 | ) | 9,022,173 | — | — | — | |||||||||||||||||||
J.P. Morgan Securities LLC | (1,222,105 | ) | — | 1,222,105 | — | — | |||||||||||||||||||
State Street Bank and Trust Company | (738,164 | ) | 738,164 | — | — | — | |||||||||||||||||||
Domestic Subsidiary III | |||||||||||||||||||||||||
Citigroup Global Markets, Inc. | (267,681 | ) | — | 267,681 | — | — | |||||||||||||||||||
Credit Suisse International | (1,925,027 | ) | — | 1,925,027 | — | — | |||||||||||||||||||
Credit Suisse Securities (USA) LLC | (431,234 | ) | — | 431,234 | — | — | |||||||||||||||||||
JPMorgan Chase Bank, N.A. | (1,500,474 | ) | — | 1,500,474 | — | — | |||||||||||||||||||
Morgan Stanley Capital Services LLC | (2,565,254 | ) | — | 2,565,254 | — | — |
319
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Notes to Consolidated Financial Statements (Continued)
For the Six-Months Ended September 30, 2018 (Unaudited)
Gross Amounts Not Offset in the Consolidated Statement of Assets and Liabilities | |||||||||||||||||||||||||
Gross Amounts of Liabilities in Consolidated Statement of Assets and Liabilities | Derivative Financial Instruments Available to Offset | Cash Collateral Pledged(5) | Non-Cash Collateral | Net Amount(3) | |||||||||||||||||||||
Domestic Subsidiary IV | |||||||||||||||||||||||||
Deutsche Bank AG | $ | (5,451,558 | ) | $ | 5,451,558 | $ | — | $ | — | $ | — | ||||||||||||||
Goldman Sachs International | (44,993 | ) | 44,993 | — | — | — | |||||||||||||||||||
Morgan Stanley & Co. LLC | (524,159 | ) | 477,668 | — | — | (46,491 | ) | ||||||||||||||||||
Morgan Stanley Capital Services LLC | (2,003,784 | ) | 2,003,784 | — | — | — | |||||||||||||||||||
State Street Bank and Trust Company | (7,791 | ) | 7,791 | — | — | — | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Total | $ | (52,555,531 | ) | $ | 24,708,191 | $ | 27,712,623 | $ | — | $ | (134,717 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
(1) | The Fund and each Subsidiary are subject to seperate 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. |
320
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Notes to Consolidated Financial Statements (Continued)
For the Six-Months Ended September 30, 2018 (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, 2018:
Assets: | Level 1 | Level 2 | Level 3 | Total | ||||||||||||||||
Investments in Securities: | ||||||||||||||||||||
Common Stock | $ | 1,846,169,207 | $ | — | $ | — | $ | 1,846,169,207 | ||||||||||||
Preferred Stock | 184,326,714 | — | — | 184,326,714 | ||||||||||||||||
Asset-Backed Securities | — | 319,207,933 | — | 319,207,933 | ||||||||||||||||
Convertible Bonds | — | 46,113,724 | — | 46,113,724 | ||||||||||||||||
Bank Debt | — | 27,856,755 | 10,041,285 | 37,898,040 | ||||||||||||||||
Corporate Bonds & Notes | — | 247,381,877 | 247,381,877 | |||||||||||||||||
Sovereign Debt | — | 528,128,281 | — | 528,128,281 | ||||||||||||||||
Mortgage-Backed Securities | — | 1,665,845,241 | — | 1,665,845,241 | ||||||||||||||||
U.S. Government Sponsored Agency Securities | — | 38,753,611 | — | 38,753,611 | ||||||||||||||||
U.S. Treasury Obligations | — | 377,102,696 | — | 377,102,696 | ||||||||||||||||
Exchange-Traded Funds | 153,363,966 | — | — | 153,363,966 | ||||||||||||||||
Purchased Options | 3,793,197 | — | — | 3,793,197 | ||||||||||||||||
Short-Term Investment—Money Market Funds | 336,936,319 | — | — | 336,936,319 | ||||||||||||||||
Subtotal | $ | 2,524,589,403 | $ | 3,250,390,118 | $ | 10,041,285 | $ | 5,785,020,806 | ||||||||||||
Investments Valued at NAV | 616,171,503 | |||||||||||||||||||
Total Investments in Securities | 2,524,589,403 | 3,250,390,118 | 10,041,285 | $ | 6,401,192,309 | |||||||||||||||
Forward Foreign Currency Exchange Contracts | — | 2,855,326 | — | 2,855,326 | ||||||||||||||||
Futures Contracts | 58,557,694 | — | — | 58,557,694 | ||||||||||||||||
Centrally Cleared Credit Default Swaps | — | 61,617,110 | — | 61,617,110 | ||||||||||||||||
OTC Credit Default Swaps | — | 844,011 | — | 844,011 | ||||||||||||||||
OTC Total Return Swaps | — | 31,988,284 | — | 31,988,284 | ||||||||||||||||
Centrally Cleared Interest Rate Swaps | — | 37,365,191 | — | 37,365,191 | ||||||||||||||||
Total Assets | $ | 2,583,147,097 | $ | 3,385,060,040 | $ | 10,041,285 | $ | 6,594,419,925 | ||||||||||||
Liabilities: | Level 1 | Level 2 | Level 3 | Total | ||||||||||||||||
Securities Sold Short: | ||||||||||||||||||||
Common Stock | $ | 1,283,248,901 | $ | — | $ | — | $ | 1,283,248,901 | ||||||||||||
Exchange-Traded Funds | 4,760,657 | — | — | 4,760,657 | ||||||||||||||||
Mortgage-Backed Securities | — | 56,086,109 | — | 56,086,109 | ||||||||||||||||
Total Securities Sold Short | 1,288,009,558 | 56,086,109 | — | $ | 1,344,095,667 | |||||||||||||||
Reverse Repurchase Agreements | — | 418,660,892 | — | 418,660,892 | ||||||||||||||||
Forward Foreign Currency Exchange Contracts | — | 4,782,934 | — | 4,782,934 | ||||||||||||||||
Futures Contracts | 45,593,153 | — | — | 45,593,153 | ||||||||||||||||
Centrally Cleared Credit Default Swaps | — | 23,776,319 | — | 23,776,319 | ||||||||||||||||
OTC Credit Default Swaps | — | 17,366,897 | — | 17,366,897 | ||||||||||||||||
OTC Total Return Swaps | — | 30,275,318 | — | 30,275,318 | ||||||||||||||||
Centrally Cleared Interest Rate Swaps | — | 38,369,977 | — | 38,369,977 | ||||||||||||||||
OTC Interest Rate Swaps | — | 130,443 | — | 130,443 | ||||||||||||||||
Total Liabilities | $ | 1,333,602,711 | $ | 589,448,889 | $ | — | $ | 1,923,051,600 | ||||||||||||
321
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Notes to Consolidated Financial Statements (Continued)
For the Six-Months Ended September 30, 2018 (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 $ | Non-Redeemable Investments (A) | Other Restricted Investments (B) | Investments Subject to No Restrictions | Total $ | |||||||||
Amount $ | Redemption Commencement | Amount $ | Redemption Restriction Term | Amount $ | ||||||||||
Equity (1)(3) | N/A | — | N/A | — | N/A | 365,921,503 | 365,921,503 | |||||||
Credit-Driven (2)(3) | N/A | — | N/A | 250,250,000 | 12 months | — | 250,250,000 |
(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) The Credit-Driven strategy generally includes Investee Funds with a focus on fundamental hedged products or otherwise low net exposure, positional concentration and opportunistic directional exposures, mortgages and non-mortgage asset-backed securities.
(3) Investments are redeemable quarterly upon 30—60 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 period ended September 30, 2018, there were no transfers between Level 1 and Level 2. As of September 30, 2018, 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.
322
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Notes to Consolidated Financial Statements (Continued)
For the Six-Months Ended September 30, 2018 (Unaudited)
The Fund recognizes transfers within the fair value hierarchy as of the beginning of the period. Transfers into and out of Level 3 were primarily related to the availability of broker quotations in accordance with valuation methodology.
The changes in investments measured at fair value for which the Fund used Level 3 inputs to determine fair value are as follows:
Assets: Investment in Securities | Bank Debt | Corporate Bonds & Notes | Total | ||||||||||||
Balance as of March 31, 2018 | $ | 12,831,298 | $ | 21,774,895 | $ | 34,606,193 | |||||||||
Transfers In | 804,217 | — | 804,217 | ||||||||||||
Transfers Out | (4,939,560 | ) | — | (4,939,560 | ) | ||||||||||
Purchases | 2,176,539 | — | 2,176,539 | ||||||||||||
Sales | (1,968,476 | ) | (22,440,334 | ) | (24,408,810 | ) | |||||||||
Amortization | 13,920 | 1,042,424 | 1,056,344 | ||||||||||||
Net realized gain | 13,558 | (414,086 | ) | (400,528 | ) | ||||||||||
Net change in unrealized appreciation (depreciation) | 1,109,789 | 37,101 | 1,146,890 | ||||||||||||
|
|
|
|
|
| ||||||||||
Balance as of September 30, 2018 | $ | 10,041,285 | $ | — | $ | 10,041,285 | |||||||||
|
|
|
|
|
| ||||||||||
Net change in unrealized appreciation (depreciation) related to investments still held as of September 30, 2018 | $ | 1,109,789 | $ | — | $ | 1,109,789 | |||||||||
|
|
|
|
|
|
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, 2018.
Assets | Fair Value at September 30, | Valuation Technique | Unobservable Inputs | Range of inputs (Weighted | ||||||||||
Investments in Securities: | ||||||||||||||
Bank Debt | $ | 10,041,285 | Broker-dealer Quotations | Indicative Bid | N/A | |||||||||
|
| |||||||||||||
Total Investments in Securities | $ | 10,041,285 | ||||||||||||
|
|
6. Purchase and Sale of Fund Shares
The Fund currently offers Class D Shares, Class I Shares, Class R Shares and Class Y Shares. For the six-months ended September 30, 2018, only Class D Shares, Class I Shares and Class Y Shares were 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 Investment Adviser, the Fund or their respective affiliates
323
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Notes to Consolidated Financial Statements (Continued)
For the Six-Months Ended September 30, 2018 (Unaudited)
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 at NAV 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, 2018, the Fund paid the Investment Adviser $57,411,470 in management fees. From this amount, the Investment Adviser paid $29,399,564 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 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”).
324
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Notes to Consolidated Financial Statements (Continued)
For the Six-Months Ended September 30, 2018 (Unaudited)
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, 2020 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 period ended September 30, 2018, 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 period-end September 30, 2018, the Fund does not have an amount payable to FINCO.
The Adviser utilizes technology offered by Arcesium LLC (“Arcesium”) to provide certain middle- and back-office services to the Fund, and the Fund bears the costs for such services. The parent company of a Sub-Adviser owns a controlling, majority interest in Arcesium and the Adviser owns a non-controlling, minority interest in Arcesium.
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.
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
325
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Notes to Consolidated Financial Statements (Continued)
For the Six-Months Ended September 30, 2018 (Unaudited)
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, 2018, 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 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
326
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Notes to Consolidated Financial Statements (Continued)
For the Six-Months Ended September 30, 2018 (Unaudited)
maturities at the time of acquisition of one year or less (if applicable)), for the period ended September 30, 2018 were as follows:
Purchases | Sales | |||||
Long-Term | U.S Government | Long-Term | U.S Government | |||
$4,610,414,435 | $286,220,523 | $4,041,651,052 | $74,950,372 |
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, 2017. 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.
As of September 30, 2018, 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 | |||
$4,853,186,740 | 558,141,423 | $(315,827,042) | 242,314,381 |
327
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Notes to Consolidated Financial Statements (Continued)
For the Six-Months Ended September 30, 2018 (Unaudited)
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 (3.51% at September 30, 2018). 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, 2019, the termination date of the Facility at which time the Fund and the Bank can agree to extend the existing agreement. For the period ended September 30, 2018, 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.
328
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-month ended September 30, 2018. 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. You may pay brokerage commissions on your purchases and sales of Class I or Class Y Shares of the Fund, which are not reflected in this example. 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 4/1/2018 | Ending Account Value 9/30/2018 | Expenses Paid During Period1 | Annualized Expense Ratio | |||||||||||||||||
Class I | ||||||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,017.80 | $ | 14.01 | 2.77 | % | ||||||||||||
Hypothetical (assuming a 5% return before expenses) | $ | 1,000.00 | $ | 1,011.18 | $ | 13.97 | 2.77 | % | ||||||||||||
Class D | ||||||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,016.00 | $ | 15.82 | 3.13 | % | ||||||||||||
Hypothetical (assuming a 5% return before expenses) | $ | 1,000.00 | $ | 1,009.38 | $ | 15.77 | 3.13 | % | ||||||||||||
Class Y | ||||||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,017.90 | $ | 13.71 | 2.71 | % | ||||||||||||
Hypothetical (assuming a 5% return before expenses) | $ | 1,000.00 | $ | 1,011.48 | $ | 13.67 | 2.71 | % |
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). |
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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 or the Investment Adviser (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. The 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 |
• | Cerebellum Capital |
• | D. E. Shaw Investment Management, L.L.C. |
• | Emso Asset Management Limited |
• | Endeavour Capital Advisors Inc. |
• | Good Hill Partners LP |
• | GSA Capital Partners LLP |
• | H2O AM LLP |
• | HealthCor Management, L.P. |
• | IPM Informed Portfolio Management AB |
• | Magnetar Asset Management LLC |
• | Nephila Capital, Ltd. |
• | NWI Management, L.P. |
• | Sorin Capital Management, LLC |
• | Two Sigma Advisers, LP |
• | Waterfall Asset Management, LLC |
Non-Discretionary Sub-Advisers:
• | Gracian Capital LLC (until July 3, 2018) |
Compensation for Trustees
Each of the Independent Trustees is paid by the Fund Complex (as defined below) at a rate of $110,000 per fiscal year in the aggregate for their services to the Fund Complex (including the Subsidiaries). Mr. Coates (a Trustee being treated as an “interested person” (as defined in the 1940 Act) of the Fund due to his employment by Envestnet, Inc., which conducts business with certain Investee Funds and may conduct business with the Investment Adviser and its affiliates in the future) is paid by the Fund Complex at a rate of $95,000 per fiscal year in the aggregate for his services to the Fund Complex (excluding the Subsidiaries). The Chairpersons of the Board of Trustees and the Audit Committee are paid by the Fund Complex an additional $25,000 and $15,000, respectively, per fiscal year. These payments are allocated to the Fund and the other funds in the Fund Complex on the basis of assets under management. The Fund Complex pays for
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Blackstone Alternative Investment Funds and Subsidiaries
Supplemental Information (Continued)
September 30, 2018 (Unaudited)
the Trustees’ travel expenses related to Board of Trustees meetings. The Trustees do not receive any pension or retirement benefits from the Fund Complex.
The following table sets forth information covering the total compensation payable by the Fund during the semi-annual period ended September 30, 2018 to the persons who serve, and who are expected to continue serving, as Trustees of the Fund during such period:
Name of Independent Trustee | Aggregate Compensation | Total Compensation | ||||||||
John M. Brown | $ | 60,108 | $ | 67,500 | ||||||
Peter M. Gilbert | $ | 49,149 | $ | 55,000 | ||||||
Paul J. Lawler | $ | 49,149 | $ | 55,000 | ||||||
Kristen M. Leopold | $ | 55,725 | $ | 62,500 |
Name of Interested Trustee | Aggregate Compensation | Total Compensation | ||||||||
Frank J. Coates | $ | 41,649 | $ | 47,500 | ||||||
Peter Koffler | None | None |
1 | These amounts represent aggregate compensation for the services of each Trustee to each fund in the Fund Complex, for which each Trustee serves as trustee. For the purposes of this table, the “Fund Complex” consists of the Fund, the Blackstone Alternative Alpha Fund, the Blackstone Alternative Alpha Fund II, and Blackstone Alternative Alpha Master Fund. |
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. 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, 2018 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 8-9, 2018 and August 14-15, 2018, the Board, including the Independent Trustees, considered and approved investment sub-advisory agreements for the Fund (“Amended and Restated Sub-Advisory Agreements” and “Continued Sub-Advisory Agreements,” together the “Sub-Advisory Agreements”) between BAIA and each of the following sub-advisers (“Sub-Advisers”):
Continued Sub-Advisory Agreements (approved at May meeting)
• | Two Sigma Advisers, LP |
• | Caspian Capital LP |
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Supplemental Information (Continued)
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• | Good Hill Partners LP |
• | Nephila Capital, Ltd. |
Amended and Restated Sub-Advisory Agreements (approved at May meeting)
• | IPM Informed Portfolio Management AB |
• | Magnetar Asset Management LLC |
Continued Sub-Advisory Agreements (approved at August meeting)
• | Emso Asset Management Limited |
• | Bayview Asset Management, LLC |
• | IPM Informed Portfolio Management AB |
Amended and Restated Sub-Advisory Agreement (approved at August meeting)
• | D. E. Shaw Investment Management, L.L.C. |
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. The Independent Trustees were assisted in their review of the applicable sub-advisory arrangements by their independent legal counsel, and that prior to the meetings, the Board received materials prepared by their independent legal counsel regarding the relevant factors to consider in connection with the approval of the Sub-Advisory Agreements between BAIA and each of the Sub-Advisers. 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. Prior to the meetings, the Board had requested and received materials prepared by BAIA relating to each Sub-Adviser.
The information the Board received in connection with the consideration of the Sub-Advisory Agreements for each of the existing Sub-Advisers included, as applicable:
(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 Agreement; |
(2) | a Sub-Adviser Tear Sheet which covered in greater detail the Sub-Adviser’s performance, returns and investment exposures; |
(3) | 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. |
Prior to the meetings, the Board also received each Sub-Adviser’s responses to information requests under Section 15(c) of the 1940 Act by which the Board requested information about, among other things: (i) general financial information; (ii) any 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. Additionally, for each newly proposed discretionary Sub-Adviser, the Board received a copy of the Sub-Adviser’s compliance program under Rule 38a-1 of the 1940 Act, including its code of ethics.
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Blackstone Alternative Investment Funds and Subsidiaries
Supplemental Information (Continued)
September 30, 2018 (Unaudited)
With respect to the Amended and Restated Sub-Advisory Agreement with IPM Informed Portfolio Management AB (“IPM”) approved in May 2018 and the Amended and Restated Sub-Advisory Agreement with D. E. Shaw Investment Management, L.L.C. (“D. E. Shaw”) approved in August 2018, the Board also reviewed the proposed changes against the sub-advisory agreements approved at the August 15-16, 2017 meeting.
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 with IPM, the Board also took into account its most recent consideration and approval of the agreement with the Sub-Adviser, and the fact that the proposed changes to the agreement were not expected to result in any changes in the nature, extent or quality of the services provided to the Fund.
Following this discussion, the Board, including the Independent Trustees, determined to approve the Continued Sub-Advisory Agreements and Amended and Restated Sub-Advisory Agreements on the basis of the following factors, among others, for each Sub-Adviser:
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 other assets that are managed by the Sub-Adviser and related investment risks or the potential investment return and related investment risks and the extent to which these matters might be relevant to the Sub-Adviser’s management of assets of the Fund; |
(5) | the Sub-Adviser’s experience and performance as a hedge fund manager and the extent to which the Sub-Adviser’s strategy for the Fund would overlap with its hedge fund strategy; |
(6) | where applicable, the Sub-Adviser’s experience and performance as a Sub-Adviser to the Fund since its inception; and |
(7) | the experience and depth of the Sub-Adviser’s portfolio management team managing hedge funds and other products and its ability to manage risk. |
Where applicable, the Board also considered information about the experience of BAIA’s affiliates (if any) in investing in hedge funds managed by the Sub-Adviser. The Board 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 or continue the Sub-Advisory Agreements.
Investment Performance of the Sub-Advisers
The Board considered the investment performance of the Sub-Advisers. Where applicable, the Board considered information about the recent performance record 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) over various periods, including in many cases the year-to-date period, the fiscal year ended March 31, 2018, and inception-to-date period, all as compared to the investment returns of (i) a custom index defined by
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Supplemental Information (Continued)
September 30, 2018 (Unaudited)
BAIA and (ii) in the case of certain Sub-Advisers, the Sub-Adviser’s hedge fund strategy. In addition, the Board considered information about performance risk measurements of the assets that are managed by the Sub-Adviser, the custom index and the Sub-Adviser’s hedge fund strategy, such as annualized return, standard deviation (which is a common measure of volatility), Sharpe ratio, and alpha and beta statistics (where available). 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 was generally satisfactory and that the Sub-Advisers were capable of providing reasonable investment performance to the Fund.
Costs of Services and Profitability
In analyzing the cost of services and profitability of each Sub-Adviser, the Board discussed (i) the Sub-Adviser’s sub-advisory fee for managing the allocated Fund assets, including any breakpoints or discount period, (ii) the Sub-Adviser’s resources devoted to the Fund; and (iii) any information provided in response to inquiries regarding the profitability to the Sub-Adviser from providing sub-advisory services to the Fund. The Board considered the specific resources that the Sub-Adviser devoted to the Fund for investment analysis, risk management, compliance, and order execution, and the extent to which each Sub-Adviser’s investment process is scalable.
The Board noted that the compensation paid to each Sub-Adviser was paid by BAIA, not the Fund, and, accordingly, that the retention of each Sub-Adviser did not increase the fees or expenses otherwise incurred by shareholders of the Fund. It further 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 fee to the fees that each Sub-Adviser charges for providing investment advisory services to certain other clients. The Board also considered information regarding the impact that retaining 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 arrangement with each Sub-Adviser, including economies of scale and the current and proposed breakpoints in the sub-advisory fees for certain Sub-Advisers. The Board concluded that the sub-advisory fees, with the current breakpoints in place, if any, reflected the complexity of the operations of each Sub-Adviser’s portfolio within the Fund and were reasonable in light of the current and anticipated sizes of the portfolios. The Board 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 the Sub-Advisers, 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, although the Fund’s expenses were sufficiently limited such that the expense cap did not currently apply.
Other Benefits
The Board discussed other potential benefits that each Sub-Adviser might receive from the Fund, including soft dollar arrangements, receipt of brokerage and research services, and the opportunity to offer additional products and services to the Fund’s shareholders or BAIA. The Board noted that each Sub-Adviser benefited from its relationship with BAIA. The Board concluded that other ancillary or “fall out” benefits derived by
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Blackstone Alternative Investment Funds and Subsidiaries
Supplemental Information (Continued)
September 30, 2018 (Unaudited)
each Sub-Adviser from its relationship with BAIA 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 each Sub-Adviser’s Sub-Advisory Agreement. After discussion, the Board concluded that the terms of each Sub-Adviser’s Sub-Advisory Agreement were reasonable and fair. It was noted that the Board would have the opportunity to periodically re-examine the terms of each Sub-Adviser’s Sub-Advisory Agreement in the future.
Conclusion
The Board, including 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 each 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 previously determined that each Sub-Adviser’s compliance program was reasonably designed to prevent the violation of 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 or continuation of each Sub-Adviser’s Sub-Advisory Agreement on a comprehensive consideration of all relevant information presented to the Board at its meetings throughout the year, as applicable, and not as a result of any single controlling factor. The Board was assisted by the advice of independent legal counsel in approving each Sub-Adviser’s Sub-Advisory Agreement.
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.
Copies of this annual shareholder report are available upon request to prior shareholders of the Blackstone Alternative Multi-Strategy Fund, without charge, by calling toll free 1-855-890-7725.
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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 |
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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. |
337
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
Natasha Kulkarni, Secretary
Cyrus B. Richardson, Anti-Money Laundering Officer
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.bxmix.com. 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 Investment Management 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 officer 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. | |
(2) | Certifications pursuant to Rule 30a-2(a) are attached hereto. | |
(3) | Not applicable. | |
(4) | 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 21, 2018
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 21, 2018
By (Signature and Title) | /s/ Arthur Liao | |||
Arthur Liao, Treasurer (Principal Financial and Accounting Officer) |
Date November 21, 2018