Docoh
Loading...

Blackstone Alternative Investment Funds

Filed: 26 May 20, 8:00pm
Table of Contents

 

 

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

 

 

FORMN-CSR

 

 

CERTIFIED SHAREHOLDER REPORT OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number811-22743

 

 

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:March 31, 2020

 

 

 


Table of Contents
Item 1.

Reports to Stockholders.

 


Table of Contents

 Blackstone

 

Blackstone Alternative Multi-Strategy Fund

a series of Blackstone Alternative Investment Funds

 

Annual Report

For the Year Ended March 31, 2020

 

Beginning on January 25, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of the Fund’s shareholder reports will no longer be sent by mail, unless you specifically request paper copies of the reports from the Fund or from your financial intermediary, such as a broker-dealer or bank. Instead, the reports will be made available on the Fund’s website. You will be notified by mail each time a report is available, and you will be provided with a website link to access the report.

If you already have elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. Shareholders who hold accounts directly with the Distributor or the Fund may elect to receive shareholder reports and other communications from the Fund electronically by calling1-855-890-7725 to make such arrangements. Shareholders who hold accounts through an investment advisor, bank, or broker-dealer should contact that financial intermediary directly for information on how to receive shareholder reports and other communications electronically.

You may elect to receive all future reports in paper free of charge. If you hold accounts directly with the Distributor, you can inform the Fund that you wish to continue receiving paper copies of your shareholder reports by calling1-855-890-7725 to make such arrangements. For shareholders who hold accounts through an investment advisor, bank, or broker-dealer, please contact your financial intermediary directly to inform them that you wish to continue receiving paper copies of your shareholder reports. If your Fund shares are held through a financial intermediary, your election to receive reports in paper will apply to all funds held with that financial intermediary.

Capitalized terms not defined herein have the meanings assigned to them in the Prospectus.


Table of Contents

TABLE OF CONTENTS

 

Management’s Discussion of Fund Performance

    1

Performance Summary

    6

Portfolio Information

    7

Consolidated Schedule of Investments

    11

Consolidated Statement of Assets and Liabilities

    161

Consolidated Statement of Operations

    163

Consolidated Statement of Changes in Net Assets

    164

Consolidated Statement of Cash Flows

    166

Consolidated Financial Highlights

    168

Notes to Consolidated Financial Statements

    171

Report of Independent Registered Public Accounting Firm

    199

Shareholder Fee Example

    200

Supplemental Information

    201

All investors should consider the investment objectives, risks, charges and expenses of the Blackstone Alternative Multi-Strategy Fund (the “Fund”) carefully before investing. The prospectus and the summary prospectus contain this and other information about the Fund. You can obtain a prospectus and a summary prospectus from the Fund’s website (www.bxmix.com). All investors are urged to carefully read the prospectus and the summary prospectus in its entirety before investing. Interests in the Fund are offered through Blackstone Advisory Partners L.P., a member of FINRA and an affiliate of Blackstone Alternative Investment Advisors LLC, the Fund’s investment adviser (“BAIA” or the “Investment Adviser”).

Important Risks:An investment in the Fund should be considered a speculative investment that entails substantial risks; you may lose part or all of your investment or your investment may not perform as well as other investments. The Fund’s investments involve special risks including, but not limited to, loss of all or a significant portion of the investment due to leveraging, short-selling, or other speculative practices, lack of liquidity and volatility of returns. The following is a summary description of certain additional principal risks of investing in the Fund:

Allocation Risk- BAIA’s judgment about the attractiveness, value or market trends affecting a particular asset class, investment style,sub-adviser or security may be incorrect and this may have a negative impact upon performance.Debt Securities Risk- investments in debt securities, such as bonds and certain asset- backed securities involve certain risks which may cause the securities to lose value, including credit risk, liquidity risk, extension risk, interest rate risk, prepayment risk, and variable and floating rate instrument risk.Derivatives Risk- the use of derivatives involves the risk that their value may not move as expected relative to the value of the relevant underlying assets, rates, or indices. Derivatives can be volatile and illiquid, can subject to counterparty credit risk, and may entail investment exposure greater than their notional amount.Distressed Securities Risk- investments in securities of business enterprises involved in workouts, liquidations, reorganizations, bankruptcies and similar situations involve a high degree of risk of loss since there is typically substantial uncertainty concerning the outcome of such situations.Equity Securities Risk- there is a risk of loss associated with price fluctuations of equity and preferred securities which change based on a company’s financial condition and overall market and economic environment.Event-Driven Trading Risk- involves the risk that the specific event identified may not occur as anticipated and that this may have a negative impact upon the market price of the securities involved.Foreign Investments/Emerging Markets Risk- involves special risks caused by foreign political, social and economic factors, including exposure to currency fluctuations, less liquidity, less developed and less efficient trading markets, political instability and less developed legal and auditing standards.High Portfolio Turnover Risk- active trading of securities can increase transaction costs (thus lowering performance) and taxable distributions.Large Redemption Risk- large redemption activity could result in the Fund incurring additional costs and being forced to sell portfolio securities at a loss to meet redemptions.Leverage Risk- use of leverage can produce volatility and may exaggerate changes in the net asset value of Fund shares and in the return on the Fund’s portfolio, which may increase the risk that the Fund will lose more than it has invested.Liquidity Risk- some securities held by the Fund, including,


Table of Contents

but not limited to, restricted, distressed,non-exchange traded, and/or privately placed securities, may be difficult to sell, or illiquid, particularly during times of market turmoil. Illiquid securities may be difficult to value and 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.Market Risk and Selection Risk- one or more markets in which the Fund invests may go down in value, possibly sharply and unpredictably, affecting the values of individual securities held by the Fund. Significant shocks to or disruptions of the financial markets or the real economy could adversely affect the liquidity and volatility of securities held by the Fund.Mortgage- and Asset-Based Securities Risk- these securities are subject to credit, interest rate, valuation, liquidity, prepayment and extension risks. These securities also are subject to risk of default on the underlying mortgage or asset, particularly during periods of economic downturn. Small movements in interest rates may quickly and significantly reduce the value of certain mortgage-backed securities.Model and Technology Risk- involves the risk that model-based strategies, data gathering systems, order execution and trade allocation systems and risk management systems may not be successful on an ongoing basis or could contains errors, omissions, imperfections or malfunctions.Multi-Manager Risk- managers may make investment decisions which conflict with each other and as a result, the Fund could incur transaction costs without accomplishing any net investment result.


Table of Contents

BLACKSTONE ALTERNATIVE INVESTMENT FUNDS

Dear Blackstone Investor,

We are pleased to present this annual shareholder report for Blackstone Alternative Investment Funds (“BAIF”) and its series, Blackstone Alternative Multi-Strategy Fund (the “Fund”). This report includes portfolio commentary, a listing of the Fund’s investments and the Fund’s audited financial statements. Audited financial statements for the Fund cover the period from April 1, 2019 to March 31, 2020 (the “Reporting Period”).

The Fund’s investment objective is to seek capital appreciation. The Fund seeks this objective by allocating its assets among a variety of nontraditional, or “alternative,” investment strategies. Blackstone Alternative Investment Advisors LLC (the “Investment Adviser” or “BAIA”) determines the allocations of the Fund’s assets and allocates a majority of the Fund’s assets among a number of affiliated and unaffiliated investment advisory organizations (each, a“Sub-Adviser” and together, the“Sub-Advisers”) with experience managing alternative investment strategies and among investment funds. BAIA also manages a portion of the Fund’s assets directly and, from time to time, may instructSub-Advisers with respect to particular investments1. EachSub-Adviser is responsible for theday-to-day management of the Fund’s assets that the Investment Adviser allocates to it. The Investment Adviser has the ultimate responsibility to oversee eachSub-Adviser, subject to the oversight of the Fund’s Board of Trustees. The Investment Adviser is also responsible for recommending the hiring, termination, and replacement ofSub-Advisers. In pursuing the Fund’s investment objective, BAIA focuses on the mitigation of market risk and seeks to maintain an investment portfolio with, on average, lower volatility relative to the broader equity markets.

Fund Performance2

The Reporting Period was comprised of three consecutive quarters of global equity market appreciation and one in which the preceding gains were entirely wiped out, as government-ordered shutdowns throughout the world in response toCOVID-19 plunged financial markets into a broad-based drawdown. While the Fund largely weathered market turbulence through Februarymonth-end, it was not immune to the March drawdown, as equity markets around the world sold off aggressively and almost all asset classes suffered, with safe-haven Government bonds being among the only protective assets.

During the Reporting Period, the Fund generated a cumulative return, net of fees and expenses, of-12.32%. Over the same period, the HFRX Global Hedge Fund Index, a measure of hedge fund performance, returned -1.39%; the MSCI World Total Return Index, a measure of global equity market performance, returned-9.87%; the S&P 500 Total Return Index, a measure of US equity market performance, returned -6.98%; and

 

 

 

1 

BAIA manages a portion of the Fund’s assets directly, including direct investments into underlying investment funds. During the Reporting Period, such direct investments included allocations to funds managed by Glenview Capital Management LLC, EJF Capital LLC, Aeolus Capital Management Ltd., Renaissance Technologies LLC and PIMCO Investment Management. For the avoidance of doubt, direct investments into these investment funds are not considered “Blackstone Strategies” as defined in the Fund’s prospectus. BAIA allocations are subject to change and BAIA’s fees on directly managed assets are not reduced by a payment to asub-adviser.

2 

Performance is shown net of the Expense Ratio less waived expenses for Class I shares. Performance data quoted represents past performance and does not guarantee future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost and current performance may be lower or higher than the performance data above. There can be no assurance that the Fund will achieve its goals or avoid losses. Because of the broadly diversified and low beta nature of the portfolio, the Fund is not expected to participate in the full upside of broader equity and fixed income markets. The indices referenced herein are not benchmarks or targets for the Fund.

 

1


Table of Contents

the Bloomberg Barclays Global Aggregate Bond Index, a measure of investment grade bond performance, returned 4.20%3.

Market and Portfolio Commentary

The Reporting Period was characterized by the maturation of the global business cycle and its transition from late cycle into recession. The slowdown and ultimate contraction in economic growth was affected by geopolitical events throughout the period that imposed heightened levels of uncertainty on financial markets.

During the calendar year ended December 31, 2019, global asset prices were disproportionately impacted by foreign policy and international relations. By the end of the second quarter of 2020, uncertainty tied to theUS-China trade war and Brexit, combined with a Chinese pivot to slower but higher-quality growth, had led directly to a slowdown in global manufacturing levels. A noticeable deterioration in business conditions was evident in the EU, UK, Japan and China, and despite remaining close to stagnant, US manufacturing output in May and June registered its worst performance in the past decade4. In response, the Federal Reserve (“Fed”) eased monetary policy on three occasions between August 1 and October 31, 2019, lowering its target Fed Funds rate in an attempt to address concerns centered on a downturn in business investment and persistently weak inflation. Consistent with the market environment of the last 10 years in which declining global interest rates have driven abnormally high risk-adjusted returns, the first three quarters of 2019 proved to be no exception: repricing of discount ratesre-priced future cash flows, driving a 10% rally in10-year maturity bonds and an expansion inprice-to-earnings multiples that resulted in a 20% rally in US equities.

Positive economic surprises in the fourth quarter of 2019, includingde-escalation in the trade war, a positive US jobs report and a Brexit decision in the UK helped propel global financial markets further upward. On October 11th, President Trump announced a tentative agreement for the “first phase” of a trade deal with China and mutual tariffs scheduled to be imposed on December 15th were not implemented. Then, NovemberNon-Farm Payrolls in the US jumped by a robust 266,000, offering respite to fears of slowing growth and bringing unemployment to a50-year low. Finally, on December 12th, a landslide Conservative victory in the UK’s general election secured a clear mandate for Brexit, reducing uncertainty if not bringing closure. In an environment of declining geopolitical and economic uncertainty, investors felt more comfortable chasing therisk-on rally, bringing the S&P 500 to newall-time highs and a more than 30% return for the year.

The reduction in uncertainty would prove to be temporary, however, as Chinese authorities alerted the World Health Organization (“WHO”) on December 31, 2019 of a cluster of pneumonia cases in Wuhan City, Hubei province, China with an unknown cause. A novel coronavirus was eventually identified and, by January 13, 2020, WHO officials had confirmed a case in Thailand, the first to be recorded outside China. On February 11, 2020, official names for the virus (severe acute respiratory syndrome coronavirus 2 orSARS-CoV-2) and the disease it causes (coronavirus disease orCOVID-19) were announced by the International Committee on Taxonomy of Viruses (“ICTV”) and WHO, respectively. In its statement, the ICTV’s11-member committee group noted that the virus name put forth formally recognized this virus as a sister to the severe acute respiratory syndrome coronavirus (“SARS”) identified in 2003. That year, an epidemic of SARS lasted approximately six months as the disease spread to 26 countries and infected more than 8,000 people, resulting in 774 deaths5. On March 11, 2020, just over two months after WHO was first alerted of an outbreak, Director-General Tedros Adhanom noted more than 118,000 cases ofCOVID-19 in 114 countries and 4,291 lives lost. Citing deep concern for the alarming levels of spread and severity, as well as inaction worldwide, Adhanom announced WHO’s assessment thatCOVID-19 could be characterized as a pandemic.

 

3 

The volatility of the indices presented may be materially different from that of the performance of the Fund. In addition, the indices employ different investment guidelines and criteria than the Fund; as a result, the holdings in the Fund may differ significantly from the securities that comprise the indices. The indices have not been selected to represent benchmarks for the Fund, but rather are disclosed to allow for comparison of the Fund’s performance to that of well-known and widely recognized indices. In the case of equity indices, performance of the indices reflects the reinvestment of dividends.

4 

IHS Markit Purchasing Managers’ Index® (PMI®)

5 

Centers for Disease Control and Prevention (CDC)

 

2


Table of Contents

This pandemic led to one of the fastest contractions in global economic activity in history in the first quarter of 2020. Unlike previousend-of-cycle events that have typically been driven by a buildup of untenable macroeconomic imbalances, this slowdown differed materially in that it has been caused by a global, government-mandated cessation of certain economic activity in an attempt to combat a major health crisis. Going into this downturn, consumer balance sheets were generally strong, homeloan-to-value ratios had fallen largely as a result of price appreciation, and banks were much less levered as a result of regulatory restrictions imposed after the Global Financial Crisis (“GFC”). While the reaction to the pandemic has impacted both the supply and demand sides of the economic equation, it is the pace of the drawdown, exacerbated by the flooding of global oil markets with Saudi and Russian supply following a disagreement on production cuts between OPEC and its allies, which we believe led to several record-breaking losses:

 

  

US equal-weighted equities experienced their largest quarterly drawdown since 1990 and a22-day drop into bear market territory—the fastest such drop in history, whilemid- andsmall-cap indices witnessed their biggest quarterly drawdowns ever6

  

10-year US treasury yields fell to as low as 54bps—a 134bps drop in response to the expected economic fallout7

  

Investment grade and high-yield credit experiencedpeak-to-trough declines of 14.7% and 21.4%, respectively—their largest drawdowns since September 20088

  

Structured credit markets suffered losses between30-50% at a significantly faster rate than during the GFC9

  

Oil fell 66.5% to levels not seen in over 19 years10

  

Emerging markets high-yield sovereign debt fell 28.7% in less than a month—its fastest drawdown on record11

  

Mortgage REITs lost 63.6% of their value—their greatest fall since, and at a much faster rate than during, the GFC12

The extent of the impact of a global slowdown in consumption and production as a result of protective actions taken in response toCOVID-19 is difficult to predict with accuracy, and the economic consequences of such a feedback loop are just beginning to come into focus. While February saw the lowest US unemployment rate in recent history13, the number of Americans filing for unemployment benefits jumped to 3.28 million for the week ending March 21st, more than 11x those of the prior week, more than 3x consensus expectations, and the highest absolute figure since the series began in 196714. A record 6.65 million initial jobless claims followed in the week ending March 28th, again exceeding analyst expectations15. Unfortunately, initial economic impact

 

6 

Bloomberg. Performance is measured by the following indices: Equities: S&P 500 Equal Weight Index Total Return-26.7%,Mid-Cap: S&P 400 Index Total Return-29.70%,Small-Cap: S&P 600 Index Total Return:-32.65%.

7 

Federal Reserve Bank of St. Louis. Treasury yields reference US10-year Notes during the first quarter of 2020. During this period, the highest closing yield was 188bps on January 2nd, while the lowest rate was 54bps on March 9th. As of March 31, 2020, the end of the quarter, the closing yield was 70bps.

8 

Bloomberg. Investment Grade Credit is measured by the J.P. Morgan Investment Grade Credit Index during itspeak-to-trough period (March 6, 2020 – March, 20, 2020). The index returned-3.43% in Q1 2020. High-Yield Credit is measured by the J.P. Morgan US High-Yield Credit Index during itspeak-to-trough period (2/20/2020 – 3/23/2020). The index returned-14.30% in Q1 2020.

9 

Bloomberg. Structured Credit Markets are represented by CMBXBBB- CDSI S12 PRC Corp, which returned-46.57% during itspeak-to-trough period (2/12/2020 – 3/24/2020) and-32.53% in Q1 2020.

10 

Bloomberg. Oil is measured by the Active WTI Crude Oil Futures Contract (“CL1 COMB Comdty”), which returned-66.46% in Q1 2020.

11 

Bloomberg. Emerging Markets High-Yield Sovereign Debt is measured by the JP Morgan EMBI Global Diversified High-Yield Index (“JPGCHY”) during itspeak-to-trough period (2/21/2020 – 3/23/2020). JPGCHY returned-22.44% in Q1 2020.

12 

Federal Reserve Bank of St. Louis Economic Research: Weekly Initial Claims (as of March 28th, 2020)

13 

US Bureau of Labor Statistics.

14 

Trading Economics: United States Initial Jobless Claims.

15 

Federal Reserve Bank of St. Louis Economic Research: Weekly Initial Claims (as of March 28th, 2020).

 

3


Table of Contents

has not been limited to the US—a recent report projected the year-over-year change in real GDP for the UK to be-6.5% in 2020, which would make it the third largest annual contraction since 1900 and significantly larger than the-4.2% faced in the aftermath of the GFC in 200916.

The government response to this threat has been broad. Central banks have largely revisited the monetary policy playbook adopted in response to the GFC to support the efficient functioning of capital markets and they have generally exceeded expectations in the speed of their action. On March 15, 2020, the Fed cut its benchmark interest rate to the zero lower-bound from 1.50% at the start of the month. The Fed has also supported liquidity in international funding markets, treasuries, mortgages, asset-backed securities, money markets (commercial paper) and repurchase agreements, in part by pledging to purchase hundreds of billions of treasuries, mortgage-backed-securities, and investment grade bonds as the buyer of last resort. In terms of fiscal policy, lawmakers have reached across the aisle to bring together a $2 trillion relief package known as the Coronavirus Aid, Relief, and Economic Security Act (“CARES”), which aims to provide financial support for individuals, corporations, and the broader public health system. US lawmakers are already constructing the next phase of this response, signaling a similar open-ended posture to that demonstrated by the Fed. Many government institutions around the globe are rolling out similar measures to support the healthy functioning of financial markets. These include a €750 billion Pandemic Purchasing program by the European Central Bank (“ECB”), interest rate cuts and emergency spending provisions in the UK, and wide-scale lending through zero interest rate facilities forlow-income countries by the International Monetary Fund (“IMF”), among many other country-specific efforts. These fiscal and monetary policy responses are large and have historically been helpful in mitigating the impact of any potential economic slowdown.

The Fund entered Q1 2020 conservatively positioned, with (i) low beta to equities, (ii) an over-allocation to securities backed by agency mortgages and commercial real estate, predicated on our view of stronger fundamentals relative to those of corporate credit, (iii) balanced, diversifying exposures, and (iv) ample sources of liquidity. While the deliberate defensive positioning and diversification mitigated volatility in January and February, allocations to certain Credit and Multi-Asset exposures ultimately detracted from performance in March largely due to the broad-based market drawdown described in the commentary above.

Over the Reporting Period, the Fund’s Equity strategies were the largest contributor to performance (+0.42%18). Against a materially negative global equity market backdrop, Equity Market Neutralsub-strategies posted gains, benefitting from the performance of uncorrelated quantitative strategies, even in the recent drawdown. These strategies generated profits as volatility increased and exploited mispricing in technical factors resulting from the market dislocation. Equity Long/Shortsub-strategies, meanwhile, suffered losses in the first quarter of 2020 that more than offset their profits through the first three quarters of the Reporting Period. Thesesub-strategies were negatively impacted in the first quarter by broad-basedde-risking in the market and their exposure to the Health Care sector, which broadly suffered (S&P 500 Health Care Index TR returned-13%17) in light of the pandemic. The Fund also benefited from portfolio hedges implemented by BAIA. Sincemid-2017, BAIA has hedged out residual equity beta in this portion of the portfolio via a short S&P futures position, which helped mitigate losses in the recent market drawdown.

Credit strategies were a large detractor to the Fund’s performance(-6.28%18). Over the past few years, BAIA has reduced corporate credit risk in favor of structured credit. Prior to theCOVID-19 outbreak, BAIA observed the fundamental strength of the US consumer relative to global corporations, and the Fund increased allocations to Fixed Income—Asset Backedsub-strategies accordingly. Thesesub-strategies included exposures to collateralized securities such as Residential Mortgage-Backed Securities (“RMBS”) and Commercial Mortgage-Backed Securities (“CMBS”). In the second half of March, BAIA began to see forced unwinding from a variety of market participants, particularly in mortgages and other Fixed Income-Asset Backed exposures. Against this backdrop, the Fund’s exposure to Fixed Income—Asset Backedsub-strategies resulted in negative performance attribution. The performance of Distressed/Restructuringsub-strategies with

 

16 

Deutsche Bank: 800 Years of Large Economic Contractions (March 30, 2020).

17 

Indices are provided for illustrative purposes only. They have not been selected to represent benchmarks or targets for the Fund, but rather are disclosed to allow for comparison of the Fund’s performance to that of well-known and widely recognized indices.

18 

Sub-strategy contribution is shown gross of all fees and expenses. Estimated and unaudited.

 

4


Table of Contents

exposure to debt securities tied to financial institutions suffered as well. BAIA believes that the underlying collateral and fundamental value of the Fund’s Credit exposures are sound, and that there is the potential for price recovery for certain high-quality credits once market conditions eventually normalize.

Multi-Asset strategies also detracted from performance during the Reporting Period(-4.02%18). Discretionary Thematicsub-strategies were adversely affected by exposure to emerging market debt, particularly sovereign and quasi-sovereign bonds, which drew down in light of a selloff in oil prices and a subsequent wave of retail outflows from the sector. Exposure to Multi-Strategysub-strategies also experienced losses during the Reporting Period. Within this portion of the book, exposure to risk parity strategies, which typically allocate capital across multiple asset classes by equalizing the risk contributions of each, came under pressure. These strategies can provide a meaningful source of diversification when negative correlations hold between the asset classes, however, when cross-asset correlations increase, as was the case during March 2020, these strategies can unwind. While the Fund’s exposure to risk parity strategies was one of its strongest performers in 2019, it was ultimately a large detractor for the Reporting Period.

We are grateful for your choosing to invest with us and for giving us the opportunity to serve you for years to come.

Sincerely,

 

  

Gideon Berger

  

Raymond Chan

  

Min Htoo

  

Robert Jordan

  

Ian Morris

  

Alberto Santulin

  

Stephen Sullens

Note: We want to make you aware of a change in our Portfolio Managerline-up—effective as of September 11, 2019, Raymond (“Ray”) Chan has joined the Fund as a Portfolio Manager. Ray demonstrates high-quality, experienced investment talent that will be additive to our investment process. He serves alongside the Fund’s six other existing Portfolio Managers. For more information on Ray’s experience, please refer to the “Portfolio Managers” section on www.bxmix.com.

 

18 

Sub-strategy contribution is shown gross of all fees and expenses.Sub-strategy contribution is estimated and unaudited.

 

5


Table of Contents

Performance Summary

Performance quoted represents past performance, which may be higher or lower than current performance. Past performance is not indicative of future results. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. The returns shown do not reflect taxes that an investor would pay on fund distributions or on the sale of fund shares. To obtain the most recentmonth-end performance, visit www.bxmix.com.

Value of a $10,000 Investment Since Inception at Net Asset Value*

 

LOGO

None of the indices presented are benchmarks or targets for the Fund.

 

*

The line graph represents historical performance of a hypothetical investment of $10,000 from Inception (June 16, 2014) to March 31, 2020, assuming the reinvestment of distributions.

Cumulative Total Return

 

  For the
Year Ended
March 31,

2020
 Since
Inception
(June 16,

2014)

Class I Shares (“BXMIX”)

   (12.32)%   1.6%

HFRX Global Hedge Fund Index

   (1.39)%   (2.58)%

MSCI World Total Return Index

   (9.87)%   24.71%

Bloomberg Barclays Global Aggregate Bond Index

   4.20%   7.86%

 

6


Table of Contents

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Portfolio Information

March 31, 2020

 

Geographic Breakdown

 Percentage of
Total Net Assets

North America

   58.4%

Europe

   1.8

South America

   1.7

Middle East

   0.7

Asia

   0.6

Africa

   0.1

Oceania

   0.02 

Other 1

   20.6

Securities Sold Short

   (5.5)

Other Assets and Liabilities 3

   21.6
  

 

 

 

Total

   100.0%
  

 

 

 

 

1 

Includes Sovereign Debt, Exchange-Traded Funds, Warrants, Short-Term Investment—Money Market Fund, Repurchase Agreements and 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.

 

Portfolio Composition

 Percentage of
Total Net Assets

Mortgage-Backed Securities

   21.3%

Sovereign Debt

   15.0

Common Stock

   10.8

Investments in Investee Funds

   8.9

Corporate Bonds & Notes

   6.0

Repurchase Agreements

   5.0

Asset-Backed Securities

   4.7

Bank Debt

   4.4

U.S. Treasury Obligations

   3.7

U.S. Government Sponsored Agency Securities

   3.2

Exchange-Traded Funds

   0.4

Municipals

   0.4

Warrants

   0.1

Convertible Bonds

   0.02 

Preferred Stock

   0.02 

Short-Term Investment-Money Market Funds

   0.02 

Other 1

   0.02 

Securities Sold Short

   (5.5)

Other Assets and Liabilities 3

   21.6
  

 

 

 

Total

   100.0%
  

 

 

 

 

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

   9.9%

AA/Aa

   0.8

A

   1.7

BBB/Baa

   6.8

BB/Ba

   8.7

B

   15.7

CCC/Caa

   2.7

CC/Ca

   0.5

D

   0.1

Not Rated

   27.6

Other3

   25.5
  

 

 

 

Total Investments in Securities

   100.0%
  

 

 

 

 

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 which are deemed AAA/Aaa by the Investment Adviser.

3 

Includes Common Stock, Exchange-Traded Funds, Short-Term Investment—Money Market Fund and Purchased Options.

 

 

See Notes to Consolidated Financial Statements.

 

7


Table of Contents

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Portfolio Information (Continued)

March 31, 2020

 

Industry

 Percentage of
Total Net Assets

Asset Management

   3.0%

Integrated Oils

   2.2

Health Care Facilities & Services

   1.8

Biotechnology & Pharmaceuticals

   1.5

Retail-Discretionary

   1.1

Banking

   1.0

Exploration & Production

   0.8

Medical Equipment & Devices

   0.7

Real Estate

   0.6

Industrial Other

   0.5

Retail-Consumer Discretionary

   0.5

Utilities

   0.5

Gaming, Lodging & Restaurants

   0.4

Oil, Gas & Coal

   0.4

Pipeline

   0.4

Software & Services

   0.4

Advertising & Marketing

   0.3

Consumer Services

   0.3

Home Improvement

   0.3

Machinery Manufacturing

   0.3

Media

   0.3

Software

   0.3

Consumer Finance

   0.2

Consumer Products

   0.2

Financial Services

   0.2

Food & Beverage

   0.2

Managed Care

   0.2

Manufactured Goods

   0.2

Property & Casualty Insurance

   0.2

Refining & Marketing

   0.2

Banks

   0.1

Cable & Satellite

   0.1

Chemicals

   0.1

Commercial Services

   0.1

Containers & Packaging

   0.1

Entertainment Resources

   0.1

Hardware

   0.1

Internet Media

   0.1

Iron & Steel

   0.1

Metals & Mining

   0.1

Oil & Gas Services & Equipment

   0.1

Publishing & Broadcasting

   0.1

Recreation Facilities & Services

   0.1

Restaurants

   0.1

Retail-Consumer Staples

   0.1

Semiconductors

   0.1

 

See Notes to Consolidated Financial Statements.

 

8


Table of Contents

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Portfolio Information (Continued)

March 31, 2020

 

Industry

 Percentage of
Total Net Assets

Specialty Finance

   0.1%

Telecommunications

   0.1

Travel & Lodging

   0.1

Wireless Telecommunications Services

   0.1

Aerospace & Defense

   0.01 

Airlines

   0.01 

Apparel & Textile Products

   0.01 

Auto Parts Manufacturing

   0.01 

Automobiles Manufacturing

   0.01 

Automotive

   0.01 

Casinos & Gaming

   0.01 

Coal Operations

   0.01 

Communications Equipment

   0.01 

Construction Materials

   0.01 

Construction Materials Manufacturing

   0.01 

Defence Equipment

   0.01 

Design, Manufacturing & Distribution

   0.01 

Distributors-Consumer Staples

   0.01 

Distributors-Discretionary

   0.01 

Educational Services

   0.01 

Electric Utilities

   0.01 

Electrical Equipment

   0.01 

Electrical Equipment Manufacturing

   0.01 

Engineering & Construction Services

   0.01 

Entertainment Contents

   0.01 

Forest & Paper Products

   0.01 

Home & Office Products

   0.01 

Homebuilders

   0.01 

Industrial Services

   0.01 

Institutional Financial Services

   0.01 

Insurance

   0.01 

Leisure Products

   0.01 

Machinery

   0.01 

Medical Equipment & Devices Manufacturing

   0.01 

Passenger Transportation

   0.01 

Pharmaceuticals

   0.01 

Power Generation

   0.01 

Renewable Energy

   0.01 

Technology Services

   0.01 

Transportation & Logistics

   0.01 

Transportation Equipment

   0.01 

Waste & Environmental Services & Equipment

   0.01 

Other2

   62.7

Securities Sold Short

   (5.5)

 

See Notes to Consolidated Financial Statements.

 

9


Table of Contents

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Portfolio Information (Continued)

March 31, 2020

 

Industry

 Percentage of
Total Net Assets

Other Assets and Liabilities3

   21.6%
  

 

 

 

Total Investments

   100.0%
  

 

 

 

 

1 

Represents less than 0.1%.

2 

Includes Asset-Backed Securities, Sovereign Debt, Municipals, Mortgage-Backed Securities, U.S. Government Sponsored Agency Securities, U.S. Treasury Obligations, Exchange-Traded Funds, Warrants, Investments in Investee Funds, Short-Term Investment—Money Market Fund, Repurchase Agreements 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.

 

10


Table of Contents

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments

March 31, 2020

 

Security Description

  Shares              Value 

INVESTMENTS IN SECURITIES — 83.9%

        

COMMON STOCK — 10.8%

        

Africa — 0.0%

        

Chemicals — 0.0%

        

Sasol Ltd., ADR (a)

   500       $1,005 
        

 

 

 

Metals & Mining — 0.0%

 

      

AngloGold Ashanti Ltd., ADR

   300        4,989 

Gold Fields Ltd., ADR

   400        1,900 

Harmony Gold Mining Co. Ltd., ADR (a)

   500        1,090 
        

 

 

 
         7,979 
        

 

 

 

Specialty Finance — 0.0%

 

      

Net 1 UEPS Technologies, Inc. (a)

   2,900        8,439 
        

 

 

 

Total Africa

 

       17,423 
        

 

 

 

Asia — 0.6%

 

      

Asset Management — 0.1%

 

      

CITIC Capital Acquisition Corp. (a),(c),(b)

   702,800        6,922,580 
        

 

 

 

Biotechnology & Pharmaceuticals — 0.0%

 

      

Sinovac Biotech Ltd. (a),(b)

   200        1,294 
        

 

 

 

Consumer Products — 0.0%

 

      

Viomi Technology Co. Ltd. (b)

   400        1,740 
        

 

 

 

Consumer Services — 0.0%

 

      

New Oriental Education & Technology Group, Inc., ADR (a)

   100        10,824 

Tarena International, Inc., ADR (b),(a)

   900        3,447 
        

 

 

 
         14,271 
        

 

 

 

Gaming, Lodging & Restaurants — 0.0%

 

      

Melco Resorts & Entertainment Ltd., ADR

   27,200        337,280 
        

 

 

 

Health Care Facilities & Services — 0.0%

 

      

Global Cord Blood Corp. (b),(a)

   1,829        5,816 
        

 

 

 

Machinery — 0.0%

 

      

China Yuchai International Ltd. (b)

   1,245        13,396 

Hollysys Automation Technologies Ltd.

   6,700        86,430 
        

 

 

 
         99,826 
        

 

 

 

Media — 0.0%

 

      

Phoenix New Media Ltd., ADR (b)

   1,100        1,362 

Sohu.com Ltd., ADR (a),(b)

   3,200        19,936 

Tencent Music Entertainment Group, ADR (a)

   100        1,006 

 

See Notes to Consolidated Financial Statements.

 

11


Table of Contents

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2020

 

Security Description

  Shares              Value 

Trip.com Group Ltd., ADR (a)

   200       $4,690 

Weibo Corp., ADR (a)

   10        331 
        

 

 

 
         27,325 
        

 

 

 

Real Estate — 0.0%

 

      

Xinyuan Real Estate Co. Ltd., ADR (b)

   3,400        7,412 
        

 

 

 

Retail—Discretionary — 0.5%

 

      

Alibaba Group Holding Ltd., ADR (a),(c),(b)

   143,683        27,943,470 

Pinduoduo, Inc., ADR(a)

   600        21,618 
        

 

 

 
         27,965,088 
        

 

 

 

Semiconductors — 0.0%

 

      

Kulicke & Soffa Industries, Inc.

   8,300        173,221 

Magnachip Semiconductor Corp. (a),(b)

   9,700        107,185 

Silicon Motion Technology Corp., ADR

   1,000        36,660 

United Microelectronics Corp., ADR

   1,500        3,255 
        

 

 

 
         320,321 
        

 

 

 

Specialty Finance — 0.0%

 

      

Hexindai, Inc., ADR (a)

   1,900        798 
        

 

 

 

Technology Services — 0.0%

 

      

Wipro Ltd., ADR

   34        105 

WNS Holdings Ltd., ADR (a)

   5,300        227,794 
        

 

 

 
         227,899 
        

 

 

 

Telecommunications — 0.0%

 

      

Aspire Holdings LLC, Class A (c),(d),(a)

   1,502,082        2 

China Telecom Corp. Ltd., ADR (b)

   4,700        143,444 

China Unicom Hong Kong Ltd., ADR

   100        588 

VEON Ltd., ADR

   38,300        57,833 
        

 

 

 
         201,867 
        

 

 

 

Total Asia

 

       36,133,517 
        

 

 

 

Europe — 0.3%

 

      

Asset Management — 0.1%

 

      

Bespoke Capital Acquisition Corp., A Shares (a),(c)

   750,000        7,267,500 
        

 

 

 

Automotive — 0.0%

 

      

Fiat Chrysler Automobiles NV

   20,100        144,519 
        

 

 

 

Biotechnology & Pharmaceuticals — 0.2%

 

      

CRISPR Therapeutics AG (a)

   6,200        262,942 

GlaxoSmithKline PLC, ADR

   200        7,578 

InflaRx NV (a)

   2,300        8,786 

Novartis AG (c)

   160,310        13,299,484 

 

See Notes to Consolidated Financial Statements.

 

12


Table of Contents

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2020

 

Security Description

  Shares              Value 

Prothena Corp. PLC (a),(b)

   6,000       $64,200 
        

 

 

 
         13,642,990 
        

 

 

 

Chemicals — 0.0%

 

      

Orion Engineered Carbons SA (a)

   16,800        125,328 
        

 

 

 

Iron & Steel — 0.0%

 

      

ArcelorMittal (b)

   503        4,693 
        

 

 

 

Media — 0.0%

 

      

Trivago NV, ADR (a)

   4,600        6,716 
        

 

 

 

Medical Equipment & Devices — 0.0%

 

      

Trinity Biotech PLC, ADR (a),(b)

   1,400        1,540 
        

 

 

 

Oil, Gas & Coal — 0.0%

 

      

TechnipFMC PLC

   24,600        165,804 
        

 

 

 

Recreation Facilities & Services — 0.0%

 

      

Manchester United PLC, Class A

   300        4,515 
        

 

 

 

Retail—Discretionary — 0.0%

 

      

Hudson Ltd., Class A (a)

   8,800        44,176 
        

 

 

 

Semiconductors — 0.0%

 

      

NXP Semiconductors NV (c),(b)

   8,150        675,880 
        

 

 

 

Software — 0.0%

 

      

Micro Focus International plc, ADR (a),(b)

   6,400        32,448 
        

 

 

 

Specialty Finance — 0.0%

 

      

Fly Leasing Ltd., ADR (a)

   100        704 
        

 

 

 

Technology Services — 0.0%

 

      

Atento SA (a),(b)

   4,500        4,950 
        

 

 

 

Transportation & Logistics — 0.0%

 

      

Costamare, Inc.

   600        2,712 

Diana Shipping, Inc. (a)

   147        217 

GasLog Partners LP

   300        669 

Golden Ocean Group Ltd. (a),(b)

   320        1,002 

Safe Bulkers, Inc. (a),(b)

   12,300        14,637 

SFL Corp. Ltd.

   100        947 

Tsakos Energy Navigation Ltd. (a),(b)

   6,700        21,842 
        

 

 

 
         42,026 
        

 

 

 

Utilities — 0.0%

 

      

Atlantica Yield PLC

   7,700        171,710 
        

 

 

 

Total Europe

 

       22,335,499 
        

 

 

 

 

See Notes to Consolidated Financial Statements.

 

13


Table of Contents

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2020

 

Security Description

  Shares              Value 

Middle East — 0.0%

 

      

Aerospace & Defense — 0.0%

 

      

Ituran Location and Control Ltd. (b)

   300       $4,263 
        

 

 

 

Biotechnology & Pharmaceuticals — 0.0%

 

      

Intec Pharma Ltd. (a),(b)

   500        95 
        

 

 

 

Electrical Equipment — 0.0%

 

      

Camtek Ltd. (b)

   4,100        34,522 
        

 

 

 

Hardware — 0.0%

 

      

Ceragon Networks Ltd. (a),(b)

   2,400        3,024 

Radware Ltd. (a)

   900        18,963 
        

 

 

 
         21,987 
        

 

 

 

Semiconductors — 0.0%

 

      

Mellanox Technologies Ltd. (a)

   300        36,396 

Nova Measuring Instruments Ltd. (a),(b)

   800        26,120 

Tower Semiconductor Ltd. (a)

   5,700        90,744 
        

 

 

 
         153,260 
        

 

 

 

Software — 0.0%

 

      

Allot Ltd. (a),(b)

   800        7,560 
        

 

 

 

Total Middle East

 

       221,687 
        

 

 

 

North America — 9.9%

 

      

Aerospace & Defense — 0.0%

 

      

AAR Corp. (b)

   2,500        44,400 

American Outdoor Brands Corp. (a)

   8,500        70,550 

Astronics Corp. (a),(b)

   2,800        25,704 

Ducommun, Inc. (a),(b)

   800        19,880 

HEICO Corp.

   1,188        88,636 

Hexcel Corp.

   23,299        866,490 

Raytheon Co. (b)

   2,900        380,335 

Spirit AeroSystems Holdings, Inc., Class A (a)

   300        7,179 

Woodward, Inc. (a)

   100        5,944 
        

 

 

 
         1,509,118 
        

 

 

 

Apparel & Textile Products — 0.0%

 

      

Culp, Inc. (b)

   1,800        13,248 

Levi Strauss & Co., Class A

   4,800        59,664 

Tapestry, Inc. (a),(b)

   77,200        999,740 

Under Armour, Inc., Class A (a)

   1,000        9,210 

Unifi, Inc. (a),(b)

   1,100        12,705 

VF Corp. (b)

   1        54 

Vince Holding Corp. (a),(b)

   306        1,187 
        

 

 

 
         1,095,808 
        

 

 

 

 

See Notes to Consolidated Financial Statements.

 

14


Table of Contents

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2020

 

Security Description

  Shares             Value 

Asset Management — 2.8%

 

      

Amplitude Healthcare Acquisition Corp., Class A (a),(c),(b)

   300,000       $2,865,000 

Apex Technology Acquisition Corp., Class A (a),(c),(b)

   1,050,000        10,258,500 

Apollo Investment Corp.

   4,000        27,000 

Ares Capital Corp.

   27,200        293,216 

Ares Management Corp., Class A (b)

   1,400        43,302 

ARYA Sciences Acquisition Corp., Class A (a),(c),(b)

   419,940        4,270,790 

Bain Capital Specialty Finance, Inc.

   14,400        133,488 

BlackRock Capital Investment Corp. (b)

   19,000        41,800 

BlackRock TCP Capital Corp. (b)

   16,400        102,500 

BrightSphere Investment Group PLC (a)

   14,900        95,211 

Calamos Asset Management, Inc. (a)

   7,100        0 

Capital Southwest Corp. (b)

   2,300        26,266 

Capitala Finance Corp. (b)

   4,500        14,085 

CHP Merger Corp. (a),(c),(b)

   825,000        8,167,500 

Churchill Capital Corp. II (a),(c),(b)

   38,000        383,800 

Churchill Capital Corp. II, Class A (a),(c),(b)

   750,000        7,462,500 

Churchill Capital Corp. III (a),(c),(b)

   1,294,000        12,940,000 

Collier Creek Holdings, Class A (a),(c),(b)

   224,400        2,295,612 

Conyers Park II Acquisition Corp., Class A (a),(c),(b)

   500,000        5,335,000 

Crescent Acquisition Corp., Class A (a),(c),(b)

   500,000        4,925,000 

DFP Healthcare Acquisitions Corp. (a),(c),(b)

   700,000        6,944,000 

Far Point Acquisition Corp., Class A (a),(c),(b)

   266,667        2,698,670 

Fidus Investment Corp. (b)

   5,600        37,072 

FinServ Acquisition Corp., Class A (a),(c),(b)

   333,334        3,200,006 

Flying Eagle Acquisition Corp. (a),(c),(b)

   1,266,400        12,626,008 

Forum Merger II Corp., Class A (a),(c),(b)

   31,000        318,990 

Franklin Resources, Inc.

   200        3,338 

Garrison Capital, Inc. (b)

   1,300        2,210 

GigCapital2, Inc. (a),(c),(b),(d)

   500,000        55,050 

Gladstone Capital Corp.

   300        1,686 

Gladstone Investment Corp. (b)

   9,200        72,220 

Gores Holdings IV, Inc. (a),(c),(b)

   91,837        924,798 

Gores Metropoulos, Inc., Class A (a),(c),(b)

   750,000        7,612,500 

Great Elm Capital Corp. (b)

   200        560 

GX Acquisition Corp., Class A (a),(c),(b)

   500,000        4,900,000 

Haymaker Acquisition Corp. II, Class A (a),(c),(b)

   600,000        5,874,000 

Healthcare Merger Corp., Class A (a),(c),(b)

   562,500        5,540,625 

Hennessy Capital Acquisition Corp., Class A (a),(c),(b)

   380,000        3,841,800 

Horizon Technology Finance Corp. (b)

   4,600        37,352 

InterPrivate Acquisition Corp. (a),(c),(b)

   250,000        2,472,500 

Juniper Industrial Holdings, Inc. (a),(c),(b)

   398,243        3,831,098 

 

See Notes to Consolidated Financial Statements.

 

15


Table of Contents

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2020

 

Security Description

  Shares             Value 

Landcadia Holdings II, Inc., Class A (a),(c),(b)

   750,000       $7,410,000 

LifeSci Acquisition Corp. (a),(c),(b)

   134,000        1,319,900 

Manning & Napier, Inc. (b)

   1,600        2,000 

Medallion Financial Corp. (a),(b)

   1,600        2,976 

Monocle Acquisition Corp. (a),(c),(b)

   200,000        2,010,000 

Monroe Capital Corp. (b)

   3,500        24,850 

New Mountain Finance Corp.

   1,600        10,880 

New Providence Acquisition Corp., Class A (a),(c),(b)

   600,000        5,880,000 

Newtek Business Services Corp.

   3,200        42,272 

Oaktree Specialty Lending Corp.

   39,400        127,656 

Oppenheimer Holdings, Inc., Class A (b)

   700        13,832 

Osprey Technology Acquisition Corp., Class A (a),(c),(b)

   711,562        6,916,383 

Oxford Square Capital Corp. (b)

   6,800        17,340 

PennantPark Floating Rate Capital Ltd. (b)

   10,800        52,488 

PennantPark Investment Corp. (b)

   18,700        48,433 

Portman Ridge Finance Corp. (b)

   4,800        4,492 

PropTech Acquisition Corp., Class A (a),(c),(b)

   195,000        1,920,750 

Saratoga Investment Corp. (b)

   100        1,151 

SCVX Corp. (a),(c),(b)

   428,572        4,272,863 

Silver Spike Acquisition Corp., Class A (a),(c),(b)

   375,000        3,690,000 

Software Acquisition Group, Inc., Class A (a),(c),(b)

   448,500        4,319,055 

Solar Capital Ltd. (b)

   11,800        137,352 

Solar Senior Capital Ltd. (b)

   1,800        17,478 

South Mountain Merger Corp., Class A (a),(c),(b)

   400,000        3,880,000 

Subversive Capital Acquisition Corp., Class A (a),(c)

   1,000,000        9,690,000 

TCG BDC, Inc. (b)

   14,000        73,080 

THL Credit, Inc. (b)

   5,300        14,045 

Thunder Bridge Acquisition II Ltd., Class A (a),(c),(b)

   375,000        3,656,250 

TriplePoint Venture Growth BDC Corp. (b)

   1,500        8,610 

Tuscan Holdings Corp. (a),(c),(b)

   400,000        3,988,000 

Tuscan Holdings Corp. II (a),(c),(b)

   316,300        3,077,599 

WhiteHorse Finance, Inc. (b)

   5,700        40,356 

WisdomTree Investments, Inc.

   200        466 
        

 

 

 
         183,345,610 
        

 

 

 

Automotive — 0.0%

 

      

Adient PLC (b)

   1,100        9,977 

Cooper-Standard Holding, Inc. (a),(b)

   4,700        48,269 

Dana, Inc.

   1,700        13,277 

Delphi Technologies plc

   15,300        123,165 

Goodyear Tire & Rubber Co.

   600        3,492 

Modine Manufacturing Co. (a),(b)

   5,900        19,175 

Superior Industries International, Inc. (b)

   2,600        3,120 

 

See Notes to Consolidated Financial Statements.

 

16


Table of Contents

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2020

 

Security Description

  Shares             Value 

Telenav, Inc. (a)

   10,400       $44,928 

Tenneco, Inc., Class A (b)

   1,200        4,320 

Tesla Motors, Inc. (a),(b)

   4,045        2,119,580 
        

 

 

 
         2,389,303 
        

 

 

 

Banking — 1.0%

 

      

Arrow Financial Corp. (b)

   380        10,591 

Atlantic Capital Bancshares, Inc. (a)

   2,700        32,049 

BancFirst Corp. (b)

   300        10,011 

Bancorp, Inc. (a),(b)

   12,200        74,054 

Bank of Marin Bancorp (b)

   600        18,000 

Bank of NT Butterfield & Son Ltd. (b)

   5,300        90,259 

BankFinancial Corp. (b)

   855        7,533 

Bridgewater Bancshares, Inc. (a),(b)

   1,200        11,700 

Byline Bancorp, Inc. (c),(b)

   755,785        7,837,490 

Cadence BanCorp (b)

   23,840        156,152 

Central Pacific Financial Corp. (b)

   700        11,130 

Citizens Financial Group, Inc.

   11,800        221,958 

Comerica, Inc. (b)

   21,500        630,810 

Commerce Bancshares, Inc.

   20        1,007 

ConnectOne Bancorp, Inc. (c),(b)

   423,950        5,697,888 

East West Bancorp, Inc.

   24,400        628,056 

Farmers National Banc Corp.

   4,100        47,683 

Fifth Third Bancorp

   300        4,455 

Financial Institutions, Inc. (b)

   1,100        19,954 

First BanCorp

   60,800        323,456 

First Community Bankshares, Inc. (b)

   1,000        23,300 

First Defiance Financial Corp. (b)

   2,048        30,187 

First Financial Corp. (b)

   300        10,116 

First Financial Northwest, Inc. (b)

   400        4,016 

First Horizon National Corp. (a)

   100        806 

First of Long Island Corp. (The) (b)

   100        1,735 

Flushing Financial Corp. (b)

   700        9,352 

FS Bancorp, Inc. (b)

   100        3,600 

Great Southern Bancorp, Inc. (b)

   100        4,040 

Harborone Bancorp, Inc. (a)

   28        211 

HBT Financial, Inc. (b)

   400        4,212 

Heritage Commerce Corp.

   9,900        75,933 

Home BancShares, Inc.

   15        180 

HomeTrust Bancshares, Inc. (b)

   1,200        19,104 

Horizon Bancorp, Inc. (b)

   1,000        9,860 

IBERIABANK Corp.

   4,400        159,104 

Independent Bank Corp. (b)

   4,700        60,489 

Independent Bank Group, Inc. (c),(b)

   389,332        9,219,382 

KeyCorp

   2,800        29,036 

Lakeland Bancorp, Inc. (b)

   200        2,162 

 

See Notes to Consolidated Financial Statements.

 

17


Table of Contents

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2020

 

Security Description

  Shares             Value 

Live Oak Bancshares, Inc.

   2,200       $27,434 

Macatawa Bank Corp. (b)

   1,700        12,104 

Mercantile Bank Corp. (b)

   900        19,053 

Midland States Bancorp, Inc. (c),(b)

   149,910        2,621,926 

MidWestOne Financial Group, Inc. (b)

   400        8,376 

National Bankshares, Inc. (b)

   100        3,190 

Northrim BanCorp, Inc. (b)

   400        10,800 

OceanFirst Financial Corp. (c),(b)

   1,029,452        16,378,581 

Opus Bank

   8,000        138,640 

Origin Bancorp, Inc. (c),(b)

   8,995        182,149 

PB Bancorp, Inc. (b)

   100        1,490 

PCB Bancorp (b)

   300        2,934 

PCSB Financial Corp. (b)

   2,500        34,975 

Peapack Gladstone Financial Corp. (b)

   1,000        17,950 

Peoples Bancorp, Inc. (b)

   200        4,430 

Popular, Inc.

   9,990        349,650 

Prosperity Bancshares, Inc.

   27        1,303 

Provident Bancorp, Inc. (a),(b)

   2,900        24,998 

Provident Financial Services, Inc.

   500        6,430 

QCR Holdings, Inc. (c),(b)

   281,844        7,629,517 

Regions Financial Corp. (b)

   258,300        2,316,951 

Republic First Bancorp, Inc. (a)

   1,100        2,409 

Sierra Bancorp (b)

   800        14,064 

Southern National Bancorp of Virginia, Inc. (b)

   1,400        13,776 

Spirit of Texas Bancshares, Inc. (a),(b)

   1,000        10,340 

Stock Yards Bancorp, Inc. (b)

   900        26,037 

Synovus Financial Corp.

   16,563        290,846 

Territorial Bancorp, Inc. (b)

   300        7,365 

TFS Financial Corp.

   48        733 

TriState Capital Holdings, Inc. (a),(b)

   800        7,736 

TrustCo Bank Corp.

   300        1,623 

Umpqua Holdings Corp.

   21,100        229,990 

Univest Financial Corp. (c),(b)

   542,861        8,859,491 

Washington Trust Bancorp, Inc. (b)

   800        29,248 

Waterstone Financial, Inc.

   600        8,724 
        

 

 

 
         64,796,324 
        

 

 

 

Banks — 0.0%

 

      

CIT Group, Inc. (a)

   100        1,726 
        

 

 

 

Biotechnology & Pharmaceuticals — 1.3%

 

      

AbbVie, Inc. (c)

   145,390        11,077,264 

Acorda Therapeutics, Inc. (a)

   13,400        12,497 

Aduro Biotech, Inc. (a),(b)

   5,100        13,974 

Agenus, Inc. (a)

   24,300        59,535 

Aimmune Therapeutics, Inc. (a)

   100        1,442 

Akorn, Inc. (a)

   35,300        19,810 

 

See Notes to Consolidated Financial Statements.

 

18


Table of Contents

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2020

 

Security Description

  Shares             Value 

Aldeyra Therapeutics, Inc. (a),(b)

   1,100       $2,717 

Alexion Pharmaceuticals, Inc. (a)

   1,700        152,643 

Alkermes PLC (a)

   44,100        635,922 

Allergan PLC (c),(b)

   152,897        27,078,059 

AMAG Pharmaceuticals, Inc. (a)

   7,800        48,204 

Amneal Pharmaceuticals, Inc. (a)

   10,800        37,584 

AnaptysBio, Inc. (a)

   7,600        107,388 

Anika Therapeutics, Inc. (a),(b)

   3,900        112,749 

Antares Pharma, Inc. (a),(b)

   46,300        109,268 

Apellis Pharmaceuticals, Inc. (a),(b)

   21,000        562,590 

Applied Genetic Technologies Corp. (a),(b)

   700        2,296 

Aptinyx, Inc. (a),(b)

   3,400        7,344 

Aravive, Inc. (a),(b)

   4,298        24,756 

Arbutus Biopharma Corp. (a),(b)

   1,300        1,313 

Arcturus Therapeutics Holdings Co. (a),(b)

   700        9,513 

Arcus Biosciences, Inc. (a),(b)

   2,000        27,760 

Ardelyx, Inc. (a)

   3,900        22,172 

Arrowhead Pharmaceuticals, Inc. (a)

   27,400        788,298 

Arvinas Holding Co. LLC (a),(b)

   4,800        193,440 

Assembly Biosciences, Inc. (a),(b)

   400        5,932 

Assertio Therapeutics, Inc. (a),(b)

   5,700        3,705 

Atara Biotherapeutics, Inc. (a)

   14,500        123,395 

Athenex, Inc. (a),(b)

   11,500        89,010 

aTyr Pharma, Inc. (a),(b)

   700        1,960 

Avid Bioservices, Inc. (a)

   2,243        11,462 

BioCryst Pharmaceuticals, Inc. (a)

   43,100        86,200 

BioDelivery Sciences International, Inc. (a)

   26,900        101,951 

Biohaven Pharmaceutical Holding Co. Ltd. (a)

   6,100        207,583 

BioSpecifics Technologies Corp. (a),(b)

   100        5,657 

Bluebird Bio, Inc. (a),(b)

   2,200        101,112 

Calithera Biosciences, Inc. (a),(b)

   3,500        15,540 

Cassava Sciences, Inc. (a),(b)

   25        103 

Catalyst Biosciences, Inc. (a),(b)

   4,800        20,976 

Catalyst Pharmaceuticals, Inc. (a)

   13,200        50,820 

Celldex Therapeutics, Inc. (a),(b)

   534        886 

ChemoCentryx, Inc. (a)

   6,500        261,170 

Chimerix, Inc. (a)

   17,200        24,768 

Cidara Therapeutics, Inc. (a),(b)

   100        248 

Coherus Biosciences, Inc. (a)

   9,400        152,468 

Concert Pharmaceuticals, Inc. (a),(b)

   2,200        19,448 

Contra OncoMed Pharmaceuticals, Inc. (a)

   700        0 

CTI BioPharma Corp. (a),(b)

   4,200        3,864 

Curis, Inc. (a),(b)

   3,560        2,506 

Cymabay Therapeutics, Inc. (a),(b)

   7,900        11,692 

Cytokinetics, Inc. (a)

   16,600        195,714 

CytomX Therapeutics, Inc. (a),(b)

   12,700        97,409 

Deciphera Pharmaceuticals, Inc. (a)

   600        24,702 

 

See Notes to Consolidated Financial Statements.

 

19


Table of Contents

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2020

 

Security Description

  Shares             Value 

Dicerna Pharmaceuticals, Inc. (a),(b)

   18,900       $347,193 

Durect Corp. (a),(b)

   38,800        60,140 

Editas Medicine, Inc. (a)

   15,300        303,399 

Eiger BioPharmaceuticals, Inc. (a),(b)

   6,800        46,240 

Eli Lilly & Co.

   1,900        263,568 

Enanta Pharmaceuticals, Inc. (a),(b)

   2,300        118,289 

Exicure, Inc. (a),(b)

   300        444 

Fate Therapeutics, Inc. (a)

   400        8,884 

Five Prime Therapeutics, Inc. (a),(b)

   10,100        22,927 

G1 Therapeutics, Inc. (a),(b)

   4,500        49,590 

Geron Corp. (a),(b)

   7,600        9,044 

GlycoMimetics, Inc. (a),(b)

   9,600        21,888 

Halozyme Therapeutics, Inc. (a)

   38,600        694,414 

Harpoon Therapeutics, Inc. (a),(b)

   200        2,316 

Idera Pharmaceuticals, Inc. (a),(b)

   100        132 

ImmunoGen, Inc. (a),(b)

   33,200        113,212 

Incyte Corp. (a)

   700        51,261 

Intellia Therapeutics, Inc. (a),(b)

   6,900        84,387 

Intercept Pharmaceuticals, Inc. (a)

   9,100        572,936 

Intersect ENT, Inc. (a),(b)

   9,000        106,650 

Ionis Pharmaceuticals, Inc. (a)

   32,200        1,522,416 

Ironwood Pharmaceuticals, Inc. (a)

   44,200        445,978 

Jounce Therapeutics, Inc. (a)

   2,200        10,450 

Kadmon Holdings, Inc. (a)

   44,700        187,293 

Karyopharm Therapeutics, Inc. (a)

   20,300        389,963 

Kezar Life Sciences, Inc. (a),(b)

   2,100        9,156 

Kura Oncology, Inc. (a),(b)

   11,000        109,450 

Lexicon Pharmaceuticals, Inc. (a),(b)

   22,400        43,680 

Ligand Pharmaceuticals, Inc. (a)

   4,600        334,512 

Lineage Cell Therapeutics, Inc. (a),(b)

   5,200        4,306 

MacroGenics, Inc. (a),(b)

   11,500        66,930 

Madrigal Pharmaceuticals, Inc. (a),(c),(b)

   54,992        3,671,266 

Mallinckrodt PLC (a)

   23,500        46,530 

Matinas BioPharma Holdings, Inc. (a)

   1,300        780 

MEI Pharma, Inc. (a),(b)

   1,200        1,932 

MeiraGTx Holdings plc (a),(b)

   400        5,376 

Merck & Co., Inc. (b)

   66,300        5,101,122 

Mersana Therapeutics, Inc. (a),(b)

   100        583 

Millendo Therapeutics, Inc. (a),(b)

   213        1,125 

Molecular Templates, Inc. (a),(b)

   1,428        18,978 

Momenta Pharmaceuticals, Inc. (a)

   9,500        258,400 

MyoKardia, Inc. (a)

   6,100        285,968 

Myovant Sciences Ltd. (a)

   200        1,510 

Natural Health Trends Corp. (b)

   1,200        3,948 

Neurocrine Biosciences, Inc. (a),(c),(b)

   135,750        11,749,163 

Odonate Therapeutics, Inc. (a),(b)

   500        13,805 

Omthera Pharmaceutical, Inc. (d),(a)

   700        0 

 

See Notes to Consolidated Financial Statements.

 

20


Table of Contents

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2020

 

Security Description

  Shares             Value 

Organogenesis Holdings, Inc . (a),(b)

   1,600       $5,168 

Otonomy, Inc. (a),(b)

   2,200        4,334 

Palatin Technologies, Inc. (a)

   300        127 

Pfizer, Inc.

   35,900        1,171,776 

Pieris Pharmaceuticals, Inc. (a),(b)

   200        456 

Portola Pharmaceuticals, Inc. (a),(b)

   21,800        155,434 

Precigen, Inc. (a),(b)

   3,900        13,260 

Principia Biopharma, Inc. (a),(b)

   200        11,876 

Protagonist Therapeutics, Inc. (a),(b)

   4,500        31,770 

Proteostasis Therapeutics, Inc. (a),(b)

   2,000        2,280 

PTC Therapeutics, Inc. (a)

   16,200        722,682 

Puma Biotechnology, Inc. (a)

   4,800        40,512 

Radius Health, Inc. (a),(b)

   12,900        167,700 

Recro Pharma, Inc. (a),(b)

   6,500        53,105 

Regeneron Pharmaceuticals, Inc. (a)

   1        488 

resTORbio, Inc. (a),(b)

   9,300        9,579 

Retrophin, Inc. (a)

   12,000        175,080 

Rigel Pharmaceuticals, Inc. (a)

   12,300        19,188 

Rubius Therapeutics, Inc. (a)

   200        890 

Sage Therapeutics, Inc. (a),(b)

   14,500        416,440 

Sangamo BioSciences, Inc. (a)

   14,300        91,091 

Savara, Inc. (a),(b)

   51        108 

Selecta Biosciences, Inc. (a),(b)

   3,100        7,471 

Seres Therapeutics, Inc. (a),(b)

   700        2,499 

Sesen Bio, Inc. (a),(b)

   332        186 

Sierra Oncology, Inc. (a),(b)

   67        657 

Solid Biosciences, Inc. (a),(b)

   3,200        7,648 

Spectrum Pharmaceuticals, Inc. (a),(b)

   19,600        45,668 

Sunesis Pharmaceuticals, Inc. (a),(b)

   1,900        788 

Supernus Pharmaceuticals, Inc. (a),(b)

   14,700        264,453 

Syndax Pharmaceuticals, Inc. (a),(b)

   400        4,388 

Synlogic, Inc. (a),(b)

   9,000        15,480 

Syros Pharmaceuticals, Inc. (a),(b)

   5,000        29,650 

TherapeuticsMD, Inc. (a)

   500        530 

United Therapeutics Corp. (a)

   6,701        635,422 

USANA Health Sciences, Inc. (a),(b)

   2,200        127,072 

Vanda Pharmaceuticals, Inc. (a),(b)

   15,000        155,400 

Vertex Pharmaceuticals, Inc. (a),(b)

   36,800        8,756,560 

Voyager Therapeutics, Inc. (a),(b)

   200        1,830 

vTv Therapeutics, Inc., Class A (a),(b)

   900        1,719 

Xenon Pharmaceuticals, Inc. (a),(b)

   300        3,402 

Xeris Pharmaceuticals, Inc. (a),(b)

   1,100        2,145 

Zafgen, Inc. (a)

   5,800        4,466 

Zymeworks, Inc. (a),(b)

   12,700        450,469 
        

 

 

 
         83,501,600 
        

 

 

 

 

See Notes to Consolidated Financial Statements.

 

21


Table of Contents

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2020

 

Security Description

  Shares             Value 

Chemicals — 0.1%

 

      

3M Co.

   100       $13,651 

AdvanSix, Inc. (a),(b)

   2,500        23,850 

Axalta Coating Systems Ltd. (a)

   65,800        1,136,366 

Cabot Corp.

   5,900        154,108 

CF Industries Holdings, Inc.

   100        2,720 

Chemours Co.

   28,100        249,247 

DuPont de Nemours, Inc.

   153        5,217 

Haynes International, Inc. (b)

   200     ��  4,122 

Huntsman Corp. (b)

   24,100        347,763 

Ingevity Corp. (a),(b)

   11,700        411,840 

Lydall, Inc. (a),(b)

   2,100        13,566 

Methanex Corp. (b)

   800        9,736 

Mosaic Co.

   6,300        68,166 

PolyOne Corp.

   20,600        390,782 

PPG Industries, Inc.

   300        25,080 

Rayonier Advanced Materials, Inc. (b)

   17,600        18,656 

Sherwin-Williams Co. (b)

   1,000        459,520 

Stepan Co. (b)

   1,200        106,152 

Univar, Inc. (a)

   300        3,216 

Valvoline, Inc.

   7,500        98,175 

Venator Materials plc (a),(b)

   15,900        27,348 
        

 

 

 
         3,569,281 
        

 

 

 

Commercial Services — 0.1%

 

      

Acacia Research Corp. (a)

   1,600        3,552 

ARC Document Solutions, Inc. (b)

   5,400        4,374 

Avalara, Inc. (a),(b)

   19,500        1,454,700 

Barrett Business Services, Inc. (b)

   600        23,784 

Civeo Corp. (a),(b)

   14,000        5,767 

Collectors Universe, Inc.

   2,000        31,340 

CorVel Corp. (a),(b)

   700        38,157 

CRA International, Inc. (b)

   1,100        36,751 

Emerald Holding, Inc. (a),(b)

   700        1,813 

GP Strategies Corp. (a),(b)

   100        651 

Hackett Group, Inc. (b)

   4,300        54,696 

Healthcare Services Group, Inc.

   20,800        497,328 

Huron Consulting Group, Inc. (a),(b)

   2,100        95,256 

Insperity, Inc. (b)

   1,500        55,950 

Kelly Services, Inc., Class A (b)

   900        11,421 

Korn/Ferry International

   3,500        85,120 

Quad/Graphics, Inc. (b)

   3,800        9,576 

R1 RCM, Inc. (a)

   30,100        273,609 

ServiceMaster Global Holdings, Inc. (a)

   2,100        56,700 

ShotSpotter, Inc. (a),(b)

   500        13,740 

SP Plus Corp. (a),(b)

   2,900        60,175 

TriNet Group, Inc. (a),(b)

   9,100        342,706 

 

See Notes to Consolidated Financial Statements.

 

22


Table of Contents

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2020

 

Security Description

  Shares             Value 

Viad Corp. (b)

   5,500       $116,765 
        

 

 

 
         3,273,931 
        

 

 

 

Construction Materials — 0.0%

 

      

Advanced Drainage Systems, Inc.

   10,000        294,400 

Forterra, Inc. (a),(b)

   4,700        28,106 

MDU Resources Group, Inc.

   56,100        1,206,150 

Summit Materials, Inc., Class A (a)

   11,081        166,215 

US Concrete, Inc. (a)

   100        1,814 
        

 

 

 
         1,696,685 
        

 

 

 

Consumer Products — 0.1%

 

      

Altria Group, Inc. (b)

   26,800        1,036,356 

Central Garden and Pet Co., Class A (a),(b)

   2,600        66,482 

Church & Dwight Co., Inc.

   99        6,354 

Coca-Cola Co.

   53,200        2,354,100 

Colgate-Palmolive Co.

   1,700        112,812 

elf Beauty, Inc. (a)

   3,800        37,392 

Farmer Brothers Co. (a),(b)

   1,800        12,528 

General Mills, Inc.

   3,100        163,587 

McCormick & Co., Inc.

   300        42,363 

MGP Ingredients, Inc. (b)

   300        8,067 

Mondelez International, Inc., Class A

   14,000        701,120 

Monster Beverage Corp. (a),(b)

   200        11,252 

Nu Skin Enterprises, Inc., Class A

   15,500        338,675 

PepsiCo, Inc.

   300        36,030 

Phibro Animal Health Corp., Class A (b)

   300        7,251 

Primo Water Corp. (a)

   35,055        323,810 

SunOpta, Inc. (a),(b)

   400        688 

Turning Point Brands, Inc. (b)

   400        8,444 

Veru, Inc. (a),(b)

   700        2,289 
        

 

 

 
         5,269,600 
        

 

 

 

Consumer Services — 0.0%

 

      

2U, Inc. (a)

   17,800        377,716 

Aaron’s, Inc. (b)

   3,600        82,008 

American Public Education, Inc. (a),(b)

   400        9,572 

Carriage Services, Inc. (b)

   2,500        40,375 

Perdoceo Education Corp (a)

   9,800        105,742 

Rosetta Stone, Inc. (a),(b)

   6,400        89,728 

WW International, Inc. (a),(b)

   16,100        272,251 
        

 

 

 
         977,392 
        

 

 

 

Containers & Packaging — 0.0%

 

      

Myers Industries, Inc. (b)

   1,800        19,350 

Sealed Air Corp.

   200        4,942 
        

 

 

 
         24,292 
        

 

 

 

 

See Notes to Consolidated Financial Statements.

 

23


Table of Contents

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2020

 

Security Description

  Shares             Value 

Design, Manufacturing & Distribution — 0.0%

 

      

Avnet, Inc. (b)

   18,900       $474,390 

Celestica, Inc. (a),(b)

   300        1,050 

Flex Ltd. (a)

   102,900        861,787 

SYNNEX Corp. (a)

   36        2,632 
        

 

 

 
         1,339,859 
        

 

 

 

Distributors—Consumer Staples — 0.0%

 

      

Chefs’ Warehouse, Inc. (a),(b)

   2,400        24,168 

Performance Food Group Co. (a),(b)

   11,800        291,696 

United Natural Foods, Inc. (a)

   15,000        137,700 

US Foods Holding Corp. (a),(b)

   61,500        1,089,165 
        

 

 

 
         1,542,729 
        

 

 

 

Distributors—Discretionary — 0.0%

 

      

ScanSource, Inc. (a),(b)

   100        2,139 

Veritiv Corp. (a),(b)

   1,000        7,860 
        

 

 

 
         9,999 
        

 

 

 

Electric Utilities — 0.0%

 

      

PGE BACKSTOP PRIVATE EQUITY OFFERING (c),(a)

   93,104        837,005 
        

 

 

 

Electrical Equipment — 0.0%

 

      

AO Smith Corp.

   3,600        136,116 

Bel Fuse, Inc., Class B (b)

   100        974 

Emerson Electric Co.

   100        4,765 

FARO Technologies, Inc. (a),(b)

   800        35,600 

LSI Industries, Inc. (b)

   3,300        12,474 

Powell Industries, Inc. (b)

   500        12,835 

SMART Global Holdings, Inc. (a),(b)

   6,500        157,950 
        

 

 

 
         360,714 
        

 

 

 

Engineering & Construction Services — 0.0%

 

      

Aegion Corp. (a),(b)

   400        7,172 

Dycom Industries, Inc. (a)

   8,800        225,720 

Exponent, Inc.

   700        50,337 

Fluor Corp. (b)

   39,200        270,872 

frontdoor, Inc. (a)

   7,350        255,633 

Iteris, Inc. (a),(b)

   2,600        8,320 

Mistras Group, Inc. (a),(b)

   2,800        11,928 

MYR Group, Inc. (a),(b)

   1,400        36,666 

Orion Group Holdings, Inc. (a),(b)

   5,500        14,300 

Sterling Construction Co., Inc. (a),(b)

   6,100        57,950 

Tutor Perini Corp. (a),(b)

   14,000        94,080 

 

See Notes to Consolidated Financial Statements.

 

24


Table of Contents

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2020

 

Security Description

  Shares             Value 

WillScot Corp. (a)

   10,500       $106,365 
        

 

 

 
         1,139,343 
        

 

 

 

Forest & Paper Products — 0.0%

 

      

Resolute Forest Products, Inc. (b),(a)

   20,000        25,200 

Verso Corp., Class A (a)

   1,600        18,048 
        

 

 

 
         43,248 
        

 

 

 

Gaming, Lodging & Restaurants — 0.4%

 

      

BBX Capital Corp. (b)

   2,000        4,620 

Brinker International, Inc.

   600        7,206 

Carnival Corp. (b)

   30,000        395,100 

Carnival PLC, ADR

   11,000        131,230 

Cheesecake Factory, Inc. (The)

   6,800        116,144 

Cracker Barrel Old Country Store, Inc.

   6,700        557,574 

Del Taco Restaurants, Inc. (a),(b)

   10,300        35,329 

Denny’s Corp. (a),(b)

   15,600        119,808 

Dunkin’ Brands Group, Inc. (b)

   23,100        1,226,610 

Eldorado Resorts, Inc. (a)

   21,765        313,416 

Everi Holdings, Inc. (a)

   23,600        77,880 

Golden Entertainment, Inc. (a),(b)

   100        661 

Hyatt Hotels Corp., Class A

   8,400        402,360 

J Alexander’s Holdings, Inc. (a),(b)

   1,100        4,213 

Jack in the Box, Inc.

   2,500        87,625 

Lindblad Expeditions Holdings, Inc. (a),(b)

   9,200        38,364 

McDonald’s Corp.

   300        49,605 

MGM Resorts International (b)

   137,900        1,627,220 

Monarch Casino & Resort, Inc. (a),(b)

   2,600        72,982 

Noodles & Co. (a)

   10,000        47,100 

Papa John’s International, Inc.

   9,000        480,330 

Red Rock Resorts, Inc., Class A (b)

   900        7,695 

Restaurant Brands International, Inc.

   83,621        3,347,349 

Royal Caribbean Cruises Ltd.

   11,700        376,389 

Shake Shack, Inc., Class A (a)

   1,300        49,062 

Starbucks Corp. (b)

   162,000        10,649,880 

Texas Roadhouse, Inc.

   11,100        458,430 

Wendy’s Co.

   62,400        928,512 

Wingstop, Inc.

   8,200        653,540 

Yum! Brands, Inc. (b)

   3,600        246,708 
        

 

 

 
         22,512,942 
        

 

 

 

Hardware — 0.0%

 

      

A10 Networks, Inc. (a)

   8,500        52,785 

ADTRAN, Inc.

   400        3,072 

Airgain, Inc. (a),(b)

   100        739 

Anterix, Inc. (a),(b)

   2,400        109,608 

 

See Notes to Consolidated Financial Statements.

 

25


Table of Contents

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2020

 

Security Description

  Shares             Value 

AstroNova, Inc. (b)

   100       $776 

CalAmp Corp. (a)

   3,200        14,400 

Casa Systems, Inc. (a)

   15,900        55,650 

Cisco Systems, Inc.

   4,600        180,826 

Clearfield, Inc. (a),(b)

   600        7,110 

Daktronics, Inc. (b)

   6,700        33,031 

Digi International, Inc. (a)

   2,100        20,034 

Dolby Laboratories, Inc., Class A

   7,300        395,733 

EMCORE Corp. (a),(b)

   2,800        6,272 

Extreme Networks, Inc. (a),(b)

   7,900        24,411 

InterDigital, Inc.

   800        35,704 

Juniper Networks, Inc.

   200        3,828 

LightPath Technologies, Inc., Class A (a),(b)

   600        642 

Motorola Solutions, Inc.

   500        66,460 

NetApp, Inc.

   200        8,338 

NETGEAR, Inc. (a)

   5,200        118,768 

Nutanix, Inc., Class A (a)

   400        6,320 

PC-Tel, Inc. (b)

   100        665 

PlayAGS, Inc. (a),(b)

   9,900        26,235 

Pure Storage, Inc., Class A (a),(b)

   53,200        654,360 

Ribbon Communications, Inc. (a),(b)

   11,100        33,633 

Sierra Wireless, Inc. (a)

   8,200        46,576 

Sonos, Inc. (a)

   21,100        178,928 

Vishay Precision Group, Inc. (a),(b)

   1,100        22,088 

Vocera Communications, Inc. (a)

   2,200        46,728 

VOXX International Corp. (a),(b)

   2,100        5,985 

Xerox Holdings Corp. (a)

   25        474 
        

 

 

 
         2,160,179 
        

 

 

 

Health Care Facilities & Services — 1.0%

 

      

Alphatec Holdings, Inc. (a),(b)

   4,400        15,180 

Amedisys, Inc. (a),(b)

   3,000        550,620 

Capricor Therapeutics, Inc. (a),(b)

   69        82 

Charles River Laboratories International, Inc. (a),(c),(b)

   104,548        13,195,003 

Community Health Systems, Inc. (a),(b)

   32,900        109,886 

Contura Energy, Inc. (a),(b)

   5,100        11,985 

CVS Health Corp. (c)

   208,070        12,344,793 

Encompass Health Corp.

   25,100        1,607,153 

Enzo Biochem, Inc. (a)

   3,700        9,361 

Fulgent Genetics, Inc. (a)

   600        6,456 

Humana, Inc. (c)

   21,670        6,804,813 

Iqvia Holdings, Inc. (a),(c)

   47,680        5,142,765 

Joint Corp. (The) (a),(b)

   500        5,425 

Laboratory Corp. of America Holdings (a),(c)

   8,010        1,012,384 

Magellan Health, Inc. (a)

   3,600        173,196 

 

See Notes to Consolidated Financial Statements.

 

26


Table of Contents

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2020

 

Security Description

  Shares             Value 

MEDNAX, Inc. (a),(b)

   4,000       $46,560 

Natera, Inc. (a),(b)

   21,900        653,934 

Neuronetics, Inc. (a),(b)

   4,100        7,749 

Nevro Corp. (a),(c)

   107,180        10,715,857 

NextGen Healthcare, Inc. (a),(b)

   1,600        16,704 

Option Care Health, Inc. (a)

   25        237 

Owens & Minor, Inc.

   15,900        145,485 

Providence Service Corp. (a),(b)

   100        5,488 

Quorum Health Corp. (a)

   3,700        1,671 

RadNet, Inc. (a),(b)

   8,000        84,080 

SSR Mining, Inc. (a)

   700        7,966 

Tenet Healthcare Corp. (a)

   8,100        116,640 

Tivity Health, Inc. (a),(b)

   13,500        84,915 

Triple-S Management Corp., B Shares (a),(b)

   6,250        88,125 

UnitedHealth Group, Inc. (c)

   43,340        10,808,129 

Y-mAbs Therapeutics, Inc. (a),(b)

   600        15,660 
        

 

 

 
         63,788,302 
        

 

 

 

Home & Office Products — 0.0%

 

      

ACCO Brands Corp.

   13,900        70,195 

Armstrong Flooring, Inc. (a),(b)

   6,000        8,580 

Caesarstone Ltd.

   1,400        14,798 

DR Horton, Inc. (b)

   8,100        275,400 

Flexsteel Industries, Inc. (b)

   100        1,096 

Interface, Inc. (b)

   600        4,536 

iRobot Corp. (a)

   2,100        85,890 

JELD-WEN Holding, Inc. (a)

   500        4,865 

KB Home

   12,500        226,250 

Kimball International, Inc., Class B (b)

   2,600        30,966 

Libbey, Inc. (a),(b)

   300        153 

M/I Homes, Inc. (a)

   500        8,265 

New Home Co., Inc. (a),(b)

   200        274 

PulteGroup, Inc.

   200        4,464 

Select Interior Concepts, Inc., Class A (a),(b)

   300        621 

Stanley Black & Decker, Inc.

   4,000        400,000 

Steelcase, Inc., Class A

   6,700        66,129 

Taylor Morrison Home Corp., Class A (a)

   580        6,380 

Tempur Sealy International, Inc. (a)

   11,200        489,552 

Tupperware Brands Corp. (b)

   13,700        22,194 
        

 

 

 
         1,720,608 
        

 

 

 

Industrial Services — 0.0%

 

      

DXP Enterprises, Inc. (a),(b)

   300        3,678 

H&E Equipment Services, Inc. (b)

   4,100        60,188 

Harsco Corp. (a),(b)

   6,300        43,911 

Herc Holdings, Inc. (a),(b)

   1,054        21,565 

Resideo Technologies, Inc. (a)

   34,400        166,496 

 

See Notes to Consolidated Financial Statements.

 

27


Table of Contents

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2020

 

Security Description

  Shares             Value 

Ritchie Bros Auctioneers, Inc.

   1,000       $34,180 

Titan Machinery, Inc. (a),(b)

   4,700        40,843 

WESCO International, Inc. (a)

   3,500        79,975 
        

 

 

 
         450,836 
        

 

 

 

Institutional Financial Services — 0.0%

 

      

Intercontinental Exchange, Inc.

   300        24,225 
        

 

 

 

Insurance — 0.0%

 

      

Allstate Corp. (b)

   1        92 

AMERISAFE, Inc. (b)

   700        45,129 

Assured Guaranty Ltd. (b)

   3,000        77,370 

Atlas Financial Holdings, Inc. (a),(b)

   2,400        768 

Crawford & Co., Class B (b)

   100        639 

Hallmark Financial Services, Inc. (a),(b)

   200        808 

Hanover Insurance Group, Inc.

   2,500        226,450 

Kingstone Cos., Inc. (b)

   1,500        7,665 

Maiden Holdings Ltd. (b)

   8,300        7,553 

NMI Holdings, Inc., Class A (a)

   900        10,449 

Old Republic International Corp.

   100        1,525 

Protective Insurance Corp., Class B (b)

   600        8,250 

Selective Insurance Group, Inc. (b)

   500        24,850 

Third Point Reinsurance Ltd. (a)

   500        3,705 

Universal Insurance Holdings, Inc.

   700        12,544 

Unum Group

   56,800        852,568 
        

 

 

 
         1,280,365 
        

 

 

 

Iron & Steel — 0.0%

 

      

Allegheny Technologies, Inc. (a),(b)

   19,300        164,050 

Carpenter Technology Corp. (a)

   100        1,950 

Northwest Pipe Co. (a),(b)

   1,200        26,700 

Ryerson Holding Corp. (a),(b)

   600        3,192 

Shiloh Industries, Inc. (a),(b)

   600        750 

SunCoke Energy, Inc. (b)

   1,600        6,160 

United States Steel Corp.

   600        3,786 
        

 

 

 
         206,588 
        

 

 

 

Leisure Products — 0.0%

 

      

Clarus Corp. (b)

   2,500        24,500 

Funko, Inc., Class A (a),(b)

   5,600        22,344 

Hasbro, Inc.

   100        7,155 

JAKKS Pacific, Inc. (a),(b)

   1,900        663 

Malibu Boats, Inc., Class A (a)

   1,700        48,943 

MasterCraft Boat Holdings, Inc. (a),(b)

   3,600        26,280 

Nautilus, Inc. (a),(b)

   8,300        21,663 

Polaris Industries, Inc.

   300        14,445 

 

See Notes to Consolidated Financial Statements.

 

28


Table of Contents

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2020

 

Security Description

  Shares             Value 

Vista Outdoor, Inc. (a)

   10,700       $94,160 
        

 

 

 
         260,153 
        

 

 

 

Machinery — 0.0%

 

      

Albany International Corp., Class A

   300        14,199 

Briggs & Stratton Corp.

   11,800        21,358 

Cactus, Inc. (b)

   1,400        16,240 

Columbus McKinnon Corp. (b)

   1,000        25,000 

Crane Co.

   100        4,918 

Graham Corp. (b)

   500        6,450 

Hillenbrand, Inc.

   15,616        298,422 

Hyster-Yale Materials Handling, Inc. (b)

   200        8,018 

Manitowoc Co., Inc. (The) (a),(b)

   250        2,125 

Rexnord Corp.

   3,200        72,544 

Titan International, Inc. (b)

   300        465 

Welbilt, Inc. (a),(b)

   11,900        61,047 
        

 

 

 
         530,786 
        

 

 

 

Manufactured Goods — 0.0%

 

      

Core Molding Technologies, Inc. (b),(a)

   300        462 

Gibraltar Industries, Inc. (a)

   6,500        278,980 

Insteel Industries, Inc. (b)

   2,500        33,125 

LB Foster Co., Class A (a),(b)

   1,000        12,360 

Raven Industries, Inc. (b)

   500        10,615 
        

 

 

 
         335,542 
        

 

 

 

Media — 0.2%

 

      

Altice USA, Inc., Class A (a),(b)

   300        6,687 

ANGI Homeservices, Inc., Class A (a)

   22,200        116,550 

AutoWeb, Inc. (a),(b)

   900        918 

Boingo Wireless, Inc. (a)

   12,300        130,503 

Booking Holdings, Inc. (a),(b)

   1        1,345 

Cargurus, Inc. (a)

   25,700        486,758 

Cars.com, Inc. (a),(b)

   18,700        80,410 

Central European Media Enterprises Ltd., A Shares (a)

   4,600        14,398 

Charter Communications, Inc., Class A (a),(b)

   10,140        4,424,183 

Comcast Corp., Class A

   900        30,942 

Entravision Communications Corp., Class A (b)

   1,200        2,436 

Eventbrite, Inc., Class A (a),(b)

   16,500        120,450 

EverQuote, Inc., Class A (a),(b)

   4,500        118,125 

Expedia, Inc.

   584        32,862 

Fluent, Inc. (a),(b)

   3,115        3,645 

GoDaddy, Inc., Class A (a)

   27,100        1,547,681 

GrubHub, Inc. (a)

   25,700        1,046,761 

IMAX Corp. (a),(b)

   4,400        39,820 

 

See Notes to Consolidated Financial Statements.

 

29


Table of Contents

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2020

 

Security Description

  Shares             Value 

iMedia Brands, Inc. (a),(b)

   170       $318 

Liberty TripAdvisor Holdings, Inc., Class A (a)

   19,600        35,280 

Lions Gate Entertainment Corp., Class A (a)

   8,400        51,072 

Marchex, Inc., Class B (b)

   4,500        6,525 

Marin Software, Inc. (a),(b)

   442        530 

MDC Partners, Inc., Class A (a),(b)

   500        725 

National CineMedia, Inc. (b)

   4,800        15,648 

Points International Ltd. (a),(b)

   2,000        16,460 

Rubicon Project, Inc. (a)

   15,400        85,470 

Shutterstock, Inc.

   100        3,216 

Sirius XM Holdings, Inc.

   1,500        7,410 

Stamps.com, Inc. (a)

   4,700        611,376 

TechTarget, Inc. (a)

   1,200        24,732 

Townsquare Media, Inc., Class A (b)

   100        461 

Travelzoo, Inc. (a),(b)

   100        393 

TripAdvisor, Inc.

   34,500        599,955 

TrueCar, Inc. (a),(b)

   29,900        72,358 

Upwork, Inc. (a),(b)

   31,900        205,755 

Yelp, Inc. (a)

   16,500        297,495 

Zillow Group, Inc. (a),(b)

   18        612 
        

 

 

 
         10,240,265 
        

 

 

 

Medical Equipment & Devices — 0.7%

 

      

Accelerate Diagnostics, Inc. (a),(b)

   600        4,998 

Accuray, Inc. (a)

   4,300        8,170 

AngioDynamics, Inc. (a)

   3,000        31,290 

AxoGen, Inc. (a),(b)

   1,100        11,440 

Baxter International, Inc. (b)

   200        16,238 

Boston Scientific Corp. (a)

   2,400        78,312 

CareDx, Inc. (a)

   8,900        194,287 

Cutera, Inc. (a),(b)

   4,000        52,240 

CytoSorbents Corp. (a)

   4,600        35,558 

Edwards Lifesciences Corp. (a)

   99        18,673 

Fluidigm Corp. (a)

   20,000        50,800 

FONAR Corp. (a),(b)

   300        4,386 

GenMark Diagnostics, Inc. (a)

   5,700        23,484 

Glaukos Corp. (a)

   36        1,111 

Haemonetics Corp. (a),(c)

   111,117        11,073,920 

Harvard Bioscience, Inc. (a),(b)

   4,300        9,503 

Hologic, Inc. (a)

   52,500        1,842,750 

Inogen, Inc. (a)

   6,100        315,126 

Invacare Corp.

   1,200        8,916 

Lantheus Holdings, Inc. (a)

   11,100        141,636 

Medtronic PLC (c)

   65,020        5,863,504 

Meridian Bioscience, Inc. (b)

   1,100        9,240 

Myriad Genetics, Inc. (a)

   1,100        15,741 

 

See Notes to Consolidated Financial Statements.

 

30


Table of Contents

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2020

 

Security Description

  Shares             Value 

NanoString Technologies, Inc. (a)

   2,900       $69,745 

Neogen Corp. (a)

   7        469 

Novocure Ltd. (a)

   19,400        1,306,396 

OPKO Health, Inc. (a)

   12,863        17,236 

OraSure Technologies, Inc. (a)

   17,300        186,148 

Orthofix Medical, Inc. (a),(b)

   3,500        98,035 

Oxford Immunotec Global PLC (a),(b)

   4,500        41,670 

Quotient Ltd. (a),(b)

   9,300        36,735 

RTI Surgical Holdings, Inc. (a),(b)

   5,700        9,747 

SeaSpine Holdings Corp. (a),(b)

   2,000        16,340 

Sientra, Inc. (a)

   3,700        7,363 

Surmodics, Inc. (a),(b)

   2,000        66,640 

Teleflex, Inc. (c),(b)

   49,120        14,385,283 

Thermo Fisher Scientific, Inc. (c)

   8,670        2,458,812 

TransEnterix, Inc. (a),(b)

   1,070        377 

Veracyte, Inc. (a)

   2,800        68,068 

Vericel Corp. (a)

   3,200        29,344 

Zimmer Biomet Holdings, Inc. (c)

   82,360        8,324,949 
        

 

 

 
         46,934,680 
        

 

 

 

Metals & Mining — 0.1%

 

      

Agnico Eagle Mines Ltd.

   900        35,811 

Alamos Gold, Inc., Class A

   30,854        154,270 

Alcoa Corp. (a),(b)

   52,001        320,326 

B2Gold Corp. (b)

   17,900        54,774 

Coeur Mining, Inc. (a)

   1,436        4,610 

Constellium SE (a)

   28,100        146,401 

Eldorado Gold Corp. (a)

   42,240        260,621 

Ferroglobe PLC (a),(b)

   7,900        3,595 

Freeport-McMoRan, Inc.

   200        1,350 

Gold Resource Corp.

   200        550 

Hecla Mining Co.

   1,381        2,513 

HudBay Minerals, Inc.

   1,100        2,090 

IAMGOLD Corp. (a),(b)

   65,900        150,252 

Kinross Gold Corp. (a),(b)

   45,600        181,488 

New Gold, Inc. (a),(b)

   83,400        42,584 

Newmont Mining Corp.

   32        1,449 

Pretium Resources, Inc. (a)

   1,100        6,237 

Royal Gold, Inc. (b)

   12,800        1,122,688 

Sandstorm Gold Ltd. (a)

   25,600        128,256 

Silvercorp Metals, Inc.

   400        1,308 

Taseko Mines Ltd. (a),(b)

   4,000        1,068 

Teck Resources Ltd., B Shares(b)

   27,200        205,632 
        

 

 

 
         2,827,873 
        

 

 

 

 

See Notes to Consolidated Financial Statements.

 

31


Table of Contents

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2020

 

Security Description

  Shares             Value 

Oil, Gas & Coal — 0.2%

 

      

Abraxas Petroleum Corp. (a),(b)

   46,800       $5,663 

Amplify Energy Corp. (b)

   966        547 

Antero Resources Corp. (a)

   13,300        9,481 

Apache Corp.

   2,400        10,032 

Apergy Corp. (a),(b)

   7,300        41,975 

Archrock, Inc. (b)

   4,200        15,792 

Baker Hughes a GE Co.

   100        1,050 

Blackhawk Mining LLC (c),(d),(a)

   2,769        175,369 

Cabot Oil & Gas Corp.

   100        1,719 

California Resources Corp. (a)

   5,290        5,290 

Callon Petroleum Co. (a)

   925        507 

Cenovus Energy, Inc. (b)

   15,900        32,118 

Centennial Resource Development, Inc., Class A (a),(b)

   77,200        20,304 

Chevron Corp. (b)

   300        21,738 

Cimarex Energy Co.

   19        320 

Clean Energy Fuels Corp. (a)

   2,900        5,162 

Concho Resources, Inc.

   12,700        544,195 

CONSOL Energy, Inc. (a),(b)

   5,300        19,557 

Continental Resources, Inc. (b)

   102,200        780,808 

Core Laboratories NV (b)

   8,400        86,856 

Crescent Point Energy Corp. (b)

   6,400        4,921 

CVR Energy, Inc. (b)

   2,600        42,978 

Dawson Geophysical Co. (a),(b)

   882        858 

Denbury Resources, Inc. (a),(b)

   6,900        1,274 

Devon Energy Corp.

   100        691 

Diamond Offshore Drilling, Inc. (a),(b)

   38,500        70,455 

Enerplus Corp. (b)

   12,300        18,204 

EnLink Midstream LLC (b)

   11,500        12,650 

EOG Resources, Inc. (b)

   162,900        5,851,368 

EQT Corp. (a)

   49,800        352,086 

Evolution Petroleum Corp. (b)

   3,900        10,179 

Falcon Minerals Corp. (b)

   1,400        3,010 

Forum Energy Technologies, Inc. (a),(b)

   29,500        5,230 

Gran Tierra Energy, Inc. (a),(b)

   8,000        2,006 

Gulf Island Fabrication, Inc. (a),(b)

   1,300        3,900 

Hallador Energy Co. (b)

   1,400        1,328 

Halliburton Co.

   100        685 

Helix Energy Solutions Group, Inc. (a),(b)

   7,400        12,136 

Helmerich & Payne, Inc.

   21,900        342,735 

HollyFrontier Corp.

   4,100        100,491 

Independence Contract Drilling, Inc. (a)

   240        336 

ION Geophysical Corp. (a)

   200        254 

Kinder Morgan, Inc. (a)

   100        1,392 

KLX Energy Services Holdings, Inc. (a),(b)

   1,000        700 

 

See Notes to Consolidated Financial Statements.

 

32


Table of Contents

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2020

 

Security Description

  Shares             Value 

Kosmos Energy Ltd. (b)

   113,400       $101,561 

Magnolia Oil & Gas Corp., Class A (a),(b)

   17,300        69,200 

Mammoth Energy Services, Inc.

   10,100        7,563 

Marathon Oil Corp.

   87,100        286,559 

Marathon Petroleum Corp. (c),(b)

   27,700        654,274 

Matador Resources Co. (a),(b)

   32,600        80,848 

Matrix Service Co. (a),(b)

   3,800        35,986 

MRC Global, Inc. (a),(b)

   4,100        17,466 

NACCO Industries, Inc., Class A (b)

   100        2,798 

Natural Gas Services Group, Inc. (a),(b)

   1,200        5,352 

Newpark Resources, Inc. (a),(b)

   5,900        5,292 

NexTier Oilfield Solutions, Inc. (a),(b)

   7,046        8,244 

Nine Energy Service, Inc. (a),(b)

   900        727 

NOW, Inc. (a)

   14,700        75,852 

Oasis Petroleum, Inc. (a),(b)

   90,600        31,710 

Occidental Petroleum Corp. (a)

   38        440 

Oceaneering International, Inc. (a),(b)

   8,700        25,578 

Oil States International, Inc. (a),(b)

   5,500        11,165 

ONEOK, Inc.

   500        10,905 

Ovintiv, Inc. (b)

   72,718        196,338 

Panhandle Oil and Gas, Inc., Class A (b)

   1,300        4,797 

Parsley Energy, Inc., Class A

   105,634        605,283 

Patterson-UTI Energy, Inc.

   53,800        126,430 

PBF Energy, Inc., Class A (b)

   3,800        26,904 

PDC Energy, Inc. (a),(b)

   4,884        30,330 

Peabody Energy Corp. (b)

   27,100        78,590 

Pioneer Natural Resources Co.

   11,000        771,650 

Precision Drilling Corp. (a),(b)

   1,200        376 

QEP Resources, Inc. (a),(b)

   67,800        22,679 

Range Resources Corp. (a)

   13        30 

RPC, Inc. (a),(b)

   14,200        29,252 

SandRidge Energy, Inc. (a),(b)

   10,000        8,991 

Schlumberger Ltd. (a)

   600        8,094 

SM Energy Co. (b)

   19,600        23,912 

TransGlobe Energy Corp. (b)

   1,500        540 

Transocean Ltd. (a),(b)

   171,433        198,862 

TravelCenters of America, Inc. (a),(b)

   740        7,233 

Unit Corp. (a),(b)

   15,500        4,030 

Valaris plc

   1,300        585 

Vermilion Energy, Inc. (a),(b)

   9,200        28,612 

Whiting Petroleum Corp. (a),(b)

   25,614        17,172 

WPX Energy, Inc. (a),(b)

   55,900        170,495 
        

 

 

 
         12,411,055 
        

 

 

 

Passenger Transportation — 0.0%

 

      

American Airlines Group, Inc. (a)

   4,800        58,512 

 

See Notes to Consolidated Financial Statements.

 

33


Table of Contents

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2020

 

Security Description

  Shares             Value 

JetBlue Airways Corp. (a)

   300       $2,685 

Southwest Airlines Co. (a)

   400        14,244 
        

 

 

 
         75,441 
        

 

 

 

Real Estate — 0.4%

 

      

Acadia Realty Trust

   200        2,478 

Agree Realty Corp.

   2,100        129,990 

Armada Hoffler Properties, Inc. (b)

   3,100        33,170 

Ashford Hospitality Trust, Inc. (b)

   9,300        6,875 

AvalonBay Communities, Inc. (c),(b)

   1,339        197,061 

Bluerock Residential Growth REIT, Inc. (b)

   3,700        20,609 

Boston Properties, Inc. (c),(b)

   1,434        132,258 

CareTrust REIT, Inc. (b)

   6,200        91,698 

CBL & Associates Properties, Inc. (b)

   4,200        840 

Cedar Realty Trust, Inc. (b)

   2,400        2,239 

City Office REIT, Inc. (b)

   12,500        90,375 

Colliers International Group, Inc.

   1,100        52,811 

Columbia Property Trust, Inc.

   300        3,750 

CorEnergy Infrastructure Trust, Inc. (b)

   1,800        33,084 

CorePoint Lodging, Inc. (b)

   400        1,568 

Digital Realty Trust, Inc. (c),(b)

   2,690        373,668 

Diversified Healthcare Trust (b)

   3,000        10,890 

EPR Properties (b)

   22,000        532,840 

Equinix, Inc. (c),(b)

   675        421,585 

Equity Residential (c),(b)

   3,890        240,052 

Essex Property Trust, Inc. (c),(b)

   8,480        1,867,635 

Gaming and Leisure Properties, Inc.

   60,145        1,666,618 

Getty Realty Corp. (b)

   300        7,122 

Gladstone Commercial Corp. (b)

   9,600        137,856 

Gladstone Land Corp. (b)

   3,500        41,475 

Global Medical REIT, Inc.

   12,300        124,476 

Healthpeak Properties, Inc. (c),(b)

   12,029        286,892 

Host Hotels & Resorts, Inc. (c),(b)

   14,101        155,675 

Innovative Industrial Properties, Inc. (b)

   8        607 

JBG SMITH Properties (c),(b)

   538        17,125 

Lexington Realty Trust

   15,500        153,915 

LTC Properties, Inc. (b)

   900        27,810 

Macerich Co.

   2,500        14,075 

McGrath RentCorp (b)

   2,300        120,474 

Monmouth Real Estate Investment Corp., Class A

   19,900        239,795 

National Health Investors, Inc.

   11,900        589,288 

National Retail Properties, Inc.

   16,500        531,135 

Newmark Group, Inc., Class A

   23,200        98,600 

Omega Healthcare Investors, Inc. (b)

   35,647        946,071 

Paramount Group, Inc.

   16,300        143,440 

Prologis, Inc. (c),(b)

   5,522        443,803 

 

See Notes to Consolidated Financial Statements.

 

34


Table of Contents

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2020

 

Security Description

  Shares             Value 

Public Storage (c),(b)

   1,544       $306,654 

Realogy Holdings Corp.

   32,200        96,922 

Realty Income Corp. (c),(b)

   28,081        1,400,119 

Redfin Corp. (a)

   1        15 

Retail Opportunity Investments Corp.

   32,700        271,083 

Retail Properties of America, Inc., Class A (b)

   10,900        56,353 

RMR Group, Inc. (The), Class A

   1,700        45,849 

Ryman Hospitality Properties, Inc. (b)

   3,500        125,475 

Sabra Health Care REIT, Inc.

   510        5,569 

SBA Communications Corp. (b)

   14,200        3,833,574 

Simon Property Group, Inc. (c),(b)

   89,079        4,886,874 

SITE Centers Corp.

   250        1,303 

Spirit Realty Capital, Inc.

   24,400        638,060 

STORE Capital Corp. (b)

   68,300        1,237,596 

Sunstone Hotel Investors, Inc. (b)

   33        287 

Tanger Factory Outlet Centers, Inc. (a)

   400        2,000 

Uniti Group, Inc.

   54,100        326,223 

Ventas, Inc. (c),(b)

   3,611        96,775 

Vornado Realty Trust (c),(b)

   1,650        59,746 

Welltower, Inc. (c),(b)

   3,676        168,287 

WP Carey, Inc. (b)

   3,600        209,088 
        

 

 

 
         23,759,580 
        

 

 

 

Recreation Facilities & Services — 0.0%

 

      

Cinemark Holdings, Inc. (b)

   32,800        334,232 

Live Nation Entertainment, Inc. (a)

   17,200        781,912 

Marcus Corp. (b)

   5,900        72,688 

OneSpaWorld Holdings Ltd. (b)

   8,000        32,480 

Planet Fitness, Inc., Class A (a)

   16,000        779,200 

Six Flags Entertainment Corp.

   23,700        297,198 

Town Sports International Holdings, Inc. (a),(b)

   500        250 
        

 

 

 
         2,297,960 
        

 

 

 

Renewable Energy — 0.0%

 

      

Ameresco, Inc., Class A (a)

   100        1,703 

Canadian Solar, Inc. (a)

   500        7,955 

FutureFuel Corp. (b)

   600        6,762 

SolarEdge Technologies, Inc. (a)

   200        16,376 

SunPower Corp. (a)

   46,000        233,220 

Sunrun, Inc. (a)

   33,400        337,340 

Sunworks, Inc. (a),(b)

   43        16 

Vivint Solar, Inc. (a),(b)

   5,600        24,472 
        

 

 

 
         627,844 
        

 

 

 

Retail—Consumer Staples — 0.1%

 

      

Costco Wholesale Corp.

   2,800        798,364 

 

See Notes to Consolidated Financial Statements.

 

35


Table of Contents

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2020

 

Security Description

  Shares             Value 

Dollar General Corp. (b)

   30,201       $4,560,653 

Dollar Tree, Inc. (a)

   20,100        1,476,747 

Ingles Markets, Inc., Class A (b)

   300        10,848 

Natural Grocers by Vitamin Cottage, Inc. (b)

   400        3,404 

SpartanNash Co.

   6,800        97,376 

Target Corp.

   20,100        1,868,697 

Walgreens Boots Alliance, Inc.

   300        13,725 
        

 

 

 
         8,829,814 
        

 

 

 

Retail—Discretionary — 0.6%

 

      

1-800-Flowers.com, Inc., Class A (a)

   4,500        59,535 

Abercrombie & Fitch Co., Class A

   17,400        158,166 

Amazon.com, Inc. (a),(c),(b)

   10,317        20,115,261 

At Home Group, Inc. (a),(b)

   17,900        36,158 

Avis Budget Group, Inc. (a)

   1,000        13,900 

Bassett Furniture Industries, Inc. (b)

   1,100        5,995 

Build-A-Bear Workshop, Inc. (a),(b)

   4,200        6,006 

Builders FirstSource, Inc. (a)

   31,300        382,799 

Citi Trends, Inc. (b)

   3,200        28,480 

Conn’s, Inc. (a),(b)

   4,700        19,646 

Container Store Group, Inc. (a)

   500        1,180 

Dick’s Sporting Goods, Inc.

   16,800        357,168 

Duluth Holdings, Inc., Class B (a),(b)

   8,200        32,882 

Etsy, Inc. (a),(b)

   30,600        1,176,264 

Ezcorp, Inc., Class A (a)

   2,700        11,259 

Foundation Building Materials, Inc. (a)

   8,350        85,922 

Francesca’s Holdings Corp. (a),(b)

   374        849 

Freshpet, Inc. (a)

   1,600        102,192 

Gap, Inc. (a)

   100        704 

Home Depot, Inc. (b)

   57,000        10,642,470 

J. Jill, Inc. (b)

   1,600        884 

Kirkland’s, Inc. (a)

   3,800        2,943 

Kohl’s Corp.

   43,400        633,206 

Liquidity Services, Inc. (a),(b)

   1,900        7,372 

Lowe’s Cos., Inc. (b)

   11,800        1,015,390 

Macy’s, Inc. (a)

   86,500        424,715 

National Vision Holdings, Inc. (a)

   3,300        64,086 

Nordstrom, Inc. (a),(b)

   1        15 

Party City Holdco, Inc. (a),(b)

   26,400        12,099 

Qurate Retail, Inc., Class A (a)

   73,534        448,925 

Signet Jewelers Ltd. (a)

   700        4,515 

Tailored Brands, Inc.

   13,500        23,490 

Tractor Supply Co.

   600        50,730 

Tuesday Morning Corp. (a),(b)

   1,200        691 
        

 

 

 
         35,925,897 
        

 

 

 

 

See Notes to Consolidated Financial Statements.

 

36


Table of Contents

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2020

 

Security Description

  Shares             Value 

Semiconductors — 0.1%

 

      

Advanced Micro Devices, Inc. (a)

   600       $27,288 

Alpha & Omega Semiconductor Ltd. (a),(b)

   400        2,564 

Amkor Technology, Inc. (a)

   23,100        179,949 

Amtech Systems, Inc. (a),(b)

   100        435 

Axcelis Technologies, Inc. (a)

   2,950        54,014 

AXT, Inc. (a),(b)

   1,000        3,210 

CEVA, Inc. (a),(b)

   3,900        97,227 

Data I/O Corp. (a),(b)

   100        281 

DSP Group, Inc. (a),(b)

   1,900        25,460 

Impinj, Inc. (a),(b)

   6,200        103,602 

Intel Corp.

   1,900        102,828 

KLA Corp.

   25        3,594 

MACOM Technology Solutions Holdings, Inc. (a)

   1,432        27,108 

MaxLinear, Inc., Class A (a),(b)

   500        5,835 

Onto Innovation, Inc. (a),(b)

   21        623 

Photronics, Inc. (a)

   100        1,026 

Pixelworks, Inc. (a)

   8,300        23,655 

Rambus, Inc. (a)

   14,000        155,400 

Teradyne, Inc. (b)

   30,700        1,663,019 

Texas Instruments, Inc.

   6,700        669,531 

Veeco Instruments, Inc. (a),(b)

   6,030        57,707 

Xilinx, Inc.

   1,500        116,910 
        

 

 

 
         3,321,266 
        

 

 

 

Software — 0.3%

 

      

Agilysys, Inc. (a),(b)

   3,100        51,770 

Autodesk, Inc. (a),(b)

   8,300        1,295,630 

Avid Technology, Inc. (a)

   9,900        66,627 

Benefitfocus, Inc. (a),(b)

   9,100        81,081 

Blackline, Inc. (a)

   5,200        273,572 

Box, Inc., Class A (a)

   42,100        591,084 

Brightcove, Inc. (a),(b)

   6,500        45,305 

Calix, Inc. (a)

   6,700        47,436 

Castlight Health, Inc., Class B (a)

   200        145 

Ceridian HCM Holding, Inc. (a)

   17,500        876,225 

ChannelAdvisor Corp. (a),(b)

   4,800        34,848 

CommVault Systems, Inc. (a)

   500        20,240 

Cornerstone OnDemand, Inc. (a)

   17,100        542,925 

Covetrus, Inc. (a)

   31,200        253,968 

Digital Turbine, Inc. (a),(b)

   24,200        104,302 

DocuSign, Inc. (a),(b)

   15,000        1,386,000 

Domo, Inc., Class B (a),(b)

   3,000        29,820 

Donnelley Financial Solutions, Inc. (a),(b)

   2,600        13,702 

Dropbox, Inc., Class A (a)

   72,200        1,306,820 

Ebix, Inc. (b)

   1,300        19,734 

 

See Notes to Consolidated Financial Statements.

 

37


Table of Contents

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2020

 

Security Description

  Shares             Value 

eGain Corp. (a),(b)

   2,500       $18,325 

Electronic Arts, Inc. (a),(b)

   3,300        330,561 

Evolent Health, Inc., Class A (a)

   23,700        128,691 

Finjan Holdings, Inc. (a),(b)

   800        800 

Glu Mobile, Inc. (a)

   3,000        18,870 

HubSpot, Inc. (a)

   12,100        1,611,599 

Immersion Corp. (a),(b)

   8,700        46,632 

InnerWorkings, Inc. (a),(b)

   5,400        6,318 

Limelight Networks, Inc. (a)

   30,500        173,850 

LivePerson, Inc. (a)

   5,800        131,950 

MicroStrategy, Inc., Class A (a),(b)

   700        82,670 

Mimecast Ltd. (a)

   9,000        317,700 

Mitek Systems, Inc. (a)

   4,000        31,520 

MobileIron, Inc. (a)

   20,600        78,280 

Model N, Inc. (a)

   9,300        206,553 

New Relic, Inc. (a)

   16,500        762,960 

OneSpan, Inc. (a),(b)

   100        1,815 

Oracle Corp. (a)

   500        24,165 

Paylocity Holding Corp. (a)

   9,000        794,880 

PDF Solutions, Inc. (a)

   1,600        18,752 

Pluralsight, Inc., Class A (a)

   29,500        323,910 

Proofpoint, Inc. (a)

   300        30,777 

PROS Holdings, Inc. (a),(b)

   12,100        375,463 

QAD, Inc., Class A (b)

   900        35,937 

Rapid7, Inc. (a)

   3,300        142,989 

Sciplay Corp., Class A (a),(b)

   1,800        17,145 

Seachange International, Inc. (a)

   2,700        10,044 

SecureWorks Corp., Class A (a),(b)

   2,800        32,228 

ServiceNow, Inc. (a)

   600        171,948 

SPS Commerce, Inc. (a)

   4,700        218,597 

SVMK, Inc. (a)

   33,800        456,638 

Synchronoss Technologies, Inc. (a),(b)

   1,800        5,490 

Teradata Corp. (a)

   13,400        274,566 

TiVo Corp. (b)

   6,300        44,604 

Varonis Systems, Inc. (a)

   1,500        95,505 

Verra Mobility Corp. (a)

   45,200        322,728 

Workday, Inc., Class A (a)

   1,000        130,220 

Workiva, Inc. (a)

   8,500        274,805 

Zendesk, Inc. (a)

   4,000        256,040 

Zovio, Inc. (a),(b)

   6,100        10,065 

Zuora, Inc., Class A (a)

   100        805 

Zynga, Inc., Class A (a),(b)

   266,400        1,824,840 
        

 

 

 
         16,883,469 
        

 

 

 

Specialty Finance — 0.1%

 

      

AG Mortgage Investment Trust, Inc. (b)

   9,100        24,934 

 

See Notes to Consolidated Financial Statements.

 

38


Table of Contents

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2020

 

Security Description

  Shares             Value 

AGNC Investment Corp.

   8,500       $89,930 

Ally Financial, Inc. (a)

   300        4,329 

Altisource Portfolio Solutions SA (a),(b)

   1,000        7,670 

Anworth Mortgage Asset Corp. (b)

   1,800        2,034 

Ares Commercial Real Estate Corp. (b)

   9,300        65,007 

Blackstone Mortgage Trust, Inc., Class A

   5,100        94,962 

Chimera Investment Corp.

   400        3,640 

Curo Group Holdings Corp. (b)

   11,200        59,360 

Discover Financial Services

   300        10,701 

Ellington Residential Mortgage REIT (b)

   800        4,240 

Enova International, Inc. (a),(b)

   2,700        39,123 

Evo Payments, Inc., Class A (a),(b)

   900        13,770 

Exantas Capital Corp. (b)

   8,900        24,564 

Fidelity National Financial, Inc.

   44,300        1,102,184 

First American Financial Corp.

   27,600        1,170,516 

General Finance Corp. (a),(b)

   700        4,368 

Great Ajax Corp. (b)

   100        636 

Green Dot Corp., Class A (a)

   14,700        373,233 

GreenSky, Inc., Class A (a),(b)

   8,200        31,324 

Invesco Mortgage Capital, Inc. (b)

   46,100        157,201 

Ladder Capital Corp. (b)

   6,000        28,440 

MFA Financial, Inc. (b)

   126,800        196,540 

MGIC Investment Corp.

   19,600        124,460 

New Residential Investment Corp.

   27,800        139,278 

New York Mortgage Trust, Inc. (b)

   29,000        44,950 

NewStar Financial, Inc. (d),(a)

   100        0 

On Deck Capital, Inc. (a),(b)

   800        1,232 

PennyMac Mortgage Investment Trust (b)

   4,200        44,604 

Starwood Property Trust, Inc. (b)

   40,000        410,000 

Stewart Information Services Corp. (b)

   1,800        48,006 

Synchrony Financial

   2,500        40,225 

TPG RE Finance Trust, Inc. (b)

   21,300        116,937 

Two Harbors Investment Corp.

   1,300        4,953 

Visa, Inc., A Shares

   6,800        1,095,616 

Western Asset Mortgage Capital Corp. (b)

   14,900        34,121 

WEX, Inc. (a)

   100        10,455 
        

 

 

 
         5,623,543 
        

 

 

 

Technology Services — 0.0%

 

      

comScore, Inc. (a),(b)

   19,600        55,272 

Conduent, Inc. (a),(b)

   59,300        145,285 

DXC Technology Co.

   1        13 

Endurance International Group Holdings, Inc. (a)

   100        193 

Genpact Ltd.

   19,400        566,480 

Perficient, Inc. (a),(b)

   1,500        40,635 

PFSweb, Inc. (a),(b)

   900        2,700 

 

See Notes to Consolidated Financial Statements.

 

39


Table of Contents

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2020

 

Security Description

  Shares             Value 

Sabre Corp. (a),(b)

   53,100       $314,883 

ServiceSource International, Inc. (a),(b)

   11,200        9,821 
        

 

 

 
         1,135,282 
        

 

 

 

Telecommunications — 0.1%

 

      

8x8, Inc. (a)

   5,700        79,002 

CenturyLink, Inc.

   28        265 

ESC NII Holdings, Inc. (a)

   50,677        109,969 

GCI Liberty, Inc., Class A (a),(b)

   31        1,766 

Gogo, Inc. (a)

   23,300        49,396 

IDT Corp., Class B (a),(b)

   1,100        5,962 

Intelsat SA (a)

   300        459 

Ooma, Inc. (a),(b)

   2,200        26,246 

ORBCOMM, Inc. (a),(b)

   21,900        53,436 

RigNet, Inc. (a),(b)

   500        900 

RingCentral, Inc., Class A (a)

   13,600        2,881,976 

Spok Holdings, Inc. (b)

   1,800        19,242 

Switch, Inc., Class A

   25,800        372,294 

Telephone & Data Systems, Inc.

   200        3,352 

Verizon Communications, Inc.

   36,500        1,961,145 

Zix Corp. (a),(b)

   4,000        17,240 
        

 

 

 
         5,582,650 
        

 

 

 

Transportation & Logistics — 0.0%

 

      

CH Robinson Worldwide, Inc. (b)

   1,001        66,266 

Covenant Transportation Group, Inc., Class A (a),(b)

   3,900        33,813 

CSX Corp. (b)

   300        17,190 

Eagle Bulk Shipping, Inc. (a),(b)

   3,185        5,893 

Genco Shipping & Trading Ltd. (b)

   400        2,568 

Marten Transport Ltd. (b)

   3,333        68,393 

Mobile Mini, Inc.

   7,600        199,348 

Overseas Shipholding Group, Inc., Class A (a),(b)

   1,300        2,951 

Radiant Logistics, Inc. (a),(b)

   5,500        21,285 

Roadrunner Transportation Systems, Inc. (a),(b)

   84        214 

Schneider National, Inc., Class B

   200        3,868 

United Parcel Service, Inc., Class B

   8,800        822,096 

USA Truck, Inc. (a),(b)

   2,000        6,340 

YRC Worldwide, Inc. (a)

   5,200        8,736 
        

 

 

 
         1,258,961 
        

 

 

 

Transportation Equipment — 0.0%

 

      

Blue Bird Corp. (a),(b)

   2,600        28,418 

Commercial Vehicle Group, Inc. (a),(b)

   2,100        3,171 

FreightCar America, Inc. (a),(b)

   900        837 

REV Group, Inc. (a)

   100        417 

Spartan Motors, Inc. (b)

   4,200        54,222 

 

See Notes to Consolidated Financial Statements.

 

40


Table of Contents

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2020

 

Security Description

  Shares              Value 

Wabash National Corp.

   100       $722 
        

 

 

 
         87,787 
        

 

 

 

Utilities — 0.2%

 

      

Atlantic Power Corp. (a),(b)

   7,200        15,408 

Chesapeake Utilities Corp. (b)

   100        8,571 

CMS Energy Corp. (b)

   16,300        957,625 

Consolidated Water Co. Ltd. (b)

   1,300        21,320 

DTE Energy Co. (b)

   11,900        1,130,143 

Exelon Corp.

   175,400        6,456,474 

IDACORP, Inc.

   3,100        272,149 

Just Energy Group, Inc. (b)

   5,900        3,070 

NRG Energy, Inc.

   31,300        853,238 

PG&E Corp. (a),(b)

   148,100        1,331,419 

Public Service Enterprise Group, Inc.

   55,900        2,510,469 

Unitil Corp. (b)

   300        15,696 

WEC Energy Group, Inc.

   29        2,556 
        

 

 

 
         13,578,138 
        

 

 

 

Waste & Environmental Services & Equipment — 0.0%

 

      

Casella Waste Systems, Inc., Class A (a)

   3,500        136,710 

Ceco Environmental Corp. (a),(b)

   2,200        10,274 

Heritage-Crystal Clean, Inc. (a),(b)

   1,000        16,240 

Republic Services, Inc.

   800        60,048 

US Ecology, Inc. (b)

   800        24,320 

Waste Management, Inc. (b)

   11,100        1,027,416 
        

 

 

 
         1,275,008 
        

 

 

 

Total North America

 

       642,670,606 
        

 

 

 

Oceania — 0.0%

 

      

Iron & Steel — 0.0%

 

      

BHP Group PLC, ADR

   800        24,272 
        

 

 

 

Total Oceania

 

       24,272 
        

 

 

 

South America — 0.0%

 

      

Banking — 0.0%

 

      

Banco BBVA Argentina SA, ADR (a)

   6,900        18,078 
        

 

 

 

Consumer Products — 0.0%

 

      

BRF SA, ADR (a)

   25,000        72,500 

Cia Cervecerias Unidas SA, ADR (b)

   1,800        24,084 
        

 

 

 
         96,584 
        

 

 

 

Gaming, Lodging & Restaurants — 0.0%

 

      

Arcos Dorados Holdings, Inc., A Shares

   14,400        48,096 
        

 

 

 

 

See Notes to Consolidated Financial Statements.

 

41


Table of Contents

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2020

 

Security Description

  Shares              Value 

Metals & Mining — 0.0%

 

      

Yamana Gold, Inc. (b)

   45,600       $125,400 
        

 

 

 

Oil, Gas & Coal — 0.0%

 

      

Cosan Ltd., A Shares (a)

   22,100        271,830 

Geopark Ltd. (a)

   2,800        19,796 

Transportadora de Gas del Sur SA, ADR

   20        92 
        

 

 

 
         291,718 
        

 

 

 

Passenger Transportation — 0.0%

 

      

Gol Linhas Aereas Inteligentes SA, ADR

   6,900        29,463 
        

 

 

 

Total South America

 

       609,339 
        

 

 

 

TOTAL COMMON STOCK
(COST $798,952,005)

 

       702,012,343 
        

 

 

 

PREFERRED STOCK — 0.0%

 

North America — 0.0%

 

      

Utilities — 0.0%

 

      

Pacific Gas & Electric Co. (a),(c),(b)

   9,305        174,880 
        

 

 

 

Total North America

 

       174,880 
        

 

 

 

TOTAL PREFERRED STOCK
(COST $122,471)

 

       174,880 
        

 

 

 

Security Description

  Principal
Amount
         Value 

ASSET-BACKED SECURITIES — 4.7%

 

Europe — 0.1%

 

      

Banco Santander SA, Series 1, Class G, 10.00%, 09/25/25 (c),(e)

  $7,995,000        7,038,878 
        

 

 

 

North America — 4.6%

 

      

ACIS CLO Ltd., Series2015-6A, Class D, 3 mo. USD LIBOR + 3.77%, 5.53%, 05/01/27 (f),(g),(c),(b)

   2,000,000        1,644,356 

Adams Mill CLO Ltd., Series2014-1A, Class D1, 3 mo. USD LIBOR + 3.50%, 5.33%, 07/15/26 (f),(g),(c),(b)

   4,750,000        3,903,013 

AIG CLO Ltd.,

 

Series2019-2A, Class A, 3 mo. USD LIBOR + 1.36%, 3.23%, 10/25/32 (f),(g),(c),(b)

   250,000        233,393 

Series2019-2A, Class E, 3 mo. USD LIBOR + 7.25%, 9.12%, 10/25/32 (f),(g),(c),(b),(d)

   250,000        173,849 

Allegro CLO Ltd.,

 

Series2013-1A, Class C, 3 mo. USD LIBOR + 3.45%, 5.22%, 01/30/26 (f),(g),(c),(b)

   5,000,000        4,336,275 

 

See Notes to Consolidated Financial Statements.

 

42


Table of Contents

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2020

 

Security Description

  Principal
Amount
             Value 

Series2014-1RA, Class C, 3 mo. USD LIBOR + 3.00%, 4.82%, 10/21/28 (f),(g),(c),(b)

  $3,000,000       $2,244,240 

Series2016-1A, Class DR, 3 mo. USD LIBOR + 3.80%, 5.63%, 01/15/30 (f),(g),(c),(b)

   8,000,000        6,118,784 

Arbor Realty Collateralized Loan Obligation Ltd., Series2020-FL1, Class C, 1 mo. USD LIBOR + 2.05%, 3.71%, 02/15/35 (f),(g),(c),(b)

   1,792,000        1,385,811 

Ares LIV CLO Ltd., Series2019-54A, Class E, 3 mo. USD LIBOR + 7.34%, 9.19%, 10/15/32 (f),(g),(c),(b)

   250,000        171,520 

Ares XXVII CLO Ltd., Series2013-2A, Class CR, 3 mo. USD LIBOR + 2.40%, 4.20%, 07/28/29 (f),(g),(c),(b)

   250,000        224,511 

Atlas Senior Loan Fund Ltd., Series2014-1A, Class DR2, 3 mo. USD LIBOR + 4.00%, 5.84%, 07/16/29 (f),(g),(c),(b)

   2,000,000        1,459,640 

Avant Loans Funding Trust,

 

Series2018-A, Class C, 4.79%, 05/15/24 (f),(c),(b)

   3,411,000        3,190,990 

Series2018-B, Class C, 5.00%, 11/17/25 (f),(c),(b),(d)

   545,000        482,434 

Series2019-A, Class C, 4.65%, 04/15/26 (f),(c),(b)

   3,403,000        2,848,651 

Series2019-B, Class C, 4.54%, 10/15/26 (f),(c),(b),(d)

   637,000        500,300 

Avery Point CLO Ltd., Series2014-5A, Class DR, 3 mo. USD LIBOR + 3.10%, 4.94%, 07/17/26 (f),(g),(c),(b)

   2,500,000        2,095,698 

Bear Stearns Asset-Backed Securities Trust,Series 2007-2, Class A2, 1 mo. USD LIBOR + .32%, 1.27%, 01/25/47 (g),(c),(b)

   191,845        190,549 

Benefit Street Partners CLO Ltd., Series2016-10A, Class CR, 3 mo. USD LIBOR + 3.50%, 5.33%, 01/15/29 (f),(g),(c),(b)

   3,500,000        2,688,416 

Birch Grove CLO Ltd., Series 19A, Class D, 3 mo. USD LIBOR + 3.90%, 4.64%, 06/15/31 (f),(g),(c),(b)

   1,500,000        1,170,797 

Black Diamond CLO Ltd., Series2017-1A, Class C, 3 mo. USD LIBOR + 3.95%, 5.75%, 04/24/29 (f),(g),(c),(b)

   4,250,000        3,235,049 

BlueMountain CLO Ltd., Series2016-2A, Class C1R, 3 mo. USD LIBOR + 4.00%, 5.69%, 08/20/32 (f),(g),(c),(b)

   1,000,000        732,304 

 

See Notes to Consolidated Financial Statements.

 

43


Table of Contents

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2020

 

Security Description

  Principal
Amount
             Value 

Brookside Mill CLO Ltd., Series2013-1A, Class DR, 3 mo. USD LIBOR + 2.65%, 4.49%, 01/17/28 (f),(g),(c),(b)

  $4,000,000       $3,054,732 

California Street CLO LP, Series2012-9A, Class D1R2, 3 mo. USD LIBOR + 3.70%, 5.54%, 07/16/32 (f),(g),(c),(b)

   3,000,000        2,315,829 

Carlyle Global Market Strategies CLO Ltd.,

 

Series2014-1A, 3 mo. USD LIBOR + 2.60%, 4.44%, 04/17/31 (f),(g),(c),(b)

   3,000,000        2,014,728 

Series2015-1A, Class DR2, 3 mo. USD LIBOR + 3.65%, 5.47%, 07/20/31 (f),(g),(c),(b)

   2,000,000        1,494,212 

CarVal CLO Ltd., 5.97%, 04/20/32 (g),(e),(c),(b)

   500,000        384,684 

Series2019-2A, Class D, 3 mo. USD LIBOR + 3.70%, 5.52%, 07/20/32 (f),(g),(c),(b)

   6,000,000        4,257,252 

Carvana Auto Receivables Trust,

 

Series2019-1A, Class E, 5.64%, 01/15/26 (f),(b)

   1,116,000        825,748 

Series2019-2A, Class E, 5.01%, 04/15/26 (f),(h),(c),(d)

   1,125,000        950,430 

Series2019-3A, Class E, 4.60%, 07/15/26 (f),(h),(c),(d)

   1,592,000        1,213,075 

Series2019-4A, Class E, 4.70%, 10/15/26 (f),(h),(c),(d)

   1,181,000        903,327 

Series2020-N1A, Class D, 3.43%, 01/15/26 (f),(c)

   9,983,000        9,022,725 

Series2020-N1A, Class E, 5.20%, 07/15/27 (f),(c)

   5,312,000        3,452,757 

Catamaran CLO Ltd.,

 

Series2013-1A, Class DR, 3 mo. USD LIBOR + 2.80%, 4.59%, 01/27/28 (f),(g),(c),(b)

   5,235,000        4,026,689 

Series2014-1A, Class CR, 3 mo. USD LIBOR + 3.43%, 5.23%, 04/22/30 (f),(g),(c),(b)

   3,100,000        2,223,677 

Series2015-1A, Class DR, 3 mo. USD LIBOR + 2.80%, 4.60%, 04/22/27 (f),(g),(c),(b)

   1,000,000        788,522 

Series2015-1A, Class E, 3 mo. USD LIBOR + 5.15%, 6.95%, 04/22/27 (f),(g),(c),(b)

   2,500,000        1,349,580 

Series2016-1A, Class C, 3 mo. USD LIBOR + 3.85%, 5.67%, 01/18/29 (f),(g),(c),(b)

   3,500,000        2,674,802 

Cedar Funding XI Clo Ltd., Series2019-11A, Class E, 3 mo. USD LIBOR + 6.85%, 8.43%, 05/29/32 (f),(g),(c),(b)

   500,000        339,576 

 

See Notes to Consolidated Financial Statements.

 

44


Table of Contents

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2020

 

Security Description

  Principal
Amount
             Value 

Cent CLO Ltd., Series2014-21A, Class CR2, 3 mo. USD LIBOR + 3.20%, 4.99%, 07/27/30 (f),(g),(c),(b)

  $4,200,000       $3,091,771 

CIFC Funding Ltd.,

 

Series2013-1A, Class DR, 3 mo. USD LIBOR + 6.65%, 8.49%, 07/16/30 (f),(g),(c),(b)

   3,000,000        1,794,567 

Series2015-5A, Class CR, 3 mo. USD LIBOR + 2.95%, 4.74%, 10/25/27 (f),(g),(c),(b)

   4,000,000        3,120,888 

Series2016-1A, Class D1R, 3 mo. USD LIBOR + 4.00%, 5.82%, 10/21/31 (f),(g),(c)

   1,000,000        711,989 

Series2016-1A, Class D2R, 3 mo. USD LIBOR + 4.43%, 6.25%, 10/21/31 (f),(g),(c)

   500,000        310,190 

Series2019-4A, Class C, 3 mo. USD LIBOR + 3.50%, 5.33%, 07/15/32 (f),(g),(c),(b)

   1,000,000        719,277 

Colony American Finance Ltd., Series2018-1D, Class D, 4.92%, 06/15/51 (f),(c),(b)

   708,000        594,559 

Consumer Loan Underlying Bond Credit Trust, Series2018-P1, Class C, 5.21%, 07/15/25 (f),(b),(d)

   611,000        569,797 

Corevest American Finance Trust,

 

Series2017-2 SEQ, Class M, 5.62%, 12/25/27 (f),(c),(b)

   459,000        378,182 

Series2019-1, Class D, 4.82%, 03/15/52 (f),(c),(b)

   152,000        124,355 

Series2019-1, Class E, 5.49%, 03/15/52 (f),(c),(b)

   196,000        154,838 

CoreVest American Finance Trust,

 

Series2019-2, Class XA, 2.38%, 06/15/52 (v),(f),(c),(g),(b)

   17,487,495        1,829,332 

Series2019-2, Class D, 4.22%, 06/15/52 (f),(c),(b)

   476,000        384,838 

Series2019-2, Class E, 5.22%, 06/15/52 (f),(c),(g),(b)

   699,000        532,678 

Corevest American Finance Trust,

 

Series2019-3, Class XA, 2.04%, 10/15/52 (v),(f),(c),(g),(b)

   15,715,282        1,568,542 

Series2019-3, Class D, 3.76%, 10/15/52 (f),(c),(b)

   100,000        82,930 

Series2019-3, Class E, 4.74%, 10/15/52 (f),(c),(g),(b)

   124,000        104,204 

Series2020-1, Class E, 4.83%, 03/15/50 (f),(c),(g),(b)

   100,000        106,774 

Covenant Credit Partners CLO Ltd.,Series 2017-1A, Class D, 3 mo. USD LIBOR + 3.75%, 5.58%, 10/15/29 (f),(g),(c),(b)

   4,500,000        3,415,333 

 

See Notes to Consolidated Financial Statements.

 

45


Table of Contents

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2020

 

Security Description

  Principal
Amount
             Value 

Cutwater Ltd.,

 

Series2014-2A, Class CR, 3 mo. USD LIBOR + 3.75%, 5.58%, 01/15/27 (f),(g),(c),(b)

  $5,000,000       $4,156,055 

Series2015-1A, Class DR, 3 mo. USD LIBOR + 3.45%, 5.28%, 01/15/29 (f),(g),(c),(b)

   4,000,000        2,946,548 

Denali Capital CLO Ltd., Series2013-1A, Class B2LR, 3 mo. USD LIBOR + 4.75%, 6.54%, 10/26/27 (f),(g),(c),(b)

   1,000,000        486,774 

Dryden 80 CLO Ltd., Series2019-80A, Class D1, 3 mo. USD LIBOR + 4.10%, 5.98%, 01/17/33 (f),(g),(c),(b)

   250,000        189,614 

Dryden CLO Ltd., Series2019-75A, Class DR, 3 mo. USD LIBOR + 3.55%, 5.38%, 07/15/30 (f),(g),(c),(b)

   4,750,000        3,743,651 

Dryden Senior Loan Fund,

 

Series2014-33A, Class DR2, 3 mo. USD LIBOR + 3.85%, 5.68%, 04/15/29 (f),(g),(c),(b)

   1,000,000        798,762 

Series2014-36A, Class DR2, 3 mo. USD LIBOR + 3.70%, 5.53%, 04/15/29 (f),(g),(c),(b)

   6,000,000        4,866,210 

Series2016-43A, Class DRR, 3 mo. USD LIBOR + 3.55%, 5.37%, 07/20/29 (f),(g),(c),(b)

   3,000,000        2,408,661 

DT Auto Owner Trust,

 

Series2019-2A, Class E, 4.46%, 05/15/26 (f),(h),(c),(d)

   1,775,000        1,484,214 

Series2019-4A, Class E, 3.93%, 10/15/26 (f),(h),(c),(d)

   925,000        721,465 

Series2020-1A, Class E, 3.48%, 02/16/27 (f),(h),(c),(d)

   1,595,000        1,228,088 

Evans Grove CLO Ltd., Series2018-1A, Class D, 3 mo. USD LIBOR + 3.20%, 4.81%, 05/28/28 (f),(g),(c),(b)

   5,000,000        3,879,905 

Fort Washington CLO, Series2019-1A, Class D1, 3 mo. USD LIBOR + 3.90%, 5.81%, 10/20/32 (f),(g),(c),(b)

   1,000,000        730,704 

Gallatin Loan Management,

 

Series2017-1A, 3 mo. USD LIBOR + 3.25%, 5.08%, 07/15/27 (f),(g),(c),(b)

   7,500,000        5,880,000 

Series2018-1A, Class D1, 3 mo. USD LIBOR + 3.10%, 4.92%, 01/21/28 (f),(g),(c),(b)

   7,500,000        5,794,822 

 

See Notes to Consolidated Financial Statements.

 

46


Table of Contents

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2020

 

Security Description

  Principal
Amount
             Value 

Garrison Funding Ltd., Series2015-1A, Class CR, 3 mo. USD LIBOR + 3.90%, 5.58%, 09/21/29 (f),(g),(c),(b)

  $4,000,000       $3,139,524 

GLS Auto Receivables Issuer Trust,

 

Series2019-2A, Class D, 4.52%, 02/17/26 (f),(c),(b),(d)

   1,510,000        1,239,902 

Series2019-3A, Class D, 3.84%, 05/15/26 (f),(c),(b),(d)

   1,457,000        1,152,222 

Series2019-4A, Class D, 4.09%, 08/17/26 (f),(c),(b),(d)

   900,000        680,174 

Series2020-1A, Class D, 3.68%, 11/16/26 (f),(c),(b),(d)

   1,790,000        1,273,608 

Greywolf CLO III Ltd., Series2020-3RA, Class CR, 3 mo. USD LIBOR + 3.35%, 5.15%, 04/15/33 (f),(g),(c),(b)

   5,000,000        3,238,985 

Greywolf CLO Ltd., Series2019-1A, Class D, 3 mo. LIBOR + 6.94%, 8.78%, 04/17/30 (f),(g),(c),(b),(d)

   250,000        181,601 

Harbourview CLO Ltd., Series 7RA, Class D, 3 mo. USD LIBOR + 3.36%, 5.18%, 07/18/31 (f),(g),(c),(b)

   4,000,000        2,738,176 

Highbridge Loan Management Ltd.,Series 7A-2015, Class DR, 3 mo. USD LIBOR + 2.40%, 4.09%, 03/15/27 (f),(g),(c),(b)

   1,000,000        736,307 

Home Partners of America Trust, Series2019-1, Class F, 4.10%, 09/17/39 (f),(c),(b)

   97,870        59,032 

ICG US CLO Ltd., Series2016-1A, Class CR, 3 mo. USD LIBOR + 3.05%, 4.82%, 07/29/28 (f),(g),(c),(b)

   1,000,000        755,343 

Jamestown CLO Ltd.,

 

Series2014-4A, Class CR, 3 mo. USD LIBOR + 2.65%, 4.48%, 07/15/26 (f),(g),(c),(b)

   1,000,000        816,295 

Series2015-7A, Class CR, 3 mo. USD LIBOR + 2.60%, 4.39%, 07/25/27 (f),(g),(c),(b)

   5,500,000        4,159,908 

Series2016-9A, Class C1R, 3 mo. USD LIBOR + 4.10%, 5.92%, 10/20/28 (f),(g),(c),(b)

   3,000,000        2,342,829 

Series2018-11A, Class C, 3 mo. USD LIBOR + 3.25%, 5.09%, 07/14/31 (f),(g),(c),(b)

   2,000,000        1,377,134 

Jamestown CLO XV Ltd., Series2020-15A, Class D, 3 mo. USD LIBOR + 3.65%, 5.35%, 04/15/33 (f),(g),(c),(b)

   5,000,000        3,349,075 

JMP Credit Advisors CLO Ltd.,Series 2014-1RA, Class D, 3 mo. USD LIBOR + 2.60%, 4.44%, 01/17/28 (f),(g),(c),(b)

   5,310,000        4,038,621 

 

See Notes to Consolidated Financial Statements.

 

47


Table of Contents

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2020

 

Security Description

  Principal
Amount
             Value 

KKR CLO Ltd., Series 18, Class C, 3 mo. USD LIBOR + 2.35%, 4.18%, 07/18/30 (f),(g),(c),(b)

  $500,000       $436,580 

KVK CLO Ltd., 4.79%, 01/14/28 (f),(c),(g),(b)

   4,690,000        3,670,075 

Series2016-1A, Class D, 3 mo. USD LIBOR + 4.40%, 6.23%, 01/15/29 (f),(g),(c),(b)

   5,000,000        3,881,480 

Madison Park Funding Ltd.,

 

Series2012-10A, Class DR2, 3 mo. USD LIBOR + 3.25%, 5.07%, 01/20/29 (f),(g),(c),(b)

   1,000,000        801,535 

Series2013-11A, Class DR, 3 mo. USD LIBOR + 3.25%, 5.06%, 07/23/29 (f),(g),(c),(b)

   3,400,000        2,679,197 

Series2016-20A, Class DR, 3 mo. USD LIBOR + 3.00%, 4.79%, 07/27/30 (f),(g),(c),(b)

   2,000,000        1,471,980 

MagnetiteXIV-R Ltd., Series 2015-14RA, Class E, 7.42%, 10/18/31 (f),(g),(c),(b)

   500,000        331,619 

Mariner CLO LLC, Series2015-1A, Class DR2, 3 mo. USD LIBOR + 2.85%, 4.10%, 04/20/29 (f),(g),(c),(b)

   6,000,000        4,498,962 

MidOcean Credit CLO, Series2016-6A, Class DR, 3 mo. USD LIBOR + 3.75%, 5.57%, 01/20/29 (f),(g),(c),(b)

   4,000,000        2,957,852 

Midocean Credit CLO, Series2017-7A, Class D, 3 mo. USD LIBOR + 3.88%, 5.71%, 07/15/29 (f),(g),(c),(b)

   5,500,000        4,057,267 

Mountain View CLO LLC, Series2017-1A, Class D, 3 mo. USD LIBOR + 3.60%, 5.44%, 10/16/29 (f),(g),(c),(b)

   3,000,000        2,154,759 

Mountain View CLO Ltd.,

 

Series2015-10A, Class DR, 3 mo. USD LIBOR + 2.60%, 4.45%, 10/13/27 (f),(g),(c),(b)

   2,500,000        1,939,013 

Series2015-9A, Class CR, 3 mo. USD LIBOR + 3.12%, 4.95%, 07/15/31 (f),(g),(c),(b)

   5,000,000        3,228,515 

Series2019-1A, Class D, 3 mo. USD LIBOR + 4.05%, 5.88%, 04/15/29 (f),(g),(c),(b)

   5,000,000        3,826,735 

Neuberger Berman CLO XXIII Ltd.,Series 2016-23A, Class CR, 3 mo. USD LIBOR + 2.15%, 3.99%, 10/17/27 (f),(g),(c),(b)

   250,000        220,131 

Neuberger Berman Loan Advisers CLO Ltd.,Series 2018-28A, Class D, 3 mo. USD LIBOR + 2.85%, 4.67%, 04/20/30 (f),(g),(c),(b)

   750,000        534,704 

New Residential Mortgage LLC,

 

Series 2018-FNT1, Class D, 4.69%, 05/25/23 (f),(c),(b)

   625,047        582,881 

 

See Notes to Consolidated Financial Statements.

 

48


Table of Contents

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2020

 

Security Description

  Principal
Amount
             Value 

Series 2018-FNT1, Class E, 4.89%, 05/25/23 (f),(c),(b)

  $2,625,197       $2,456,000 

Series 2018-FNT2, Class E, 5.12%, 07/25/54 (f),(c),(b)

   2,593,692        2,419,419 

Nomura CRE CDO Ltd., Series2007-2A, Class D, 3 mo. USD LIBOR + .45%, 2.60%, 05/21/42 (f),(g),(c),(b)

   379,814        186,907 

Northwoods Capital Ltd., Series 2018-12BA, Class D, 3 mo. USD LIBOR + 3.15%, 3.89%, 06/15/31 (f),(g),(c),(b)

   3,000,000        1,912,887 

Oaktree CLO Ltd., Series2015-1A, Class DR, 3 mo. USD LIBOR + 5.20%, 7.02%, 10/20/27 (f),(g),(c),(b)

   2,500,000        1,375,283 

Ocean Trails CLO, Series2016-6A, Class DR, 3 mo. USD LIBOR + 3.65%, 5.48%, 07/15/28 (f),(g),(c),(b)

   5,000,000        3,916,445 

Octagon Investment Partners Ltd.,

 

Series2012-1A, Class CR, 3 mo. USD LIBOR + 4.00%, 5.83%, 07/15/29 (f),(g),(c),(b)

   3,500,000        2,822,806 

Series2014-1A, Class CRR, 3 mo. USD LIBOR + 3.95%, 5.65%, 02/14/31 (f),(g),(c),(b)

   2,000,000        1,458,752 

Series2014-1A, Class E, 3 mo. USD LIBOR + 4.85%, 6.68%, 04/15/26 (f),(g),(c),(b)

   1,000,000        630,633 

OFSI Fund Ltd., Series2014-7A, Class DR, 3 mo. USD LIBOR + 3.20%, 5.02%, 10/18/26 (f),(g),(c),(b)

   2,000,000        1,653,996 

OHA Credit Partners XIII Ltd.,Series 2016-13A, Class E, 3 mo. USD LIBOR + 7.15%, 8.97%, 01/21/30 (f),(g),(c),(b),(d)

   250,000        190,930 

OneMain Financial Issuance Trust,

 

Series2017-1A, Class D, 4.52%, 09/14/32 (f),(c),(b)

   4,500,000        3,602,754 

Series2017-1A SEQ, Class A1, 2.37%, 09/14/32 (f),(c)

   3,060,649        3,007,106 

Series2019-1A, Class E, 5.69%, 02/14/31 (f),(c),(b)

   5,000,000        4,024,635 

OZLM Funding Ltd., Series2013-4A, Class BR, 3 mo. USD LIBOR + 2.20%, 4.00%, 10/22/30 (f),(g),(c),(b)

   3,000,000        2,572,524 

OZLM Ltd.,

 

Series2014-6A, Class CS, 3 mo. USD LIBOR + 3.13%, 4.97%, 04/17/31 (f),(g),(c),(b)

   2,000,000        1,410,752 

 

See Notes to Consolidated Financial Statements.

 

49


Table of Contents

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2020

 

Security Description

  Principal
Amount
             Value 

Series2015-12A, Class D, 3 mo. USD LIBOR + 5.40%, 7.17%, 04/30/27 (f),(g),(c),(b)

  $8,833,000       $4,726,680 

Series2015-13A, Class D, 3 mo. USD LIBOR + 5.45%, 7.22%, 07/30/27 (f),(g),(c),(b)

   1,100,000        602,181 

Parallel Ltd.,

 

Series2017-1A, Class DR, 3 mo. USD LIBOR + 3.10%, 4.81%, 07/20/29 (f),(g),(c),(b)

   3,000,000        2,247,723 

Series2019-1A, Class D, 3 mo. USD LIBOR + 4.20%, 6.02%, 07/20/32 (f),(g),(c),(b)

   1,000,000        723,033 

Series2019-1A, Class E, 3 mo. USD LIBOR + 6.72%, 8.54%, 07/20/32 (f),(g),(c),(b)

   1,333,000        899,846 

Perimeter Master Note Business Trust,

 

Series2019-1A, Class C, 8.06%, 12/15/22 (f),(c),(b),(d)

   251,000        235,455 

Series2019-2A, Class B, 5.21%, 05/15/24 (f),(h),(c),(d)

   921,000        891,968 

Series2019-2A, Class C, 7.06%, 05/15/24 (f),(c),(b),(d)

   251,000        220,657 

Regatta Funding LP, Series2013-2A, 3 mo. USD LIBOR + 3.70%, 5.53%, 01/15/29 (f),(g),(c),(b)

   1,500,000        1,159,511 

Regatta XI Funding Ltd., Series2018-1A, Class D, 3 mo. USD LIBOR + 2.85%, 4.69%, 07/17/31 (f),(g),(c),(b)

   490,000        348,921 

Rockford Tower CLO Ltd.,

 

Series2017-1A, Class BR, 3 mo. USD LIBOR + 1.45%, 1.00%, 04/15/29 (f),(g),(c)

   2,500,000        2,270,560 

Series2017-2A, Class DR, 3 mo. USD LIBOR + 2.85%, 4.10%, 10/15/29 (f),(g),(c),(b)

   3,750,000        2,834,340 

Series2019-1A, Class C, 3 mo. USD LIBOR + 2.75%, 4.57%, 04/20/32 (f),(g),(c),(b)

   750,000        653,411 

Series2019-2A, Class D, 3 mo. USD LIBOR + 3.50%, 5.19%, 08/20/32 (f),(g),(c),(b)

   750,000        515,347 

Romark CLO III Ltd., Series2019-3A, Class C, 3 mo. USD LIBOR + 3.90%, 5.73%, 07/15/32 (f),(g),(c),(b)

   750,000        550,958 

Romark CLO Ltd., Series2017-1A, Class B, 3 mo. LIBOR + 2.15%, 3.96%, 10/23/30 (f),(g),(c),(b)

   250,000        216,286 

RR Ltd., Series2017-2A, Class C, 3 mo. USD LIBOR + 3.00%, 4.83%, 10/15/29 (f),(g),(c),(b)

   750,000        583,811 

 

See Notes to Consolidated Financial Statements.

 

50


Table of Contents

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2020

 

Security Description

  Principal
Amount
             Value 

Shackleton CLO Ltd., Series2017-11A, Class D, 3 mo. USD LIBOR + 3.65%, 5.34%, 08/15/30 (f),(g),(c),(b)

  $2,000,000       $1,424,420 

Skopos Auto Receivables Trust, Series2019-1A, Class C, 3.63%, 09/16/24 (f),(c),(b)

   1,627,000        1,305,615 

Thacher Park CLO Ltd., Series2014-1A, Class E2, 3 mo. USD LIBOR + 6.00%, 7.82%, 10/20/26 (f),(g),(c),(b)

   1,000,000        663,204 

TICP CLO Ltd., Series2018-IA, Class C, 3 mo. USD LIBOR + 3.04%, 4.83%, 04/26/28 (f),(g),(c),(b)

   4,650,000        3,576,385 

TICP CLO X Ltd., Series2018-10A, Class C, 3 mo. LIBOR + 1.90%, 3.72%, 04/20/31 (f),(g),(c),(b)

   250,000        212,799 

Tralee CLO Ltd., Series2018-5A, Class D, 3 mo. USD LIBOR + 3.20%, 5.02%, 10/20/28 (f),(g),(c),(b)

   4,500,000        3,339,706 

Trimaran CAVU Ltd., Series2019-2A, Class C, 3 mo. USD LIBOR + 4.72%, 6.63%, 11/26/32 (f),(g),(c),(b)

   2,000,000        1,518,888 

Venture CLO Ltd.,

 

Series2013-14A, Class DR, 3 mo. USD LIBOR + 4.00%, 5.61%, 08/28/29 (f),(g),(c),(b)

   4,000,000        2,981,720 

Series2014-16A, Class DRR, 3 mo. USD LIBOR + 2.51%, 4.34%, 01/15/28 (f),(g),(c),(b)

   4,000,000        2,912,868 

Series2014-18A, Class DR, 3 mo. USD LIBOR + 3.10%, 4.93%, 10/15/29 (f),(g),(c),(b)

   1,000,000        707,831 

Series2019-37A, Class D, 3 mo. USD LIBOR + 3.90%, 5.73%, 07/15/32 (f),(g),(c),(b)

   3,000,000        2,084,790 

Vericrest Opportunity Loan Trust,Series 2017-NP11 SEQ, Class A1, 3.38%, 10/25/47 (k),(f),(c)

   805,551        741,936 

Vibrant CLO Ltd., Series2018-8A, Class C, 3 mo. USD LIBOR + 2.85%, 4.67%, 01/20/31 (f),(g),(c),(b)

   6,300,000        4,262,674 

VOLT LXXXV LLC, Series 2020-NPL1 SEQ, Class A1A, 3.23%, 01/25/50 (k),(f),(c),(g)

   1,882,363        1,738,519 

VOYA CLO, Series2017-2A, Class C, 3 mo. USD LIBOR + 3.70%, 5.53%, 06/07/30 (f),(g),(c),(b)

   4,000,000        3,175,352 

Voya CLO Ltd., Series2016-2A, Class CR, 3 mo. USD LIBOR + 4.00%, 5.82%, 07/19/28 (f),(g),(c),(b)

   250,000        205,745 

 

See Notes to Consolidated Financial Statements.

 

51


Table of Contents

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2020

 

Security Description

  Principal
Amount
              Value 

WhiteHorse Ltd., Series2015-10A, Class DR, 3 mo. USD LIBOR + 3.00%, 4.84%, 04/17/27 (f),(g),(c),(b)

  $1,250,000       $997,316 

Zais CLO Ltd., Series2018-11A, Class D, 3 mo. USD LIBOR + 4.00%, 5.82%, 01/20/32 (f),(g),(c),(b)

   5,500,000        3,454,291 
        

 

 

 

Total North America

 

       296,412,039 
        

 

 

 

TOTAL ASSET-BACKED SECURITIES
(COST $395,206,324)

 

       303,450,917 
        

 

 

 

CONVERTIBLE BONDS — 0.0%

 

North America — 0.0%

 

      

Financial Services — 0.0%

 

      

RWT Holdings, Inc., 5.75%, 10/01/25 (f),(c),(b)

   3,418,000        2,091,239 
        

 

 

 

Total North America

 

       2,091,239 
        

 

 

 

TOTAL CONVERTIBLE BONDS
(COST $3,418,000)

 

       2,091,239 
        

 

 

 

BANK DEBT — 4.4%

 

Europe — 0.1%

 

      

Biotechnology & Pharmaceuticals — 0.0%

 

      

Grifols Worldwide Operations USA, Inc., USD 2019 Term Loan B, 1 mo. USD LIBOR, 0.00%, 11/15/27 (c),(p),(g)

   1,485,555        1,400,135 
        

 

 

 

Cable & Satellite — 0.0%

 

      

Altice Financing SA, 2017 USD Term Loan B, 2 mo. LIBOR + 2.75%, 4.41%, 07/31/24 (c),(g)

   833,604        754,412 

Ziggo Financing Partnership, USD Term Loan I, 1 mo. LIBOR + 2.50%, 3.20%, 04/30/28 (c),(o),(g)

   520,858        489,607 
        

 

 

 
         1,244,019 
        

 

 

 

Chemicals — 0.0%

 

      

Churchill AOC., 2018 Term Loan B, 1 mo. LIBOR + 4.25%, 5.26%, 08/01/25 (c),(o),(d),(g)

   890,932        768,429 

Starfruit Finco B.V, 2018 USD Term Loan B, 1 mo. LIBOR + 3.00%, 3.86%, 10/01/25 (c),(o),(g)

   930,247        827,920 
        

 

 

 
         1,596,349 
        

 

 

 

Entertainment Contents — 0.0%

 

    

Delta 2 (LUX) S.a.r.l. 2018 USD Term Loan, 3.500%, 02/01/24 (c)

   1,997,579        1,773,571 
        

 

 

 

 

See Notes to Consolidated Financial Statements.

 

52


Table of Contents

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2020

 

Security Description

  Principal
Amount
             Value 

Exploration & Production — 0.0%

    

Endeavour International Holding BV, Term Loan A1, 0.00%, 01/02/21 (c),(o),(d),(g)

  $1,127,625       $20,297 
        

 

 

 

Food & Beverage — 0.0%

    

Froneri International Ltd., 2020 USD Term Loan, 1 mo. LIBOR + 2.25%, 3.24%, 01/29/27 (c),(o),(g)

   230,582        218,476 
        

 

 

 

Health Care Facilities & Services — 0.0%

    

LGC Limited, Term Loan, 0.00%, 01/22/27 (c),(p)

   150,000        129,000 
        

 

 

 

Machinery Manufacturing — 0.0%

    

Zodiac Pool Solutions LLC., USD Term Loan B, 1 mo. LIBOR + 2.00%, 2.98%, 07/02/25 (c),(o),(g)

   57,530        51,777 
        

 

 

 

Media — 0.0%

    

Cineworld Limited, Incremental Term Loan, 0.00%, 02/05/27 (c),(p),(o)

   638,752        421,576 
        

 

 

 

Medical Equipment & Devices — 0.0%

    

Ortho-Clinical Diagnostics SA, 2018 Term Loan B, 1 mo. LIBOR + 3.25%, 4.77%, 06/30/25 (c),(g)

   354,247        299,781 
        

 

 

 

Recreation Facilities & Services — 0.1%

    

Richmond UK Bidco Ltd., 2017 GBP Term Loan B, 3 mo. LIBOR - GBP + 4.25%, 4.98%, 03/03/24 (c),(o)

   2,203,715   GBP     2,203,474 
        

 

 

 

Retail—Consumer Discretionary — 0.0%

    

Belron Finance US LLC, 2019 USD Term Loan B, 3 mo. LIBOR + 2.50%, 4.27%, 10/30/26 (c),(o)

  $451,043        423,981 
        

 

 

 

Software & Services — 0.0%

    

Capri Finance LLC, USD 2017 1st Lien Term Loan, 3 mo. LIBOR + 3.00%, 4.78%, 11/01/24 (c),(o),(g)

   396,962        340,395 

ION Trading Technologies S.a.r.l., USD Incremental Term Loan B, 3 mo. USD LIBOR, 0.00%, 11/21/24 (c),(p),(g)

   498,704        407,276 
        

 

 

 
         747,671 
        

 

 

 

Wireless Telecommunications Services — 0.0%

    

Altice France S.A., USD Term Loan B12, 1 mo. LIBOR + 3.69%, 4.39%, 03/31/26 (c),(o),(g)

   544,296        506,195 
        

 

 

 

Total Europe

     11,036,302 
        

 

 

 

 

See Notes to Consolidated Financial Statements.

 

53


Table of Contents

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2020

 

Security Description

  Principal
Amount
             Value 

North America — 4.2%

    

Advertising & Marketing — 0.3%

    

Advantage Sales & Marketing, Inc.,

        

2014 1st Lien Term Loan, 3 mo. LIBOR + 3.25%, 4.70%, 07/23/21 (c),(o)

  $15,945,024       $12,716,157 

Term Loan B2, 3 mo. LIBOR + 3.25%, 4.70%, 07/25/21 (c)

   6,706,957        5,365,565 

AppLovin Corporation, 2018 Term Loan B, 1 mo. LIBOR + 3.50%, 4.49%, 08/15/25 (c),(o),(g)

   395,990        352,431 

Red Ventures, LLC, 2020 Term Loan B, 1 mo. LIBOR + 2.50%, 3.49%, 11/08/24 (c),(g)

   854,065        706,030 

Terrier Media Buyer, Inc., Term Loan B, 3 mo. LIBOR + 4.25%, 5.70%, 12/17/26 (c),(o),(g)

   739,254        652,392 
        

 

 

 
         19,792,575 
        

 

 

 

Aerospace & Defense — 0.0%

    

Dynasty Acquisition Co., Inc.,

 

2020 CAD Term Loan B2, 1 mo. LIBOR + 3.50%, 4.95%, 04/08/26 (c),(g)

   304,163        240,669 

2020 Term Loan B1, 1 mo. LIBOR + 3.50%, 4.95%, 04/08/26 (c),(g)

   565,743        447,644 

TransDigm, Inc.,

 

2020 Term Loan F, 1 mo. LIBOR + 2.25%, 3.24%, 12/09/25 (c),(g)

   329,335        298,872 

2020 Term Loan G, 1 mo. LIBOR + 2.25%, 3.24%, 08/22/24 (c),(g)

   395,970        366,668 
        

 

 

 
         1,353,853 
        

 

 

 

Airlines — 0.0%

    

American Airlines, Inc.,

 

2017 1st Lien Term Loan, 1 mo. LIBOR + 1.75%, 2.69%, 01/29/27 (c),(g)

   759,924        615,538 

Repriced TL B due 2023, 3 mo. USD LIBOR, 0.00%, 04/28/23 (c),(p),(g)

   440,532        355,730 
        

 

 

 
         971,268 
        

 

 

 

Auto Parts Manufacturing — 0.0%

    

Panther BF Aggregator 2 LP, USD Term Loan B, 1 mo. LIBOR + 3.50%, 4.44%, 04/30/26 (c),(o),(g)

   1,196,992        1,089,263 
        

 

 

 

Biotechnology & Pharmaceuticals — 0.0%

    

Alphabet Holding Company, Inc., 2017 1st Lien Term Loan, 3 mo. LIBOR + 3.50%, 4.49%, 09/26/24 (c),(g)

   435,168        344,026 

 

See Notes to Consolidated Financial Statements.

 

54


Table of Contents

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2020

 

Security Description

  Principal
Amount
             Value 

Amneal Pharmaceuticals LLC, 2018 Term Loan B, 1 mo. LIBOR + 3.50%, 4.50%, 05/04/25 (c),(g)

  $491,428       $417,714 
        

 

 

 
         761,740 
        

 

 

 

Cable & Satellite — 0.1%

    

Cogeco Communications (USA) II L.P., 2017 1st Lien Term Loan, 1 mo. LIBOR + 2.00%, 2.99%, 01/03/25 (c),(g)

   626,507        580,565 

CSC Holdings, LLC, 2019 Term Loan B5, 1 mo. LIBOR + 2.50%, 3.11%, 04/15/27 (c),(g)

   1,515,705        1,444,967 

Radiate Holdco, LLC, 1st Lien Term Loan, 0.00%, 02/01/24 (c),(p),(g)

   556,445        510,076 

UPC Broadband Holding B.V., 2020 USD Term Loan B, 1 mo. LIBOR + 2.25%, 2.95%, 04/30/28 (c),(o),(g)

   149,123        135,329 

WideOpenWest Finance LLC, 2017 Term Loan B, 1 mo. LIBOR + 3.25%, 4.25%, 08/18/23 (c),(o),(g)

   509,667        467,620 
        

 

 

 
         3,138,557 
        

 

 

 

Casinos & Gaming — 0.0%

    

Caesars Entertainment Operating Company, Exit Term Loan, 3 mo. LIBOR + 2.00%, 2.99%, 10/07/24 (c),(g)

   87,922        71,070 

Caesars Resort Collection, LLC, 2017 1st Lien Term Loan B, 3 mo. LIBOR + 2.75%, 3.74%, 12/23/24 (c),(g)

   979,975        787,900 

Golden Nugget, Inc.,

 

2017 Incremental Term Loan B, 1 mo. LIBOR + 2.50%, 3.49%, 10/04/23 (c),(o)

   641,134        496,879 

2017 Incremental Term Loan B, 3 mo. LIBOR + 2.50%, 3.70%, 10/04/23 (c),(o),(g)

   532,818        412,934 
        

 

 

 
         1,768,783 
        

 

 

 

Chemicals — 0.0%

    

Ascend Performance Materials Operations LLC, 2019 Term Loan B, 3 mo. LIBOR + 5.25%, 6.70%, 08/27/26 (c),(o),(g)

   597,000        501,480 

GrafTech Finance, Inc., 2018 Term Loan B, 1 mo. LIBOR + 3.50%, 4.50%, 02/12/25 (c),(o),(g)

   681,797        586,346 

H.B. Fuller Company, 2017 Term Loan B, 1 mo. LIBOR + 2.00%, 2.77%, 10/20/24 (c),(g)

   1,300,000        1,120,444 

LyondellBasell Industries NV,

 

0.00%, 08/15/15 (d),(c)

   980,469   EUR     0 

0.00%, 08/15/49 (d),(c)

  $16,732,095        0 

 

See Notes to Consolidated Financial Statements.

 

55


Table of Contents

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2020

 

Security Description

  Principal
Amount
             Value 

Trinseo Materials Operating S.C.A., 2018 Term Loan, 1 mo. LIBOR + 2.00%, 2.99%, 09/06/24 (c),(g)

  $249,386       $204,809 

Univar Inc., 2019 USD Term Loan B5, 3 mo. LIBOR + 2.00%, 3.45%, 11/22/26 (c),(g)

   329,993        286,269 
        

 

 

 
         2,699,348 
        

 

 

 

Coal Operations — 0.0%

    

Blackhawk Mining LLC,

 

2019 Exit Term Loan B1, 3 mo. LIBOR + 9.50%, 11.28%, 06/05/20 (c),(o),(g)

   64,001        57,601 

2019 Exit Term Loan B2, 3 mo. LIBOR + 9.50%, 11.50%, 10/31/23 (c),(o),(g)

   91,430        77,715 
        

 

 

 
         135,316 
        

 

 

 

Commercial Services — 0.0%

 

      

Prime Security Services Borrower, LLC, 2019 Term Loan B1, 1 mo. LIBOR + 3.25%, 4.61%, 09/23/26 (c),(g)

   1,194,000        1,066,242 

Sunshine Luxembourg VII SARL, USD Term Loan B1, 6 mo. LIBOR + 4.25%, 5.32%, 10/01/26 (c),(g)

   496,041        443,460 
        

 

 

 
         1,509,702 
        

 

 

 

Communications Equipment — 0.0%

 

      

Avaya, Inc., 2018 Term Loan B, 1 mo. LIBOR + 4.25%, 4.95%, 12/15/24 (c),(g)

   631,538        535,229 

CommScope, Inc., 2019 Term Loan B, 1 mo. LIBOR + 3.25%, 4.24%, 04/06/26 (c),(o),(g)

   641,707        603,205 

MLN US HoldCo LLC, 2018 1st Lien Term Loan, 1 mo. LIBOR + 4.50%, 6.02%, 11/30/25 (c),(g)

   578,251        396,512 
        

 

 

 
         1,534,946 
        

 

 

 

Construction Materials Manufacturing — 0.0%

 

      

Quikrete Holdings, Inc., 2016 1st Lien Term Loan, 1 mo. LIBOR + 2.50%, 3.49%, 02/01/27 (c),(o),(g)

   386,496        355,577 
        

 

 

 

Consumer Finance — 0.1%

 

      

Apollo Commercial Real Estate Finance, Inc, Term Loan B, 1 mo. LIBOR + 2.75%, 3.45%, 05/15/26 (c),(o),(g)

   6,796,845        5,233,571 

Ocwen Loan Servicing, LLC, 2016 Term Loan B, 1 mo. LIBOR + 6.00%, 7.00%, 12/07/20 (c),(o)

   4,455,863        3,965,718 
        

 

 

 
         9,199,289 
        

 

 

 

 

See Notes to Consolidated Financial Statements.

 

56


Table of Contents

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2020

 

Security Description

  Principal
Amount
             Value 

Consumer Products — 0.0%

 

      

Reynolds Consumer Products LLC, Term Loan, 1 mo. USD LIBOR, 0.00%, 02/04/27 (c),(p),(g)

  $800,000       $749,600 
        

 

 

 

Consumer Services — 0.3%

 

      

Aegis Sciences Corp., 2018 Term Loan, 3 mo. LIBOR + 5.50%, 7.23%, 05/09/25 (c),(g)

   36,363        29,554 

Agro Merchants NAI Holdings LLC, 2017 1st Lien Term Loan B, 3 mo. LIBOR + 3.75%, 5.20%, 12/06/24 (c),(o),(g)

   5,641,303        4,682,282 

AlixPartners, LLP, 2017 Term Loan B, 1 mo. LIBOR + 2.50%, 3.50%, 04/04/24 (c),(o),(g)

   868,531        827,275 

Allied Universal Holdco LLC, 2019 Term Loan B, 1 mo. LIBOR + 4.25%, 5.24%, 07/10/26 (c),(o),(g)

   821,275        755,573 

Aramark Services, Inc., 2019 Term Loan B4, 1 mo. LIBOR + 1.75%, 2.74%, 01/15/27 (c),(o),(g)

   641,854        593,715 

Cambium Learning Group, Inc., Term Loan B, 3 mo. LIBOR + 4.50%, 5.95%, 12/18/25 (c),(o),(g)

   507,805        408,783 

Cast and Crew Payroll, LLC,

        

2019 1st Lien Term Loan, 1 mo. LIBOR + 3.75%, 4.74%, 02/09/26 (c),(o),(g)

   624,037        486,749 

2020 Incremental Term Loan, 0.00%, 02/09/26 (c),(p),(o),(g)

   130,876        100,774 

CHG Healthcare Services Inc.,

        

2017 1st Lien Term Loan B, 3 mo. LIBOR + 3.00%, 4.07%, 06/07/23 (c),(g)

   492,944        435,432 

2017 1st Lien Term Loan B, 3 mo. LIBOR + 3.00%, 4.45%, 06/07/23 (c)

   1,270        1,122 

Fort Dearborn Company,

        

2016 1st Lien Term Loan, 1 mo. LIBOR + 4.00%, 5.52%, 10/19/23 (c)

   186,898        156,995 

2016 1st Lien Term Loan, 3 mo. LIBOR + 4.00%, 5.91%, 10/19/23 (c)

   8,755,050        7,354,242 

2016 2nd Lien Term Loan, 3 mo. LIBOR, 8.50%, 10.41%, 10/21/24 (c),(d),(o)

   2,457,491        2,125,730 

Guidehouse LLP, 2018 Term Loan, 1 mo. LIBOR + 4.50%, 5.49%, 05/01/25 (c),(o),(g)

   261,851        209,481 

National Intergovernmental Purchasing Alliance Company, 1st Lien Term Loan, 3 mo. LIBOR + 3.75%, 5.20%, 05/23/25 (c),(o),(g)

   25,628        21,784 

USS Ultimate Holdings, Inc., 1st Lien Term Loan, 3 mo. USD LIBOR, 0.00%, 08/25/24 (c),(p),(o),(g)

   299,233        257,340 
        

 

 

 
         18,446,831 
        

 

 

 

 

See Notes to Consolidated Financial Statements.

 

57


Table of Contents

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2020

 

Security Description

  Principal
Amount
             Value 

Containers & Packaging — 0.1%

 

      

Berlin Packaging LLC, 2018 1st Lien Term Loan, 3 mo. USD LIBOR, 0.00%, 11/07/25 (c),(p),(o),(g)

  $299,239       $259,589 

Berry Global, Inc.,

        

2019 Term Loan Y, 1 mo. LIBOR + 2.00%, 2.86%, 07/01/26 (c),(g)

   1,171,093        1,106,683 

Term Loan W, 1 mo. LIBOR + 2.00%, 2.86%, 10/01/22 (c),(g)

   113,582        108,139 

Charter NEX US, Inc., Incremental Term Loan, 1 mo. LIBOR + 3.50%, 4.49%, 05/16/24 (c),(g)

   971,065        839,972 

Flex Acquisition Company, Inc.,

        

1st Lien Term Loan, 1 mo. LIBOR + 3.00%, 4.58%, 12/29/23 (c),(o),(g)

   8,194        7,416 

1st Lien Term Loan, 3 mo. LIBOR + 3.00%, 4.91%, 12/29/23 (c),(o)

   218,308        197,569 

2018 Incremental Term Loan, 3 mo. USD LIBOR, 0.00%, 06/29/25 (c),(p),(o),(g)

   359,789        325,609 

Reynolds Group Holdings Inc., USD 2017 Term Loan, 1 mo. LIBOR + 2.75%, 3.74%, 02/05/23 (c),(o),(g)

   494,880        466,424 
        

 

 

 
         3,311,401 
        

 

 

 

Defence Equipment — 0.0%

 

      

Amentum Government Services Holdings LLC, Term Loan B, 1 mo. LIBOR + 4.00%, 4.99%, 02/03/27 (c),(o)

   179,358        165,009 
        

 

 

 

Distributors—Discretionary — 0.0%

 

      

KAR Auction Services, Inc., 2019 Term Loan B6, 1 mo. LIBOR + 2.25%, 3.19%, 09/19/26 (c),(o),(g)

   393,200        361,744 
        

 

 

 

Educational Services — 0.0%

 

      

Learning Care Group, Inc., 2018 1st Lien Term Loan, 3 mo. USD LIBOR, 0.00%, 03/13/25 (c),(p),(g)

   199,491        156,289 
        

 

 

 

Electrical Equipment — 0.0%

 

      

Brookfield WEC Holdings Inc., 2020 Term Loan, 1 mo. LIBOR + 3.00%, 3.99%, 08/01/25 (c),(o),(g)

   999,253        939,298 

Vertiv Group Corporation, Term Loan B, 1 mo. LIBOR + 3.00%, 4.58%, 03/02/27 (c),(o),(g)

   204,503        175,872 
        

 

 

 
         1,115,170 
        

 

 

 

 

See Notes to Consolidated Financial Statements.

 

58


Table of Contents

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2020

 

Security Description

  Principal
Amount
             Value 

Electrical Equipment Manufacturing — 0.0%

 

      

Ingersoll-Rand Services Company, 2020 USD Spinco Term Loan, 1 mo. LIBOR + 1.75%, 2.74%, 03/01/27 (c),(g)

  $391,354       $365,916 
        

 

 

 

Entertainment Contents — 0.0%

 

      

Mediacom Illinois, LLC, Term Loan N, 1 Week LIBOR + 1.75%, 2.37%, 02/15/24 (c),(o),(g)

   174,544        167,562 

Univision Communications Inc., Term Loan C5, 1 mo. LIBOR + 2.75%, 3.75%, 03/15/24 (c),(g)

   711,411        599,364 
        

 

 

 
         766,926 
        

 

 

 

Entertainment Resources — 0.1%

 

      

Alterra Mountain Company, Term Loan B1, 1 mo. LIBOR + 2.75%, 3.74%, 07/31/24 (c),(o),(g)

   548,597        493,737 

AMC Entertainment Holdings, Inc., 2019 Term Loan B, 1 mo. LIBOR + 3.00%, 4.08%, 04/22/26 (c),(g)

   348,400        254,004 

Bulldog Purchaser, Inc., 2018 Term Loan, 3 mo. LIBOR + 3.75%, 4.82%, 09/05/25 (c),(g)

   4,383,195        3,550,388 

Crown Finance US, Inc., 2018 USD Term Loan, 6 mo. LIBOR + 2.25%, 3.32%, 02/28/25 (c),(o),(g)

   150,305        101,456 

NASCAR Holdings, Inc, Term Loan B, 1 mo. LIBOR + 2.75%, 3.67%, 10/19/26 (c),(g)

   115,470        100,690 

SMG US Midco 2, Inc., 2020 Term Loan, 3 mo. LIBOR + 2.50%, 3.43%, 01/23/25 (c),(o),(g)

   469,960        395,942 

UFC Holdings, LLC, 2019 Term Loan, 1 mo. LIBOR + 3.25%, 4.25%, 04/29/26 (c),(g)

   277,936        241,804 
        

 

 

 
         5,138,021 
        

 

 

 

Entertainment Resources — 0.0%

 

      

William Morris Endeavor Entertainment, LLC,

        

2018 1st Lien Term Loan, 1 mo. LIBOR + 2.75%, 3.74%, 05/18/25 (c),(g)

   145,869        114,325 

2018 1st Lien Term Loan, 3 mo. LIBOR + 2.75%, 4.37%, 05/18/25 (c)

   130,191        102,037 
        

 

 

 
         216,362 
        

 

 

 

Exploration & Production — 0.0%

 

      

Par Pacific Holdings, Inc. Term Loan B, 8.600%, 01/12/26 (c),(o)

   1,888,659        1,284,288 
        

 

 

 

Financial Services — 0.2%

 

      

Deerfield Dakota Holding, LLC, 2018 Term Loan B, 1 mo. LIBOR + 3.25%, 4.25%, 01/27/27 (c),(o),(g)

   445,455        436,546 

 

See Notes to Consolidated Financial Statements.

 

59


Table of Contents

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2020

 

Security Description

  Principal
Amount
             Value 

Focus Financial Partners, LLC, 2020 Term Loan, 1 mo. USD LIBOR, 0.00%, 07/03/24 (c),(p),(g)

  $1,196,954       $1,069,275 

Getty Images, Inc. 2019 USD Term Loan B, 5.500%, 02/19/26 (c)

   6,159,687        4,866,153 

GI Revelation Acquisition LLC, 2018 1st Lien Term Loan, 1 mo. LIBOR + 5.00%, 5.99%, 04/16/25 (c),(g)

   96,006        73,925 

IG Investment Holdings, LLC, 2018 1st Lien Term Loan, 3 mo. LIBOR + 4.00%, 5.45%, 05/23/25 (c),(g)

   980,025        773,612 

LDiscovery, LLC, Term Loan, 3 mo. LIBOR + 5.88%, 7.78%, 12/09/23 (c),(o),(d),(g)

   200,538        170,457 

LPL Holdings, Inc., 2019 Term Loan B1, 1 mo. USD LIBOR, 0.00%, 11/12/26 (c),(p),(o),(g)

   315,662        295,933 

Minotaur Acquisition, Inc., Term Loan B, 1 mo. LIBOR + 5.00%, 5.99%, 03/27/26 (c),(g)

   877,358        722,355 

NFP Corp., 2020 Term Loan, 1 mo. LIBOR + 3.25%, 4.24%, 02/15/27 (c),(g)

   833,585        711,323 

Quidditch Acquisition, Inc., 2018 Term Loan B, 3 mo. LIBOR + 7.00%, 8.45%, 03/21/25 (c),(o),(d),(g)

   199,516        159,613 

Trans Union, LLC, 2019 Term Loan B5, 1 mo. LIBOR + 1.75%, 2.74%, 11/16/26 (c),(g)

   522,469        498,696 
        

 

 

 
         9,777,888 
        

 

 

 

Food & Beverage — 0.0%

 

      

CHG PPC Parent LLC, 2018 Term Loan B, 1 mo. LIBOR + 2.75%, 3.74%, 03/31/25 (c),(o),(g)

   785,196        698,824 

Chobani, LLC, 2017 Term Loan B, 1 mo. LIBOR + 3.50%, 4.50%, 10/10/23 (c),(g)

   240,929        213,825 

Dole Food Company Inc., 2017 Term Loan B, 1 mo. LIBOR + 2.75%, 3.75%, 04/06/24 (c),(g)

   298,000        267,083 

Hostess Brands, LLC,

        

2019 Term Loan, 1 mo. LIBOR + 2.25%, 3.24%, 08/03/25 (c),(o)

   191,532        177,167 

2019 Term Loan, 3 mo. LIBOR + 2.25%, 4.01%, 08/03/25 (c),(o),(g)

   91,164        84,326 

2019 Term Loan, 3 mo. LIBOR + 2.25%, 4.03%, 08/03/25 (c),(o)

   428,481        396,345 
        

 

 

 
         1,837,570 
        

 

 

 

Gaming, Lodging & Restaurants — 0.0%

 

      

K-Mac Holdings Corp,

 

      

2018 1st Lien Term Loan, 1 mo. LIBOR + 3.00%, 3.99%, 03/14/25 (c)

   625,182        488,161 

 

See Notes to Consolidated Financial Statements.

 

60


Table of Contents

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2020

 

Security Description

  Principal
Amount
             Value 

2018 2nd Lien Term Loan, 1 mo. LIBOR + 6.75%, 7.74%, 03/16/26 (c),(d)

  $163,740       $114,618 

Tacala, LLC, 1st Lien Term Loan, 1 mo. LIBOR + 3.50%, 4.49%, 02/01/25 (c)

   121,068        95,846 
        

 

 

 
         698,625 
        

 

 

 

Hardware — 0.1%

 

      

Dell International LLC, 2019 Term Loan B, 1 mo. LIBOR + 2.00%, 2.99%, 09/19/25 (c),(g)

   1,699,486        1,615,582 

Western Digital Corporation, 2018 Term Loan B4, 3 mo. LIBOR + 1.75%, 3.35%, 04/29/23 (c),(o),(g)

   1,151,127        1,105,082 
        

 

 

 
         2,720,664 
        

 

 

 

Health Care Facilities & Services — 0.7%

 

      

American Renal Holdings Inc., 2017 Term Loan B, 1 mo. LIBOR + 5.00%, 5.99%, 06/21/24 (c),(d),(g)

   23,334        19,775 

Catalent Pharma Solutions Inc., Term Loan B2, 1 mo. LIBOR + 2.25%, 3.24%, 05/18/26 (c),(o),(g)

   396,000        382,140 

Change Healthcare Holdings LLC, 2017 Term Loan B, 1 mo. LIBOR + 2.50%, 3.50%, 03/01/24 (c),(o),(g)

   734,165        690,115 

DaVita, Inc., 2020 Term Loan B, 1 mo. LIBOR + 1.75%, 2.74%, 08/12/26 (c),(g)

   509,852        482,769 

Envision Healthcare Corporation, 2018 1st Lien Term Loan, 3 mo. LIBOR + 3.75%, 4.74%, 10/10/25 (c),(g)

   307,164        155,118 

ExamWorks Group, Inc. 2017 Term Loan, 4.70%, 07/27/23 (c),(o)

   979,873        876,986 

GHX Ultimate Parent Corporation, 2017 1st Lien Term Loan, 3 mo. LIBOR + 3.25%, 4.62%, 06/28/24 (c),(o),(g)

   757,214        700,423 

HCA Inc., Term Loan B12, 1 mo. LIBOR + 1.75%, 2.74%, 03/13/25 (c),(g)

   395,696        373,604 

Heartland Dental, LLC, 2018 1st Lien Term Loan, 3 mo. USD LIBOR, 0.00%, 04/30/25 (c),(p),(g)

   110,383        84,259 

Jaguar Holding Company II, 2018 Term Loan, 1 mo. LIBOR + 2.50%, 3.50%, 08/18/22 (c),(g)

   979,714        932,482 

New Millennium HoldCo, Inc. Exit Term Loan, 7.500%, 12/21/20 (c)

   7,305,574        2,532,623 

Owens & Minor, Inc. Term Loan B, 6.081%, 04/30/25 (c),(o)

   5,529,372        4,451,145 

Packaging Coordinators Midco, Inc., 1st Lien Term Loan, 6 mo. LIBOR + 4.00%, 5.08%, 06/30/23 (c),(o),(g)

   47,877        41,174 

 

See Notes to Consolidated Financial Statements.

 

61


Table of Contents

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2020

 

Security Description

  Principal
Amount
             Value 

Parexel International Corporation, Term Loan B, 1 mo. LIBOR + 2.75%, 3.74%, 09/27/24 (c),(g)

  $147,183       $124,922 

Patterson Medical Holdings, Inc., 1st Lien Term Loan, 3 mo. LIBOR + 4.75%, 6.53%, 08/29/22 (c),(g)

   10        7 

Pearl Intermediate Parent LLC, 2018 1st Lien Term Loan, 1 mo. LIBOR + 2.75%, 3.74%, 02/14/25 (c),(g)

   758,962        627,411 

Phoenix Guarantor Inc, 2020 Term Loan B, 1 mo. LIBOR + 3.25%, 4.11%, 03/05/26 (c),(o)

   985,050        889,008 

Quorum Health Corporation Term Loan B, 8.527%, 04/29/22 (c)

   14,775,868        11,983,228 

RegionalCare Hospital Partners Holdings, Inc., 2018 Term Loan B, 1 mo. LIBOR + 3.75%, 4.74%, 11/17/25 (c),(g)

   467,880        431,914 

Surgery Center Holdings, Inc., 2017 Term Loan B, 1 mo. LIBOR + 3.25%, 4.25%, 09/02/24 (c),(g)

   692,894        527,985 

Team Health Holdings, Inc. 1st Lien Term Loan, 3.750%, 02/06/24 (c),(o)

   13,675,505        8,547,191 

U.S. Anesthesia Partners, Inc., 2017 Term Loan, 1 mo. LIBOR + 3.00%, 4.00%, 06/23/24 (c),(g)

   301,656        223,729 

U.S. Renal Care, Inc. 2019 Term Loan B, 6.000%, 06/26/26 (c)

   4,026,684        3,480,223 

Wink Holdco, Inc 2nd Lien Term Loan B, 8.210%, 12/01/25 (c),(d),(o)

   7,981,327        6,544,689 
        

 

 

 
         45,102,920 
        

 

 

 

Home Improvement — 0.2%

 

      

AI Aqua Merger Sub, Inc.,

        

2017 1st Lien Term Loan B, 4.32%, 12/13/23 (c),(o)

   1,613,891        1,371,808 

2017 Incremental Term Loan, 4.32%, 12/13/23 (c),(o)

   8,418,193        7,155,464 

Apex Tool Group, LLC, 2019 Term Loan B, 1 mo. LIBOR + 5.25%, 6.50%, 08/21/24 (c),(g)

   527,287        403,153 

MI Windows and Doors, LLC, Term Loan B, 1 mo. USD LIBOR, 0.00%, 11/06/26 (c),(p),(o),(g)

   333,245        279,926 

Tamko Building Products, Inc, Term Loan B, 1 mo. LIBOR + 3.25%, 4.24%, 06/01/26 (c),(o),(g)

   646,999        601,709 
        

 

 

 
         9,812,060 
        

 

 

 

Industrial Other — 0.2%

 

      

Core & Main LP,

 

      

2017 Term Loan B, 3 mo. LIBOR + 2.75%, 4.33%, 08/01/24 (c),(o)

   186,934        164,035 

 

See Notes to Consolidated Financial Statements.

 

62


Table of Contents

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2020

 

Security Description

  Principal
Amount
             Value 

2017 Term Loan B, 1 mo. LIBOR + 2.75%, 4.33%, 08/01/24 (c),(o),(g)

  $289,411       $253,958 

Pike Corporation, 2019 Term Loan B, 1 mo. LIBOR + 3.25%, 4.24%, 07/24/26 (c),(g)

   568,850        526,186 

QualTek USA, LLC 2018 1st Lien Term Loan, 8.027%, 07/18/25 (c),(o)

   12,128,183        10,733,442 
        

 

 

 
         11,677,621 
        

 

 

 

Insurance — 0.0%

 

      

USI, Inc., 2019 Incremental Term Loan B, 1 mo. LIBOR + 4.00%, 4.99%, 12/02/26 (c),(g)

   403,705        360,642 
        

 

 

 

Internet Media — 0.0%

 

      

Ancestry.com Operations Inc., 2019 Extended Term Loan B, 1 mo. LIBOR + 4.25%, 5.24%, 08/27/26 (c),(g)

   280,188        221,349 

Go Daddy Operating Company, LLC, 2017 Repriced Term Loan, 1 mo. USD LIBOR, 0.00%, 02/15/24 (c),(p),(o),(g)

   524,313        498,753 

Micro Holding Corp., 2017 1st Lien Term Loan, 6 mo. LIBOR + 3.75%, 4.82%, 09/13/24 (c),(g)

   395,939        332,985 

Web.com Group, Inc.,

        

2018 2nd Lien Term Loan, 3 mo. LIBOR + 7.75%, 8.95%, 10/09/26 (c),(d),(g)

   101,708        76,619 

2018 Term Loan B, 3 mo. LIBOR + 3.75%, 4.95%, 10/10/25 (c),(g)

   282,672        230,378 
        

 

 

 
         1,360,084 
        

 

 

 

Machinery Manufacturing — 0.2%

 

      

Wash Multifamily Acquisition Inc., Canadian 1st Lien Term Loan, 1 mo. LIBOR + 3.25%, 4.25%, 05/14/22 (c),(o),(g)

   3,712        3,081 

Engineered Machinery Holdings, Inc.,

 

USD 1st Lien Term Loan, 3 mo. LIBOR + 3.00%, 4.45%, 07/19/24 (c),(g)

   268,274        218,643 

USD 2nd Lien Term Loan, 8.70%, 07/18/25 (c),(o)

   8,435,663        6,326,747 

Titan Acquisition Limited 2018 Term Loan B, 4.450%, 03/28/25 (c)

   5,528,948        4,506,093 

WASH Multifamily Laundry Systems, LLC, 2015 1st Lien Term Loan, 1 mo. LIBOR + 3.25%, 4.25%, 05/14/22 (c),(o),(g)

   23,959        19,886 
        

 

 

 
         11,074,450 
        

 

 

 

Managed Care — 0.0%

 

      

MPH Acquisition Holdings LLC, 2016 Term Loan B, 3 mo. LIBOR + 2.75%, 4.20%, 06/07/23 (c),(g)

   222,603        196,076 
        

 

 

 

 

See Notes to Consolidated Financial Statements.

 

63


Table of Contents

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2020

 

Security Description

  Principal
Amount
             Value 

Manufactured Goods — 0.1%

 

      

Hillman Group Inc. (The), 2018 Term Loan B, 6 mo. LIBOR + 4.00%, 5.07%, 05/31/25 (c),(g)

  $270,121       $209,682 

Tecomet Inc., 2017 Repriced Term Loan, 3 mo. USD LIBOR, 0.00%, 05/01/24 (c),(p),(o),(g)

   384,766        323,203 

WireCo WorldGroup, Inc. 1st Lien Term Loan, 3 mo. LIBOR + 5.00%, 6.072%, 09/30/23 (c),(o)

   4,839,491        3,811,099 
        

 

 

 
         4,343,984 
        

 

 

 

Media — 0.1%

 

      

Charter Communications Operating, LLC, 2019 Term Loan B2, 1 mo. LIBOR + 1.75%, 2.74%, 02/01/27 (c),(g)

   1,122,109        1,072,546 

Clear Channel Outdoor Holdings, Inc., Term Loan B, 1 mo. LIBOR + 3.50%, 4.49%, 08/21/26 (c),(o),(g)

   747,908        628,243 

Entercom Media Corp., 2019 Term Loan, 1 mo. LIBOR + 2.50%, 3.49%, 11/18/24 (c),(o),(g)

   2,372,371        2,135,134 

Virgin Media Bristol LLC, USD Term Loan N, 1 mo. LIBOR + 2.50%, 3.20%, 01/31/28 (c),(g)

   168,919        155,405 
        

 

 

 
         3,991,328 
        

 

 

 

Medical Equipment & Devices — 0.0%

 

      

Albany Molecular Research, Inc.,

 

      

2017 1st Lien Term Loan, 3 mo. USD LIBOR, 0.00%, 08/30/24 (c),(p),(g)

   99,744        85,999 

2017 2nd Lien Term Loan, 1 mo. LIBOR + 7.00%, 8.00%, 07/28/25 (c),(o),(d),(g)

   14,031        9,821 
        

 

 

 
         95,820 
        

 

 

 

Medical Equipment & Devices Manufacturing — 0.0%

 

      

Athenahealth, Inc., 2019 Term Loan B, 3 mo. LIBOR + 4.50%, 5.28%, 02/11/26 (c),(o),(g)

   998,656        928,750 

CPI Holdco, LLC, 2019 Term Loan, 3 mo. LIBOR + 4.25%, 5.70%, 11/04/26 (c),(o),(g)

   60,606        52,121 

Femur Buyer, Inc., 1st Lien Term Loan, 3 mo. LIBOR + 4.50%, 5.95%, 03/05/26 (c),(o),(g)

   496,250        392,038 
        

 

 

 
         1,372,909 
        

 

 

 

Oil, Gas & Coal — 0.2%

 

      

IBI Media Inc. 2019 Term Loan B, 3 mo. LIBOR, 7.00%, 8.00%, 08/01/23 (c)

   6,063,117        4,890,934 

PG&E Corp Term Loan, 3 mo. LIBOR + 0.20%, 3.450%, 04/16/21 (c),(o)

   4,670,589        4,343,648 
        

 

 

 
         9,234,582 
        

 

 

 

 

See Notes to Consolidated Financial Statements.

 

64


Table of Contents

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2020

 

Security Description

  Principal
Amount
             Value 

Pharmaceuticals — 0.0%

 

      

Arbor Pharmaceuticals, Inc., Term Loan B, 1 mo. LIBOR + 5.00%, 6.00%, 07/05/23 (c),(g)

  $102,542       $73,190 

Bausch Health Companies Inc.,

        

2018 Term Loan B, 1 mo. LIBOR + 3.00%, 3.61%, 06/02/25 (c),(g)

   235,871        223,193 

Term Loan B, 1 mo. LIBOR + 2.75%, 3.36%, 11/27/25 (c),(g)

   608,874        575,386 

Endo Luxembourg Finance Company I S.a r.l., 2017 Term Loan B, 1 mo. LIBOR + 4.25%, 5.25%, 04/29/24 (c),(o),(g)

   449,717        401,372 
        

 

 

 
         1,273,141 
        

 

 

 

Power Generation — 0.0%

 

      

Calpine Corporation,

 

      

2019 Term Loan B10, 1 mo. LIBOR + 2.00%, 2.99%, 08/12/26 (c),(o),(g)

   675,825        635,275 

Term Loan B5, 1 mo. LIBOR + 2.25%, 3.24%, 01/15/24 (c),(g)

   897,644        859,943 

Vistra Operations Company LLC,

        

1st Lien Term Loan B3, 1 mo. LIBOR + 1.75%, 2.55%, 12/31/25 (c)

   97,654        92,405 

1st Lien Term Loan B3, 1 mo. LIBOR + 1.75%, 2.74%, 12/31/25 (c),(g)

   408,006        386,076 
        

 

 

 
         1,973,699 
        

 

 

 

Property & Casualty Insurance — 0.2%

 

      

Alliant Holdings Intermediate, LLC, 2018 Term Loan B, 1 mo. LIBOR + 3.00%, 3.99%, 05/09/25 (c),(g)

   386,482        350,152 

AmWINS Group, Inc.,

        

2017 Term Loan B, 1 mo. LIBOR + 2.75%, 3.75%, 01/25/24 (c),(o)

   354,203        326,310 

2017 Term Loan B, 1 mo. LIBOR + 2.75%, 3.77%, 01/25/24 (c),(o),(g)

   70,959        65,371 

AssuredPartners, Inc., 2020 Term Loan B, 1 mo. LIBOR + 3.50%, 4.49%, 02/12/27 (c),(g)

   849,148        736,636 

Asurion LLC,

        

2017 2nd Lien Term Loan, 1 mo. LIBOR + 6.50%, 7.49%, 08/04/25 (c),(g)

   241,559        220,121 

2017 Term Loan B4, 1 mo. LIBOR + 3.00%, 3.99%, 08/04/22 (c),(g)

   423,019        399,046 

2018 Term Loan B6, 1 mo. LIBOR + 3.00%, 3.99%, 11/03/23 (c),(o),(g)

   395,826        376,035 

2018 Term Loan B7, 1 mo. USD LIBOR, 0.00%, 11/03/24 (c),(p),(o),(g)

   1,196,954        1,131,122 

 

See Notes to Consolidated Financial Statements.

 

65


Table of Contents

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2020

 

Security Description

  Principal
Amount
             Value 

Broadstreet Partners, Inc., 2020 Term Loan B, 1 mo. LIBOR + 3.25%, 4.24%, 01/27/27 (c),(g)

  $388,854       $339,194 

Hub International Limited,

        

2018 Term Loan B, 3 mo. LIBOR + 2.75%, 4.39%, 04/25/25 (c),(g)

   53,559        49,756 

2018 Term Loan B, 2 mo. LIBOR + 2.75%, 4.55%, 04/25/25 (c)

   1,126,095        1,046,142 

NMI Holdings, Inc., 2018 Term Loan B, 1 mo. LIBOR + 4.75%, 5.75%, 05/24/23 (c),(o),(g)

   6,687,912        5,885,363 

Sedgwick Claims Management Services, Inc.,

        

2018 Term Loan B, 1 mo. LIBOR + 3.25%, 4.24%, 12/31/25 (c),(g)

   395,990        348,142 

2019 Term Loan B, 3 mo. USD LIBOR, 0.00%, 09/03/26 (c),(p),(g)

   248,459        222,681 
        

 

 

 
         11,496,071 
        

 

 

 

Publishing & Broadcasting — 0.1%

 

      

A-L Parent LLC,

        

2016 1st Lien Term Loan, 4.25%, 12/01/23 (c)

   5,554,333        3,628,813 

2016 2nd Lien Term Loan, 0.00%, 12/02/24 (c),(p),(o),(d),(g)

   857,047        599,933 

iHeartCommunications, Inc., 2020 Term Loan, 1 mo. LIBOR + 3.00%, 3.99%, 05/01/26 (c),(g)

   349,687        292,863 

LBI Media, Inc., Exit Term Loan, 3 mo. LIBOR + 7.50%, 9.33%, 10/16/24 (c),(d),(o)

   200,452        184,415 

Nexstar Broadcasting, Inc., 2019 Term Loan B4, 1 mo. LIBOR + 2.75%, 3.73%, 09/18/26 (c),(g)

   1,530,972        1,419,211 
        

 

 

 
         6,125,235 
        

 

 

 

Real Estate — 0.1%

 

      

Colorado Buyer Inc 2nd Lien Term Loan, 8.250%, 05/01/25 (c),(d)

   1,835,279        650,496 

Invitation Homes Operating Partnership LP, Term Loan A, 1 mo. LIBOR + 1.70%, 2.66%, 02/06/22 (c),(o),(g)

   6,872,000        5,841,200 

VICI Properties 1 LLC, Replacement Term Loan B, 1 mo. LIBOR + 1.75%, 2.67%, 12/20/24 (c),(g)

   98,760        90,489 
        

 

 

 
         6,582,185 
        

 

 

 

Refining & Marketing — 0.1%

 

      

Citgo Petroleum Corporation 2019 Term Loan B, 6.000%, 03/28/24 (c),(o)

   7,494,133        6,519,896 

Gulf Finance, LLC,

 

Term Loan B, 3 mo. LIBOR + 5.25%, 6.71%, 08/25/23 (c)

   50,948        25,423 

 

See Notes to Consolidated Financial Statements.

 

66


Table of Contents

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2020

 

Security Description

  Principal
Amount
             Value 

Term Loan B, 1 mo. LIBOR + 5.25%, 6.84%, 08/25/23 (c)

  $85,564       $42,696 
        

 

 

 
         6,588,015 
        

 

 

 

Restaurants — 0.1%

 

      

1011778 B.C. Unlimited Liability Company, Term Loan B4, 1 mo. LIBOR + 1.75%, 2.74%, 11/19/26 (c),(o),(g)

   1,618,530        1,489,048 

Fogo De Chao, Inc., 2018 Add On Term Loan, 3 mo. LIBOR + 4.25%, 5.70%, 04/07/25 (c),(o),(d),(g)

   757,392        492,305 

IRB Holding Corp,

        

2020 Term Loan B, 6 mo. LIBOR + 2.75%, 3.75%, 02/05/25 (c),(g)

   399,006        306,488 

2020 Term Loan B, 3 mo. LIBOR + 2.75%, 3.95%, 02/05/25 (c)

   1,021        784 

KFC Holding Co., 2018 Term Loan B, 3 mo. USD LIBOR, 0.00%, 04/03/25 (c),(p),(o),(g)

   341,338        321,711 

Whatabrands LLC, 2020 Term Loan B, 1 mo. LIBOR + 2.75%, 3.77%, 08/03/26 (c),(g)

   549,210        450,583 
        

 

 

 
         3,060,919 
        

 

 

 

Retail—Consumer Discretionary — 0.1%

 

      

American Builders & Contractors Supply Co., Inc., 2019 Term Loan, 1 mo. LIBOR + 2.00%, 2.99%, 01/15/27 (c),(o),(g)

   485,560        456,427 

Avis Budget Car Rental, LLC, 2020 Term Loan B, 1 mo. LIBOR + 1.75%, 2.74%, 08/06/27 (c),(g)

   708,927        568,326 

Bass Pro Group, LLC Term Loan B, 6.072%, 09/25/24 (c),(o)

   3,310,067        2,763,906 

CNT Holdings III Corp, 2017 Term Loan, 6 mo. LIBOR + 3.00%, 4.08%, 01/22/23 (c),(g)

   442,396        393,458 

Harbor Freight Tools USA, Inc., 2018 Term Loan B, 3 mo. LIBOR + 2.50%, 3.49%, 08/18/23 (c),(g)

   183,866        166,215 

Petco Animal Supplies, Inc., 2017 Term Loan B, 3 mo. LIBOR + 3.25%, 5.03%, 01/26/23 (c),(g)

   480,997        331,407 

PetSmart, Inc., Consenting Term Loan, 6 mo. LIBOR + 4.00%, 5.00%, 03/11/22 (c)

   265,540        253,957 

SRS Distribution Inc.,

        

2018 1st Lien Term Loan, 1 mo. LIBOR + 3.25%, 4.32%, 05/23/25 (c)

   776        654 

2018 1st Lien Term Loan, 6 mo. LIBOR + 3.25%, 4.32%, 05/23/25 (c),(g)

   403,137        339,642 

Wand NewCo 3, Inc., 2020 Term Loan, 1 mo. USD LIBOR, 0.00%, 02/05/26 (c),(p),(o),(g)

   535,327        476,441 
        

 

 

 
         5,750,433 
        

 

 

 

 

See Notes to Consolidated Financial Statements.

 

67


Table of Contents

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2020

 

Security Description

  Principal
Amount
             Value 

Retail—Consumer Staples — 0.0%

 

      

US Foods, Inc.,

 

      

2016 Term Loan B, 1 mo. LIBOR + 1.75%, 2.74%, 06/27/23 (c),(g)

  $478,476       $440,997 

2019 Term Loan B, 6 mo. LIBOR + 2.00%, 3.07%, 09/13/26 (c),(g)

   982,684        892,277 
        

 

 

 
         1,333,274 
        

 

 

 

Retail—Discretionary — 0.0%

 

      

Priso Acquisition Corporation, 2017 Term Loan B, 3 mo. LIBOR + 3.00%, 4.91%, 05/08/22 (c),(o),(d),(g)

   180,054        147,644 
        

 

 

 

Semiconductors — 0.0%

 

      

ON Semiconductor Corporation, 2019 Term Loan B, 1 mo. LIBOR + 2.00%, 2.99%, 09/19/26 (c),(o),(g)

   419,015        391,779 
        

 

 

 

Software — 0.0%

 

      

DCert Buyer, Inc., 2019 Term Loan B, 3 mo. LIBOR + 4.00%, 4.99%, 10/16/26 (c),(g)

   731,708        648,783 

Mitchell International, Inc., 2017 1st Lien Term Loan, 1 mo. LIBOR + 3.25%, 4.24%, 11/29/24 (c),(g)

   615,647        508,937 
        

 

 

 
         1,157,720 
        

 

 

 

Software & Services — 0.2%

 

      

Applied Systems, Inc., 2017 1st Lien Term Loan, 3 mo. LIBOR + 3.25%, 4.70%, 09/19/24 (c),(g)

   757,446        695,586 

Banff Merger Sub Inc, 2018 USD Term Loan B, 3 mo. USD LIBOR, 0.00%, 10/02/25 (c),(p),(g)

   997,475        823,166 

Blackboard, Inc. 2019 Term Loan B5, 7.737%, 06/30/24 (c),(o)

   4,723,574        4,133,127 

Castle US Holding Corporation, USD Term Loan B, 1 mo. LIBOR + 3.75%, 5.20%, 01/29/27 (c),(g)

   277,116        219,789 

CCC Information Services, Inc., 2017 1st Lien Term Loan, 1 mo. LIBOR + 2.75%, 3.75%, 04/29/24 (c),(g)

   657,995        596,894 

Compuware Corporation, 2018 Term Loan B, 1 mo. LIBOR + 4.00%, 4.99%, 08/22/25 (c),(g)

   160,409        151,319 

ConvergeOne Holdings, Inc., 2019 Term Loan, 1 mo. LIBOR + 5.00%, 5.99%, 01/04/26 (c),(o),(g)

   283,951        215,802 

Dun & Bradstreet Corporation (The), Term Loan, 1 mo. USD LIBOR, 0.00%, 02/06/26 (c),(p),(d),(g)

   387,465        347,266 

 

See Notes to Consolidated Financial Statements.

 

68


Table of Contents

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2020

 

Security Description

  Principal
Amount
             Value 

Epicor Software Corporation, 1st Lien Term Loan, 1 mo. LIBOR + 3.25%, 4.25%, 06/01/22 (c),(g)

  $322,042       $293,058 

Flexera Software LLC, 2018 1st Lien Term Loan, 1 mo. LIBOR + 3.50%, 4.50%, 02/26/25 (c),(g)

   395,960        355,374 

Genuine Financial Holdings, LLC, 2018 1st Lien Term Loan, 3 mo. USD LIBOR, 0.00%, 07/12/25 (c),(p),(g)

   99,747        81,294 

Help/Systems Holdings, Inc, 2019 Term Loan B, 1 mo. LIBOR + 4.75%, 5.75%, 11/19/26 (c),(o),(g)

   577,656        486,675 

Hyland Software, Inc., 2018 1st Lien Term Loan, 3 mo. LIBOR + 3.50%, 4.24%, 07/01/24 (c),(o),(g)

   377,282        348,986 

Informatica LLC,

        

2020 USD 2nd Lien Term Loan, 7.13%, 02/14/25 (c),(o),(d)

   77,519        68,217 

2020 USD Term Loan B, 1 mo. LIBOR + 3.25%, 4.24%, 02/14/27 (c),(g)

   295,964        255,023 

Kronos Incorporated, 2017 Term Loan B, 3 mo. LIBOR + 3.00%, 4.76%, 11/01/23 (c),(g)

   757,826        687,886 

McAfee, LLC, 2018 USD Term Loan B, 1 mo. LIBOR + 3.75%, 4.69%, 09/30/24 (c),(g)

   692,965        646,765 

Perforce Software, Inc., 2020 Term Loan B, 1 mo. LIBOR + 3.75%, 4.74%, 07/01/26 (c),(g)

   674,548        562,121 

Presidio, Inc., 2020 Term Loan B, 3 mo. LIBOR + 3.50%, 5.28%, 12/19/26 (c),(o),(g)

   173,881        161,709 

Project Alpha Intermediate Holding, Inc., 2017 Term Loan B, 6 mo. LIBOR + 3.50%, 5.38%, 04/26/24 (c),(o),(g)

   294,139        264,725 

Project Boost Purchaser, LLC, 2019 Term Loan B, 3 mo. USD LIBOR, 0.00%, 06/01/26 (c),(p),(g)

   397,188        327,017 

Rackspace Hosting, Inc., 2017 Incremental 1st Lien Term Loan, 3 mo. LIBOR + 3.00%, 4.76%, 11/03/23 (c),(g)

   488,903        422,901 

Sabre GLBL Inc., 2018 Term Loan B, 1 mo. LIBOR + 2.00%, 2.99%, 02/22/24 (c),(g)

   147,262        122,595 

SolarWinds Holdings, Inc., 2018 Term Loan B, 3 mo. USD LIBOR, 0.00%, 02/05/24 (c),(p),(g)

   535,392        496,132 

SS&C Technologies Holdings Europe S.A.R.L., 2018 Term Loan B4, 1 mo. LIBOR + 1.75%, 2.74%, 04/16/25 (c),(g)

   256,364        239,060 

SS&C Technologies Inc.,

        

2018 Term Loan B3, 1 mo. LIBOR + 1.75%, 2.74%, 04/16/25 (c),(g)

   359,282        335,031 

2018 Term Loan B5, 1 mo. USD LIBOR, 0.00%, 04/16/25 (c),(p),(g)

   423,283        394,978 

 

See Notes to Consolidated Financial Statements.

 

69


Table of Contents

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2020

 

Security Description

  Principal
Amount
             Value 

Surf Holdings, LLC, USD Term Loan, 3 mo. LIBOR + 3.50%, 4.81%, 03/05/27 (c),(o),(g)

  $85,131       $75,341 

Tempo Acquisition LLC, Term Loan, 3 mo. USD LIBOR, 0.00%, 05/01/24 (c),(p),(g)

   414,077        368,528 

Veritas Bermuda Ltd., USD Repriced Term Loan B, 3 mo. USD LIBOR, 0.00%, 01/27/23 (c),(p),(g)

   329,293        279,899 

Verscend Holding Corp., 2018 Term Loan B, 1 mo. LIBOR + 4.50%, 5.49%, 08/27/25 (c),(o),(g)

   441,696        415,194 

VS Buyer, LLC, Term Loan B, 3 mo. LIBOR + 3.25%, 4.86%, 03/02/27 (c),(o),(g)

   70,961        67,768 
        

 

 

 
         14,939,226 
        

 

 

 

Technology Services — 0.0%

 

      

Access CIG, LLC, 2018 1st Lien Term Loan, 3 mo. LIBOR + 3.75%, 5.53%, 02/27/25 (c),(g)

   223,350        180,635 

IMS Health Inc., 2017 USD Term Loan B2, 1 mo. USD LIBOR, 0.00%, 01/17/25 (c),(p),(g)

   444,559        400,845 
        

 

 

 
         581,480 
        

 

 

 

Transportation & Logistics — 0.0%

 

      

Lineage Logistics Holdings, LLC, 2018 Term Loan, 1 mo. LIBOR + 3.00%, 4.00%, 02/27/25 (c),(o),(g)

   450,030        417,965 
        

 

 

 

Travel & Lodging — 0.0%

 

      

Casablanca US Holdings, Inc., 2018 1st Lien Term Loan, 3 mo. LIBOR + 4.00%, 5.62%, 03/29/24 (c),(g)

   1,979,320        1,583,456 

Diamond Resorts International, Inc., 2018 Term Loan B, Citibank, N.A., 1 mo. LIBOR + 3.75%, 4.75%, 09/02/23 (c),(o),(g)

   99,241        66,987 

Marriott Ownership Resorts, Inc., 2019 Term Loan B, 0.00%, 08/29/25 (c),(p),(o),(g)

   340,000        295,800 
        

 

 

 
         1,946,243 
        

 

 

 

Utilities — 0.2%

 

      

Pacific Gas & Electric Company, Revolver, 3 mo. USD LIBOR, 0.00%, 04/27/22 (c),(p),(g),(i)

   6,297,991        5,995,688 

PG&E Opco Revolver, 3 mo. LIBOR + 0.48, 3.75%, 04/27/22 (c),(o)

   5,336,104        4,962,576 
        

 

 

 
         10,958,264 
        

 

 

 

Waste & Environmental Services & Equipment — 0.0%

 

      

EnergySolutions, LLC, 2018 Term Loan B, 3 mo. LIBOR + 3.75%, 5.20%, 05/09/25 (c),(o),(g)

   875,163        752,640 

ERM Emerald US Inc., USD Term Loan B1, 3 mo. LIBOR + 3.75%, 5.20%, 02/05/23 (c),(o)

   310,028        273,600 

 

See Notes to Consolidated Financial Statements.

 

70


Table of Contents

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2020

 

Security Description

  Principal
Amount
              Value 

GFL Environmental Inc.,

        

2018 USD Term Loan B, 1 mo. LIBOR + 3.00%, 3.99%, 05/30/25 (c),(g)

  $185,828       $179,325 

2018 USD Term Loan B, 1 mo. LIBOR + 3.00%, 4.00%, 05/30/25 (c)

   33,252        32,088 

US Ecology Holdings, Inc., Term Loan B, 1 mo. LIBOR + 2.50%, 3.49%, 11/1/26 (c),(o),(g)

   226,705        215,369 
        

 

 

 
         1,453,022 
        

 

 

 

Wireless Telecommunications Services — 0.1%

 

      

CenturyLink, Inc., 2020 Term Loan B, 1 mo. LIBOR + 2.25%, 3.24%, 03/15/27 (c),(g)

   2,428,406        2,253,877 

Level 3 Financing Inc., 2019 Term Loan B, 1 mo. LIBOR + 1.75%, 2.74%, 03/01/27 (c),(g)

   550,153        511,642 

SBA Senior Finance II LLC, 2018 Term Loan B, 1 mo. LIBOR + 1.75%, 2.74%, 04/11/25 (c),(g)

   584,711        551,382 

Securus Technologies Holdings, Inc., 2017 1st Lien Term Loan, 3 mo. USD LIBOR, 0.00%, 11/01/24 (c),(p),(o),(g)

   53,322        41,058 

Sprint Communications, Inc., 1st Lien Term Loan B, 1 mo. LIBOR + 2.50%, 3.50%, 02/02/24 (c),(o),(g)

   1,007,214        999,660 

Switch, Ltd., 2017 Term Loan B, 3 mo. LIBOR + 2.25%, 3.24%, 06/27/24 (c),(o),(g)

   665,500        608,932 

Telesat Canada, Term Loan B5, 1 mo. LIBOR + 2.75%, 3.74%, 12/07/26 (c),(o),(g)

   750,256        712,744 
        

 

 

 
         5,679,295 
        

 

 

 

Total North America

 

       271,900,607 
        

 

 

 

South America — 0.1%

 

      

Cable & Satellite — 0.0%

 

      

Coral-USCo-Borrower, LLC, 2020 Term Loan B5, 1 mo. LIBOR + 2.25%, 3.24%, 01/31/28 (c),(o),(g)

   389,482        362,704 
        

 

 

 

Iron & Steel — 0.1%

 

      

Samarco Mineracao S.A., Fixed Rate Term Loan, 0.00%, 03/25/21 (c),(p),(o)

   8,773,832        3,246,318 
        

 

 

 

Total South America

 

       3,609,022 
        

 

 

 

TOTAL BANK DEBT
(COST $333,155,164)

 

       286,545,931 
        

 

 

 

 

See Notes to Consolidated Financial Statements.

 

71


Table of Contents

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2020

 

Security Description

  Principal
Amount
             Value 

CORPORATE BONDS & NOTES — 6.0%

 

Africa — 0.1%

    

Utilities — 0.1%

    

Eskom Holdings SOC Ltd.,

 

5.75%, 01/26/21 (e),(k)

  $4,371,000       $3,693,495 

8.45%, 08/10/28 (e)

   3,005,000        2,085,470 
        

 

 

 
         5,778,965 
        

 

 

 

Total Africa

     5,778,965 
        

 

 

 

Asia — 0.0%

    

Financial Services — 0.0%

    

VTB Bank OJSC Via VTB Capital SA, 6.95%, 10/17/22 (e)

   3,032,000        3,016,846 
        

 

 

 

Total Asia

     3,016,846 
        

 

 

 

Europe — 0.1%

    

Automobiles Manufacturing — 0.0%

    

Mclaren Finance plc, 5.00%, 08/01/22 (c),(e)

   2,470,000   GBP     2,030,836 
        

 

 

 

Banks — 0.1%

    

ICBC Standard Bank plc, MTN, 15.36%, 10/01/21 (f),(b)

   130,330,000   UAH     4,392,299 
        

 

 

 

Entertainment Resources — 0.0%

    

CPUK Finance Ltd., 4.25%, 02/28/47 (f),(c)

   160,000   GBP     159,481 
        

 

 

 

Wireless Telecommunications Services — 0.0%

    

VF Ukraine PAT via VFU Funding plc, 6.20%, 02/11/25 (f)

  $517,000        429,213 
        

 

 

 

Total Europe

     7,011,829 
        

 

 

 

Middle East — 0.7%

    

Exploration & Production — 0.7%

    

Oil and Gas Holding Co. BSCC, 7.50%, 10/25/27 (e),(h)

   50,000,000        42,962,000 
        

 

 

 

Financial Services — 0.0%

    

MDC-GMTN BV, MTN, 4.50%, 11/07/28 (e)

   1,379,000        1,450,543 
        

 

 

 

Total Middle East

     44,412,543 
        

 

 

 

North America — 3.5%

    

Airlines — 0.0%

    

American Airlines Group, Inc., 3.75%, 03/01/25 (f),(c),(b)

   742,000        519,400 
        

 

 

 

Banks — 0.0%

    

Promerica Financial Corp., 9.70%, 05/14/24 (f),(b)

   3,400,000        2,863,480 
        

 

 

 

 

See Notes to Consolidated Financial Statements.

 

72


Table of Contents

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2020

 

Security Description

  Principal
Amount
             Value 

Consumer Finance — 0.1%

    

Curo Group Holdings Corp., 8.25%, 09/01/25 (f),(c),(b)

  $14,944,000       $10,535,520 
        

 

 

 

Consumer Products — 0.1%

    

Kronos Acquisition Holdings, Inc., 9.00%, 08/15/23 (f),(c),(b)

   4,570,000        3,747,400 
        

 

 

 

Exploration & Production — 0.1%

    

Par Petroleum LLC / Petroleum Finance Corp., 7.75%, 12/15/25 (f),(c),(b)

   12,479,000        7,830,573 
        

 

 

 

Financial Services — 0.0%

    

MF Global Holdings Ltd., 6.75%, 08/08/16 (i),(c),(o),(d)

   436,000        135,160 
        

 

 

 

Food & Beverage — 0.2%

    

Cooke Omega Investments, Inc. / Alpha VesselCo Holdings, Inc., 8.50%, 12/15/22 (f),(c),(b)

   12,947,000        12,752,795 
        

 

 

 

Health Care Facilities & Services — 0.1%

    

AHP Health Partners, Inc., 9.75%, 07/15/26 (f),(c),(b)

   7,443,000        6,440,814 

BCPE Cycle Merger Sub II, Inc., 10.63%, 07/15/27 (f),(c),(b)

   2,792,000        2,345,280 
        

 

 

 
         8,786,094 
        

 

 

 

Home Improvement — 0.1%

    

Werner FinCo LP / Werner FinCo, Inc., 8.75%, 07/15/25 (f),(c),(b)

   4,383,000        3,857,040 
        

 

 

 

Homebuilders — 0.0%

 

      

Adams Homes, Inc., 7.50%, 02/15/25 (f),(c),(b)

   414,000        395,370 
        

 

 

 

Industrial Other — 0.3%

 

      

Michael Baker International LLC, 8.75%, 03/01/23 (f),(c),(b)

   20,381,000        19,922,427 
        

 

 

 

Integrated Oils — 0.6%

 

      

Petroleos Mexicanos,

        

5.95%, 01/28/31 (f)

   1,712,000        1,177,171 

6.35%, 02/12/48 (h)

   13,839,000        8,649,375 

6.63%, 06/15/35 (h)

   550,000        369,848 

6.75%, 09/21/47 (h)

   4,650,000        2,973,163 

6.84%, 01/23/30 (f),(h)

   13,600,000        9,839,872 

6.95%, 01/28/60 (e),(f),(h)

   5,840,000        3,896,448 

7.69%, 01/23/50 (e),(f),(h)

   16,446,000        11,429,970 
        

 

 

 
         38,335,847 
        

 

 

 

 

See Notes to Consolidated Financial Statements.

 

73


Table of Contents

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2020

 

Security Description

  Principal
Amount
             Value 

Internet Media — 0.1%

 

      

Getty Images, Inc., 9.75%, 03/01/27 (f),(c),(b)