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UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-22743
Blackstone Alternative Investment Funds
(Exact Name of Registrant as Specified in Charter)
345 Park Avenue
28th Floor
New York, NY 10154
(Address of Principal Executive Offices)
Registrant’s telephone number, including area code: (212) 583-5000
Peter Koffler, Esq.
c/o Blackstone Alternative Investment Advisors LLC
345 Park Avenue
28th Floor
New York, NY 10154
(Name and Address of Agent for Service)
With a copy to:
James E. Thomas, Esq.
Ropes & Gray LLP
Prudential Tower
800 Boylston Street
Boston, MA 02199-3600
Date of fiscal year end: March 31
Date of reporting period: September 30, 2020
Table of Contents
Item 1. | Reports to Stockholders. |
Table of Contents
Blackstone
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Blackstone Alternative Multi-Strategy Fund
a series of Blackstone Alternative Investment Funds
Semi-Annual Report (Unaudited) For the Period Ended September 30, 2020
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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 calling 1-855-890-7725 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 calling 1-855-890-7725 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.
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Table of Contents
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
September 30, 2020
Geographic Breakdown | Percentage of Total Net Assets | ||||
North America | 55.3 | % | |||
South America | 1.5 | ||||
Europe | 1.1 | ||||
Middle East | 0.7 | ||||
Asia | 0.5 | ||||
Africa | 0.2 | ||||
Oceania | 0.0 | 2 | |||
Other1 | 14.2 | ||||
Securities Sold Short | (6.5 | ) | |||
Other Assets and Liabilities3 | 33.0 | ||||
|
| ||||
Total | 100.0 | % | |||
|
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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 | 18.3 | % | |||
Common Stock | 16.3 | ||||
Sovereign Debt | 13.5 | ||||
Corporate Bonds & Notes | 7.3 | ||||
Asset-Backed Securities | 6.5 | ||||
Bank Debt | 5.2 | ||||
Investments in Investee Funds | 4.8 | ||||
Municipals | 0.5 | ||||
U.S. Government Sponsored Agency Securities | 0.3 | ||||
Warrants | 0.2 | ||||
Convertible Bonds | 0.1 | ||||
Exchange-Traded Funds | 0.1 | ||||
Rights | 0.0 | 2 | |||
Other1 | 0.4 | ||||
Securities Sold Short | (6.5 | ) | |||
Other Assets and Liabilities3 | 33.0 | ||||
|
| ||||
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 | 1.0 | % | |||
AA/Aa | 0.6 | ||||
A | 0.6 | ||||
BBB/Baa | 10.1 | ||||
BB/Ba | 8.0 | ||||
B | 22.1 | ||||
CCC/Caa | 4.2 | ||||
CC/Ca | 0.8 | ||||
Not Rated | 23.2 | ||||
Other3 | 29.4 | ||||
|
| ||||
Total Investments in Securities | 100.0 | % | |||
|
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1 | Using the higher of Standard & Poor’s (“S&P’s”) or Moody’s Investor Service (“Moody’s”) ratings. |
2 | Includes U.S. Government Sponsored Agency Securities 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.
1
Table of Contents
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Portfolio Information (Continued)
September 30, 2020
Industry | Percentage of Total Net Assets | ||||
Financial Services | 5.6 | % | |||
Integrated Oils | 2.4 | ||||
Asset Management | 2.1 | ||||
Banking | 1.4 | ||||
Health Care Facilities & Services | 1.2 | ||||
Biotechnology & Pharmaceuticals | 1.0 | ||||
Retail—Discretionary | 1.0 | ||||
Exploration & Production | 0.9 | ||||
Consumer Products | 0.8 | ||||
Software & Services | 0.8 | ||||
Utilities | 0.7 | ||||
Pipeline | 0.7 | ||||
Specialty Finance | 0.6 | ||||
Software | 0.6 | ||||
Retail—Consumer Discretionary | 0.6 | ||||
Industrial Other | 0.5 | ||||
Real Estate | 0.4 | ||||
Oil, Gas & Coal | 0.4 | ||||
Refining & Marketing | 0.4 | ||||
Advertising & Marketing | 0.4 | ||||
Media | 0.3 | ||||
Consumer Services | 0.3 | ||||
Insurance | 0.3 | ||||
Medical Equipment & Devices | 0.3 | ||||
Retail—Consumer Staples | 0.3 | ||||
Consumer Finance | 0.3 | ||||
Machinery Manufacturing | 0.3 | ||||
Automotive | 0.2 | ||||
Gaming, Lodging & Restaurants | 0.2 | ||||
Hardware | 0.2 | ||||
Chemicals | 0.2 | ||||
Aerospace & Defense | 0.2 | ||||
Containers & Packaging | 0.2 | ||||
Manufactured Goods | 0.2 | ||||
Property & Casualty Insurance | 0.2 | ||||
Home Improvement | 0.2 | ||||
Internet Media | 0.2 | ||||
Publishing & Broadcasting | 0.2 | ||||
Travel & Lodging | 0.2 | ||||
Banks | 0.2 | ||||
Semiconductors | 0.1 | ||||
Technology Services | 0.1 | ||||
Telecommunications | 0.1 | ||||
Iron & Steel | 0.1 | ||||
Apparel & Textile Products | 0.1 | ||||
Commercial Services | 0.1 |
See Notes to Consolidated Financial Statements.
2
Table of Contents
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Portfolio Information (Continued)
September 30, 2020
Industry | Percentage of Total Net Assets | ||||
Waste & Environmental Services & Equipment | 0.1 | ||||
Cable & Satellite | 0.1 | ||||
Entertainment Resources | 0.1 | ||||
Airlines | 0.1 | ||||
Educational Services | 0.1 | ||||
Pharmaceuticals | 0.1 | ||||
Restaurants | 0.1 | ||||
Wireline Telecommunications Services | 0.1 | ||||
Automobiles Manufacturing | 0.1 | ||||
Oil & Gas Services & Equipment | 0.1 | ||||
Supermarkets | 0.1 | ||||
Machinery | 0.0 | 1 | |||
Recreation Facilities & Services | 0.0 | 1 | |||
Transportation & Logistics | 0.0 | 1 | |||
Electrical Equipment | 0.0 | 1 | |||
Health Care | 0.0 | 1 | |||
Construction Materials | 0.0 | 1 | |||
Consumer Discretionary Services | 0.0 | 1 | |||
Design, Manufacturing & Distribution | 0.0 | 1 | |||
Distributors—Consumer Staples | 0.0 | 1 | |||
Distributors—Discretionary | 0.0 | 1 | |||
Engineering & Construction Services | 0.0 | 1 | |||
Forest & Paper Products | 0.0 | 1 | |||
Home & Office Products | 0.0 | 1 | |||
Industrial Products | 0.0 | 1 | |||
Industrial Services | 0.0 | 1 | |||
Leisure Products | 0.0 | 1 | |||
Materials | 0.0 | 1 | |||
Metals & Mining | 0.0 | 1 | |||
Private Equity | 0.0 | 1 | |||
Renewable Energy | 0.0 | 1 | |||
Transportation Equipment | 0.0 | 1 | |||
Food & Beverage | 0.0 | 1 | |||
Medical Equipment & Devices Manufacturing | 0.0 | 1 | |||
Wireless Telecommunications Services | 0.0 | 1 | |||
Auto Parts Manufacturing | 0.0 | 1 | |||
Casinos & Gaming | 0.0 | 1 | |||
Communications Equipment | 0.0 | 1 | |||
Construction Materials Manufacturing | 0.0 | 1 | |||
Distributors—Consumer Discretionary | 0.0 | 1 | |||
Electrical Equipment Manufacturing | 0.0 | 1 | |||
Entertainment Contents | 0.0 | 1 | |||
Commercial Finance | 0.0 | 1 | |||
Other2 | 44.6 |
See Notes to Consolidated Financial Statements.
3
Table of Contents
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Portfolio Information (Continued)
September 30, 2020
Industry | Percentage of Total Net Assets | ||||
Securities Sold Short | (6.5 | ) | |||
Other Assets and Liabilities3 | 33.0 | ||||
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| ||||
Total Investments | 100.0 | % | |||
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1 | Represents less than 0.1%. |
2 | Includes Asset-Backed Securities, Sovereign Debt, Mortgage-Backed Securities, U.S. Government Sponsored Agency Securities, U.S. Treasury Obligations, Exchange-Traded Funds, 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.
4
Table of Contents
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments
September 30, 2020 (Unaudited)
Security Description | Shares | Value | ||||||||||
INVESTMENTS IN SECURITIES — 73.5% | ||||||||||||
COMMON STOCK — 16.3% | ||||||||||||
Africa — 0.0% | ||||||||||||
Specialty Finance — 0.0% | ||||||||||||
Net 1 UEPS Technologies, Inc. (a) | 900 | $ | 3,033 | |||||||||
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Total Africa | 3,033 | |||||||||||
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Asia — 0.4% | ||||||||||||
Asset Management — 0.0% | ||||||||||||
Noah Holdings Ltd., ADR (a) | 5,400 | 140,778 | ||||||||||
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Automotive — 0.0% | ||||||||||||
NIO, Inc., ADR (a) | 38,900 | 825,458 | ||||||||||
Niu Technologies, ADR (a) | 600 | 11,520 | ||||||||||
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| |||||||||||
836,978 | ||||||||||||
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| |||||||||||
Biotechnology & Pharmaceuticals — 0.0% | ||||||||||||
Genetron Holdings Ltd., ADR (a) | 100 | 1,194 | ||||||||||
Sinovac Biotech Ltd. (a) | 200 | 1,294 | ||||||||||
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2,488 | ||||||||||||
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Consumer Products — 0.0% | ||||||||||||
Viomi Technology Co. Ltd., ADR (a) | 400 | 2,420 | ||||||||||
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Financial Services — 0.2% | ||||||||||||
Aspirational Consumer Lifestyle Corp. (a),(b) | 809,700 | 8,097,000 | ||||||||||
D8 Holdings Corp. (a),(b) | 403,900 | 4,067,273 | ||||||||||
Futu Holdings Ltd., ADR (a) | 3,100 | 88,722 | ||||||||||
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12,252,995 | ||||||||||||
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Gaming, Lodging & Restaurants — 0.0% | ||||||||||||
GreenTree Hospitality Group Ltd., ADR | 100 | 1,359 | ||||||||||
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Hardware — 0.0% | ||||||||||||
LG Display Co. Ltd., ADR | 600 | 3,918 | ||||||||||
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Health Care Facilities & Services — 0.0% | ||||||||||||
Global Cord Blood Corp. (a) | 29 | 103 | ||||||||||
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Machinery — 0.0% | ||||||||||||
China Yuchai International Ltd. | 745 | 13,410 | ||||||||||
Hollysys Automation Technologies Ltd. | 7,000 | 77,350 | ||||||||||
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90,760 | ||||||||||||
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Media — 0.0% | ||||||||||||
iClick Interactive Asia Group Ltd., ADR (a) | 400 | 2,668 | ||||||||||
Phoenix New Media Ltd., ADR | 1,100 | 1,353 |
See Notes to Consolidated Financial Statements.
5
Table of Contents
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2020 (Unaudited)
Security Description | Shares | Value | ||||||||||
Sohu.com Ltd., ADR (a) | 1,800 | $ | 35,748 | |||||||||
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| |||||||||||
39,769 | ||||||||||||
|
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Real Estate — 0.0% | ||||||||||||
Xinyuan Real Estate Co. Ltd., ADR | 1,100 | 2,090 | ||||||||||
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Retail—Discretionary — 0.2% | ||||||||||||
Alibaba Group Holding Ltd., ADR (a),(b),(c) | 27,300 | 8,025,654 | ||||||||||
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Semiconductors — 0.0% | ||||||||||||
ASE Technology Holding Co. Ltd., ADR | 1,100 | 4,488 | ||||||||||
Kulicke & Soffa Industries, Inc. | 6,300 | 141,120 | ||||||||||
MagnaChip Semiconductor Corp. (a) | 6,700 | 91,790 | ||||||||||
Silicon Motion Technology Corp., ADR | 5,500 | 207,790 | ||||||||||
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445,188 | ||||||||||||
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Software — 0.0% | ||||||||||||
DouYu International Holdings Ltd., ADR (a) | 400 | 5,284 | ||||||||||
NetEase, Inc., ADR | 100 | 45,467 | ||||||||||
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50,751 | ||||||||||||
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Technology Services — 0.0% | ||||||||||||
WNS Holdings Ltd., ADR (a) | 3,800 | 243,048 | ||||||||||
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Telecommunications — 0.0% | ||||||||||||
21Vianet Group, Inc., ADR (a) | 1,000 | 23,160 | ||||||||||
China Telecom Corp. Ltd., ADR | 1,500 | 45,030 | ||||||||||
GDS Holdings Ltd., ADR (a) | 2,500 | 204,575 | ||||||||||
VEON Ltd., ADR | 2,100 | 2,646 | ||||||||||
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275,411 | ||||||||||||
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Total Asia | 22,413,710 | |||||||||||
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Europe — 0.2% | ||||||||||||
Asset Management — 0.1% | ||||||||||||
Bespoke Capital Acquisition Corp., Class A (a),(b) | 750,000 | 7,335,000 | ||||||||||
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Biotechnology & Pharmaceuticals — 0.0% | ||||||||||||
Affimed NV (a) | 3,600 | 12,204 | ||||||||||
Amarin Corp. plc, ADR (a) | 800 | 3,368 | ||||||||||
CRISPR Therapeutics AG (a),(c) | 6,100 | 510,204 | ||||||||||
GlaxoSmithKline plc, ADR (c) | 17,500 | 658,700 | ||||||||||
InflaRx NV (a) | 2,000 | 8,520 | ||||||||||
Merus NV (a) | 900 | 10,800 | ||||||||||
Prothena Corp. plc (a) | 4,400 | 43,956 | ||||||||||
resTORbio, Inc. (a) | 8,000 | 0 | ||||||||||
uniQure NV (a) | 1,800 | 66,294 | ||||||||||
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1,314,046 | ||||||||||||
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See Notes to Consolidated Financial Statements.
6
Table of Contents
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2020 (Unaudited)
Security Description | Shares | Value | ||||||||||
Chemicals — 0.0% | ||||||||||||
Orion Engineered Carbons SA (a) | 7,700 | $ | 96,327 | |||||||||
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Hardware — 0.0% | ||||||||||||
Telefonaktiebolaget LM Ericsson, ADR | 1,700 | 18,513 | ||||||||||
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Iron & Steel — 0.0% | ||||||||||||
ArcelorMittal | 5,003 | 66,289 | ||||||||||
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Media — 0.0% | ||||||||||||
Trivago NV, ADR (a) | 4,000 | 6,200 | ||||||||||
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Oil, Gas & Coal — 0.1% | ||||||||||||
BP plc (b) | 108,300 | 313,201 | ||||||||||
BP plc, ADR | 7,300 | 127,458 | ||||||||||
Eni SpA (a),(b) | 45,500 | 355,631 | ||||||||||
Equinor ASA (b) | 9,600 | 136,010 | ||||||||||
Royal Dutch Shell plc, ADR | 7,100 | 178,707 | ||||||||||
Royal Dutch Shell plc, Class A (b) | 30,900 | 389,623 | ||||||||||
TechnipFMC plc | 40,400 | 254,924 | ||||||||||
TOTAL SA (b) | 20,000 | 686,851 | ||||||||||
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2,442,405 | ||||||||||||
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Recreation Facilities & Services — 0.0% | ||||||||||||
Manchester United plc, Class A | 200 | 2,908 | ||||||||||
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Retail—Discretionary — 0.0% | ||||||||||||
Hudson Ltd., Class A (a) | 2,000 | 15,200 | ||||||||||
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Software — 0.0% | ||||||||||||
Micro Focus International plc, ADR | 16,400 | 52,808 | ||||||||||
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Transportation & Logistics — 0.0% | ||||||||||||
Safe Bulkers, Inc. (a) | 2,900 | 2,987 | ||||||||||
Tsakos Energy Navigation Ltd. | 1,340 | 10,613 | ||||||||||
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13,600 | ||||||||||||
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Total Europe | 11,363,296 | |||||||||||
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Middle East — 0.0% | ||||||||||||
Aerospace & Defense — 0.0% | ||||||||||||
Ituran Location and Control Ltd. (a) | 300 | 4,176 | ||||||||||
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Electrical Equipment — 0.0% | ||||||||||||
Camtek Ltd. (a) | 1,600 | 24,608 | ||||||||||
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Hardware — 0.0% | ||||||||||||
Ceragon Networks Ltd. (a) | 1,700 | 4,233 | ||||||||||
|
|
See Notes to Consolidated Financial Statements.
7
Table of Contents
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2020 (Unaudited)
Security Description | Shares | Value | ||||||||||
Health Care — 0.0% | ||||||||||||
InspireMD, Inc. (a) | 500 | $ | 159 | |||||||||
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Semiconductors — 0.0% | ||||||||||||
Nova Measuring Instruments Ltd. (a) | 200 | 10,428 | ||||||||||
Tower Semiconductor Ltd. (a) | 3,800 | 69,236 | ||||||||||
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79,664 | ||||||||||||
|
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Telecommunications — 0.0% | ||||||||||||
Allot Ltd. (a) | 600 | 5,460 | ||||||||||
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Total Middle East | 118,300 | |||||||||||
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North America — 15.7% | ||||||||||||
Aerospace & Defense — 0.2% | ||||||||||||
AAR Corp. (a) | 2,500 | 47,000 | ||||||||||
Aerojet Rocketdyne Holdings, Inc. (a) | 2,200 | 87,758 | ||||||||||
Astronics Corp. (a) | 4,900 | 37,828 | ||||||||||
Boeing Co. (a) | 4,900 | 809,774 | ||||||||||
Ducommun, Inc. (a) | 600 | 19,752 | ||||||||||
Hexcel Corp. (a) | 11,499 | 385,791 | ||||||||||
L3Harris Technologies, Inc. | 1,100 | 186,824 | ||||||||||
Lockheed Martin Corp. (c) | 16,300 | 6,247,464 | ||||||||||
Northrop Grumman Corp. | 2,400 | 757,176 | ||||||||||
Raytheon Technologies Corp. | 10,874 | 625,690 | ||||||||||
Spirit AeroSystems Holdings, Inc., Class A | 6,000 | 113,460 | ||||||||||
|
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9,318,517 | ||||||||||||
|
| |||||||||||
Apparel & Textile Products — 0.1% | ||||||||||||
Culp, Inc. | 900 | 11,178 | ||||||||||
Levi Strauss & Co., Class A | 2,200 | 29,480 | ||||||||||
NIKE, Inc., Class B | 13,600 | 1,707,344 | ||||||||||
Ralph Lauren Corp. (a) | 4,300 | 292,271 | ||||||||||
Tapestry, Inc. (a),(c) | 60,200 | 940,926 | ||||||||||
Under Armour, Inc., Class A (a) | 34,700 | 389,681 | ||||||||||
Unifi, Inc. (a) | 2,100 | 26,964 | ||||||||||
Vince Holding Corp. (a) | 306 | 1,655 | ||||||||||
|
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3,399,499 | ||||||||||||
|
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Asset Management — 2.0% | ||||||||||||
Amplitude Healthcare Acquisition Corp., Class A (a),(b) | 300,000 | 2,973,000 | ||||||||||
Apex Technology Acquisition Corp., Class A (a),(b),(c) | 661,000 | 7,006,600 | ||||||||||
Apollo Investment Corp. | 6,200 | 51,274 | ||||||||||
Ares Capital Corp. (c) | 25,500 | 355,725 | ||||||||||
Ares Management Corp., Class A (c) | 200 | 8,084 | ||||||||||
Bain Capital Specialty Finance, Inc. | 5,900 | 60,180 | ||||||||||
BlackRock Capital Investment Corp. | 10,800 | 26,352 |
See Notes to Consolidated Financial Statements.
8
Table of Contents
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2020 (Unaudited)
Security Description | Shares | Value | ||||||||
BlackRock TCP Capital Corp. | 7,500 | $ | 73,575 | |||||||
BlackRock, Inc. | 100 | 56,355 | ||||||||
Blucora, Inc. (a) | 2,600 | 24,492 | ||||||||
BrightSphere Investment Group PLC | 1,800 | 23,220 | ||||||||
Brookfield Asset Management, Inc., Class A (b) | 674,908 | 22,312,458 | ||||||||
Calamos Asset Management, Inc. (a) | 7,100 | 0 | ||||||||
Capital Southwest Corp. | 2,000 | 28,100 | ||||||||
Chardan Healthcare Acquisition 2 Corp. (a),(b) | 297,500 | 3,013,675 | ||||||||
CHP Merger Corp., Class A (a),(b) | 582,000 | 5,930,580 | ||||||||
Churchill Capital Corp. II, Class A (a),(b) | 482,800 | 5,093,540 | ||||||||
Conyers Park II Acquisition Corp., Class A (a),(b) | 285,233 | 2,897,967 | ||||||||
DFP Healthcare Acquisitions Corp. (a),(b) | 825,406 | 8,642,001 | ||||||||
Federated Investors, Inc., Class B | 5,500 | 118,305 | ||||||||
Fidus Investment Corp. | 3,700 | 36,445 | ||||||||
FinServ Acquisition Corp., Class A (a),(b) | 333,334 | 3,343,340 | ||||||||
Garrison Capital, Inc. | 1,300 | 4,966 | ||||||||
Gladstone Investment Corp. | 5,100 | 46,410 | ||||||||
Great Elm Capital Corp. | 210 | 706 | ||||||||
GS Acquisition Hds Corp. (a),(b) | 643,200 | 7,223,136 | ||||||||
Haymaker Acquisition Corp. II, Class A (a),(b) | 600,000 | 6,000,000 | ||||||||
Hercules Technology Growth Capital, Inc. | 500 | 5,785 | ||||||||
Horizon Technology Finance Corp. | 2,900 | 35,612 | ||||||||
Juniper Industrial Holdings, Inc. (a),(b) | 398,243 | 4,165,622 | ||||||||
LifeSci Acquisition Corp. (a),(b) | 34,036 | 462,890 | ||||||||
Main Street Capital Corp. | 794 | 23,478 | ||||||||
Manning & Napier, Inc. (a) | 1,300 | 5,551 | ||||||||
Medallion Financial Corp. (a) | 1,600 | 4,000 | ||||||||
Monroe Capital Corp. | 2,900 | 19,836 | ||||||||
New Mountain Finance Corp. | 1,500 | 14,340 | ||||||||
Newtek Business Services Corp. | 2,400 | 44,568 | ||||||||
Oaktree Specialty Lending Corp. | 11,600 | 56,144 | ||||||||
Oppenheimer Holdings, Inc., Class A | 700 | 15,624 | ||||||||
Osprey Technology Acquisition Corp., Class A (a),(b) | 711,562 | 7,250,817 | ||||||||
Oxford Square Capital Corp. | 6,800 | 16,796 | ||||||||
PennantPark Floating Rate Capital Ltd. | 4,700 | 39,668 | ||||||||
PennantPark Investment Corp. | 8,000 | 25,520 | ||||||||
Portman Ridge Finance Corp. | 4,300 | 5,762 | ||||||||
Prospect Capital Corp. | 900 | 4,527 | ||||||||
Saratoga Investment Corp. | 100 | 1,679 | ||||||||
Sixth Street Specialty Lending, Inc. | 10,700 | 184,147 | ||||||||
Solar Capital Ltd. | 2,800 | 44,380 | ||||||||
Solar Senior Capital Ltd. | 1,100 | 13,860 | ||||||||
South Mountain Merger Corp., Class A (a),(b) | 400,000 | 4,180,000 | ||||||||
Subversive Capital Acquisition Corp., Class A (a),(b) | 700,000 | 6,909,000 | ||||||||
TCG BDC, Inc. | 5,900 | 52,569 | ||||||||
TD Ameritrade Holding Corp. | 3,400 | 133,110 |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2020 (Unaudited)
Security Description | Shares | Value | ||||||||
Thunder Bridge Acquisition II Ltd., Class A (a),(b) | 375,000 | $ | 3,825,000 | |||||||
Trebia Acquisition Corp. (a),(b) | 629,240 | 6,795,792 | ||||||||
TriplePoint Venture Growth BDC Corp. | 2,000 | 22,080 | ||||||||
WhiteHorse Finance, Inc. | 2,100 | 20,559 | ||||||||
WisdomTree Investments, Inc. | 700 | 2,240 | ||||||||
|
| |||||||||
109,731,442 | ||||||||||
|
| |||||||||
Automotive — 0.2% | ||||||||||
Adient plc (a) | 100 | 1,733 | ||||||||
Cooper-Standard Holding, Inc. (a) | 3,200 | 42,272 | ||||||||
Delphi Technologies plc (a) | 8,500 | 142,035 | ||||||||
Modine Manufacturing Co. (a) | 5,800 | 36,250 | ||||||||
Superior Industries International, Inc. | 3,300 | 4,125 | ||||||||
Telenav, Inc. (a) | 3,900 | 14,040 | ||||||||
Tesla Motors, Inc. (a),(c) | 20,525 | 8,805,430 | ||||||||
|
| |||||||||
9,045,885 | ||||||||||
|
| |||||||||
Banking — 1.4% | ||||||||||
Arrow Financial Corp. | 391 | 9,810 | ||||||||
Atlantic Capital Bancshares, Inc. (a) | 1,100 | 12,485 | ||||||||
Bancorp, Inc. (a) | 6,600 | 57,024 | ||||||||
Bank of America Corp. (b) | 53,129 | 1,279,878 | ||||||||
Bank of Hawaii Corp. | 500 | 25,260 | ||||||||
Bank of Marin Bancorp | 500 | 14,480 | ||||||||
Bank of NT Butterfield & Son Ltd. | 3,400 | 75,752 | ||||||||
BankFinancial Corp. | 455 | 3,285 | ||||||||
Bridgewater Bancshares, Inc. (a) | 600 | 5,694 | ||||||||
Byline Bancorp, Inc. (b),(c) | 755,785 | 8,525,255 | ||||||||
Cadence BanCorp | 23,140 | 198,773 | ||||||||
Central Pacific Financial Corp. | 1,400 | 18,998 | ||||||||
Comerica, Inc. | 15,200 | 581,400 | ||||||||
ConnectOne Bancorp, Inc. (b) | 423,950 | 5,964,976 | ||||||||
East West Bancorp, Inc. | 12,000 | 392,880 | ||||||||
Enterprise Financial Services Corp. (b) | 37,829 | 1,031,597 | ||||||||
Farmers National Banc Corp. | 900 | 9,828 | ||||||||
Financial Institutions, Inc. | 800 | 12,320 | ||||||||
First BanCorp | 30,600 | 159,732 | ||||||||
First Community Bankshares, Inc. | 600 | 10,830 | ||||||||
First Financial Corp. | 300 | 9,420 | ||||||||
First Financial Northwest, Inc. | 300 | 2,736 | ||||||||
First Foundation, Inc. | 100 | 1,307 | ||||||||
First Horizon National Corp. | 14,469 | 136,443 | ||||||||
First of Long Island Corp. (The) | 100 | 1,481 | ||||||||
Flushing Financial Corp. | 700 | 7,364 | ||||||||
FNB Corp. | 45 | 305 | ||||||||
FS Bancorp, Inc. | 100 | 4,100 |
See Notes to Consolidated Financial Statements.
10
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Consolidated Schedule of Investments (Continued)
September 30, 2020 (Unaudited)
Security Description | Shares | Value | ||||||||
Great Southern Bancorp, Inc. | 100 | $ | 3,622 | |||||||
HBT Financial, Inc. | 500 | 5,610 | ||||||||
Heritage Commerce Corp. | 3,800 | 25,289 | ||||||||
HomeTrust Bancshares, Inc. | 800 | 10,864 | ||||||||
Horizon Bancorp, Inc. | 1,000 | 10,090 | ||||||||
Independent Bank Corp. | 1,600 | 20,112 | ||||||||
Independent Bank Group, Inc. (b) | 338,276 | 14,945,034 | ||||||||
JPMorgan Chase & Co. | 5,800 | 558,366 | ||||||||
KeyCorp | 100 | 1,193 | ||||||||
Lakeland Bancorp, Inc. | 200 | 1,990 | ||||||||
Live Oak Bancshares, Inc. | 200 | 5,066 | ||||||||
Macatawa Bank Corp. | 1,400 | 9,142 | ||||||||
Mercantile Bank Corp. | 700 | 12,614 | ||||||||
MidWestOne Financial Group, Inc. | 400 | 7,148 | ||||||||
National Bankshares, Inc. | 100 | 2,533 | ||||||||
New York Community Bancorp, Inc. | 2,900 | 23,983 | ||||||||
Northrim BanCorp, Inc. | 400 | 10,196 | ||||||||
Northwest Bancshares, Inc. | 900 | 8,280 | ||||||||
OceanFirst Financial Corp. (b),(c) | 1,029,452 | 14,093,198 | ||||||||
PacWest Bancorp | 1,000 | 17,080 | ||||||||
PCB Bancorp | 300 | 2,637 | ||||||||
PCSB Financial Corp. | 1,100 | 13,277 | ||||||||
Peapack Gladstone Financial Corp. | 900 | 13,635 | ||||||||
Peoples Bancorp, Inc. | 200 | 3,818 | ||||||||
Popular, Inc. (c) | 9,790 | 355,083 | ||||||||
Premier Financial Corp. | 1,848 | 28,783 | ||||||||
Provident Bancorp, Inc. | 700 | 5,453 | ||||||||
Provident Financial Services, Inc. | 800 | 9,760 | ||||||||
QCR Holdings, Inc. (b) | 281,844 | 7,725,344 | ||||||||
Regions Financial Corp. | 87,100 | 1,004,263 | ||||||||
Republic First Bancorp, Inc. (a) | 1,100 | 2,178 | ||||||||
Sierra Bancorp | 600 | 10,074 | ||||||||
Silvergate Capital Corp., Class A (a) | 1,400 | 20,160 | ||||||||
Southern National Bancorp of Virginia, Inc. | 1,100 | 9,548 | ||||||||
Spirit of Texas Bancshares, Inc. | 700 | 7,812 | ||||||||
Stock Yards Bancorp, Inc. | 800 | 27,232 | ||||||||
Synovus Financial Corp. (c) | 6,363 | 134,705 | ||||||||
Territorial Bancorp, Inc. | 300 | 6,069 | ||||||||
TriState Capital Holdings, Inc. (a) | 800 | 10,592 | ||||||||
TrustCo Bank Corp. | 2,000 | 10,440 | ||||||||
Umpqua Holdings Corp. | 11,600 | 123,192 | ||||||||
Univest Financial Corp. (b) | 542,861 | 7,800,912 | ||||||||
US Bancorp | 2,700 | 96,795 | ||||||||
Washington Trust Bancorp, Inc. | 800 | 24,528 | ||||||||
Waterstone Financial, Inc. | 500 | 7,745 | ||||||||
Wells Fargo & Co. (c) | 146,200 | 3,437,162 |
See Notes to Consolidated Financial Statements.
11
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Consolidated Schedule of Investments (Continued)
September 30, 2020 (Unaudited)
Security Description | Shares | Value | ||||||||
Zions BanCorp. (b) | 376,061 | $ | 10,988,502 | |||||||
|
| |||||||||
80,204,522 | ||||||||||
|
| |||||||||
Biotechnology & Pharmaceuticals — 1.0% | ||||||||||
9 Meters Biopharma, Inc. (a) | 100 | 82 | ||||||||
AbbVie, Inc. (c) | 94,660 | 8,291,269 | ||||||||
ACADIA Pharmaceuticals, Inc. (a) | 9,900 | 408,375 | ||||||||
Acceleron Pharma, Inc. (a) | 300 | 33,759 | ||||||||
Adicet Bio, Inc. (a) | 842 | 10,011 | ||||||||
Aduro Biotech, Inc. (a) | 5,200 | 12,636 | ||||||||
Adverum Biotechnologies, Inc. (a) | 17,000 | 175,100 | ||||||||
Aeglea BioTherapeutics, Inc. (a) | 300 | 2,127 | ||||||||
Aerpio Pharmaceuticals, Inc. (a) | 1,100 | 1,650 | ||||||||
Agenus, Inc. (a) | 22,800 | 91,200 | ||||||||
Agile Therapeutics, Inc. (a) | 1,800 | 5,472 | ||||||||
Aimmune Therapeutics, Inc. (a) | 3,800 | 130,910 | ||||||||
Akebia Therapeutics, Inc. (a) | 4,195 | 10,529 | ||||||||
Albireo Pharma, Inc. (a) | 200 | 6,674 | ||||||||
Aldeyra Therapeutics, Inc. (a) | 8,400 | 62,244 | ||||||||
Alector, Inc. (a) | 9,200 | 96,922 | ||||||||
Alkermes plc (a) | 16,500 | 273,405 | ||||||||
Allogene Therapeutics, Inc. (a) | 6,500 | 245,115 | ||||||||
Alpine Immune Sciences, Inc. (a) | 600 | 5,274 | ||||||||
Altimmune, Inc. (a) | 7,200 | 95,040 | ||||||||
AMAG Pharmaceuticals, Inc. (a) | 3,700 | 34,780 | ||||||||
Amicus Therapeutics, Inc. (a) | 3,600 | 50,832 | ||||||||
Amneal Pharmaceuticals, Inc. (a) | 3,900 | 15,132 | ||||||||
Amphastar Pharmaceuticals, Inc. (a) | 2,400 | 45,000 | ||||||||
AnaptysBio, Inc. (a) | 4,100 | 60,475 | ||||||||
ANI Pharmaceuticals, Inc. (a) | 500 | 14,105 | ||||||||
Anika Therapeutics, Inc. (a) | 1,900 | 67,241 | ||||||||
Anixa Biosciencies, Inc. (a) | 538 | 1,307 | ||||||||
Antares Pharma, Inc. (a) | 24,100 | 65,070 | ||||||||
Apellis Pharmaceuticals, Inc. (a),(c) | 12,700 | 383,159 | ||||||||
Applied Genetic Technologies Corp. (a) | 700 | 3,402 | ||||||||
Aptinyx, Inc. (a) | 4,100 | 13,858 | ||||||||
Aravive, Inc. (a) | 3,500 | 16,450 | ||||||||
Arcturus Therapeutics Holdings Co. (a) | 1,900 | 81,510 | ||||||||
Arcus Biosciences, Inc. (a) | 9,100 | 155,974 | ||||||||
Ardelyx, Inc. (a) | 8,500 | 44,625 | ||||||||
Arena Pharmaceuticals, Inc. (a) | 470 | 35,151 | ||||||||
Arrowhead Pharmaceuticals, Inc. (a) | 7,100 | 305,726 | ||||||||
Arvinas Holding Co. LLC (a) | 7,400 | 174,714 | ||||||||
Assembly Biosciences, Inc. (a) | 400 | 6,576 | ||||||||
Assertio Holdings, Inc. (a) | 300 | 200 | ||||||||
Atara Biotherapeutics, Inc. (a) | 11,100 | 143,856 |
See Notes to Consolidated Financial Statements.
12
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Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2020 (Unaudited)
Security Description | Shares | Value | ||||||||
Athenex, Inc. (a) | 7,400 | $ | 89,540 | |||||||
Athersys, Inc. (a) | 2,800 | 5,460 | ||||||||
aTyr Pharma, Inc. (a) | 2,100 | 6,783 | ||||||||
Avid Bioservices, Inc. (a) | 43 | 328 | ||||||||
Axovant Gene Therapies Ltd. (a) | 438 | 2,024 | ||||||||
BioCryst Pharmaceuticals, Inc. (a) | 30,500 | 104,768 | ||||||||
BioDelivery Sciences International, Inc. (a) | 17,500 | 65,275 | ||||||||
Biohaven Pharmaceutical Holding Co. Ltd. (a) | 3,800 | 247,038 | ||||||||
BioSpecifics Technologies Corp. (a) | 100 | 5,283 | ||||||||
Bluebird Bio, Inc. (a) | 6,400 | 345,280 | ||||||||
Bristol-Myers Squibb Co. (c) | 80,800 | 4,871,432 | ||||||||
Calithera Biosciences, Inc. (a) | 6,200 | 21,390 | ||||||||
Cara Therapeutics, Inc. (a) | 3,400 | 43,265 | ||||||||
Catabasis Pharmaceuticals, Inc. (a) | 100 | 619 | ||||||||
Catalyst Biosciences, Inc. (a) | 4,800 | 20,640 | ||||||||
Catalyst Pharmaceuticals, Inc. (a) | 18,500 | 54,945 | ||||||||
Celldex Therapeutics, Inc. (a) | 8,534 | 126,559 | ||||||||
Celsion Corp. (a) | 7,300 | 5,344 | ||||||||
Cerecor, Inc. (a) | 6,800 | 15,470 | ||||||||
ChemoCentryx, Inc. (a),(c) | 5,200 | 284,960 | ||||||||
Chiasma, Inc. (a) | 4,700 | 20,210 | ||||||||
Chimerix, Inc. (a) | 12,300 | 30,627 | ||||||||
Clearside Biomedical, Inc. (a) | 700 | 1,078 | ||||||||
Concert Pharmaceuticals, Inc. (a) | 2,200 | 21,604 | ||||||||
Constellation Pharmaceuticals, Inc. (a) | 3,600 | 72,936 | ||||||||
Contra OncoMed Pharmaceuticals, Inc. (a) | 700 | 0 | ||||||||
ContraFect Corp. (a) | 100 | 528 | ||||||||
CorMedix, Inc. (a) | 800 | 4,824 | ||||||||
CTI BioPharma Corp. (a) | 5,800 | 12,470 | ||||||||
Cue Biopharma, Inc. (a) | 4,900 | 73,745 | ||||||||
Curis, Inc. (a) | 1,260 | 1,474 | ||||||||
Cymabay Therapeutics, Inc. (a) | 8,100 | 58,644 | ||||||||
Cytokinetics, Inc. (a) | 14,000 | 303,100 | ||||||||
CytomX Therapeutics, Inc. (a) | 8,700 | 57,855 | ||||||||
Deciphera Pharmaceuticals, Inc. (a) | 300 | 15,390 | ||||||||
Denali Therapeutics, Inc. (a) | 400 | 14,332 | ||||||||
Dicerna Pharmaceuticals, Inc. (a) | 11,100 | 199,689 | ||||||||
Durect Corp. (a) | 24,200 | 41,382 | ||||||||
Dynavax Technologies Corp. (a) | 13,070 | 56,462 | ||||||||
Editas Medicine, Inc. (a) | 9,500 | 266,570 | ||||||||
Eiger BioPharmaceuticals, Inc. (a) | 5,200 | 42,328 | ||||||||
Eli Lilly & Co. (c) | 21,500 | 3,182,430 | ||||||||
Emergent BioSolutions, Inc. (a) | 1,800 | 185,994 | ||||||||
Enanta Pharmaceuticals, Inc. (a) | 2,300 | 105,294 | ||||||||
Epizyme, Inc. (a) | 2,000 | 23,860 | ||||||||
Exelixis, Inc. (a) | 9,800 | 239,610 | ||||||||
Exicure, Inc. (a) | 2,600 | 4,550 |
See Notes to Consolidated Financial Statements.
13
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Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2020 (Unaudited)
Security Description | Shares | Value | ||||||||
Fate Therapeutics, Inc. (a) | 3,500 | $ | 139,895 | |||||||
Five Prime Therapeutics, Inc. (a) | 7,300 | 34,310 | ||||||||
Flexion Therapeutics, Inc. (a) | 900 | 9,369 | ||||||||
Fortress Biotech, Inc. (a) | 2,400 | 9,696 | ||||||||
G1 Therapeutics, Inc. (a) | 4,700 | 54,285 | ||||||||
Genocea Biosciences, Inc. (a) | 600 | 1,374 | ||||||||
Geron Corp. (a) | 13,100 | 22,794 | ||||||||
GlycoMimetics, Inc. (a) | 7,600 | 23,332 | ||||||||
Gossamer Bio, Inc. (a) | 1,100 | 13,651 | ||||||||
Gritstone Oncology, Inc. (a) | 100 | 265 | ||||||||
Halozyme Therapeutics, Inc. (a) | 17,000 | 446,760 | ||||||||
Harpoon Therapeutics, Inc. (a) | 700 | 11,893 | ||||||||
Harrow Health, Inc. (a) | 600 | 3,354 | ||||||||
Horizon Therapeutics plc (a) | 4,000 | 310,720 | ||||||||
Ideaya Biosciences, Inc. (a) | 2,400 | 30,144 | ||||||||
Idera Pharmaceuticals, Inc. (a) | 100 | 214 | ||||||||
Immunic, Inc. (a) | 1,900 | 35,283 | ||||||||
ImmunoGen, Inc. (a) | 36,200 | 130,320 | ||||||||
Immunomedics, Inc. (a) | 10,100 | 858,803 | ||||||||
Incyte Corp. (a) | 5,500 | 493,570 | ||||||||
Insmed, Inc. (a) | 1,000 | 32,140 | ||||||||
Intellia Therapeutics, Inc. (a) | 9,200 | 182,896 | ||||||||
Intercept Pharmaceuticals, Inc. (a),(c) | 7,200 | 298,512 | ||||||||
Intersect ENT, Inc. (a) | 5,300 | 86,443 | ||||||||
Ionis Pharmaceuticals, Inc. (a) | 15,800 | 749,710 | ||||||||
Ironwood Pharmaceuticals, Inc. (a) | 14,600 | 131,327 | ||||||||
Kadmon Holdings, Inc. (a) | 37,000 | 145,040 | ||||||||
Karyopharm Therapeutics, Inc. (a),(c) | 16,100 | 235,060 | ||||||||
Kezar Life Sciences, Inc. (a) | 4,800 | 23,232 | ||||||||
Kiniksa Pharmaceuticals Ltd., Class A (a) | 3,800 | 58,216 | ||||||||
Kura Oncology, Inc. (a) | 5,300 | 162,392 | ||||||||
La Jolla Pharmaceutical Co. (a) | 5,723 | 23,064 | ||||||||
Larimar Therapeutics, Inc. (a) | 133 | 2,018 | ||||||||
Leap Therapeutics, Inc. (a) | 9,700 | 19,206 | ||||||||
Ligand Pharmaceuticals, Inc. (a),(c) | 2,400 | 228,768 | ||||||||
Lineage Cell Therapeutics, Inc. (a) | 5,800 | 5,432 | ||||||||
Liquidia Technologies, Inc. (a) | 3,700 | 18,204 | ||||||||
MacroGenics, Inc. (a) | 8,800 | 221,672 | ||||||||
Magenta Therapeutics, Inc. (a) | 2,300 | 15,640 | ||||||||
MannKind Corp. (a) | 2,271 | 4,270 | ||||||||
Marinus Pharmaceuticals, Inc. (a) | 1,425 | 18,311 | ||||||||
Matinas BioPharma Holdings, Inc. (a) | 16,900 | 12,945 | ||||||||
MEI Pharma, Inc. (a) | 3,400 | 10,608 | ||||||||
MeiraGTx Holdings plc (a) | 400 | 5,296 | ||||||||
Merck & Co., Inc. (c) | 102,100 | 8,469,195 | ||||||||
Mersana Therapeutics, Inc. (a) | 4,300 | 80,066 | ||||||||
Minerva Neurosciences, Inc. (a) | 7,200 | 22,896 |
See Notes to Consolidated Financial Statements.
14
Table of Contents
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2020 (Unaudited)
Security Description | Shares | Value | ||||||||
Molecular Templates, Inc. (a) | 4,628 | $ | 50,538 | |||||||
Momenta Pharmaceuticals, Inc. (a),(c) | 5,600 | 293,888 | ||||||||
Mustang Bio, Inc. (a) | 6,700 | 21,105 | ||||||||
MyoKardia, Inc. (a),(c) | 2,700 | 368,091 | ||||||||
NantKwest, Inc. (a) | 8,000 | 55,480 | ||||||||
Natural Health Trends Corp. | 500 | 2,820 | ||||||||
Navidea Biopharmaceuticals, Inc. (a) | 100 | 270 | ||||||||
Neoleukin Therapeutics, Inc. (a) | 100 | 1,200 | ||||||||
Neurocrine Biosciences, Inc. (a) | 8,200 | 788,512 | ||||||||
NextCure, Inc. (a) | 3,300 | 29,040 | ||||||||
Ocular Therapeutix, Inc. (a) | 3,800 | 28,918 | ||||||||
Odonate Therapeutics, Inc. (a) | 3,100 | 41,633 | ||||||||
Omthera Pharmaceutical, Inc. (a) | 700 | 0 | ||||||||
OncoSec Medical, Inc. (a) | 90 | 304 | ||||||||
Optinose, Inc. (a) | 100 | 390 | ||||||||
Organogenesis Holdings, Inc . (a) | 700 | 2,688 | ||||||||
Otonomy, Inc. (a) | 2,800 | 11,340 | ||||||||
Ovid therapeutics, Inc. (a) | 1,400 | 8,036 | ||||||||
Perrigo Co. plc | 7,300 | 335,143 | ||||||||
Pfizer, Inc. (c) | 227,900 | 8,363,930 | ||||||||
Precigen, Inc. (a) | 5,100 | 17,850 | ||||||||
Protagonist Therapeutics, Inc. (a) | 6,500 | 127,075 | ||||||||
Proteostasis Therapeutics, Inc. (a) | 1,400 | 1,540 | ||||||||
Provention Bio, Inc. (a) | 8,200 | 105,206 | ||||||||
PTC Therapeutics, Inc. (a),(c) | 2,100 | 98,175 | ||||||||
Radius Health, Inc. (a) | 9,400 | 106,596 | ||||||||
Reata Pharmaceuticals, Inc., Class A (a) | 500 | 48,710 | ||||||||
Recro Pharma, Inc. (a) | 5,200 | 10,920 | ||||||||
Replimune Group, Inc. (a) | 100 | 2,302 | ||||||||
Retrophin, Inc. (a) | 5,500 | 101,530 | ||||||||
Rigel Pharmaceuticals, Inc. (a) | 16,700 | 40,080 | ||||||||
Rubius Therapeutics, Inc. (a) | 200 | 1,002 | ||||||||
Sage Therapeutics, Inc. (a),(c) | 8,300 | 507,296 | ||||||||
Sangamo BioSciences, Inc. (a) | 30,200 | 285,390 | ||||||||
Satsuma Pharmaceuticals, Inc. (a) | 2,300 | 8,947 | ||||||||
Savara, Inc. (a) | 1,700 | 1,853 | ||||||||
Selecta Biosciences, Inc. (a) | 16,700 | 41,416 | ||||||||
Seres Therapeutics, Inc. (a) | 300 | 8,493 | ||||||||
Sesen Bio, Inc. (a) | 632 | 885 | ||||||||
Solid Biosciences, Inc. (a) | 3,500 | 7,105 | ||||||||
Spectrum Pharmaceuticals, Inc. (a) | 19,900 | 81,192 | ||||||||
Strongbridge Biopharma plc (a) | 5,600 | 11,760 | ||||||||
Supernus Pharmaceuticals, Inc. (a) | 5,900 | 122,956 | ||||||||
Surface Oncology, Inc. (a) | 4,200 | 28,980 | ||||||||
Sutro Biopharma, Inc. (a) | 400 | 4,020 | ||||||||
Syndax Pharmaceuticals, Inc. (a) | 4,600 | 67,896 | ||||||||
Synlogic, Inc. (a) | 5,700 | 11,514 |
See Notes to Consolidated Financial Statements.
15
Table of Contents
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2020 (Unaudited)
Security Description | Shares | Value | ||||||||
Syros Pharmaceuticals, Inc. (a) | 5,000 | $ | 44,200 | |||||||
Tenax Therapeutics, Inc. (a) | 400 | 616 | ||||||||
Theravance Biopharma, Inc. (a) | 700 | 10,350 | ||||||||
Translate Bio, Inc. (a) | 8,200 | 111,602 | ||||||||
Tricida, Inc. (a) | 1,600 | 14,496 | ||||||||
United Therapeutics Corp. (a) | 3,401 | 343,501 | ||||||||
USANA Health Sciences, Inc. (a) | 1,700 | 125,205 | ||||||||
Vanda Pharmaceuticals, Inc. (a) | 7,700 | 74,382 | ||||||||
VBI Vaccines, Inc. (a) | 1,000 | 2,860 | ||||||||
Vertex Pharmaceuticals, Inc. (a),(c) | 13,900 | 3,782,468 | ||||||||
Veru, Inc. (a) | 1,300 | 3,406 | ||||||||
vTv Therapeutics, Inc., Class A (a) | 8,700 | 15,399 | ||||||||
VYNE Therapeutics, Inc. (a) | 500 | 830 | ||||||||
Xenon Pharmaceuticals, Inc. (a) | 500 | 5,535 | ||||||||
Y-mAbs Therapeutics, Inc. (a) | 600 | 23,034 | ||||||||
ZIOPHARM Oncology, Inc. (a) | 5,900 | 14,868 | ||||||||
Zogenix, Inc. (a) | 1,900 | 34,067 | ||||||||
Zosano Pharma Corp. (a) | 4 | 6 | ||||||||
Zymeworks, Inc. (a) | 6,300 | 293,454 | ||||||||
|
| |||||||||
54,077,211 | ||||||||||
|
| |||||||||
Chemicals — 0.1% | ||||||||||
AdvanSix, Inc. (a) | 3,100 | 39,928 | ||||||||
Avient Corp. | 6,900 | 182,574 | ||||||||
Axalta Coating Systems Ltd. (a) | 25,500 | 565,335 | ||||||||
Cabot Corp. | 1,800 | 64,854 | ||||||||
CF Industries Holdings, Inc. | 4,800 | 147,408 | ||||||||
Chemours Co. | 23,800 | 497,658 | ||||||||
Haynes International, Inc. | 200 | 3,418 | ||||||||
Ingevity Corp. (a) | 5,200 | 257,088 | ||||||||
Intrepid Potash, Inc. (a) | 20 | 169 | ||||||||
Lydall, Inc. (a) | 2,100 | 34,734 | ||||||||
Methanex Corp. | 800 | 19,520 | ||||||||
Mosaic Co. | 11,100 | 202,797 | ||||||||
Rayonier Advanced Materials, Inc. (a) | 11,300 | 36,160 | ||||||||
Rogers Corp. (a) | 100 | 9,806 | ||||||||
Sherwin-Williams Co. | 1,000 | 696,740 | ||||||||
Stepan Co. | 1,100 | 119,900 | ||||||||
Valvoline, Inc. | 1,600 | 30,464 | ||||||||
Venator Materials plc (a) | 6,600 | 12,738 | ||||||||
|
| |||||||||
2,921,291 | ||||||||||
|
| |||||||||
Commercial Services — 0.1% | ||||||||||
Acacia Research Corp. (a) | 1,400 | 4,858 | ||||||||
ADT, Inc. | 1,300 | 10,621 | ||||||||
ARC Document Solutions, Inc. (a) | 2,500 | 2,250 |
See Notes to Consolidated Financial Statements.
16
Table of Contents
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2020 (Unaudited)
Security Description | Shares | Value | ||||||||
Avalara, Inc. (a) | 3,900 | $ | 496,626 | |||||||
Barrett Business Services, Inc. | 600 | 31,464 | ||||||||
Brink’s Co. | 300 | 12,327 | ||||||||
Civeo Corp. (a) | 9,100 | 6,143 | ||||||||
Collectors Universe, Inc. | 700 | 34,643 | ||||||||
CorVel Corp. (a) | 700 | 59,801 | ||||||||
CRA International, Inc. | 600 | 22,482 | ||||||||
Cross Country Healthcare, Inc. (a) | 100 | 649 | ||||||||
Emerald Holding, Inc. (a) | 100 | 204 | ||||||||
Franchise Group, Inc. | 600 | 15,216 | ||||||||
Franklin Covey Co. (a) | 500 | 8,870 | ||||||||
FTI Consulting, Inc. (a) | 3,300 | 349,701 | ||||||||
Grand Canyon Education, Inc. (a) | 600 | 47,964 | ||||||||
H&R Block, Inc. | 3,300 | 53,757 | ||||||||
Hackett Group, Inc. | 2,700 | 30,186 | ||||||||
Healthcare Services Group, Inc. | 12,500 | 269,125 | ||||||||
HMS Holdings Corp. (a) | 1,000 | 23,950 | ||||||||
Huron Consulting Group, Inc. (a) | 2,000 | 78,660 | ||||||||
Insperity, Inc. | 2,800 | 183,372 | ||||||||
K12, Inc. (a) | 7,700 | 202,818 | ||||||||
Kelly Services, Inc., Class A (a) | 900 | 15,336 | ||||||||
Korn/Ferry International | 3,200 | 92,800 | ||||||||
Medifast, Inc. | 1,600 | 263,120 | ||||||||
Quad/Graphics, Inc. | 3,900 | 11,817 | ||||||||
R1 RCM, Inc. (a) | 10,500 | 180,075 | ||||||||
ShotSpotter, Inc. (a) | 500 | 15,520 | ||||||||
SP Plus Corp. (a) | 2,900 | 52,055 | ||||||||
TriNet Group, Inc. (a) | 4,900 | 290,668 | ||||||||
TrueBlue, Inc. (a) | 600 | 9,294 | ||||||||
Viad Corp. (a) | 2,700 | 56,241 | ||||||||
|
| |||||||||
2,932,613 | ||||||||||
|
| |||||||||
Construction Materials — 0.0% | ||||||||||
Advanced Drainage Systems, Inc. | 3,000 | 187,320 | ||||||||
Apogee Enterprises, Inc. | 200 | 4,274 | ||||||||
Carlisle Cos., Inc. | 500 | 61,185 | ||||||||
Forterra, Inc. (a) | 4,600 | 54,372 | ||||||||
MDU Resources Group, Inc. | 15,400 | 346,500 | ||||||||
Summit Materials, Inc., Class A (a) | 8,381 | 138,622 | ||||||||
US Concrete, Inc. (a) | 1,000 | 29,040 | ||||||||
|
| |||||||||
821,313 | ||||||||||
|
| |||||||||
Consumer Discretionary Services — 0.0% | ||||||||||
Bluegreen Vacations Holding Corp. (a) | 400 | 5,356 | ||||||||
|
| |||||||||
Consumer Products — 0.6% | ||||||||||
Altria Group, Inc. (c) | 22,300 | 861,672 |
See Notes to Consolidated Financial Statements.
17
Table of Contents
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2020 (Unaudited)
Security Description | Shares | Value | ||||||||
AquaBounty Technologies, Inc. (a) | 300 | $ | 1,344 | |||||||
Campbell Soup Co. | 100 | 4,837 | ||||||||
Central Garden and Pet Co., Class A (a) | 1,500 | 54,210 | ||||||||
Church & Dwight Co., Inc. | 6,700 | 627,857 | ||||||||
Clorox Co. (The) | 6,500 | 1,366,105 | ||||||||
Coca-Cola Co. (c) | 54,500 | 2,690,665 | ||||||||
Colgate-Palmolive Co. | 4,100 | 316,315 | ||||||||
ConAgra Foods, Inc | 15,100 | 539,221 | ||||||||
Constellation Brands, Inc., Class A | 12,700 | 2,406,777 | ||||||||
elf Beauty, Inc. (a) | 4,000 | 73,480 | ||||||||
Farmer Brothers Co. (a) | 1,600 | 7,072 | ||||||||
Flowers Foods, Inc. | 15,700 | 381,981 | ||||||||
General Mills, Inc. (c) | 54,300 | 3,349,224 | ||||||||
Hershey Co. | 500 | 71,670 | ||||||||
Hormel Foods Corp. | 22,500 | 1,100,025 | ||||||||
JM Smucker Co. | 13,700 | 1,582,624 | ||||||||
Keurig Dr Pepper, Inc. | 900 | 24,840 | ||||||||
Kimberly-Clark Corp. | 18,500 | 2,731,710 | ||||||||
McCormick & Co., Inc. | 5,400 | 1,048,140 | ||||||||
MGP Ingredients, Inc. | 200 | 7,948 | ||||||||
Mondelez International, Inc., Class A (c) | 10,500 | 603,225 | ||||||||
Nu Skin Enterprises, Inc., Class A | 6,700 | 335,603 | ||||||||
PepsiCo, Inc. (c) | 43,600 | 6,042,960 | ||||||||
Procter & Gamble Co. (c) | 53,000 | 7,366,470 | ||||||||
Turning Point Brands, Inc. | 100 | 2,790 | ||||||||
Tyson Foods, Inc., Class A | 3,000 | 178,440 | ||||||||
|
| |||||||||
33,777,205 | ||||||||||
|
| |||||||||
Consumer Services — 0.0% | ||||||||||
2U, Inc. (a) | 14,600 | 494,356 | ||||||||
Aaron’s, Inc. | 5,800 | 328,570 | ||||||||
American Public Education, Inc. (a) | 400 | 11,276 | ||||||||
Carriage Services, Inc. | 2,000 | 44,620 | ||||||||
Chegg, Inc. (a) | 2,900 | 207,176 | ||||||||
Perdoceo Education Corp (a) | 8,900 | 108,936 | ||||||||
Service Corp. International/US | 11,400 | 480,852 | ||||||||
WW International, Inc. (a) | 9,200 | 173,604 | ||||||||
|
| |||||||||
1,849,390 | ||||||||||
|
| |||||||||
Containers & Packaging — 0.0% | ||||||||||
Myers Industries, Inc. | 1,700 | 22,491 | ||||||||
Sonoco Products Co. | 100 | 5,107 | ||||||||
|
| |||||||||
27,598 | ||||||||||
|
| |||||||||
Design, Manufacturing & Distribution — 0.0% | ||||||||||
Avnet, Inc. (c) | 14,100 | 364,344 | ||||||||
|
|
See Notes to Consolidated Financial Statements.
18
Table of Contents
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2020 (Unaudited)
Security Description | Shares | Value | ||||||||
Distributors—Consumer Staples — 0.0% | ||||||||||
Chefs’ Warehouse, Inc. (a) | 8,100 | $ | 117,774 | |||||||
Performance Food Group Co. (a) | 3,000 | 103,860 | ||||||||
United Natural Foods, Inc. (a) | 4,200 | 62,454 | ||||||||
US Foods Holding Corp. (a) | 31,900 | 708,818 | ||||||||
|
| |||||||||
992,906 | ||||||||||
|
| |||||||||
Distributors—Discretionary — 0.0% | ||||||||||
KAR Auction Services, Inc. (a) | 1,500 | 21,600 | ||||||||
ScanSource, Inc. (a) | 100 | 1,983 | ||||||||
Veritiv Corp. (a) | 1,000 | 12,660 | ||||||||
|
| |||||||||
36,243 | ||||||||||
|
| |||||||||
Electrical Equipment — 0.0% | ||||||||||
AO Smith Corp. (c) | 1,300 | 68,640 | ||||||||
Bel Fuse, Inc., Class B | 100 | 1,068 | ||||||||
Brady Corp., Class A | 100 | 4,002 | ||||||||
FARO Technologies, Inc. (a) | 500 | 30,490 | ||||||||
Keysight Technologies, Inc. (a) | 1,800 | 177,804 | ||||||||
LSI Industries, Inc. | 2,000 | 13,500 | ||||||||
nVent Electric plc | 10,700 | 189,283 | ||||||||
Powell Industries, Inc. | 500 | 12,065 | ||||||||
SMART Global Holdings, Inc. (a) | 2,600 | 71,084 | ||||||||
|
| |||||||||
567,936 | ||||||||||
|
| |||||||||
Engineering & Construction Services — 0.0% | ||||||||||
Dycom Industries, Inc. (a) | 4,700 | 248,254 | ||||||||
Exponent, Inc. | 700 | 50,421 | ||||||||
Fluor Corp. (a) | 30,700 | 270,467 | ||||||||
Frontdoor, Inc. (a) | 2,250 | 87,548 | ||||||||
Great Lakes Dredge & Dock Corp. (a) | 500 | 4,755 | ||||||||
Iteris, Inc. (a) | 2,600 | 10,660 | ||||||||
Mistras Group, Inc. (a) | 2,800 | 10,948 | ||||||||
MYR Group, Inc. (a) | 1,200 | 44,616 | ||||||||
Orion Group Holdings, Inc. (a) | 3,100 | 8,525 | ||||||||
Sterling Construction Co., Inc. (a) | 3,300 | 46,728 | ||||||||
Tutor Perini Corp. (a) | 7,500 | 83,475 | ||||||||
WillScot Mobile Mini Holdings Corp. (a) | 12,765 | 212,920 | ||||||||
|
| |||||||||
1,079,317 | ||||||||||
|
| |||||||||
Financial Services — 4.9% | ||||||||||
Artius Acquisition, Inc. (a),(b),(c) | 1,203,660 | 12,506,027 | ||||||||
ARYA Sciences Acquisition Corp. II, Class A (a),(b) | 194,958 | 2,037,311 | ||||||||
ARYA Sciences Acquisition Corp. III (a),(b) | 436,255 | 4,676,654 | ||||||||
Ascendant Digital Acquisition Corp., Class A (a),(b) | 532,000 | 5,288,080 | ||||||||
Bank of New York Mellon Corp. (b) | 154,522 | 5,306,285 |
See Notes to Consolidated Financial Statements.
19
Table of Contents
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2020 (Unaudited)
Security Description | Shares | Value | ||||||||
BGC Partners, Inc., Class A | 4,700 | $ | 11,280 | |||||||
Boston Private Financial Holdings, Inc. | 100 | 552 | ||||||||
BowX Acquisition Corp. (a),(b) | 507,213 | 5,204,005 | ||||||||
Capitala Finance Corp. | 583 | 5,486 | ||||||||
Capstar Special Purpose Acquisition Corp. (a),(b) | 537,300 | 5,482,341 | ||||||||
Cardtronics plc, Class A (a) | 200 | 3,960 | ||||||||
Cboe Global Markets, Inc. | 5,000 | 438,700 | ||||||||
CC Neuberger Principal Holdings I, Class A (a),(b) | 741,000 | 7,706,400 | ||||||||
CC Neuberger Principal Holdings II (a),(b),(c) | 1,110,000 | 11,466,300 | ||||||||
CF Finance Acquisition Corp. II (a),(b),(c) | 1,199,000 | 12,001,990 | ||||||||
Chimera Investment Corp. | 3,900 | 31,980 | ||||||||
Churchill Capital Corp. IV (a),(b),(c) | 1,566,850 | 15,699,837 | ||||||||
CM Life Sciences, Inc. (a),(b) | 697,400 | 7,301,778 | ||||||||
CME Group, Inc. (c) | 14,100 | 2,359,071 | ||||||||
Cohn Robbins Holdings Corp. (a),(b),(c) | 1,032,000 | 10,412,880 | ||||||||
Cowen, Inc., Class A | 100 | 1,627 | ||||||||
Deerfield Healthcare Technology Acquisitions Corp. (a),(b) | 320,000 | 3,401,600 | ||||||||
dMY Technology Group, Inc. II (a),(b) | 639,997 | 6,547,169 | ||||||||
E.Merge Technology Acquisition Corp. (a),(b) | 640,000 | 6,438,400 | ||||||||
Equity Distribution Acquisition Corp. (a),(b) | 784,000 | 8,075,200 | ||||||||
Executive Network Partnering Corp. (a),(b) | 380,289 | 9,602,297 | ||||||||
EZCORP, Inc., Class A (a) | 1,600 | 8,048 | ||||||||
Falcon Capital Acquisition Corp. (a),(b) | 710,000 | 7,305,900 | ||||||||
Foley Trasimene Acquisition Corp., Class A (a),(b) | 582,000 | 6,029,520 | ||||||||
Foley Trasimene Acquisition Corp. II (a),(b),(c) | 1,114,400 | 11,366,880 | ||||||||
Forum Merger III Corp. (a),(b) | 640,000 | 6,688,000 | ||||||||
FS Development Corp., Class A (a),(b) | 230,351 | 2,579,931 | ||||||||
GO Acquisition Corp. (a),(b),(c) | 1,280,000 | 12,902,400 | ||||||||
Highcape Capital Acquisition Corp. (a),(b) | 279,400 | 2,821,940 | ||||||||
Insu Acquisition Corp. II (a),(b) | 296,000 | 3,066,560 | ||||||||
Jaws Acquisition Corp., Class A (a),(b) | 600,000 | 6,246,000 | ||||||||
Nasdaq, Inc. | 2,400 | 294,504 | ||||||||
North Mountain Merger Corp. (a),(b) | 514,863 | 5,251,603 | ||||||||
Panacea Acquisition Corp. (a),(b) | 52,480 | 629,760 | ||||||||
Pershing Square Tontine Holdings Ltd., Class A (a),(b) | 529,000 | 12,003,010 | ||||||||
RedBall Acquisition Corp. (a),(b) | 545,100 | 5,761,707 | ||||||||
Reinvent Technology Partners (a),(b) | 202,800 | 2,330,152 | ||||||||
SCVX Corp., Class A (a),(b) | 428,572 | 4,285,720 | ||||||||
Shift4 Payments, Inc., Class A (a) | 200 | 9,672 | ||||||||
Social Capital Hedosophia Holdings Corp. III, Class A (a),(b) | 654,600 | 8,156,316 | ||||||||
Star Peak Energy Transition Corp. (a),(b) | 534,600 | 5,479,650 | ||||||||
Stellus Capital Investment Corp. | 900 | 7,830 | ||||||||
T Rowe Price Group, Inc. | 200 | 25,644 | ||||||||
TWC Tech Holdings II Corp. (a),(b) | 715,200 | 7,244,976 | ||||||||
Vector Acquisition Corp. (a),(b) | 706,900 | 7,167,966 |
See Notes to Consolidated Financial Statements.
20
Table of Contents
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2020 (Unaudited)
Security Description | Shares | Value | ||||||||
VPC Impact Acquisition Holdings (a),(b) | 781,500 | $ | 7,815,000 | |||||||
Western Union Co. (The) | 200 | 4,286 | ||||||||
Yucaipa Acquisition Corp. (a),(b),(c) | 889,778 | 9,075,736 | ||||||||
|
| |||||||||
276,565,921 | ||||||||||
|
| |||||||||
Forest & Paper Products — 0.0% | ||||||||||
Domtar Corp. (a) | 7,200 | 189,144 | ||||||||
Resolute Forest Products, Inc. (a) | 5,800 | 25,984 | ||||||||
Verso Corp., Class A | 2,200 | 17,358 | ||||||||
|
| |||||||||
232,486 | ||||||||||
|
| |||||||||
Gaming, Lodging & Restaurants — 0.2% | ||||||||||
Boyd Gaming Corp. (a) | 600 | 18,414 | ||||||||
Carnival Corp. (a),(c) | 29,500 | 447,810 | ||||||||
Carnival plc, ADR (a) | 5,500 | 71,060 | ||||||||
Century Casinos, Inc. (a) | 200 | 1,096 | ||||||||
Cracker Barrel Old Country Store, Inc. (a) | 1,400 | 160,524 | ||||||||
Del Taco Restaurants, Inc. (a) | 7,200 | 59,040 | ||||||||
Denny’s Corp. (a) | 10,700 | 107,000 | ||||||||
Domino’s Pizza, Inc. | 4,900 | 2,083,872 | ||||||||
Dunkin’ Brands Group, Inc. (c) | 14,500 | 1,187,695 | ||||||||
Everi Holdings, Inc. (a) | 17,000 | 140,250 | ||||||||
Golden Entertainment, Inc. (a) | 300 | 4,149 | ||||||||
J Alexander’s Holdings, Inc. (a) | 900 | 4,680 | ||||||||
Jack in the Box, Inc. | 1,800 | 142,758 | ||||||||
Lindblad Expeditions Holdings, Inc. (a) | 3,900 | 33,189 | ||||||||
McDonald’s Corp. | 4,800 | 1,053,552 | ||||||||
Monarch Casino & Resort, Inc. (a) | 1,400 | 62,440 | ||||||||
Noodles & Co. (a) | 4,900 | 33,663 | ||||||||
Papa John’s International, Inc. (c) | 6,700 | 551,276 | ||||||||
Red Rock Resorts, Inc., Class A (a) | 600 | 10,260 | ||||||||
Scientific Games Corp., Class A (a) | 200 | 6,982 | ||||||||
Wendy’s Co. | 49,200 | 1,096,914 | ||||||||
Wingstop, Inc. (c) | 5,800 | 792,570 | ||||||||
Yum! Brands, Inc. (c) | 20,800 | 1,899,040 | ||||||||
|
| |||||||||
9,968,234 | ||||||||||
|
| |||||||||
Hardware — 0.2% | ||||||||||
3D Systems Corp. (a) | 7,100 | 34,861 | ||||||||
A10 Networks, Inc. (a) | 8,000 | 50,960 | ||||||||
Anterix, Inc. (a) | 1,600 | 52,336 | ||||||||
Applied Optoelectronics, Inc. (a) | 800 | 9,000 | ||||||||
Arlo Technologies, Inc. (a) | 300 | 1,578 | ||||||||
AstroNova, Inc. (a) | 100 | 802 | ||||||||
CalAmp Corp. (a) | 2,400 | 17,256 | ||||||||
Casa Systems, Inc. (a) | 6,400 | 25,792 |
See Notes to Consolidated Financial Statements.
21
Table of Contents
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2020 (Unaudited)
Security Description | Shares | Value | ||||||||
Cisco Systems, Inc. (c) | 181,400 | $ | 7,145,346 | |||||||
Clearfield, Inc. (a) | 300 | 6,051 | ||||||||
Comtech Telecommunications Corp. | 800 | 11,200 | ||||||||
Daktronics, Inc. (a) | 3,600 | 14,256 | ||||||||
Dolby Laboratories, Inc., Class A | 5,700 | 377,796 | ||||||||
EMCORE Corp. (a) | 800 | 2,600 | ||||||||
Extreme Networks, Inc. (a) | 18,900 | 75,978 | ||||||||
FLIR Systems, Inc. | 4,600 | 164,910 | ||||||||
Infinera Corp. (a) | 400 | 2,464 | ||||||||
InterDigital, Inc. | 1,500 | 85,590 | ||||||||
Motorola Solutions, Inc. | 1,800 | 282,258 | ||||||||
NetApp, Inc. | 1,000 | 43,840 | ||||||||
NETGEAR, Inc. (a) | 4,900 | 151,018 | ||||||||
PC-Tel, Inc. | 100 | 566 | ||||||||
Pitney Bowes, Inc. | 1,100 | 5,841 | ||||||||
PlayAGS, Inc. (a) | 6,700 | 23,718 | ||||||||
Pure Storage, Inc., Class A (a) | 39,200 | 603,288 | ||||||||
Ribbon Communications, Inc. (a) | 2,200 | 8,514 | ||||||||
Sierra Wireless, Inc. (a) | 3,000 | 33,480 | ||||||||
Sonim Technologies, Inc. (a) | 2,950 | 2,289 | ||||||||
Stratasys Ltd. (a) | 12,100 | 150,887 | ||||||||
Turtle Beach Corp. (a) | 2,800 | 50,960 | ||||||||
ViaSat, Inc. (a) | 8,400 | 288,876 | ||||||||
Viavi Solutions, Inc. (a) | 500 | 5,865 | ||||||||
Vishay Precision Group, Inc. (a) | 1,100 | 27,852 | ||||||||
Vocera Communications, Inc. (a) | 5,800 | 168,664 | ||||||||
VOXX International Corp. (a) | 1,700 | 13,073 | ||||||||
Xerox Holdings Corp. | 1,700 | 31,909 | ||||||||
ZAGG, Inc. (a) | 2,600 | 7,280 | ||||||||
|
| |||||||||
9,978,954 | ||||||||||
|
| |||||||||
Health Care — 0.0% | ||||||||||
Conformis, Inc. (a) | 200 | 168 | ||||||||
Globus Medical, Inc., Class A (a) | 900 | 44,568 | ||||||||
iCAD, Inc. (a) | 200 | 1,762 | ||||||||
Intuitive Surgical, Inc. (a) | 200 | 141,908 | ||||||||
Phibro Animal Health Corp., Class A | 300 | 5,220 | ||||||||
Soleno Therapeutics, Inc. (a) | 12,400 | 31,124 | ||||||||
Surgalign Holdings, Inc. (a) | 5,200 | 9,412 | ||||||||
Varex Imaging Corp. (a) | 1,300 | 16,536 | ||||||||
Waters Corp. (a) | 300 | 58,704 | ||||||||
|
| |||||||||
309,402 | ||||||||||
|
| |||||||||
Health Care Facilities & Services — 0.1% | ||||||||||
Amedisys, Inc. (a) | 3,400 | 803,862 | ||||||||
Anthem, Inc. | 9,800 | 2,632,182 |
See Notes to Consolidated Financial Statements.
22
Table of Contents
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2020 (Unaudited)
Security Description | Shares | Value | ||||||||
Cardinal Health, Inc. | 300 | $ | 14,085 | |||||||
Cigna Corp. | 27 | 4,574 | ||||||||
Community Health Systems, Inc. (a) | 22,200 | 93,684 | ||||||||
Covetrus, Inc. (a) | 12,900 | 314,760 | ||||||||
Encompass Health Corp. | 13,000 | 844,740 | ||||||||
Humana, Inc. | 700 | 289,723 | ||||||||
Joint Corp. (The) (a) | 800 | 13,912 | ||||||||
Magellan Health, Inc. (a) | 1,800 | 136,404 | ||||||||
MEDNAX, Inc. (a) | 5,000 | 81,400 | ||||||||
Millendo Therapeutics, Inc. (a) | 13 | 21 | ||||||||
Neuronetics, Inc. (a) | 1,400 | 6,804 | ||||||||
OPKO Health, Inc. (a) | 1 | 4 | ||||||||
Owens & Minor, Inc. | 7,700 | 193,347 | ||||||||
Providence Service Corp. (a) | 100 | 9,291 | ||||||||
Quest Diagnostics, Inc. | 4,700 | 538,103 | ||||||||
RadNet, Inc. (a) | 3,900 | 59,865 | ||||||||
Tivity Health, Inc. (a) | 10,500 | 147,210 | ||||||||
Triple-S Management Corp., Class B (a) | 2,350 | 41,994 | ||||||||
UnitedHealth Group, Inc. | 200 | 62,354 | ||||||||
Universal Health Services, Inc., Class B (a) | 600 | 64,212 | ||||||||
|
| |||||||||
6,352,531 | ||||||||||
|
| |||||||||
Home & Office Products — 0.0% |
| |||||||||
ACCO Brands Corp. | 9,800 | 56,840 | ||||||||
Armstrong Flooring, Inc. (a) | 4,700 | 16,215 | ||||||||
Caesarstone Ltd. | 200 | 1,960 | ||||||||
Cornerstone Building Brands, Inc. (a) | 900 | 7,182 | ||||||||
Flexsteel Industries, Inc. | 1,000 | 24,000 | ||||||||
Herman Miller, Inc. | 4,400 | 132,704 | ||||||||
Interface, Inc. | 400 | 2,448 | ||||||||
iRobot Corp. (a) | 4,300 | 326,370 | ||||||||
KB Home | 600 | 23,034 | ||||||||
Kimball International, Inc., Class B | 2,600 | 27,404 | ||||||||
New Home Co., Inc. (a) | 300 | 1,632 | ||||||||
Select Interior Concepts, Inc., Class A (a) | 300 | 2,070 | ||||||||
Steelcase, Inc., Class A | 7,300 | 73,803 | ||||||||
Tempur Sealy International, Inc. (a) | 5,600 | 499,464 | ||||||||
|
| |||||||||
1,195,126 | ||||||||||
|
| |||||||||
Industrial Products — (0.0)% | ||||||||||
Graco, Inc. | 0 | 0 | ||||||||
|
| |||||||||
Industrial Services — 0.0% | ||||||||||
Covanta Holding Corp. | 2,500 | 19,375 | ||||||||
DXP Enterprises, Inc. (a) | 300 | 4,839 | ||||||||
H&E Equipment Services, Inc. | 4,200 | 82,572 | ||||||||
Herc Holdings, Inc. (a) | 754 | 29,866 |
See Notes to Consolidated Financial Statements.
23
Table of Contents
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2020 (Unaudited)
Security Description | Shares | Value | ||||||||
Resideo Technologies, Inc. (a) | 15,400 | $ | 169,400 | |||||||
Southwest Airlines Co. (a),(c) | 27,600 | 1,035,000 | ||||||||
Titan Machinery, Inc. (a) | 2,100 | 27,783 | ||||||||
|
| |||||||||
1,368,835 | ||||||||||
|
| |||||||||
Insurance — 0.3% | ||||||||||
Allstate Corp. | 6,000 | 564,840 | ||||||||
American Financial Group, Inc. | 1,500 | 100,470 | ||||||||
AMERISAFE, Inc. | 700 | 40,152 | ||||||||
Aon plc, Class A | 3,000 | 618,900 | ||||||||
Arch Capital Group Ltd. (a) | 1,100 | 32,175 | ||||||||
Assured Guaranty Ltd. | 11,400 | 244,872 | ||||||||
Brighthouse Financial, Inc. (a) | 1,500 | 40,365 | ||||||||
Chubb Ltd. (b) | 106,531 | 12,370,380 | ||||||||
Crawford & Co., Class B | 100 | 644 | ||||||||
Employers Holdings, Inc. | 1,400 | 42,350 | ||||||||
Globe Life, Inc. | 700 | 55,930 | ||||||||
GoHealth, Inc., Class A (a) | 100 | 1,302 | ||||||||
Hallmark Financial Services, Inc. (a) | 200 | 524 | ||||||||
Hanover Insurance Group, Inc. (c) | 2,500 | 232,950 | ||||||||
Hartford Financial Services Group, Inc. | 7,100 | 261,706 | ||||||||
Kingstone Cos., Inc. | 600 | 3,534 | ||||||||
Lincoln National Corp. | 3,200 | 100,256 | ||||||||
Maiden Holdings Ltd. (a) | 2,600 | 3,172 | ||||||||
Old Republic International Corp. | 30,600 | 451,044 | ||||||||
ProAssurance Corp. | 500 | 7,820 | ||||||||
Protective Insurance Corp., Class B | 200 | 2,626 | ||||||||
Prudential Financial, Inc. | 100 | 6,352 | ||||||||
Selective Insurance Group, Inc. | 500 | 25,745 | ||||||||
Selectquote, Inc. (a) | 1,000 | 20,250 | ||||||||
Universal Insurance Holdings, Inc. | 1,200 | 16,608 | ||||||||
Unum Group (c) | 37,700 | 634,491 | ||||||||
Willis Towers Watson plc | 600 | 125,292 | ||||||||
|
| |||||||||
16,004,750 | ||||||||||
|
| |||||||||
Iron & Steel — 0.0% | ||||||||||
Allegheny Technologies, Inc. (a) | 26,700 | 232,824 | ||||||||
Carpenter Technology Corp. | 1,600 | 29,056 | ||||||||
Northwest Pipe Co. (a) | 600 | 15,876 | ||||||||
Ryerson Holding Corp. (a) | 600 | 3,438 | ||||||||
SunCoke Energy, Inc. | 9,600 | 32,832 | ||||||||
TimkenSteel Corp. (a) | 800 | 2,840 | ||||||||
|
| |||||||||
316,866 | ||||||||||
|
| |||||||||
Leisure Products — 0.0% | ||||||||||
Clarus Corp. | 2,009 | 28,367 |
See Notes to Consolidated Financial Statements.
24
Table of Contents
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2020 (Unaudited)
Security Description | Shares | Value | ||||||||
Funko, Inc., Class A (a) | 7,800 | $ | 45,162 | |||||||
Malibu Boats, Inc., Class A (a) | 1,200 | 59,472 | ||||||||
MasterCraft Boat Holdings, Inc. (a) | 2,300 | 40,227 | ||||||||
Polaris, Inc. | 1,600 | 150,944 | ||||||||
Vista Outdoor, Inc. (a) | 6,000 | 121,080 | ||||||||
YETI Holdings, Inc. (a) | 1,900 | 86,108 | ||||||||
|
| |||||||||
531,360 | ||||||||||
|
| |||||||||
Machinery — 0.0% | ||||||||||
Albany International Corp., Class A | 400 | 19,804 | ||||||||
Cactus, Inc. | 1,300 | 24,947 | ||||||||
Columbus McKinnon Corp. | 1,000 | 33,100 | ||||||||
Crane Co. | 200 | 10,026 | ||||||||
Graham Corp. | 500 | 6,385 | ||||||||
Hillenbrand, Inc. | 4,316 | 122,402 | ||||||||
Hyster-Yale Materials Handling, Inc. | 200 | 7,430 | ||||||||
Ichor Holdings Ltd. (a) | 300 | 6,471 | ||||||||
Manitowoc Co., Inc. (The) (a) | 50 | 420 | ||||||||
Rexnord Corp. | 400 | 11,936 | ||||||||
Titan International, Inc. (a) | 400 | 1,156 | ||||||||
Welbilt, Inc. (a) | 8,800 | 54,208 | ||||||||
|
| |||||||||
298,285 | ||||||||||
|
| |||||||||
Manufactured Goods — 0.0% | ||||||||||
Core Molding Technologies, Inc. (a) | 300 | 2,658 | ||||||||
Gibraltar Industries, Inc. (a) | 2,500 | 162,850 | ||||||||
Insteel Industries, Inc. | 1,100 | 20,570 | ||||||||
LB Foster Co., Class A (a) | 500 | 6,710 | ||||||||
Raven Industries, Inc. (a) | 200 | 4,304 | ||||||||
|
| |||||||||
197,092 | ||||||||||
|
| |||||||||
Materials — 0.0% | ||||||||||
AptarGroup, Inc. | 200 | 22,640 | ||||||||
|
| |||||||||
Media — 0.3% | ||||||||||
Alphabet, Inc., Class A (a) | 200 | 293,120 | ||||||||
Altice USA, Inc., Class A (a),(c) | 64,700 | 1,682,200 | ||||||||
ANGI Homeservices, Inc., Class A (a) | 16,300 | 180,848 | ||||||||
Boingo Wireless, Inc. (a) | 7,400 | 75,443 | ||||||||
Cargurus, Inc. (a),(c) | 20,400 | 441,252 | ||||||||
Cars.com, Inc. (a) | 10,900 | 88,072 | ||||||||
Charter Communications, Inc., Class A (a),(c) | 10,240 | 6,393,242 | ||||||||
DISH Network Corp., Class A (a) | 300 | 8,709 | ||||||||
Endurance International Group Holdings, Inc. (a) | 500 | 2,870 | ||||||||
Entercom Communications Corp., Class A (a) | 2,200 | 3,542 | ||||||||
Entravision Communications Corp., Class A | 900 | 1,368 | ||||||||
Eventbrite, Inc., Class A (a) | 9,400 | 101,990 |
See Notes to Consolidated Financial Statements.
25
Table of Contents
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2020 (Unaudited)
Security Description | Shares | Value | ||||||||
EverQuote, Inc., Class A (a) | 3,400 | $ | 131,376 | |||||||
GoDaddy, Inc., Class A (a) | 24,300 | 1,846,071 | ||||||||
Grubhub, Inc. (a) | 18,900 | 1,367,037 | ||||||||
IMAX Corp. (a) | 2,300 | 27,508 | ||||||||
iMedia Brands, Inc. (a) | 1,170 | 6,786 | ||||||||
Liberty TripAdvisor Holdings, Inc., Class A (a) | 10,700 | 18,511 | ||||||||
Lions Gate Entertainment Corp., Class A (a) | 15,900 | 150,732 | ||||||||
Magnite, Inc. (a) | 5,700 | 39,586 | ||||||||
Marchex, Inc., Class B (a) | 2,400 | 5,088 | ||||||||
Marin Software, Inc. (a) | 442 | 588 | ||||||||
MDC Partners, Inc., Class A (a) | 200 | 322 | ||||||||
National CineMedia, Inc. | 5,100 | 13,847 | ||||||||
New York Times Co. (The), Class A | 10,200 | 436,458 | ||||||||
Points International Ltd. (a) | 800 | 7,744 | ||||||||
QuinStreet, Inc. (a) | 700 | 11,088 | ||||||||
Shutterstock, Inc. | 400 | 20,816 | ||||||||
Sirius XM Holdings, Inc. | 2,300 | 12,328 | ||||||||
Stamps.com, Inc. (a),(c) | 2,600 | 626,470 | ||||||||
TechTarget, Inc. (a) | 100 | 4,396 | ||||||||
Townsquare Media, Inc., Class A (a) | 100 | 466 | ||||||||
Travelzoo, Inc. (a) | 100 | 643 | ||||||||
TripAdvisor, Inc. (c) | 20,800 | 407,472 | ||||||||
TrueCar, Inc. (a) | 19,800 | 99,000 | ||||||||
VeriSign, Inc. (a) | 1,500 | 307,275 | ||||||||
World Wrestling Entertainment, Inc., Class A | 9,400 | 380,418 | ||||||||
Yelp, Inc. (a),(c) | 16,000 | 321,440 | ||||||||
Zillow Group, Inc. (a) | 400 | 40,616 | ||||||||
|
| |||||||||
15,556,738 | ||||||||||
|
| |||||||||
Medical Equipment & Devices — 0.3% | ||||||||||
Accuray, Inc. (a) | 8,000 | 19,200 | ||||||||
Alphatec Holdings, Inc. (a) | 4,200 | 27,888 | ||||||||
AngioDynamics, Inc. (a) | 3,600 | 43,416 | ||||||||
Axogen, Inc. (a) | 1,300 | 15,119 | ||||||||
Baxter International, Inc. (c) | 43,900 | 3,530,438 | ||||||||
CareDx, Inc. (a) | 7,000 | 265,580 | ||||||||
Cutera, Inc. (a) | 2,500 | 47,425 | ||||||||
CytoSorbents Corp. (a) | 5,900 | 47,053 | ||||||||
Danaher Corp. | 9,100 | 1,959,503 | ||||||||
Ekso Bionics Holdings, Inc. (a) | 27 | 128 | ||||||||
Fluidigm Corp. (a) | 4,600 | 34,178 | ||||||||
FONAR Corp. (a) | 300 | 6,264 | ||||||||
GenMark Diagnostics, Inc. (a) | 13,600 | 193,120 | ||||||||
Haemonetics Corp. (a) | 8,000 | 698,000 | ||||||||
Harvard Bioscience, Inc. (a) | 3,200 | 9,632 | ||||||||
Hill-Rom Holdings, Inc. | 1,300 | 108,563 | ||||||||
Hologic, Inc. (a) | 20,200 | 1,342,694 |
See Notes to Consolidated Financial Statements.
26
Table of Contents
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2020 (Unaudited)
Security Description | Shares | Value | ||||||||
Inogen, Inc. (a) | 4,300 | $ | 124,700 | |||||||
Invacare Corp. (a) | 1,100 | 8,272 | ||||||||
Lantheus Holdings, Inc. (a) | 5,800 | 73,486 | ||||||||
Luminex Corp. | 1,200 | 31,500 | ||||||||
Medtronic plc (c) | 31,900 | 3,315,048 | ||||||||
Meridian Bioscience, Inc. (a) | 3,600 | 61,128 | ||||||||
Myriad Genetics, Inc. (a) | 15,000 | 195,600 | ||||||||
NanoString Technologies, Inc. (a) | 1,200 | 53,640 | ||||||||
Natera, Inc. (a) | 12,900 | 931,896 | ||||||||
Nevro Corp. (a),(c) | 5,000 | 696,500 | ||||||||
Novocure Ltd. (a),(c) | 11,800 | 1,313,458 | ||||||||
OraSure Technologies, Inc. (a) | 8,300 | 101,011 | ||||||||
Orthofix Medical, Inc. (a) | 1,500 | 46,710 | ||||||||
Oxford Immunotec Global plc (a) | 2,600 | 30,420 | ||||||||
Precision BioSciences, Inc. (a) | 4,300 | 26,488 | ||||||||
Quidel Corp. (a) | 2,000 | 438,760 | ||||||||
Quotient Ltd. (a) | 11,700 | 60,138 | ||||||||
RA Medical Systems, Inc. (a) | 15,900 | 4,611 | ||||||||
Repligen Corp. (a) | 100 | 14,754 | ||||||||
SeaSpine Holdings Corp. (a) | 1,900 | 27,170 | ||||||||
Surmodics, Inc. (a) | 800 | 31,128 | ||||||||
Tandem Diabetes Care, Inc. (a) | 2,163 | 245,500 | ||||||||
Vericel Corp. (a) | 3,400 | 63,002 | ||||||||
|
| |||||||||
16,243,121 | ||||||||||
|
| |||||||||
Metals & Mining — 0.0% | ||||||||||
Alamos Gold, Inc., Class A | 21,054 | 185,486 | ||||||||
Alcoa Corp. (a) | 40,101 | 466,374 | ||||||||
Arconic Corp. (a) | 500 | 9,525 | ||||||||
Constellium SE (a) | 19,600 | 153,860 | ||||||||
Contura Energy, Inc. (a) | 2,700 | 19,764 | ||||||||
Eldorado Gold Corp. (a) | 8,540 | 90,097 | ||||||||
Ferroglobe plc (a) | 7,300 | 4,884 | ||||||||
Galiano Gold, Inc. (a) | 100 | 138 | ||||||||
Hudbay Minerals, Inc. | 4,000 | 16,920 | ||||||||
IAMGOLD Corp. (a) | 41,000 | 157,030 | ||||||||
New Gold, Inc. (a) | 74,100 | 125,970 | ||||||||
Newmont Mining Corp. | 32 | 2,030 | ||||||||
Pretium Resources, Inc. (a) | 1,200 | 15,408 | ||||||||
Royal Gold, Inc. | 6,300 | 757,071 | ||||||||
Sandstorm Gold Ltd. (a) | 8,000 | 67,520 | ||||||||
Taseko Mines Ltd. (a) | 4,200 | 4,452 | ||||||||
Teck Resources Ltd., Class B | 17,600 | 244,992 | ||||||||
|
| |||||||||
2,321,521 | ||||||||||
|
| |||||||||
Oil, Gas & Coal — 0.3% | ||||||||||
Advanced Emissions Solutions, Inc. (a) | 300 | 1,218 |
See Notes to Consolidated Financial Statements.
27
Table of Contents
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2020 (Unaudited)
Security Description | Shares | Value | ||||||||
Archrock, Inc. | 800 | $ | 4,304 | |||||||
Canadian Natural Resources Ltd. | 800 | 12,808 | ||||||||
Cenovus Energy, Inc. (a) | 13,500 | 52,515 | ||||||||
Centennial Resource Development, Inc., Class A (a) | 21,300 | 12,831 | ||||||||
ChampionX Corp. (a) | 24,800 | 198,152 | ||||||||
Chevron Corp. | 11,600 | 835,200 | ||||||||
Cimarex Energy Co. | 4,300 | 104,619 | ||||||||
Clean Energy Fuels Corp. (a) | 2,700 | 6,696 | ||||||||
Comstock Resources, Inc. (a) | 100 | 438 | ||||||||
Concho Resources, Inc. (c) | 37,800 | 1,667,736 | ||||||||
ConocoPhillips | 42,400 | 1,392,416 | ||||||||
CONSOL Energy, Inc. (a) | 3,900 | 17,277 | ||||||||
Continental Resources, Inc. (a),(c) | 45,500 | 558,740 | ||||||||
Core Laboratories NV | 2,400 | 36,624 | ||||||||
Crescent Point Energy Corp. | 8,600 | 10,492 | ||||||||
CVR Energy, Inc. | 8,400 | 103,992 | ||||||||
Dawson Geophysical Co. (a) | 882 | 1,552 | ||||||||
Devon Energy Corp. | 22,700 | 214,742 | ||||||||
Enerplus Corp. | 14,700 | 27,342 | ||||||||
EnLink Midstream LLC | 15,300 | 35,955 | ||||||||
EOG Resources, Inc. (c) | 89,800 | 3,227,412 | ||||||||
EQT Corp. (a) | 24,500 | 316,785 | ||||||||
Evolution Petroleum Corp. | 2,900 | 6,496 | ||||||||
Falcon Minerals Corp. | 1,000 | 2,440 | ||||||||
Gulf Island Fabrication, Inc. (a) | 300 | 939 | ||||||||
Hallador Energy Co. (a) | 1,400 | 913 | ||||||||
Halliburton Co. | 4,800 | 57,840 | ||||||||
Helix Energy Solutions Group, Inc. (a) | 6,800 | 16,388 | ||||||||
Helmerich & Payne, Inc. (c) | 23,600 | 345,740 | ||||||||
HollyFrontier Corp. | 12,200 | 240,462 | ||||||||
Huntington Ingalls Industries, Inc. | 1,000 | 140,750 | ||||||||
Kinder Morgan, Inc. | 114,500 | 1,411,785 | ||||||||
KLX Energy Services Holdings, Inc. (a) | 20 | 83 | ||||||||
Kosmos Energy Ltd. (a) | 67,700 | 66,048 | ||||||||
Magnolia Oil & Gas Corp., Class A (a) | 25,300 | 130,801 | ||||||||
Mammoth Energy Services, Inc. (a) | 3,000 | 4,800 | ||||||||
Marathon Oil Corp. | 103,300 | 422,497 | ||||||||
Matador Resources Co. (a) | 25,700 | �� | 212,282 | |||||||
Matrix Service Co. (a) | 2,000 | 16,700 | ||||||||
MRC Global, Inc. (a) | 8,500 | 36,380 | ||||||||
Murphy Oil Corp. | 700 | 6,244 | ||||||||
NACCO Industries, Inc., Class A | 100 | 1,821 | ||||||||
Natural Gas Services Group, Inc. (a) | 1,200 | 10,140 | ||||||||
Newpark Resources, Inc. (a) | 7,700 | 8,085 | ||||||||
NexTier Oilfield Solutions, Inc. (a) | 7,546 | 13,960 | ||||||||
NOW, Inc. (a) | 20,200 | 91,708 | ||||||||
Oceaneering International, Inc. (a) | 11,400 | 40,128 |
See Notes to Consolidated Financial Statements.
28
Table of Contents
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2020 (Unaudited)
Security Description | Shares | Value | ||||||||
Oil States International, Inc. (a) | 10,600 | $ | 28,938 | |||||||
ONEOK, Inc. | 12,400 | 322,152 | ||||||||
Ovintiv, Inc. | 50,618 | 413,043 | ||||||||
Panhandle Oil and Gas, Inc., Class A | 1,800 | 2,574 | ||||||||
Parsley Energy, Inc., Class A | 82,134 | 768,774 | ||||||||
Patterson-UTI Energy, Inc. | 41,200 | 117,420 | ||||||||
PBF Energy, Inc., Class A (a) | 23,600 | 134,284 | ||||||||
PDC Energy, Inc. (a) | 4,584 | 56,819 | ||||||||
Peabody Energy Corp. (a) | 19,400 | 44,620 | ||||||||
Pembina Pipeline Corp. | 200 | 4,246 | ||||||||
Pioneer Natural Resources Co. (c) | 16,700 | 1,436,033 | ||||||||
QEP Resources, Inc. (a) | 43,400 | 39,182 | ||||||||
Range Resources Corp. (a) | 8,813 | 58,342 | ||||||||
RPC, Inc. (a) | 13,600 | 35,904 | ||||||||
SandRidge Energy, Inc. (a) | 4,800 | 7,920 | ||||||||
Schlumberger Ltd. | 40,000 | 622,400 | ||||||||
SM Energy Co. | 25,100 | 39,909 | ||||||||
Suncor Energy, Inc. | 2,200 | 26,906 | ||||||||
Targa Resources Corp. | 21,100 | 296,033 | ||||||||
Thermon Group Holdings, Inc. (a) | 400 | 4,492 | ||||||||
TransGlobe Energy Corp. | 1,400 | 574 | ||||||||
Transocean Ltd. (a) | 103,033 | 83,137 | ||||||||
TravelCenters of America, Inc. (a) | 640 | 12,506 | ||||||||
US Silica Holdings, Inc. (a) | 1,700 | 5,100 | ||||||||
Valero Energy Corp. | 8,700 | 376,884 | ||||||||
Vermilion Energy, Inc. (a) | 4,400 | 10,296 | ||||||||
W&T Offshore, Inc. (a) | 9,200 | 16,560 | ||||||||
WPX Energy, Inc. (a) | 48,300 | 236,670 | ||||||||
|
| |||||||||
17,326,994 | ||||||||||
|
| |||||||||
Private Equity — 0.0% | ||||||||||
Millennium Equity Private Equity (a),(b),(d) | 60,879 | 1,476,316 | ||||||||
|
| |||||||||
Real Estate — 0.3% | ||||||||||
Acadia Realty Trust (a) | 600 | 6,300 | ||||||||
Agree Realty Corp. | 3,100 | 197,284 | ||||||||
American Tower Corp. | 3,000 | 725,190 | ||||||||
Apartment Investment & Management Co., Class A | 700 | 23,604 | ||||||||
Armada Hoffler Properties, Inc. | 3,200 | 29,632 | ||||||||
AvalonBay Communities, Inc. (b),(c) | 4,854 | 724,896 | ||||||||
Bluerock Residential Growth REIT, Inc. | 3,300 | 25,014 | ||||||||
Boston Properties, Inc. (b),(c) | 272 | 21,842 | ||||||||
CareTrust REIT, Inc. | 7,900 | 140,581 | ||||||||
Cedar Realty Trust, Inc. | 3,800 | 3,078 | ||||||||
City Office REIT, Inc. | 7,500 | 56,400 | ||||||||
Colliers International Group, Inc. | 300 | 20,007 | ||||||||
CorEnergy Infrastructure Trust, Inc. | 3,000 | 17,520 |
See Notes to Consolidated Financial Statements.
29
Table of Contents
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2020 (Unaudited)
Security Description | Shares | Value | ||||||||
CorePoint Lodging, Inc. (a) | 300 | $ | 1,635 | |||||||
Digital Realty Trust, Inc. (b),(c) | 511 | 74,994 | ||||||||
EPR Properties (a) | 10,300 | 283,250 | ||||||||
Equinix, Inc. (b),(c) | 128 | 97,297 | ||||||||
Equity LifeStyle Properties, Inc. | 500 | 30,650 | ||||||||
Equity Residential (b),(c) | 840 | 43,117 | ||||||||
Essex Property Trust, Inc. (b),(c) | 7,543 | 1,514,559 | ||||||||
First Industrial Realty Trust, Inc. | 3,500 | 139,300 | ||||||||
Front Yard Residential Corp. (a) | 100 | 874 | ||||||||
Gaming and Leisure Properties, Inc. | 21,445 | 791,964 | ||||||||
Getty Realty Corp. | 1,700 | 44,217 | ||||||||
Gladstone Commercial Corp. | 3,400 | 57,290 | ||||||||
Gladstone Land Corp. | 3,200 | 48,064 | ||||||||
Global Medical REIT, Inc. | 6,500 | 87,750 | ||||||||
Healthpeak Properties, Inc. (b),(c) | 2,286 | 62,065 | ||||||||
Host Hotels & Resorts, Inc. (a),(b),(c) | 2,679 | 28,906 | ||||||||
JBG SMITH Properties (b),(c) | 102 | 2,727 | ||||||||
Lexington Realty Trust | 14,400 | 150,480 | ||||||||
LTC Properties, Inc. | 800 | 27,888 | ||||||||
McGrath RentCorp | 1,800 | 107,262 | ||||||||
Medical Properties Trust, Inc. | 12,700 | 223,901 | ||||||||
Mid-America Apartment Communities, Inc. | 1,100 | 127,545 | ||||||||
Monmouth Real Estate Investment Corp., Class A | 8,500 | 117,725 | ||||||||
National Health Investors, Inc. | 4,900 | 295,323 | ||||||||
National Retail Properties, Inc. (c) | 15,900 | 548,709 | ||||||||
Newmark Group, Inc., Class A | 13,800 | 59,616 | ||||||||
Omega Healthcare Investors, Inc. | 29,147 | 872,661 | ||||||||
Paramount Group, Inc. | 6,100 | 43,188 | ||||||||
Pennsylvania REIT (a) | 800 | 443 | ||||||||
Prologis, Inc. (b),(c) | 1,049 | 105,550 | ||||||||
Public Storage (b),(c) | 293 | 65,257 | ||||||||
QTS Realty Trust, Inc., Class A | 2,100 | 132,342 | ||||||||
Realogy Holdings Corp. | 10,100 | 95,344 | ||||||||
Realty Income Corp. (b),(c) | 25,922 | 1,574,761 | ||||||||
Retail Opportunity Investments Corp. (a) | 14,300 | 148,935 | ||||||||
Retail Value, Inc. | 100 | 1,257 | ||||||||
RMR Group, Inc. (The), Class A | 1,300 | 35,711 | ||||||||
SBA Communications Corp. (c) | 8,600 | 2,738,928 | ||||||||
Simon Property Group, Inc. (b),(c) | 20,604 | 1,332,667 | ||||||||
Spirit Realty Capital, Inc. | 14,200 | 479,250 | ||||||||
STORE Capital Corp. (c) | 14,400 | 394,992 | ||||||||
Terreno Realty Corp. | 100 | 5,476 | ||||||||
UDR, Inc. | 5,500 | 179,355 | ||||||||
Uniti Group, Inc. | 25,700 | 270,750 | ||||||||
Ventas, Inc. (b),(c) | 686 | 28,785 | ||||||||
Vornado Realty Trust (b),(c) | 313 | 10,551 | ||||||||
Welltower, Inc. (b),(c) | 698 | 38,453 |
See Notes to Consolidated Financial Statements.
30
Table of Contents
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2020 (Unaudited)
Security Description | Shares | Value | ||||||||
WP Carey, Inc. | 8,200 | $ | 534,312 | |||||||
|
| |||||||||
16,047,424 | ||||||||||
|
| |||||||||
Recreation Facilities & Services — 0.0% | ||||||||||
Cinemark Holdings, Inc. (a),(c) | 17,600 | 176,000 | ||||||||
Marcus Corp. (a) | 4,200 | 32,466 | ||||||||
OneSpaWorld Holdings Ltd. (a) | 4,000 | 26,000 | ||||||||
Planet Fitness, Inc., Class A (a) | 13,100 | 807,222 | ||||||||
|
| |||||||||
1,041,688 | ||||||||||
|
| |||||||||
Renewable Energy — 0.0% | ||||||||||
Sunnova Energy International, Inc. (a) | 800 | 24,328 | ||||||||
Sunrun, Inc. (a) | 23,300 | 1,795,731 | ||||||||
Vivint Solar, Inc. (a) | 2,300 | 97,405 | ||||||||
|
| |||||||||
1,917,464 | ||||||||||
|
| |||||||||
Retail—Consumer Staples — 0.3% | ||||||||||
BJ’s Wholesale Club Holdings, Inc. (a) | 1,400 | 58,170 | ||||||||
Blue Apron Holdings, Inc., Class A (a) | 1,800 | 12,888 | ||||||||
Costco Wholesale Corp. | 12,700 | 4,508,500 | ||||||||
Dollar General Corp. | 1 | 210 | ||||||||
Dollar Tree, Inc. (a),(c) | 34,100 | 3,114,694 | ||||||||
Ingles Markets, Inc., Class A | 300 | 11,412 | ||||||||
Natural Grocers by Vitamin Cottage, Inc. | 400 | 3,944 | ||||||||
Ollie’s Bargain Outlet Holdings, Inc. (a) | 5,500 | 480,425 | ||||||||
SpartanNash Co. | 3,000 | 49,050 | ||||||||
Sprouts Farmers Market, Inc. (a) | 200 | �� | 4,186 | |||||||
Target Corp. (c) | 56,300 | 8,862,746 | ||||||||
Walmart, Inc. | 8,400 | 1,175,244 | ||||||||
|
| |||||||||
18,281,469 | ||||||||||
|
| |||||||||
Retail—Discretionary — 0.8% | ||||||||||
1-800-Flowers.com, Inc., Class A (a) | 4,500 | 112,230 | ||||||||
Amazon.com, Inc. (a),(b),(c) | 957 | 3,013,335 | ||||||||
At Home Group, Inc. (a) | 14,100 | 209,526 | ||||||||
AutoZone, Inc. (a) | 1,100 | 1,295,404 | ||||||||
Avis Budget Group, Inc. (a) | 7,400 | 194,768 | ||||||||
Bassett Furniture Industries, Inc. | 1,100 | 15,048 | ||||||||
Bed Bath & Beyond, Inc. (a) | 11,700 | 175,266 | ||||||||
Best Buy Co., Inc. | 17,400 | 1,936,446 | ||||||||
Build-A-Bear Workshop, Inc. (a) | 2,100 | 5,250 | ||||||||
Caleres, Inc. | 400 | 3,824 | ||||||||
CarParts.com, Inc. (a) | 400 | 4,324 | ||||||||
Children’s Place, Inc. (a) | 2,400 | 68,040 | ||||||||
Citi Trends, Inc. (a) | 2,000 | 49,960 | ||||||||
Conn’s, Inc. (a) | 6,400 | 67,712 |
See Notes to Consolidated Financial Statements.
31
Table of Contents
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2020 (Unaudited)
Security Description | Shares | Value | ||||||||
Dick’s Sporting Goods, Inc. | 14,300 | $ | 827,684 | |||||||
Duluth Holdings, Inc., Class B (a) | 4,500 | 54,990 | ||||||||
eBay, Inc. | 50,800 | 2,646,680 | ||||||||
Etsy, Inc. (a),(c) | 26,100 | 3,174,543 | ||||||||
Foot Locker, Inc. | 8,100 | 267,543 | ||||||||
Foundation Building Materials, Inc. (a) | 3,650 | 57,378 | ||||||||
Gaia, Inc. (a) | 1,100 | 10,813 | ||||||||
Gap, Inc. | 20,300 | 345,709 | ||||||||
Home Depot, Inc. (c) | 30,900 | 8,581,239 | ||||||||
Kirkland’s, Inc. (a) | 800 | 6,568 | ||||||||
Kohl’s Corp. (a) | 34,700 | 642,991 | ||||||||
L Brands, Inc. (a) | 600 | 19,086 | ||||||||
Liquidity Services, Inc. (a) | 1,900 | 14,174 | ||||||||
Lowe’s Cos., Inc. (c) | 52,800 | 8,757,408 | ||||||||
Movado Group, Inc. (a) | 1,300 | 12,922 | ||||||||
O’Reilly Automotive, Inc. (a),(c) | 6,200 | 2,858,696 | ||||||||
ODP Corp. (The) (a) | 10 | 194 | ||||||||
Party City Holdco, Inc. (a) | 11,800 | 30,680 | ||||||||
Qurate Retail, Inc., Class A | 56,034 | 402,324 | ||||||||
Revolve Group, Inc. (a) | 4,500 | 73,935 | ||||||||
RH (a) | 3,300 | 1,262,646 | ||||||||
Ross Stores, Inc. (a) | 500 | 46,660 | ||||||||
Shoe Carnival, Inc. | 100 | 3,358 | ||||||||
Sportsman’s Warehouse Holdings, Inc. (a) | 9,300 | 133,083 | ||||||||
Tractor Supply Co. | 10,600 | 1,519,404 | ||||||||
Vera Bradley, Inc. (a) | 2,900 | 17,719 | ||||||||
Wayfair, Inc., Class A (a),(c) | 15,000 | 4,365,150 | ||||||||
|
| |||||||||
43,284,710 | ||||||||||
|
| |||||||||
Semiconductors — 0.1% | ||||||||||
Alpha & Omega Semiconductor Ltd. (a) | 400 | 5,128 | ||||||||
Ambarella, Inc. (a) | 1,800 | 93,924 | ||||||||
Amkor Technology, Inc. (a) | 18,700 | 209,440 | ||||||||
Amtech Systems, Inc. (a) | 100 | 489 | ||||||||
Axcelis Technologies, Inc. (a) | 2,950 | 64,900 | ||||||||
AXT, Inc. (a) | 800 | 4,896 | ||||||||
CEVA, Inc. (a) | 1,300 | 51,181 | ||||||||
Cirrus Logic, Inc. (a) | 1,400 | 94,430 | ||||||||
Data I/O Corp. (a) | 100 | 318 | ||||||||
DSP Group, Inc. (a) | 3,000 | 39,540 | ||||||||
FormFactor, Inc. (a) | 3,400 | 84,762 | ||||||||
Impinj, Inc. (a) | 4,100 | 108,035 | ||||||||
Inphi Corp. (a) | 2,200 | 246,950 | ||||||||
IPG Photonics Corp. (a) | 100 | 16,997 | ||||||||
MACOM Technology Solutions Holdings, Inc. (a) | 1,132 | 38,499 | ||||||||
Maxim Integrated Products, Inc. (a) | 4,200 | 283,962 |
See Notes to Consolidated Financial Statements.
32
Table of Contents
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2020 (Unaudited)
Security Description | Shares | Value | ||||||||
MaxLinear, Inc., Class A (a) | 6,800 | $ | 158,032 | |||||||
NeoPhotonics Corp. (a) | 7,600 | 46,284 | ||||||||
Photronics, Inc. (a) | 2,000 | 19,920 | ||||||||
Pixelworks, Inc. (a) | 7,500 | 15,375 | ||||||||
Power Integrations, Inc. | 2,200 | 121,880 | ||||||||
QUALCOMM, Inc. | 4,900 | 576,632 | ||||||||
Rambus, Inc. (a) | 12,300 | 168,387 | ||||||||
Teradyne, Inc. | 5,400 | 429,084 | ||||||||
Veeco Instruments, Inc. (a) | 8,230 | 96,044 | ||||||||
Xilinx, Inc. | 300 | 31,272 | ||||||||
|
| |||||||||
3,006,361 | ||||||||||
|
| |||||||||
Software — 0.6% | ||||||||||
1Life Healthcare, Inc. (a) | 4,200 | 119,112 | ||||||||
8x8, Inc. (a) | 5,500 | 85,525 | ||||||||
Agilysys, Inc. (a) | 2,600 | 62,816 | ||||||||
American Software, Inc., Class A | 200 | 2,808 | ||||||||
Aspen Technology, Inc. (a) | 500 | 63,295 | ||||||||
Autodesk, Inc. (a),(c) | 1,800 | 415,818 | ||||||||
Avaya Holdings Corp. (a) | 1,400 | 21,280 | ||||||||
Avid Technology, Inc. (a) | 6,500 | 55,640 | ||||||||
Benefitfocus, Inc. (a) | 7,000 | 78,400 | ||||||||
Black Knight, Inc. (a) | 7,800 | 678,990 | ||||||||
Blackline, Inc. (a),(c) | 3,700 | 331,631 | ||||||||
Box, Inc., Class A (a),(c) | 34,400 | 597,184 | ||||||||
Brightcove, Inc. (a) | 2,600 | 26,624 | ||||||||
Cadence Design Systems, Inc. (a) | 100 | 10,663 | ||||||||
Calix, Inc. (a) | 8,900 | 158,242 | ||||||||
Castlight Health, Inc., Class B (a) | 8,000 | 9,040 | ||||||||
Ceridian HCM Holding, Inc. (a) | 15,000 | 1,239,750 | ||||||||
ChannelAdvisor Corp. (a) | 3,800 | 54,986 | ||||||||
Cloudera, Inc. (a) | 29 | 316 | ||||||||
CommVault Systems, Inc. (a) | 200 | 8,160 | ||||||||
Cornerstone OnDemand, Inc. (a),(c) | 11,200 | 407,232 | ||||||||
Crowdstrike Holdings, Inc. (a),(c) | 40,500 | 5,561,460 | ||||||||
Digi International, Inc. (a) | 1,400 | 21,882 | ||||||||
Digital Turbine, Inc. (a) | 2,500 | 81,850 | ||||||||
Domo, Inc., Class B (a) | 5,700 | 218,481 | ||||||||
Donnelley Financial Solutions, Inc. (a) | 2,700 | 36,072 | ||||||||
Dropbox, Inc., Class A (a),(c) | 45,600 | 878,256 | ||||||||
Dynatrace, Inc. (a) | 10,000 | 410,200 | ||||||||
Ebix, Inc. | 1,600 | 32,960 | ||||||||
eGain Corp. (a) | 2,500 | 35,425 | ||||||||
Evolent Health, Inc., Class A (a) | 16,800 | 208,488 | ||||||||
Fastly, Inc., Class A (a) | 1,500 | 140,520 | ||||||||
Fortinet, Inc. (a) | 15,700 | 1,849,617 |
See Notes to Consolidated Financial Statements.
33
Table of Contents
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2020 (Unaudited)
Security Description | Shares | Value | ||||||||
Glu Mobile, Inc. (a) | 36,500 | $ | 280,138 | |||||||
Guidewire Software, Inc. (a) | 400 | 41,708 | ||||||||
HubSpot, Inc. (a) | 3,100 | 905,913 | ||||||||
Immersion Corp. (a) | 5,900 | 41,595 | ||||||||
InnerWorkings, Inc. (a) | 5,100 | 15,249 | ||||||||
Intuit, Inc. | 1,900 | 619,799 | ||||||||
J2 Global, Inc. (a) | 500 | 34,610 | ||||||||
Limelight Networks, Inc. (a) | 22,700 | 130,752 | ||||||||
LivePerson, Inc. (a) | 3,700 | 192,363 | ||||||||
Microsoft Corp. | 25,800 | 5,426,514 | ||||||||
MicroStrategy, Inc., Class A (a) | 700 | 105,392 | ||||||||
Mimecast Ltd. (a) | 7,100 | 333,132 | ||||||||
Mitek Systems, Inc. (a) | 1,600 | 20,384 | ||||||||
MobileIron, Inc. (a) | 19,000 | 133,190 | ||||||||
Model N, Inc. (a) | 4,600 | 162,288 | ||||||||
New Relic, Inc. (a),(c) | 13,000 | 732,680 | ||||||||
NextGen Healthcare, Inc. (a) | 3,200 | 40,768 | ||||||||
Oracle Corp. | 200 | 11,940 | ||||||||
PagerDuty, Inc. (a) | 1,700 | 46,087 | ||||||||
Paycom Software, Inc. (a) | 100 | 31,130 | ||||||||
Paylocity Holding Corp. (a),(c) | 5,600 | 903,952 | ||||||||
PDF Solutions, Inc. (a) | 1,500 | 28,065 | ||||||||
Phreesia, Inc. (a) | 800 | 25,704 | ||||||||
Pluralsight, Inc., Class A (a) | 9,500 | 162,735 | ||||||||
Progress Software Corp. | 2,400 | 88,032 | ||||||||
Proofpoint, Inc. (a) | 3,500 | 369,425 | ||||||||
PROS Holdings, Inc. (a) | 5,300 | 169,282 | ||||||||
QAD, Inc., Class A | 600 | 25,320 | ||||||||
Rapid7, Inc. (a) | 3,000 | 183,720 | ||||||||
RealPage, Inc. (a) | 5,100 | 293,964 | ||||||||
RingCentral, Inc., Class A (a),(c) | 700 | 192,227 | ||||||||
Rosetta Stone, Inc. (a) | 500 | 14,990 | ||||||||
Schrodinger, Inc. (a) | 1,300 | 61,763 | ||||||||
Sciplay Corp., Class A (a) | 5,000 | 81,100 | ||||||||
SeaChange International, Inc. (a) | 2,700 | 2,350 | ||||||||
SecureWorks Corp., Class A (a) | 1,800 | 20,502 | ||||||||
SPS Commerce, Inc. (a) | 3,200 | 249,184 | ||||||||
SS&C Technologies Holdings, Inc. (b) | 4,408 | 266,772 | ||||||||
SVMK, Inc. (a) | 19,700 | 435,567 | ||||||||
Synchronoss Technologies, Inc. (a) | 1,900 | 5,719 | ||||||||
Tenable Holdings, Inc. (a) | 500 | 18,875 | ||||||||
Teradata Corp. (a),(c) | 17,200 | 390,440 | ||||||||
Varonis Systems, Inc. (a) | 1,500 | 173,130 | ||||||||
Veritone, Inc. (a) | 5,600 | 51,296 | ||||||||
Verra Mobility Corp. (a) | 20,500 | 198,030 | ||||||||
VMware, Inc., Class A (a) | 5,900 | 847,653 | ||||||||
Workday, Inc., Class A (a) | 300 | 64,539 |
See Notes to Consolidated Financial Statements.
34
Table of Contents
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2020 (Unaudited)
Security Description | Shares | Value | ||||||||
Workiva, Inc. (a) | 5,100 | $ | 284,376 | |||||||
Zoom Video Communications, Inc., Class A (a) | 1,900 | 893,209 | ||||||||
Zovio, Inc. (a) | 2,700 | 10,800 | ||||||||
Zynga, Inc., Class A (a),(c) | 161,000 | 1,468,320 | ||||||||
|
| |||||||||
31,189,396 | ||||||||||
|
| |||||||||
Specialty Finance — 0.6% | ||||||||||
Altisource Portfolio Solutions SA (a) | 1,000 | 12,670 | ||||||||
Anworth Mortgage Asset Corp. | 3,000 | 4,920 | ||||||||
Ares Commercial Real Estate Corp. | 6,800 | 62,152 | ||||||||
Blackstone Mortgage Trust, Inc., Class A | 4,600 | 101,062 | ||||||||
Capstead Mortgage Corp. | 300 | 1,686 | ||||||||
Curo Group Holdings Corp. | 5,700 | 40,185 | ||||||||
Discover Financial Services | 1,100 | 63,558 | ||||||||
Elevate Credit, Inc. (a) | 200 | 514 | ||||||||
Ellington Residential Mortgage REIT | 1,300 | 14,430 | ||||||||
Enova International, Inc. (a) | 2,700 | 44,253 | ||||||||
Euronet Worldwide, Inc. (a) | 600 | 54,660 | ||||||||
Exantas Capital Corp. | 5,500 | 11,495 | ||||||||
Fidelity National Financial, Inc. (c) | 40,117 | 1,256,063 | ||||||||
Fidelity National Information Services, Inc. | 48 | 7,066 | ||||||||
First American Financial Corp. | 16,000 | 814,560 | ||||||||
FleetCor Technologies, Inc. (a) | 1,300 | 309,530 | ||||||||
General Finance Corp. (a) | 300 | 1,899 | ||||||||
Global Payments, Inc. (b) | 97,927 | 17,389,877 | ||||||||
Great Ajax Corp. | 200 | 1,658 | ||||||||
Green Dot Corp., Class A (a) | 8,700 | 440,307 | ||||||||
GreenSky, Inc., Class A (a) | 2,200 | 9,768 | ||||||||
Ladder Capital Corp. | 6,500 | 46,280 | ||||||||
LendingTree, Inc. (a) | 200 | 61,378 | ||||||||
MFA Financial, Inc. | 40,600 | 108,808 | ||||||||
MGIC Investment Corp. | 22,500 | 199,350 | ||||||||
Navient Corp. | 600 | 5,070 | ||||||||
New Residential Investment Corp. | 9,900 | 78,705 | ||||||||
New York Mortgage Trust, Inc. | 9,000 | 22,950 | ||||||||
NewStar Financial, Inc. (a) | 100 | 0 | ||||||||
On Deck Capital, Inc. (a) | 2,600 | 4,160 | ||||||||
Orchid Island Capital, Inc. | 5,200 | 26,052 | ||||||||
PayPal Holdings, Inc. (a),(c) | 36,900 | 7,270,407 | ||||||||
Square, Inc, Class A (a) | 17,300 | 2,812,115 | ||||||||
Starwood Property Trust, Inc. | 30,600 | 461,754 | ||||||||
Stewart Information Services Corp. | 700 | 30,611 | ||||||||
Synchrony Financial | 14,100 | 368,997 | ||||||||
TPG RE Finance Trust, Inc. | 8,200 | 69,372 | ||||||||
Two Harbors Investment Corp. | 2,400 | 12,216 | ||||||||
Visa, Inc., Class A (c) | 7,600 | 1,519,772 |
See Notes to Consolidated Financial Statements.
35
Table of Contents
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2020 (Unaudited)
Security Description | Shares | Value | ||||||||
Walker & Dunlop, Inc. | 400 | $ | 21,200 | |||||||
Western Asset Mortgage Capital Corp. | 5,700 | 11,628 | ||||||||
WEX, Inc. (a) | 800 | 111,176 | ||||||||
|
| |||||||||
33,884,314 | ||||||||||
|
| |||||||||
Technology Services — 0.1% | ||||||||||
Automatic Data Processing, Inc. | 11,900 | 1,659,931 | ||||||||
ComScore, Inc. (a) | 4,700 | 9,588 | ||||||||
Conduent, Inc. (a) | 46,000 | 146,280 | ||||||||
CoreLogic, Inc. | 4,400 | 297,748 | ||||||||
DXC Technology Co. (a) | 2,301 | 41,073 | ||||||||
Genpact Ltd. | 7,600 | 296,020 | ||||||||
NIC, Inc. | 100 | 1,970 | ||||||||
Paychex, Inc. | 4,200 | 335,034 | ||||||||
Perficient, Inc. (a) | 700 | 29,918 | ||||||||
Perspecta, Inc. | 700 | 13,615 | ||||||||
PFSweb, Inc. (a) | 800 | 5,352 | ||||||||
Sabre Corp. (a) | 68,000 | 442,680 | ||||||||
ServiceSource International, Inc. (a) | 5,300 | 7,791 | ||||||||
Verisk Analytics, Inc. | 200 | 37,062 | ||||||||
|
| |||||||||
3,324,062 | ||||||||||
|
| |||||||||
Telecommunications — 0.1% | ||||||||||
Aspire Holdings LLC, Class A (a),(b) | 1,502,082 | 2 | ||||||||
Cogent Communications Holdings, Inc. | 800 | 48,040 | ||||||||
ESC NII Holdings, Inc. (a) | 50,677 | 109,969 | ||||||||
IDT Corp., Class B (a) | 1,000 | 6,580 | ||||||||
Ooma, Inc. (a) | 2,200 | 28,710 | ||||||||
ORBCOMM, Inc. (a) | 11,600 | 39,440 | ||||||||
Spok Holdings, Inc. | 1,100 | 10,461 | ||||||||
Switch, Inc., Class A (c) | 20,800 | 324,688 | ||||||||
Telephone & Data Systems, Inc. | 3,900 | 71,916 | ||||||||
Verizon Communications, Inc. (c) | 137,300 | 8,167,977 | ||||||||
Zix Corp. (a) | 500 | 2,920 | ||||||||
|
| |||||||||
8,810,703 | ||||||||||
|
| |||||||||
Transportation & Logistics — 0.0% |
| |||||||||
Covenant Transportation Group, Inc., Class A (a) | 2,400 | 41,976 | ||||||||
CSX Corp. | 800 | 62,136 | ||||||||
Daseke, Inc. (a) | 2,500 | 13,425 | ||||||||
DHT Holdings, Inc. | 2,000 | 10,320 | ||||||||
Genco Shipping & Trading Ltd. | 100 | 690 | ||||||||
Heartland Express, Inc. | 900 | 16,740 | ||||||||
Kirby Corp. (a) | 500 | 18,085 | ||||||||
Knight-Swift Transportation Holdings, Inc. (c) | 28,800 | 1,172,160 | ||||||||
Marten Transport Ltd. | 4,399 | 71,792 |
See Notes to Consolidated Financial Statements.
36
Table of Contents
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2020 (Unaudited)
Security Description | Shares | Value | ||||||||
Old Dominion Freight Line, Inc. | 900 | $ | 162,828 | |||||||
Overseas Shipholding Group, Inc., Class A (a) | 800 | 1,712 | ||||||||
Radiant Logistics, Inc. (a) | 3,100 | 15,934 | ||||||||
Spirit Airlines, Inc. (a) | 15,400 | 247,940 | ||||||||
USA Truck, Inc. (a) | 900 | 8,505 | ||||||||
Werner Enterprises, Inc. | 7,900 | 331,721 | ||||||||
|
| |||||||||
2,175,964 | ||||||||||
|
| |||||||||
Transportation Equipment — 0.0% | ||||||||||
Blue Bird Corp. (a) | 1,800 | 21,888 | ||||||||
Commercial Vehicle Group, Inc. (a) | 1,600 | 10,448 | ||||||||
FreightCar America, Inc. (a) | 900 | 2,052 | ||||||||
Shyft Group, Inc. (The) | 1,900 | 35,872 | ||||||||
|
| |||||||||
70,260 | ||||||||||
|
| |||||||||
Utilities — 0.4% | ||||||||||
Alliant Energy Corp. | 200 | 10,330 | ||||||||
Ameren Corp. (b),(c) | 3,852 | 304,616 | ||||||||
American Electric Power Co., Inc. (b),(c) | 5,022 | 410,448 | ||||||||
American Water Works Co., Inc. (b),(c) | 1,937 | 280,633 | ||||||||
Atlantic Power Corp. (a) | 6,700 | 13,132 | ||||||||
Black Hills Corp. | 800 | 42,792 | ||||||||
CMS Energy Corp. (b),(c) | 30,052 | 1,845,493 | ||||||||
Consolidated Water Co. Ltd. | 1,300 | 13,533 | ||||||||
Duke Energy Corp. (b),(c) | 22,248 | 1,970,283 | ||||||||
Entergy Corp. (b),(c) | 4,301 | 423,777 | ||||||||
Evergy, Inc. (b),(c) | 3,352 | 170,349 | ||||||||
Eversource Energy (b),(c) | 5,954 | 497,457 | ||||||||
Exelon Corp. (c) | 132,400 | 4,734,624 | ||||||||
FirstEnergy Corp. (b),(c) | 58,804 | 1,688,263 | ||||||||
Hawaiian Electric Industries, Inc. | 100 | 3,324 | ||||||||
IDACORP, Inc. (a) | 3,200 | 255,680 | ||||||||
National Fuel Gas Co. | 1,000 | 40,590 | ||||||||
NextEra Energy, Inc. (b),(c) | 2,837 | 787,438 | ||||||||
NiSource, Inc. (b),(c) | 6,016 | 132,352 | ||||||||
NorthWestern Corp. | 1,200 | 58,368 | ||||||||
OGE Energy Corp. | 7,800 | 233,922 | ||||||||
ONE Gas, Inc. | 100 | 6,901 | ||||||||
Otter Tail Corp. | 500 | 18,085 | ||||||||
PG&E Corp. (a),(b) | 275,580 | 2,587,696 | ||||||||
Pinnacle West Capital Corp. (b),(c) | 4,765 | 355,231 | ||||||||
Portland General Electric Co. | 5,700 | 202,350 | ||||||||
Public Service Enterprise Group, Inc. (c) | 28,700 | 1,575,917 | ||||||||
Southern Co. (b),(c) | 20,201 | 1,095,298 | ||||||||
Unitil Corp. | 300 | 11,592 | ||||||||
WEC Energy Group, Inc. (b),(c) | 3,658 | 354,460 |
See Notes to Consolidated Financial Statements.
37
Table of Contents
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2020 (Unaudited)
Security Description | Shares | Value | ||||||||||
Xcel Energy, Inc. (b),(c) | 3,404 | $ | 234,910 | |||||||||
|
| |||||||||||
20,359,844 | ||||||||||||
|
| |||||||||||
Waste & Environmental Services & Equipment — 0.1% | ||||||||||||
Casella Waste Systems, Inc., Class A (a) | 1,700 | 94,945 | ||||||||||
CECO Environmental Corp. (a) | 1,300 | 9,477 | ||||||||||
Heritage-Crystal Clean, Inc. (a) | 800 | 10,680 | ||||||||||
Republic Services, Inc. | 14,000 | 1,306,900 | ||||||||||
US Ecology, Inc. (a) | 600 | 19,602 | ||||||||||
Waste Management, Inc. (c) | 24,300 | 2,750,031 | ||||||||||
|
| |||||||||||
4,191,635 | ||||||||||||
|
| |||||||||||
Total North America | 875,005,054 | |||||||||||
|
| |||||||||||
Oceania — 0.0% | ||||||||||||
Iron & Steel — 0.0% | ||||||||||||
BHP Group plc, ADR | 100 | 4,266 | ||||||||||
|
| |||||||||||
Metals & Mining — 0.0% | ||||||||||||
Rio Tinto plc, ADR | 500 | 30,195 | ||||||||||
|
| |||||||||||
Total Oceania | 34,461 | |||||||||||
|
| |||||||||||
South America — 0.0% | ||||||||||||
Consumer Products — 0.0% | ||||||||||||
BRF SA, ADR (a) | 22,900 | 75,112 | ||||||||||
Cia Cervecerias Unidas SA, ADR | 900 | 11,673 | ||||||||||
|
| |||||||||||
86,785 | ||||||||||||
|
| |||||||||||
Gaming, Lodging & Restaurants — 0.0% | ||||||||||||
Arcos Dorados Holdings, Inc., Class A (a) | 1,130 | 4,633 | ||||||||||
|
| |||||||||||
Oil, Gas & Coal — 0.0% | ||||||||||||
Cosan Ltd., Class A | 3,400 | 50,490 | ||||||||||
Geopark Ltd. (a) | 1,900 | 13,984 | ||||||||||
|
| |||||||||||
64,474 | ||||||||||||
|
| |||||||||||
Technology Services — 0.0% | ||||||||||||
Atento SA (a) | 319 | 2,938 | ||||||||||
|
| |||||||||||
Total South America |
| 158,830 | ||||||||||
|
| |||||||||||
TOTAL COMMON STOCK |
| 909,096,684 | ||||||||||
|
|
See Notes to Consolidated Financial Statements.
38
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Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2020 (Unaudited)
Security Description | Principal Amount | Value | ||||||||||
ASSET-BACKED SECURITIES — 6.5% |
| |||||||||||
Europe — 0.1% |
| |||||||||||
Banco Santander SA, Series 1, Class G, | $ | 6,921,023 | $ | 6,930,512 | ||||||||
North America — 6.4% | ||||||||||||
ACIS CLO Ltd., Series 2015-6A, Class D, 3 mo. USD LIBOR + 3.77%, | 2,000,000 | 1,990,386 | ||||||||||
Adams Mill CLO Ltd., Series 2014-1A, Class D1, 3 mo. USD LIBOR + 3.50%, 3.78%, 07/15/26 (b),(e),(f) | 4,750,000 | 4,661,659 | ||||||||||
AIG CLO Ltd., Series 2019-2A, Class E, 3 mo. USD LIBOR + 7.25%, | 250,000 | 202,035 | ||||||||||
Alinea CLO Ltd., Series 2018-1A, Class D, 3 mo. USD LIBOR + 3.10%, 3.37%, 07/20/31 (b),(c),(e),(f) | 3,500,000 | 3,213,630 | ||||||||||
Allegro CLO Ltd., Series 2014-1RA, Class C, 3 mo. USD LIBOR + 3.00%, 3.27%, 10/21/28 (b),(c),(e),(f) | 3,000,000 | 2,800,137 | ||||||||||
AMMC CLO 22 Ltd., Series 2018-22A, Class D, 3 mo. USD LIBOR + 2.70%, 2.94%, 04/25/31 (b),(e),(f) | 750,000 | 709,676 | ||||||||||
Annisa CLO Ltd., Series 2016-2A, Class DR, | 250,000 | 237,485 | ||||||||||
Arbor Realty Collateralized Loan Obligation Ltd., Series 2020-FL1, Class C, 1 mo. USD LIBOR + 2.05%, 2.20%, 02/15/35 (b),(c),(e),(f) | 1,792,000 | 1,727,094 | ||||||||||
Ares LIV CLO Ltd., Series 2019-54A, Class E, 3 mo. USD LIBOR + 7.34%, 7.62%, 10/15/32 (b),(e),(f) | 250,000 | 235,649 | ||||||||||
Ares XLIX CLO Ltd., Series 2018-49A, Class D, 3 mo. USD LIBOR + 3.00%, 3.26%, 07/22/30 (b),(e),(f) | 300,000 | 281,853 | ||||||||||
Ares XXVII CLO Ltd., Series 2013-2A, Class CR, 3 mo. USD LIBOR + 2.40%, 2.65%, 07/28/29 (b),(e),(f) | 250,000 | 249,376 | ||||||||||
Ares XXXIIR CLO Ltd., Series 2014-32RA, Class B, 3 mo. USD LIBOR + 1.80%, 2.08%, 05/15/30 (b),(e),(f) | 750,000 | 721,022 | ||||||||||
Atlas Senior Loan Fund Ltd., Series 2014-1A, Class DR2, 3 mo. USD LIBOR + 4.00%, 4.27%, 07/16/29 (b),(e),(f) | 2,000,000 | 1,682,338 | ||||||||||
Avant Loans Funding Trust, | ||||||||||||
Series 2018-A, Class C, | 1,915,058 | 1,917,831 | ||||||||||
Series 2019-A, Class C, 4.65%, 04/15/26 (b),(c),(e) | 3,403,000 | 3,369,953 | ||||||||||
Series 2019-B, Class C, 4.54%, 10/15/26 (b),(e) | 637,000 | 626,770 |
See Notes to Consolidated Financial Statements.
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Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2020 (Unaudited)
Security Description | Principal Amount | Value | ||||||||
Avery Point CLO Ltd., Series 2014-5A, Class DR, 3 mo. USD LIBOR + 3.10%, 3.37%, 07/17/26 (b),(e),(f) | $ | 2,500,000 | $ | 2,440,937 | ||||||
Benefit Street Partners CLO Ltd., Series 2016-10A, Class CR, 3 mo. USD LIBOR + 3.50%, 3.78%, 01/15/29 (b),(c),(e),(f) | 3,500,000 | 3,256,130 | ||||||||
Benefit Street Partners CLO XIX Ltd., Series 2019-19A, Class C, 3 mo. USD LIBOR + 2.60%, 2.88%, 01/15/33 (b),(e),(f) | 1,000,000 | 1,002,574 | ||||||||
Birch Grove CLO Ltd., Series 19A, Class D, 3 mo. USD LIBOR + 3.90%, 4.15%, 06/15/31 (b),(c),(e),(f) | 1,500,000 | 1,495,410 | ||||||||
Black Diamond CLO Ltd., Series 2017-1A, Class C, 3 mo. USD LIBOR + 3.95%, 4.21%, 04/24/29 (b),(e),(f) | 4,250,000 | 3,848,439 | ||||||||
BlueMountain CLO Ltd., Series 2016-2A, Class C1R, 3 mo. USD LIBOR + 4.00%, 4.25%, 08/20/32 (b),(e),(f) | 500,000 | 450,681 | ||||||||
Brookside Mill CLO Ltd., Series 2013-1A, Class DR, 3 mo. USD LIBOR + 2.65%, 2.92%, 01/17/28 (b),(e),(f) | 4,000,000 | 3,716,956 | ||||||||
California Street CLO LP, Series 2012-9A, Class D1R2, 3 mo. USD LIBOR + 3.70%, 3.97%, 07/16/32 (b),(c),(e),(f) | 3,000,000 | 2,982,618 | ||||||||
Canyon Capital CLO Ltd., Series 2016-1A, Class CR, 3 mo. USD LIBOR + 1.90%, 2.18%, 07/15/31 (b),(e),(f) | 500,000 | 484,837 | ||||||||
Carlyle Global Market Strategies CLO Ltd., | ||||||||||
Series 2014-1A, Class DR, 3 mo. USD LIBOR + 2.60%, 2.87%, 04/17/31 (b),(e),(f) | 3,000,000 | 2,550,378 | ||||||||
Series 2015-1A, Class DR2, 3 mo. USD LIBOR + 3.65%, 3.92%, 07/20/31 (b),(c),(e),(f) | 2,000,000 | 1,840,188 | ||||||||
CarVal CLO Ltd., | ||||||||||
Series 2019-1X, Class D, 4.42%, 04/20/32 (b),(m),(f) | 500,000 | 497,797 | ||||||||
Series 2019-2A, Class D, 3 mo. USD LIBOR + 3.70%, 3.97%, 07/20/32 (b),(c),(e),(f) | 6,000,000 | 5,930,184 | ||||||||
Carvana Auto Receivables Trust, | ||||||||||
Series 2019-2A, Class E, 5.01%, 04/15/26 (b),(e),(g) | 1,125,000 | 1,144,997 | ||||||||
Series 2019-3A, Class E, 4.60%, 07/15/26 (b),(e),(g) | 1,592,000 | 1,620,312 | ||||||||
Series 2019-4A, Class E, 4.70%, 10/15/26 (b),(e),(g) | 1,181,000 | 1,205,571 |
See Notes to Consolidated Financial Statements.
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Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2020 (Unaudited)
Security Description | Principal Amount | Value | ||||||||
Series 2020-N1A, Class D, 3.43%, 01/15/26 (b),(c),(e) | $ | 9,983,000 | $ | 10,370,181 | ||||||
Series 2020-N1A, Class E, 5.20%, 07/15/27 (b),(c),(e) | 5,312,000 | 5,488,002 | ||||||||
Catamaran CLO Ltd., | ||||||||||
Series 2013-1A, Class DR, 3 mo. USD LIBOR + 2.80%, 3.04%, 01/27/28 (b),(e),(f) | 5,235,000 | 4,865,173 | ||||||||
Series 2014-1A, Class CR, 3 mo. USD LIBOR + 3.43%, 3.69%, 04/22/30 (b),(e),(f) | 3,100,000 | 2,851,532 | ||||||||
Series 2015-1A, Class DR, 3 mo. USD LIBOR + 2.80%, 3.06%, 04/22/27 (b),(e),(f) | 1,000,000 | 953,198 | ||||||||
Series 2015-1A, Class E, 3 mo. USD LIBOR + 5.15%, 5.41%, 04/22/27 (b),(e),(f) | 2,500,000 | 1,768,345 | ||||||||
Series 2016-1A, Class C, 3 mo. USD LIBOR + 3.85%, 4.12%, 01/18/29 (b),(e),(f) | 3,500,000 | 3,282,993 | ||||||||
Cent CLO Ltd., Series 2014-21A, Class CR2, 3 mo. USD LIBOR + 3.20%, 3.44%, 07/27/30 (b),(c),(e),(f) | 4,200,000 | 3,895,529 | ||||||||
CIFC Funding Ltd., | ||||||||||
Series 2013-1A, Class DR, 3 mo. USD LIBOR + 6.65%, 6.92%, 07/16/30 (b),(e),(f) | 3,000,000 | 2,591,550 | ||||||||
Series 2014-2RA, Class B1, 3.06%, 04/24/30 (b),(e),(f) | 250,000 | 234,088 | ||||||||
Series 2015-5A, Class CR, 3 mo. USD LIBOR + 2.95%, 3.19%, 10/25/27 (b),(c),(e),(f) | 4,000,000 | 3,733,592 | ||||||||
Series 2016-1A, Class D1R, 3 mo. USD LIBOR + 4.00%, 4.27%, 10/21/31 (b),(e),(f) | 1,000,000 | 998,101 | ||||||||
Series 2019-4A, Class C, 3 mo. USD LIBOR + 3.50%, 3.78%, 07/15/32 (b),(e),(f) | 1,000,000 | 964,615 | ||||||||
Colony American Finance Ltd., Series 2018-1, Class D, 4.92%, 06/15/51 (b),(e) | 708,000 | 773,236 | ||||||||
CoreVest American Finance Trust, | ||||||||||
Series 2017-2 SEQ, Class M, 5.62%, 12/25/27 (b),(e) | 459,000 | 486,237 | ||||||||
Series 2019-1, Class D, 4.82%, 03/15/52 (b),(e) | 152,000 | 161,356 | ||||||||
Series 2019-1, Class E, 5.49%, 03/15/52 (b),(e) | 196,000 | 212,256 | ||||||||
Series 2019-2, Class XA, 2.56%, 06/15/52 (b),(c),(e),(f),(h) | 17,350,897 | 1,728,201 | ||||||||
Series 2019-2, Class D, 4.22%, 06/15/52 (b),(e) | 476,000 | 497,645 | ||||||||
Series 2019-2, Class E, 5.39%, 06/15/52 (b),(e),(f) | 699,000 | 703,814 | ||||||||
Series 2019-3, Class XA, 2.19%, 10/15/52 (b),(c),(e),(f),(h) | 15,603,231 | 1,298,938 | ||||||||
Series 2019-3, Class D, 3.76%, 10/15/52 (b),(e) | 100,000 | 83,481 | ||||||||
Series 2019-3, Class E, 4.90%, 10/15/52 (b),(e),(f) | 124,000 | 105,052 |
See Notes to Consolidated Financial Statements.
41
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Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2020 (Unaudited)
Security Description | Principal Amount | Value | ||||||||
Series 2020-1, Class E, 4.83%, 03/15/50 (b),(e),(f) | $ | 100,000 | $ | 101,622 | ||||||
Covenant Credit Partners CLO Ltd., Series 2017-1A, Class D, 3 mo. USD LIBOR + 3.75%, 4.03%, 10/15/29 (b),(e),(f) | 3,800,000 | 3,502,327 | ||||||||
Cutwater Ltd., | ||||||||||
Series 2014-2A, Class CR, 3 mo. USD LIBOR + 3.75%, | 5,000,000 | 4,627,170 | ||||||||
Series 2015-1A, Class DR, 3 mo. USD LIBOR + 3.45%, | 4,000,000 | 3,551,092 | ||||||||
Denali Capital CLO Ltd., Series 2013-1A, Class B2LR, 3 mo. USD LIBOR + 4.75%, 4.99%, 10/26/27 (b),(e),(f) | 1,000,000 | 734,277 | ||||||||
Drive Auto Receivables Trust, Series 2019-3, Class C, 2.90%, 08/15/25 (b),(c) | 3,250,000 | 3,360,562 | ||||||||
Dryden 65 CLO Ltd., Series 2018-65A, Class D, 3.37%, 07/18/30 (b),(e),(f) | 500,000 | 476,090 | ||||||||
Dryden 80 CLO Ltd., Series 2019-80A, Class D1, 3 mo. USD LIBOR + 4.10%, 4.37%, 01/17/33 (b),(e),(f) | 250,000 | 250,000 | ||||||||
Dryden CLO Ltd., Series 2019-75A, Class DR, 3 mo. USD LIBOR + 3.55%, 3.83%, 07/15/30 (b),(c),(e),(f) | 4,750,000 | 4,640,788 | ||||||||
Dryden Senior Loan Fund, | ||||||||||
Series 2014-36A, Class DR2, 3 mo. USD LIBOR + 3.70%, | 6,000,000 | 5,850,684 | ||||||||
Series 2016-43A, Class DRR, 3 mo. USD LIBOR + 3.55%, | 3,000,000 | 2,969,760 | ||||||||
DT Auto Owner Trust, | ||||||||||
Series 2019-2A, Class E, 4.46%, 05/15/26 (b),(e),(g) | 1,775,000 | 1,829,095 | ||||||||
Series 2019-4A, Class E, 3.93%, 10/15/26 (b),(e),(g) | 925,000 | 937,523 | ||||||||
Series 2020-1A, Class E, 3.48%, 02/16/27 (b),(e),(g) | 1,595,000 | 1,595,123 | ||||||||
Elm CLO Ltd., Series 2014-1A, Class BRR, 3 mo. USD LIBOR + 1.75%, 2.02%, 01/17/29 (b),(e),(f) | 500,000 | 495,253 | ||||||||
Evans Grove CLO Ltd., Series 2018-1A, Class D, 3 mo. USD LIBOR + 3.20%, 3.46%, 05/28/28 (b),(c),(e),(f) | 5,000,000 | 4,414,125 | ||||||||
Fort Washington CLO, Series 2019-1A, Class D1, 3 mo. USD LIBOR + 3.90%, 4.17%, 10/20/32 (b),(e),(f) | 1,000,000 | 994,982 |
See Notes to Consolidated Financial Statements.
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Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2020 (Unaudited)
Security Description | Principal Amount | Value | ||||||||
Gallatin Loan Management, | ||||||||||
Series 2017-1A, Class D, 3 mo. USD LIBOR + 3.25%, 3.53%, 07/15/27 (b),(c),(e),(f) | $ | 7,500,000 | $ | 7,311,232 | ||||||
Series 2018-1A, Class D1, 3 mo. USD LIBOR + 3.10%, 3.37%, 01/21/28 (b),(c),(e),(f) | 4,500,000 | 4,188,775 | ||||||||
Garrison Funding Ltd., Series 2015-1A, Class CR, 3 mo. USD LIBOR + 3.90%, 4.15%, 09/21/29 (b),(e),(f) | 4,000,000 | 3,868,848 | ||||||||
Genesis Private Label Amortizing Trust, Series 2020-1, Class C, 4.19%, 07/20/30 (b),(e) | 251,000 | 252,399 | ||||||||
GLS Auto Receivables Issuer Trust, | ||||||||||
Series 2019-2A, Class D, 4.52%, 02/17/26 (b),(c),(e) | 1,510,000 | 1,554,592 | ||||||||
Series 2019-3A, Class D, 3.84%, 05/15/26 (b),(c),(e) | 1,457,000 | 1,472,583 | ||||||||
Series 2019-4A, Class D, 4.09%, 08/17/26 (b),(e) | 900,000 | 916,079 | ||||||||
Series 2020-1A, Class D, 3.68%, 11/16/26 (b),(c),(e) | 1,790,000 | 1,770,204 | ||||||||
Series 2020-2A, Class C, 4.57%, 04/15/26 (b),(e) | 778,000 | 844,756 | ||||||||
Greywolf CLO III Ltd., Series 2020-3RA, Class CR, 3 mo. USD LIBOR + 3.35%, 3.61%, 04/15/33 (b),(c),(e),(f) | 5,000,000 | 4,714,020 | ||||||||
Greywolf CLO Ltd., Series 2019-1A, Class D, 7.21%, 04/17/30 (b),(e),(f) | 250,000 | 223,174 | ||||||||
Harbourview CLO Ltd., Series 7RA, Class D, 3 mo. USD LIBOR + 3.36%, 3.63%, 07/18/31 (b),(c),(e),(f) | 4,000,000 | 3,056,392 | ||||||||
Highbridge Loan Management Ltd., | ||||||||||
Series 4A-2014, Class BR, 3 mo. USD LIBOR + 1.85%, 2.10%, 01/28/30 (b),(e),(f) | 500,000 | 477,346 | ||||||||
Series 7A-2015, Class DR, 3 mo. USD LIBOR + 2.40%, 2.68%, 03/15/27 (b),(e),(f) | 1,000,000 | 864,301 | ||||||||
Home Partners of America Trust, Series 2019-1, Class F, 4.10%, 09/17/39 (b),(e) | 95,659 | 92,178 | ||||||||
ICG US CLO Ltd., Series 2016-1A, Class CR, 3 mo. USD LIBOR + 3.05%, 3.32%, 07/29/28 (b),(e),(f) | 1,000,000 | 912,385 | ||||||||
Jamestown CLO Ltd., | ||||||||||
Series 2014-4A, Class CR, 3 mo. USD LIBOR + 2.65%, 2.93%, 07/15/26 (b),(e),(f) | 1,000,000 | 978,384 | ||||||||
Series 2015-7A, Class CR, 3 mo. USD LIBOR + 2.60%, 2.84%, 07/25/27 (b),(e),(f) | 1,500,000 | 1,417,003 | ||||||||
Series 2016-9A, Class C1R, 3 mo. USD LIBOR + 4.10%, 4.37%, 10/20/28 (b),(c),(e),(f) | 3,000,000 | 2,958,153 |
See Notes to Consolidated Financial Statements.
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Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2020 (Unaudited)
Security Description | Principal Amount | Value | ||||||||
Series 2018-11A, Class C, 3 mo. USD LIBOR + 3.25%, 3.52%, 07/14/31 (b),(c),(e),(f) | $ | 2,000,000 | $ | 1,837,602 | ||||||
Jamestown CLO XV Ltd., Series 2020-15A, Class D, 3 mo. USD LIBOR + 3.65%, 4.41%, 04/15/33 (b),(c),(e),(f) | 5,000,000 | 4,882,605 | ||||||||
JMP Credit Advisors CLO Ltd., Series 2014-1RA, Class D, 3 mo. USD LIBOR + 2.60%, 2.87%, 01/17/28 (b),(c),(e),(f) | 5,310,000 | 4,433,393 | ||||||||
JP Morgan Mortgage Acquisition Trust, |
| |||||||||
Series 2006-HE3 SEQ, Class A3, 1 mo. USD LIBOR + .11%, 0.26%, 11/25/36 (b),(c),(f) | 1,905,037 | 1,828,836 | ||||||||
Series 2006-HE3 SEQ, Class A4, 1 mo. USD LIBOR + .16%, 0.31%, 11/25/36 (b),(c),(f) | 653,000 | 598,692 | ||||||||
Series 2006-HE3 SEQ, Class A5, 1 mo. USD LIBOR + .24%, 0.39%, 11/25/36 (b),(c),(f) | 1,841,419 | 1,702,277 | ||||||||
Kayne CLO II Ltd., Series 2018-2A, Class E, 6.38%, 10/15/31 (b),(e),(f) | 416,667 | 365,476 | ||||||||
KVK CLO Ltd., | ||||||||||
3.22%, 01/14/28 (b),(e),(f) | 4,690,000 | 4,413,792 | ||||||||
Series 2016-1A, Class D, 3 mo. USD LIBOR + 4.40%, 4.68%, 01/15/29 (b),(c),(e),(f) | 5,000,000 | 4,951,900 | ||||||||
Long Beach Mortgage Loan Trust, Series 2006-4, Class 2A4, 1 mo. USD LIBOR + .26%, 0.41%, 05/25/36 (b),(c),(f) | 8,112,802 | 3,703,730 | ||||||||
Madison Park Funding Ltd., | ||||||||||
Series 2012-10A, Class DR2, 3 mo. USD LIBOR + 3.25%, 3.52%, 01/20/29 (b),(e),(f) | 1,000,000 | 966,816 | ||||||||
Series 2013-11A, Class DR, 3 mo. USD LIBOR + 3.25%, 3.51%, 07/23/29 (b),(e),(f) | 3,400,000 | 3,271,215 | ||||||||
Series 2016-20A, Class DR, 3 mo. USD LIBOR + 3.00%, 3.24%, 07/27/30 (b),(c),(e),(f) | 2,000,000 | 1,868,370 | ||||||||
Magnetite XXII Ltd., Series 2019-22A, Class D, 3 mo. USD LIBOR + 3.65%, 3.93%, 04/15/31 (b),(e),(f) | 250,000 | 244,923 | ||||||||
Mariner CLO LLC, Series 2015-1A, Class DR2, 3 mo. USD LIBOR + 2.85%, 3.12%, 04/20/29 (b),(c),(e),(f) | 6,000,000 | 5,561,142 | ||||||||
MidOcean Credit CLO, Series 2016-6A, Class DR, 3 mo. USD LIBOR + 3.75%, 4.02%, 01/20/29 (b),(c),(e),(f) | 4,000,000 | 3,845,620 | ||||||||
Midocean Credit CLO, Series 2017-7A, Class D, 3 mo. USD LIBOR + 3.88%, 4.16%, 07/15/29 (b),(c),(e),(f) | 5,500,000 | 5,150,893 |
See Notes to Consolidated Financial Statements.
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Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2020 (Unaudited)
Security Description | Principal Amount | Value | ||||||||
Morgan Stanley ABS Capital I, Inc., | ||||||||||
Series 2007-HE3, Class A2C, 1 mo. USD LIBOR + .15%, 0.30%, 12/25/36 (b),(f) | $ | 592,814 | $ | 379,747 | ||||||
Series 2007-HE3, Class A2D, 1 mo. USD LIBOR + .25%, 0.40%, 12/25/36 (b),(f) | 720,396 | 465,109 | ||||||||
Mountain View CLO LLC, Series 2017-1A, Class D, 3 mo. USD LIBOR + 3.60%, 3.87%, 10/16/29 (b),(e),(f) | 3,000,000 | 2,701,707 | ||||||||
Mountain View CLO Ltd., | ||||||||||
Series 2015-10A, Class DR, 3 mo. USD LIBOR + 2.60%, 2.82%, 10/13/27 (b),(e),(f) | 2,500,000 | 2,302,320 | ||||||||
Series 2015-9A, Class CR, 3 mo. USD LIBOR + 3.12%, | 5,000,000 | 4,289,445 | ||||||||
Series 2019-1A, Class D, 3 mo. USD LIBOR + 4.05%, 4.33%, 04/15/29 (b),(c),(e),(f) | 5,000,000 | 4,807,785 | ||||||||
MVW LLC, Series 2020-1A, Class C, 4.21%, 10/20/37 (b),(e) | 278,763 | 289,632 | ||||||||
Neuberger Berman Loan Advisers CLO Ltd., Series 2018-28A, Class D, 3 mo. USD LIBOR + 2.85%, 3.12%, 04/20/30 (b),(e),(f) | 750,000 | 691,150 | ||||||||
New Residential Mortgage LLC, | ||||||||||
Series 2018-FNT1, Class D, 4.69%, 05/25/23 (b),(e) | 555,747 | 522,127 | ||||||||
Series 2018-FNT1, Class E, 4.89%, 05/25/23 (b),(c),(e) | 2,334,137 | 2,174,279 | ||||||||
Series 2018-FNT2, Class E, 5.12%, 07/25/54 (b),(c),(e) | 2,307,010 | 2,246,031 | ||||||||
Nomura CRE CDO Ltd., Series 2007-2A, Class D, 3 mo. USD LIBOR + .45%, 2.60%, 05/21/42 (b),(e),(f) | 370,008 | 180,093 | ||||||||
Northwoods Capital Ltd., Series 2018-12BA, Class D, 3 mo. USD LIBOR + 3.15%, 3.40%, 06/15/31 (b),(c),(e),(f) | 3,000,000 | 2,621,475 | ||||||||
Oaktree CLO Ltd., Series 2015-1A, Class DR, 3 mo. USD LIBOR + 5.20%, 5.47%, 10/20/27 (b),(e),(f) | 2,500,000 | 1,999,365 | ||||||||
Ocean Trails CLO, Series 2016-6A, Class DR, 3 mo. USD LIBOR + 3.65%, 3.93%, 07/15/28 (b),(c),(e),(f) | 5,000,000 | 4,756,155 | ||||||||
Octagon Investment Partners Ltd., | ||||||||||
Series 2012-1A, Class CR, 3 mo. USD LIBOR + 4.00%, 4.28%, 07/15/29 (b),(e),(f) | 3,500,000 | 3,376,208 | ||||||||
Series 2014-1A, Class CRR, 3 mo. USD LIBOR + 3.95%, | 2,000,000 | 1,970,400 | ||||||||
OFSI Fund Ltd., Series 2014-7A, Class DR, 3 mo. USD LIBOR + 3.20%, 3.47%, 10/18/26 (b),(e),(f) | 2,000,000 | 1,891,928 |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2020 (Unaudited)
Security Description | Principal Amount | Value | ||||||||
OHA Credit Partners XIII Ltd., Series 2016-13A, Class E, 3 mo. USD LIBOR + 7.15%, 7.42%, 01/21/30 (b),(e),(f) | $ | 250,000 | $ | 236,590 | ||||||
OHA Loan Funding Ltd., Series 2016-1A, Class CR, 3 mo. USD LIBOR + 1.95%, 2.22%, 01/20/33 (b),(e),(f) | 250,000 | 245,363 | ||||||||
OneMain Financial Issuance Trust, | ||||||||||
Series 2017-1A, Class D, 4.52%, 09/14/32 (b),(e) | 4,500,000 | 4,507,465 | ||||||||
Series 2017-1A SEQ, Class A1, 2.37%, 09/14/32 (b),(c),(e) | 1,578,021 | 1,579,234 | ||||||||
Series 2019-1A, Class E, 5.69%, 02/14/31 (b),(c),(e) | 5,000,000 | 5,118,205 | ||||||||
OZLM Funding Ltd., Series 2013-4A, Class BR, 3 mo. USD LIBOR + 2.20%, 2.46%, 10/22/30 (b),(e),(f) | 3,000,000 | 2,909,496 | ||||||||
OZLM Ltd., | ||||||||||
Series 2014-6A, Class CS, 3 mo. USD LIBOR + 3.13%, 3.40%, 04/17/31 (b),(e),(f) | 2,000,000 | 1,843,564 | ||||||||
Series 2015-12A, Class D, 3 mo. USD LIBOR + 5.40%, | 8,833,000 | 6,761,759 | ||||||||
Palmer Square CLO Ltd., Series 2018-2A, Class B, 2.17%, 07/16/31 (b),(e),(f) | 250,000 | 239,713 | ||||||||
Parallel Ltd., | ||||||||||
Series 2017-1A, Class DR, 3 mo. USD LIBOR + 3.10%, | 3,000,000 | 2,700,738 | ||||||||
Series 2019-1A, Class D, 3 mo. USD LIBOR + 4.20%, 4.47%, 07/20/32 (b),(e),(f) | 1,000,000 | 981,635 | ||||||||
Series 2019-1A, Class E, 3 mo. USD LIBOR + 6.72%, 6.99%, 07/20/32 (b),(c),(e),(f) | 1,333,000 | 1,069,854 | ||||||||
Series 2020-1A, Class C1, 3 mo. USD LIBOR + 4.10%, 4.26%, 07/20/31 (b),(e),(f) | 1,000,000 | 995,608 | ||||||||
Perimeter Master Note Business Trust, | ||||||||||
Series 2019-1A, Class C, 8.06%, 12/15/22 (b),(e) | 251,000 | 252,243 | ||||||||
Series 2019-2A, Class B, 5.21%, 05/15/24 (b),(e),(g) | 921,000 | 944,744 | ||||||||
Series 2019-2A, Class C, 7.06%, 05/15/24 (b),(e) | 251,000 | 253,283 | ||||||||
Regatta Funding LP, Series 2013-2A, Class CR2, 3 mo. USD LIBOR + 3.70%, 3.98%, 01/15/29 (b),(c),(e),(f) | 6,500,000 | 6,231,771 | ||||||||
Regatta XI Funding Ltd., Series 2018-1A, Class D, 3 mo. USD LIBOR + 2.85%, 3.12%, 07/17/31 (b),(e),(f) | 490,000 | 455,677 |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2020 (Unaudited)
Security Description | Principal Amount | Value | ||||||||
Regatta XV Funding Ltd., Series 2018-4A, Class C, 3.54%, 10/25/31 (b),(e),(f) | $ | 500,000 | $ | 477,505 | ||||||
Rockford Tower CLO Ltd., | ||||||||||
Series 2017-1A, Class BR, 3 mo. USD LIBOR + 1.45%, | 2,500,000 | 2,453,372 | ||||||||
Series 2017-2A, Class DR, 3 mo. USD LIBOR + 2.85%, | 3,750,000 | 3,505,751 | ||||||||
Series 2019-2A, Class D, 3 mo. USD LIBOR + 3.50%, 3.75%, 08/20/32 (b),(e),(f) | 750,000 | 725,891 | ||||||||
Romark CLO III Ltd., Series 2019-3A, Class C, 3 mo. USD LIBOR + 3.90%, 4.18%, 07/15/32 (b),(e),(f) | 750,000 | 750,000 | ||||||||
RR Ltd., Series 2017-2A, Class C, 3 mo. USD LIBOR + 3.00%, | 750,000 | 712,772 | ||||||||
Skopos Auto Receivables Trust, Series 2019-1A, Class C, 3.63%, 09/16/24 (b),(c),(e) | 1,627,000 | 1,625,606 | ||||||||
TICP CLO Ltd., Series 2018-IA, Class C, 3 mo. USD LIBOR + 3.04%, 3.28%, 04/26/28 (b),(c),(e),(f) | 4,650,000 | 4,271,257 | ||||||||
TICP CLO V Ltd., Series 2016-5A, Class DR, 3.42%, 07/17/31 (b),(e),(f) | 750,000 | 728,049 | ||||||||
TICP CLO VI Ltd., Series 2016-6A, Class BR, 3 mo. USD LIBOR + 1.70%, 1.98%, 01/15/29 (b),(e),(f) | 500,000 | 495,411 | ||||||||
Tralee CLO Ltd., Series 2018-5A, Class D, 3 mo. USD LIBOR + 3.20%, 3.47%, 10/20/28 (b),(c),(e),(f) | 4,500,000 | 4,155,048 | ||||||||
Trimaran CAVU Ltd., Series 2019-2A, Class C, 3 mo. USD LIBOR + 4.72%, 4.99%, 11/26/32 (b),(c),(e),(f) | 2,000,000 | 2,000,000 | ||||||||
Venture CLO Ltd., | ||||||||||
Series 2013-14A, Class DR, 3 mo. USD LIBOR + 4.00%, 4.26%, 08/28/29 (b),(e),(f) | 4,000,000 | 3,320,668 | ||||||||
Series 2014-16A, Class DRR, 3 mo. USD LIBOR + 2.51%, | 4,000,000 | 3,225,956 | ||||||||
Series 2014-18A, Class DR, 3 mo. USD LIBOR + 3.10%, 3.38%, 10/15/29 (b),(e),(f) | 1,000,000 | 781,957 | ||||||||
Series 2019-37A, Class D, 3 mo. USD LIBOR + 3.90%, | 3,000,000 | 2,749,611 | ||||||||
Vibrant CLO Ltd., Series 2018-8A, Class C, 3 mo. USD LIBOR + 2.85%, 3.12%, 01/20/31 (b),(c),(e),(f) | 6,300,000 | 5,352,789 | ||||||||
VOLT LXXXV LLC, Series 2020-NPL1 SEQ, Class A1A, 3.23%, 01/25/50 (b),(c),(e) | 1,601,189 | 1,589,242 | ||||||||
Voya CLO Ltd., | ||||||||||
Series 2016-2A, Class CR, 3 mo. USD LIBOR + 4.00%, 4.27%, 07/19/28 (b),(e),(f) | 250,000 | 241,279 |
See Notes to Consolidated Financial Statements.
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Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2020 (Unaudited)
Security Description | Principal Amount | Value | ||||||||||
Series 2017-2A, Class C, 3 mo. USD LIBOR + 3.70%, 3.98%, 06/07/30 (b),(e),(f) | $ | 4,000,000 | $ | 3,891,716 | ||||||||
Wellfleet CLO Ltd., Series 2017-3A, Class A2, 1.77%, 01/17/31 (b),(e),(f) | 1,000,000 | 961,033 | ||||||||||
WhiteHorse Ltd., Series 2015-10A, Class DR, 3 mo. USD LIBOR + 3.00%, 3.27%, 04/17/27 (b),(c),(e),(f) | 1,250,000 | 1,169,599 | ||||||||||
Zais CLO Ltd., Series 2018-11A, Class D, 3 mo. USD LIBOR + 4.00%, | 5,500,000 | 4,248,392 | ||||||||||
|
| |||||||||||
Total North America |
| 359,397,379 | ||||||||||
|
| |||||||||||
TOTAL ASSET-BACKED SECURITIES |
| 366,327,891 | ||||||||||
|
| |||||||||||
CONVERTIBLE BONDS — 0.1% |
| |||||||||||
North America — 0.1% |
| |||||||||||
Financial Services — 0.1% | ||||||||||||
RWT Holdings, Inc., 5.75%, 10/01/25 (b),(c),(e) | 3,418,000 | 2,982,205 | ||||||||||
|
| |||||||||||
Total North America | 2,982,205 | |||||||||||
|
| |||||||||||
TOTAL CONVERTIBLE BONDS | 2,982,205 | |||||||||||
|
| |||||||||||
BANK DEBT — 5.2% | ||||||||||||
Asia — 0.0% | ||||||||||||
Industrial Services — 0.0% | ||||||||||||
Milano Acquisition Corp, Term Loan B (b),(d),(p) | 395,737 | 390,790 | ||||||||||
|
| |||||||||||
Total Asia | 390,790 | |||||||||||
|
| |||||||||||
Europe — 0.2% | ||||||||||||
Cable & Satellite — 0.0% | ||||||||||||
Altice Financing SA, 2017 USD Term Loan B, 1 mo. LIBOR + 2.75%, | 829,319 | 790,374 | ||||||||||
Ziggo Financing Partnership, USD Term Loan I, 1 mo. LIBOR + 2.50%, | 520,858 | 500,383 | ||||||||||
|
| |||||||||||
1,290,757 | ||||||||||||
|
| |||||||||||
Chemicals — 0.1% | ||||||||||||
Alpha 3 B.V., 2017 Term Loan B1, 3 mo. LIBOR + 3.00%, 4.00%, 01/31/24 (b),(f) | 205,583 | 202,071 | ||||||||||
Composite Resins Holding B.V., 2018 Term Loan B, 6 mo. LIBOR + 4.25%, 5.47%, 08/01/25 (b),(d),(f) | 886,398 | 873,102 | ||||||||||
Starfruit Finco B.V, 2018 USD Term Loan B, 1 mo. LIBOR + 3.00%, 3.15%, 10/01/25 (b),(f) | 925,425 | 894,692 | ||||||||||
|
| |||||||||||
1,969,865 | ||||||||||||
|
|
See Notes to Consolidated Financial Statements.
48
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Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2020 (Unaudited)
Security Description | Principal Amount | Value | ||||||||
Entertainment Resources — 0.0% | ||||||||||
Delta 2 (LUX) S.a.r.l., 2018 USD Term Loan, 1 mo. LIBOR + 2.50%, 3.50%, 02/01/24 (b),(f) | $ | 385,517 | $ | 373,150 | ||||||
|
| |||||||||
Food & Beverage — 0.0% | ||||||||||
Froneri International Ltd., 2020 USD Term Loan, 1 mo. LIBOR + 2.25%, 2.40%, 01/31/27 (b),(f) | 230,005 | 220,559 | ||||||||
|
| |||||||||
Health Care Facilities & Services — 0.0% | ||||||||||
LGC Limited, Term Loan, 1 mo. LIBOR + 3.50%, 3.65%, 04/21/27 (b),(d) | 149,625 | 145,136 | ||||||||
|
| |||||||||
Media — 0.0% | ||||||||||
UPC Broadband Holding B.V., | ||||||||||
2020 USD Term Loan B1, 0.00%, 01/31/29 (b),(p) | 425,000 | 411,825 | ||||||||
2020 USD Term Loan B2, 0.00%, 01/31/29 (b),(p) | 425,000 | 411,825 | ||||||||
|
| |||||||||
823,650 | ||||||||||
|
| |||||||||
Medical Equipment & Devices Manufacturing — 0.0% |
| |||||||||
Auris Luxembourg III S.a.r.l., 2019 USD Term Loan B2, 1 mo. LIBOR + 3.75%, 3.90%, 02/27/26 (b) | 248,788 | 228,885 | ||||||||
Ortho-Clinical Diagnostics SA, 2018 Term Loan B, 1 mo. LIBOR + 3.25%, 3.41%, 06/30/25 (b),(f) | 347,364 | 331,906 | ||||||||
|
| |||||||||
560,791 | ||||||||||
|
| |||||||||
Oil, Gas & Coal — 0.0% | ||||||||||
Endeavour International Holding B.V., Term Loan A1, 0.00%, 01/02/21 (b) | 1,123,887 | 26,524 | ||||||||
|
| |||||||||
Property & Casualty Insurance — 0.0% | ||||||||||
Hyperion Insurance Group Ltd., 2017 Repriced Term Loan, 1 mo. LIBOR + 3.50%, 4.50%, 12/20/24 (b),(f) | 259,398 | 257,526 | ||||||||
|
| |||||||||
Refining & Marketing — 0.1% | ||||||||||
EG America LLC, 2018 USD Term Loan, 3 mo. LIBOR + 4.00%, 4.22%, 02/07/25 (b),(f) | 1,459,391 | 1,427,693 | ||||||||
|
| |||||||||
Software & Services — 0.0% | ||||||||||
Capri Finance LLC, USD 2017 1st Lien Term Loan, 3 mo. LIBOR + 3.00%, 3.26%, 11/01/24 (b),(f) | 489,612 | 488,848 | ||||||||
ION Trading Technologies S.a.r.l., USD Incremental Term Loan B, 3 mo. LIBOR + 4.00%, 5.00%, 11/21/24 (b),(f) | 496,106 | 485,976 | ||||||||
|
| |||||||||
974,824 | ||||||||||
|
|
See Notes to Consolidated Financial Statements.
49
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Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2020 (Unaudited)
Security Description | Principal Amount | Value | ||||||||||
Wireless Telecommunications Services — 0.0% | ||||||||||||
Altice France S.A., 2018 Term Loan B13, 1 mo. LIBOR + 4.00%, 4.15%, 08/14/26 (b),(f) | $ | 1,371,892 | $ | 1,329,994 | ||||||||
|
| |||||||||||
Total Europe | 9,400,469 | |||||||||||
|
| |||||||||||
North America — 4.9% | ||||||||||||
Advertising & Marketing — 0.4% | ||||||||||||
Advantage Sales & Marketing, Inc., | ||||||||||||
2014 1st Lien Term Loan, 4.25%, 07/23/21 (b),(f) | 15,439,052 | 15,156,516 | ||||||||||
Term Loan B2, 4.25%, 07/23/21 (b),(f) | 6,672,474 | 6,540,692 | ||||||||||
Red Ventures, LLC, 2020 Term Loan B2, 1 mo. LIBOR + 2.50%, | 849,729 | 813,616 | ||||||||||
Terrier Media Buyer, Inc., Term Loan B, 1 mo. LIBOR + 4.25%, 4.40%, 12/17/26 (b),(f) | 735,548 | 716,373 | ||||||||||
|
| |||||||||||
23,227,197 | ||||||||||||
|
| |||||||||||
Aerospace & Defense — 0.0% | ||||||||||||
TransDigm, Inc., | ||||||||||||
2020 Term Loan F, 1 mo. LIBOR + 2.25%, 2.40%, 12/09/25 (b),(f) | 571,412 | 539,271 | ||||||||||
2020 Term Loan G, 1 mo. LIBOR + 2.25%, 2.40%, 08/22/24 (b),(f) | 393,985 | 372,272 | ||||||||||
|
| |||||||||||
911,543 | ||||||||||||
|
| |||||||||||
Airlines — 0.0% | ||||||||||||
American Airlines, Inc., 2017 1st Lien Term Loan, 1 mo. LIBOR + 1.75%, 1.90%, 01/29/27 (b),(f) | 413,311 | 299,911 | ||||||||||
|
| |||||||||||
Auto Parts Manufacturing — 0.0% | ||||||||||||
Panther BF Aggregator 2 LP, USD Term Loan B, 1 mo. LIBOR + 3.50%, 3.65%, 04/30/26 (b),(f) | 1,190,977 | 1,158,595 | ||||||||||
|
| |||||||||||
Cable & Satellite — 0.1% | ||||||||||||
CSC Holdings, LLC, 2019 Term Loan B5, 1 mo. LIBOR + 2.50%, 2.65%, 04/15/27 (b),(f) | 1,508,126 | 1,459,429 | ||||||||||
Radiate Holdco, LLC, 2020 Term Loan, 1 mo. LIBOR + 3.50%, 4.25%, 09/25/26 (b),(f) | 658,111 | 645,772 | ||||||||||
UPC Broadband Holding B.V., 2020 USD Term Loan AT, 1 mo. LIBOR + 2.25%, 2.40%, 04/30/28 (b),(f) | 149,123 | 143,562 | ||||||||||
Virgin Media Bristol LLC, USD Term Loan N, 1 mo. LIBOR + 2.50%, 2.65%, 01/31/28 (b),(f) | 168,919 | 163,711 | ||||||||||
WideOpenWest Finance LLC, 2017 Term Loan B, 1 mo. LIBOR + 3.25%, 4.25%, 08/18/23 (b),(f) | 1,330,931 | 1,308,678 | ||||||||||
|
| |||||||||||
3,721,152 | ||||||||||||
|
|
See Notes to Consolidated Financial Statements.
50
Table of Contents
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2020 (Unaudited)
Security Description | Principal Amount | Value | ||||||||
Casinos & Gaming — 0.0% | ||||||||||
Scientific Games International, Inc., | ||||||||||
2018 Term Loan B5, 0.00%, 08/14/24 (b),(f),(p) | $ | 140,224 | $ | 131,616 | ||||||
2018 Term Loan B5, 1 mo. LIBOR + 2.75%, 2.90%, 08/14/24 (b),(f) | 75,616 | 70,974 | ||||||||
2018 Term Loan B5, 6 mo. LIBOR + 2.75%, 3.61%, 08/14/24 (b),(f) | 309,099 | 290,123 | ||||||||
Stars Group Holdings B.V. (The), 2018 USD Incremental Term Loan, 3 mo. LIBOR + 3.50%, 3.72%, 07/10/25 (b),(f) | 203,406 | 202,715 | ||||||||
|
| |||||||||
695,428 | ||||||||||
|
| |||||||||
Chemicals — 0.0% | ||||||||||
Ascend Performance Materials Operations LLC, 2019 Term Loan B, 3 mo. LIBOR + 5.25%, 6.25%, 08/27/26 (b),(f) | 1,052,993 | 1,048,602 | ||||||||
GrafTech Finance, Inc., 2018 Term Loan B, 1 mo. LIBOR + 3.50%, | 1,167,024 | 1,150,487 | ||||||||
|
| |||||||||
2,199,089 | ||||||||||
|
| |||||||||
Commercial Services — 0.0% | ||||||||||
Amentum Government Services Holdings LLC, Term Loan B, 1 mo. LIBOR + 3.50%, 3.65%, 02/01/27 (b) | 178,910 | 175,854 | ||||||||
Garda World Security Corporation, 2019 1st Lien Term Loan B, 1 mo. LIBOR + 4.75%, 4.90%, 10/30/26 (b) | 431,233 | 427,891 | ||||||||
|
| |||||||||
603,745 | ||||||||||
|
| |||||||||
Communications Equipment — 0.0% | ||||||||||
CommScope, Inc., 2019 Term Loan B, 1 mo. LIBOR + 3.25%, 3.40%, 04/06/26 (b),(f) | 637,984 | 620,554 | ||||||||
MLN US HoldCo LLC, 2018 1st Lien Term Loan, 1 mo. LIBOR + 4.50%, 4.66%, 11/30/25 (b),(f) | 278,120 | 236,828 | ||||||||
Plantronics Inc, 2018 Term Loan B, 0.00%, 07/02/25 (b),(f),(p) | 61,438 | 57,572 | ||||||||
|
| |||||||||
914,954 | ||||||||||
|
| |||||||||
Construction Materials Manufacturing — 0.0% | ||||||||||
Forterra Finance, LLC, 2017 Term Loan B, 1 mo. LIBOR + 3.00%, 4.00%, 10/25/23 (b),(f) | 372,738 | 368,467 | ||||||||
Quikrete Holdings, Inc., 2016 1st Lien Term Loan, 1 mo. LIBOR + 2.50%, 2.65%, 02/01/27 (b),(f) | 384,559 | 373,822 | ||||||||
|
| |||||||||
742,289 | ||||||||||
|
|
See Notes to Consolidated Financial Statements.
51
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Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2020 (Unaudited)
Security Description | Principal Amount | Value | ||||||||
Consumer Discretionary Services — 0.0% | ||||||||||
GT Polaris, Inc., Term Loan B, 3 mo. LIBOR + 4.00%, 5.00%, 08/04/27 (b) | $ | 371,250 | $ | 368,117 | ||||||
|
| |||||||||
Consumer Finance — 0.1% | ||||||||||
Apollo Commercial Real Estate Finance, Inc, Term Loan B, 1 mo. LIBOR + 2.75%, 2.90%, 05/15/26 (b),(d),(f) | 1,329,400 | 1,262,930 | ||||||||
Ocwen Loan Servicing, LLC 2016 Term Loan B, 7.000%, 05/16/22 (b),(d),(f) | 3,890,586 | 3,856,544 | ||||||||
|
| |||||||||
5,119,474 | ||||||||||
|
| |||||||||
Consumer Products — 0.1% | ||||||||||
Kronos Acquisition Holdings Inc 2015 Term Loan B, 5.000%, 05/15/23 | 1,988,409 | 1,973,058 | ||||||||
Sunshine Luxembourg VII SARL, USD Term Loan B1, 6 mo. LIBOR + 4.25%, 5.32%, 10/01/26 (b),(f) | 493,554 | 490,238 | ||||||||
|
| |||||||||
2,463,296 | ||||||||||
|
| |||||||||
Consumer Services — 0.3% | ||||||||||
Agro Merchants NAI Holdings LLC, 2017 1st Lien Term Loan B, 3 mo. LIBOR + 3.75%, 4.75%, 12/06/24 (b),(d),(f) | 5,613,267 | 5,486,968 | ||||||||
Allied Universal Holdco LLC, 2019 Term Loan B, 1 mo. LIBOR + 4.25%, 4.40%, 07/10/26 (b),(f) | 817,158 | 807,238 | ||||||||
Cast and Crew Payroll, LLC, 2019 1st Lien Term Loan, 1 mo. LIBOR + 3.75%, 3.90%, 02/09/26 (b),(f) | 1,116,923 | 1,063,032 | ||||||||
CHG Healthcare Services Inc., 2017 1st Lien Term Loan B, 6 mo. LIBOR + 3.00%, 4.00%, 06/07/23 (b),(f) | 508,560 | 499,299 | ||||||||
Conservice Midco, LLC, 2020 Term Loan B, 3 mo. LIBOR + 4.25%, | 343,834 | 339,535 | ||||||||
Guidehouse LLP, 2018 Term Loan, 1 mo. LIBOR + 4.50%, 4.65%, 05/01/25 (b),(d),(f) | 260,518 | 257,751 | ||||||||
LegalZoom.com, Inc., 2018 1st Lien Term Loan, 1 mo. LIBOR + 4.50%, 4.65%, 11/21/24 (b),(f) | 1,719,505 | 1,696,584 | ||||||||
National Intergovernmental Purchasing Alliance Company, 1st Lien Term Loan, 3 mo. LIBOR + 3.75%, 3.97%, 05/23/25 (b),(f) | 136,956 | 133,190 | ||||||||
Prime Security Services Borrower, LLC 2019 Term Loan B1 ,4.250%, 09/23/26 (b),(f) | 1,887,055 | 1,867,845 | ||||||||
TKC Holdings, Inc. 2017 1st Lien Term Loan, 4.750%, 02/01/23 (b),(f) | 3,867,062 | 3,621,156 |
See Notes to Consolidated Financial Statements.
52
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Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2020 (Unaudited)
Security Description | Principal Amount | Value | ||||||||
USS Ultimate Holdings, Inc., 1st Lien Term Loan, 3 mo. LIBOR + 3.75%, 4.75%, 08/25/24 (b),(f) | $ | 612,353 | $ | 603,168 | ||||||
|
| |||||||||
16,375,766 | ||||||||||
|
| |||||||||
Containers & Packaging — 0.2% | ||||||||||
Berlin Packaging LLC, | ||||||||||
2018 1st Lien Term Loan, 1 mo. LIBOR + 3.00%, 3.16%, 11/07/25 (b),(f) | 295,226 | 285,817 | ||||||||
2018 1st Lien Term Loan, 3 mo. LIBOR + 3.00%, 3.23%, 11/07/25 (b),(f) | 2,490 | 2,410 | ||||||||
Charter NEX US, Inc., Incremental Term Loan, 1 mo. LIBOR + 3.25%, 3.40%, 05/16/24 (b),(f) | 966,115 | 940,958 | ||||||||
Flex Acquisition Company, Inc., | ||||||||||
1st Lien Term Loan, 3 mo. LIBOR + 3.00%, 4.00%, 12/29/23 (b),(f) | 1,689,994 | 1,649,856 | ||||||||
2018 Incremental Term Loan, 3 mo. LIBOR + 3.25%, 3.55%, 06/29/25 (b),(f) | 359,789 | 348,546 | ||||||||
Fort Dearborn Company 2016 2nd Lien Term Loan, 9.516%, 10/21/24 (b),(f) | 2,457,491 | 2,291,610 | ||||||||
Proampac PG Borrower LLC, | ||||||||||
2016 1st Lien Term Loan, 0.00%, 11/20/23 (b),(f),(p) | 302,231 | 298,000 | ||||||||
2016 1st Lien Term Loan, 4.50%, 11/20/23 (b),(f) | 78,046 | 76,954 | ||||||||
Reynolds Group Holdings Inc., USD 2017 Term Loan, 1 mo. LIBOR + 2.75%, 2.90%, 02/05/23 (b),(f) | 385,166 | 380,016 | ||||||||
Ring Container Technologies Group, LLC, 1st Lien Term Loan, 1 mo. LIBOR + 2.75%, 2.90%, 10/31/24 (b),(f) | 1,080,147 | 1,049,546 | ||||||||
TricorBraun Holdings, Inc., 2016 1st Lien Term Loan, 3 mo. LIBOR + 3.75%, 4.75%, 11/30/23 (b),(f) | 12,296 | 12,153 | ||||||||
Trident TPI Holdings, Inc., 2017 USD Term Loan B1, 3 mo. LIBOR + 3.00%, 4.00%, 10/17/24 (b),(d),(f) | 984,819 | 958,968 | ||||||||
|
| |||||||||
8,294,834 | ||||||||||
|
| |||||||||
Distributors—Consumer Discretionary — 0.0% | ||||||||||
KAR Auction Services, Inc., 2019 Term Loan B6, 1 mo. LIBOR + 2.25%, 2.44%, 09/19/26 (b),(d),(f) | 391,224 | 376,553 | ||||||||
|
| |||||||||
Educational Services — 0.1% | ||||||||||
Cambium Learning Group, Inc., Term Loan B, 3 mo. LIBOR + 4.50%, 4.72%, 12/18/25 (b),(d),(f) | 1,130,007 | 1,113,057 |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2020 (Unaudited)
Security Description | Principal Amount | Value | ||||||||
KUEHG Corp., 2018 Incremental Term Loan, 3 mo. LIBOR + 3.75%, 4.75%, 02/21/25 (b),(f) | $ | 839,937 | $ | 766,182 | ||||||
Learning Care Group, Inc., 2018 1st Lien Term Loan, 3 mo. LIBOR + 3.25%, 4.25%, 03/13/25 (b),(f) | 198,473 | 179,991 | ||||||||
SSH Group Holdings, Inc., 2018 1st Lien Term Loan, 3 mo. LIBOR + 4.25%, 4.47%, 07/30/25 (b),(f) | 888,892 | 841,488 | ||||||||
|
| |||||||||
2,900,718 | ||||||||||
|
| |||||||||
Electrical Equipment Manufacturing — 0.0% | ||||||||||
Brookfield WEC Holdings Inc., 2020 Term Loan, 1 mo. LIBOR + 3.00%, 3.75%, 08/01/25 (b),(f) | 994,194 | 967,917 | ||||||||
Vertiv Group Corporation, Term Loan B, 1 mo. LIBOR + 3.00%, 3.16%, 03/02/27 (b),(f) | 203,480 | 200,021 | ||||||||
|
| |||||||||
1,167,938 | ||||||||||
|
| |||||||||
Entertainment Contents — 0.0% | ||||||||||
Diamond Sports Group, LLC, Term Loan, 1 mo. LIBOR + 3.25%, 3.40%, 08/24/26 (b),(f) | 1,085,910 | 837,964 | ||||||||
Univision Communications Inc., 2020 Replacement Term Loan, 1 mo. LIBOR + 3.75%, 4.75%, 03/15/26 (b),(f) | 664,726 | 645,974 | ||||||||
|
| |||||||||
1,483,938 | ||||||||||
|
| |||||||||
Entertainment Resources — 0.1% | ||||||||||
Alterra Mountain Company, 2020 Term Loan B, 1 mo. LIBOR + 4.50%, 5.50%, 08/01/26 (b),(d),(f) | 187,299 | 184,958 | ||||||||
Bulldog Purchaser, Inc., 2018 Term Loan, 1 mo. LIBOR + 3.75%, 3.90%, 09/05/25 (b),(f) | 4,361,858 | 3,753,379 | ||||||||
Cinemark USA, Inc., 2018 Term Loan B, 1 mo. LIBOR + 1.75%, 1.90%, 03/31/25 (b),(f) | 52,956 | 47,206 | ||||||||
Crown Finance US, Inc., 2018 USD Term Loan, 6 mo. LIBOR + 2.25%, 2.52%, 02/28/25 (b),(f) | 493,627 | 326,342 | ||||||||
Equinox Holdings, Inc. 2017 1st Lien Term Loan, 4.000%, 03/08/24 (b),(f) | 520,911 | 397,914 | ||||||||
Life Time Fitness Inc 2017 Term Loan B, 3.750%, 06/10/22 (b),(f) | 1,823,257 | 1,651,561 | ||||||||
NASCAR Holdings, Inc, Term Loan B, 1 mo. LIBOR + 2.75%, 2.89%, 10/19/26 (b),(f) | 114,858 | 111,891 | ||||||||
UFC Holdings, LLC, 2019 Term Loan, 6 mo. LIBOR + 3.25%, 4.25%, 04/29/26 (b),(f) | 389,990 | 382,677 | ||||||||
William Morris Endeavor Entertainment, LLC, 2018 1st Lien Term Loan, 1 mo. LIBOR + 2.75%, 2.90%, 05/18/25 (b),(f) | 536,601 | 456,781 | ||||||||
|
| |||||||||
7,312,709 | ||||||||||
|
|
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2020 (Unaudited)
Security Description | Principal Amount | Value | ||||||||
Entertainment Resources — 0.0% | ||||||||||
AMC Entertainment Holdings, Inc., 2019 Term Loan B, 3 mo. LIBOR + 3.00%, 3.22%, 04/22/26 (b),(f) | $ | 142,796 | $ | 91,167 | ||||||
|
| |||||||||
Exploration & Production — 0.0% | ||||||||||
Par Pacific Holdings, Inc. Term Loan B, 7.020%, 01/12/26 (b),(d),(f) | 1,838,958 | 1,632,075 | ||||||||
|
| |||||||||
Financial Services — 0.2% | ||||||||||
Advisor Group, Inc., 2019 Term Loan B, 1 mo. LIBOR + 5.00%, 5.15%, 07/31/26 (b),(f) | 368,446 | 355,959 | ||||||||
AqGen Ascensus, Inc., 2020 Term Loan, 1 mo. LIBOR + 4.00%, 5.00%, 12/13/26 (b),(f) | 476,853 | 472,981 | ||||||||
Camelot U.S. Acquisition 1 Co., 2020 Incremental Term Loan B, 0.00%, 10/30/26 (b),(p) | 569,566 | 566,479 | ||||||||
Deerfield Dakota Holding, LLC, 2020 USD Term Loan B, 1 mo. LIBOR + 3.75%, 4.75%, 04/09/27 (b),(f) | 1,738,618 | 1,725,943 | ||||||||
Getty Images, Inc., 2019 USD Term Loan B, 1 mo. LIBOR + 4.50%, 4.69%, 02/19/26 (b),(f) | 1,862,814 | 1,732,417 | ||||||||
GI Revelation Acquisition LLC, 2018 1st Lien Term Loan, 1 mo. LIBOR + 5.00%, 5.15%, 04/16/25 (b),(d),(f) | 95,583 | 91,760 | ||||||||
IG Investment Holdings, LLC, 2018 1st Lien Term Loan, 3 mo. LIBOR + 4.00%, 5.00%, 05/23/25 (b),(f) | 2,069,440 | 2,035,170 | ||||||||
LDiscovery, LLC, Term Loan, 3 mo. LIBOR + 5.88%, 6.88%, 12/09/22 (b),(d),(f) | 219,762 | 208,224 | ||||||||
Minotaur Acquisition, Inc., Term Loan B, 1 mo. LIBOR + 5.00%, 5.15%, 03/27/26 (b),(f) | 1,967,371 | 1,872,288 | ||||||||
NFP Corp., 2020 Term Loan, 1 mo. LIBOR + 3.25%, 3.40%, 02/15/27 (b),(f) | 829,417 | 795,552 | ||||||||
Quidditch Acquisition, Inc., 2018 Term Loan B, 3 mo. LIBOR + 7.00%, | 198,499 | 181,627 | ||||||||
|
| |||||||||
10,038,400 | ||||||||||
|
| |||||||||
Food & Beverage — 0.0% | ||||||||||
CHG PPC Parent LLC, 2018 Term Loan B, 1 mo. LIBOR + 2.75%, | 781,200 | 749,952 | ||||||||
Chobani, LLC, 2017 Term Loan B, 1 mo. LIBOR + 3.50%, 4.50%, 10/10/23 (b),(f) | 352,551 | 348,144 | ||||||||
Dole Food Company Inc., 2017 Term Loan B, 1 mo. LIBOR + 2.75%, 3.75%, 04/06/24 (b),(f) | 294,000 | 289,284 | ||||||||
Hostess Brands, LLC 2019 Term Loan, 3.000%, 08/03/25 (b),(f) | 705,829 | 693,082 | ||||||||
|
| |||||||||
2,080,462 | ||||||||||
|
|
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2020 (Unaudited)
Security Description | Principal Amount | Value | ||||||||
Forest & Paper Products — 0.0% | ||||||||||
Vertical Midco GmbH, USD Term Loan B, 3 mo. LIBOR + 4.25%, 4.57%, 07/30/27 (b) | $ | 759,608 | $ | 752,422 | ||||||
|
| |||||||||
Gaming, Lodging & Restaurants — 0.0% | ||||||||||
K-Mac Holdings Corp, | ||||||||||
2018 1st Lien Term Loan, 1 mo. LIBOR + 3.00%, 3.15%, 03/14/25 (b) | 621,841 | 597,900 | ||||||||
2018 2nd Lien Term Loan, 1 mo. LIBOR + 6.75%, 6.91%, 03/16/26 (b) | 163,739 | 155,484 | ||||||||
Tacala, LLC, 1st Lien Term Loan, 1 mo. LIBOR + 3.25%, 3.40%, 02/05/27 (b) | 157,292 | 151,450 | ||||||||
|
| |||||||||
904,834 | ||||||||||
|
| |||||||||
Hardware — 0.0% | ||||||||||
Cardtronics USA, Inc., Term Loan B, 1 mo. LIBOR + 4.00%, 5.00%, 06/29/27 (b),(d),(f) | 631,424 | 628,267 | ||||||||
EXC Holdings III Corp., USD 2017 1st Lien Term Loan, 3 mo. LIBOR + 3.50%, 4.50%, 12/02/24 (b),(d),(f) | 275,597 | 271,981 | ||||||||
TTM Technologies, Inc., 2017 Term Loan, 1 mo. LIBOR + 2.50%, | 149,307 | 146,321 | ||||||||
|
| |||||||||
1,046,569 | ||||||||||
|
| |||||||||
Health Care Facilities & Services — 0.3% | ||||||||||
Change Healthcare Holdings LLC 2017 Term Loan B, 3.500%, 03/01/24 (b),(f) | 724,525 | 708,339 | ||||||||
New Millennium HoldCo, Inc. 2020 Term Loan, 6.500%, 05/01/25 (b),(d) | 2,316,060 | 2,316,060 | ||||||||
Quorum Health Corporation 2020 Term Loan, 9.250%, 04/29/25 (b),(f) | 13,775,249 | 12,759,324 | ||||||||
|
| |||||||||
15,783,723 | ||||||||||
|
| |||||||||
Health Care Facilities & Services — 0.7% | ||||||||||
American Renal Holdings Inc., 2017 Term Loan B, 1 mo. LIBOR + 5.00%, 5.15%, 06/21/24 (b),(f) | 115,645 | 111,308 | ||||||||
Catalent Pharma Solutions Inc., Term Loan B2, 1 mo. LIBOR + 2.25%, 3.25%, 05/18/26 (b),(f) | 394,000 | 391,538 | ||||||||
CDRH Parent, Inc. New 1st Lien Term Loan, 5.250%, 07/01/21 (b),(f) | 583,708 | 421,892 | ||||||||
Comet Acquisition, Inc., Term Loan, 3 mo. LIBOR + 3.25%, 3.47%, 10/24/25 (b),(f) | 111,459 | 108,951 | ||||||||
Envision Healthcare Corporation, 2018 1st Lien Term Loan, 1 mo. LIBOR + 3.75%, 3.90%, 10/10/25 (b),(f) | 1,857,416 | 1,335,686 |
See Notes to Consolidated Financial Statements.
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Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2020 (Unaudited)
Security Description | Principal Amount | Value | ||||||||
eResearchTechnology, Inc., 2020 1st Lien Term Loan, 1 mo. LIBOR + 4.50%, 5.50%, 02/04/27 (b),(f) | $ | 222,926 | $ | 221,765 | ||||||
ExamWorks Group, Inc., 2017 Term Loan, 3 mo. LIBOR + 3.25%, 4.25%, 07/27/23 (b) | 974,809 | 966,767 | ||||||||
GHX Ultimate Parent Corporation, 2017 1st Lien Term Loan, 3 mo. LIBOR + 3.25%, 4.25%, 06/28/24 (b),(f) | 753,136 | 735,565 | ||||||||
Global Medical Response, Inc., 2017 Term Loan B2, 3 mo. LIBOR + 4.25%, 5.25%, 03/14/25 (b),(f) | 1,761,122 | 1,702,424 | ||||||||
Heartland Dental, LLC, | ||||||||||
2018 1st Lien Term Loan, 1 mo. LIBOR + 3.50%, 3.65%, 04/30/25 (b),(f) | 1,876,153 | 1,722,928 | ||||||||
Incremental Term Loan, 1 mo. LIBOR + 4.50%, 4.64%, 04/30/25 (b),(d),(f) | 559,203 | 515,166 | ||||||||
Jaguar Holding Company II, 2018 Term Loan, 1 mo. LIBOR + 2.50%, | 974,571 | 970,137 | ||||||||
Onex TSG Intermediate Corp., 1st Lien Term Loan, 3 mo. LIBOR + 4.00%, 5.00%, 07/31/22 (b),(f) | 687,892 | 650,746 | ||||||||
Packaging Coordinators Midco, Inc., 1st Lien Term Loan, 1 mo. LIBOR + 4.00%, 5.00%, 06/30/23 (b),(d),(f) | 47,628 | 47,449 | ||||||||
Pathway Vet Alliance LLC, 2020 Term Loan, 1 mo. LIBOR + 4.00%, 4.15%, 03/31/27 (b),(f) | 588,384 | 578,528 | ||||||||
Pearl Intermediate Parent LLC, 2018 1st Lien Term Loan, 1 mo. LIBOR + 2.75%, 2.90%, 02/14/25 (b),(f) | 1,200,041 | 1,159,167 | ||||||||
Phoenix Guarantor Inc, 2020 Term Loan B, 1 mo. LIBOR + 3.25%, | 977,662 | 950,532 | ||||||||
RegionalCare Hospital Partners Holdings, Inc., 2018 Term Loan B, 1 mo. LIBOR + 3.75%, 3.90%, 11/17/25 (b),(f) | 558,016 | 541,275 | ||||||||
Surgery Center Holdings, Inc., 2017 Term Loan B, 1 mo. LIBOR + 3.25%, 4.25%, 09/03/24 (b),(f) | 2,010,105 | 1,889,499 | ||||||||
Team Health Holdings, Inc. 1st Lien Term Loan, 3.750%, 02/06/24 (b),(f) | 14,285,266 | 11,944,054 | ||||||||
U.S. Anesthesia Partners, Inc., 2017 Term Loan, 6 mo. LIBOR + 3.00%, 4.00%, 06/23/24 (b),(f) | 1,019,024 | 960,430 | ||||||||
Wink Holdco, Inc 2nd Lien Term Loan B, 7.750%, 12/01/25 (b),(f) | 7,981,327 | 7,974,703 | ||||||||
|
| |||||||||
35,900,510 | ||||||||||
|
| |||||||||
Home Improvement — 0.1% | ||||||||||
AI Aqua Merger Sub, Inc. 2017 1st Lien Term Loan B ,4.250%, 12/13/23 (b),(d),(f) | 584,268 | 569,662 |
See Notes to Consolidated Financial Statements.
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Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2020 (Unaudited)
Security Description | Principal Amount | Value | ||||||||
American Bath Group, LLC 2018 Term Loan B, 5.000%, 09/30/23 (b),(f) | $ | 146,103 | $ | 145,794 | ||||||
Apex Tool Group, LLC, 2019 Term Loan B, 1 mo. LIBOR + 5.25%, | 520,570 | 492,459 | ||||||||
Cornerstone Building Brands, Inc., 2018 Term Loan, 1 mo. LIBOR + 3.75%, | 762,816 | 747,323 | ||||||||
MI Windows and Doors, LLC, Term Loan B, 3 mo. LIBOR + 5.50%, | 328,208 | 328,208 | ||||||||
Tamko Building Products, Inc, Term Loan B, 1 mo. LIBOR + 3.25%, | 643,748 | 632,483 | ||||||||
|
| |||||||||
2,915,929 | ||||||||||
|
| |||||||||
Industrial Other — 0.1% | ||||||||||
Brand Energy & Infrastructure Services, Inc. 2017 Term Loan ,5.250%, 06/21/24 (b),(f) | 1,038,580 | 964,416 | ||||||||
Core & Main LP 2017 Term Loan B, 3.750%, 08/01/24 (b),(f) | 473,909 | 463,393 | ||||||||
DG Investment Intermediate Holdings 2, Inc., 2018 1st Lien Term Loan, 1 mo. LIBOR + 3.00%, 3.75%, 02/03/25 (b),(f) | 185,287 | 177,529 | ||||||||
QualTek USA, LLC 2018 1st Lien Term Loan, 7.250%, 07/18/25 (b),(f) | 5,971,365 | 5,414,057 | ||||||||
|
| |||||||||
7,019,395 | ||||||||||
|
| |||||||||
Industrial Services — 0.0% | ||||||||||
Tutor Perini Corporation, Term Loan B, 3 mo. LIBOR + 4.75%, 5.75%, 08/13/27 (b),(d) | 868,749 | 855,717 | ||||||||
|
| |||||||||
Insurance — 0.0% | ||||||||||
Ryan Specialty Group, LLC, Term Loan, 1 mo. LIBOR + 3.25%, 4.00%, 09/01/27 (b),(d) | 252,968 | 250,281 | ||||||||
|
| |||||||||
Internet Media — 0.1% | ||||||||||
Ancestry.com Operations Inc., |
| |||||||||
2019 Extended Term Loan B, 1 mo. LIBOR + 4.25%, 4.40%, 08/27/26 (b),(f) | 207,309 | 206,716 | ||||||||
Non-Extended Term Loan B, 0.00%, 10/19/23 (b),(f),(p) | 330,811 | 330,150 | ||||||||
Micro Holding Corp., 2017 1st Lien Term Loan, 1 mo. LIBOR + 3.50%, 3.65%, 09/13/24 (b),(f) | 393,909 | 382,584 | ||||||||
Web.com Group, Inc., |
| |||||||||
2018 2nd Lien Term Loan, 1 mo. LIBOR + 7.75%, 7.90%, 10/09/26 (b),(f) | 101,708 | 95,859 | ||||||||
2018 Term Loan B, 1 mo. LIBOR + 3.75%, 3.90%, 10/10/25 (b),(f) | 1,784,597 | 1,720,798 | ||||||||
|
| |||||||||
2,736,107 | ||||||||||
|
|
See Notes to Consolidated Financial Statements.
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Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2020 (Unaudited)
Security Description | Principal Amount | Value | ||||||||
Machinery — 0.0% | ||||||||||
AI Alpine AT Bidco GmbH, 2018 USD Term Loan B, 6 mo. LIBOR + 3.00%, 4.21%, 10/31/25 (b),(d) | $ | 83,790 | $ | 77,087 | ||||||
|
| |||||||||
Machinery Manufacturing — 0.2% | ||||||||||
Engineered Machinery Holdings, Inc., |
| |||||||||
USD 1st Lien Term Loan, 3 mo. LIBOR + 3.00%, 4.00%, 07/19/24 (b),(f) | 266,902 | 259,896 | ||||||||
USD 2nd Lien Term Loan, 8.25%, 07/18/25 (b),(f) | 8,435,663 | 8,266,950 | ||||||||
Titan Acquisition Limited, 2018 Term Loan B, 3 mo. LIBOR + 3.00%, 3.22%, 03/28/25 (b),(f) | 973,881 | 917,581 | ||||||||
Wash Multifamily Acquisition Inc., Canadian 1st Lien Term Loan, 1 mo. LIBOR + 3.25%, 4.25%, 05/14/22 (b),(f) | 51,811 | 50,717 | ||||||||
WASH Multifamily Laundry Systems, LLC, 2015 1st Lien Term Loan, 1 mo. LIBOR + 3.25%, 4.25%, 05/14/22 (b),(f) | 347,718 | 340,378 | ||||||||
|
| |||||||||
9,835,522 | ||||||||||
|
| |||||||||
Manufactured Goods — 0.1% | ||||||||||
Hillman Group Inc. (The), 2018 Term Loan B, 1 mo. LIBOR + 4.00%, 4.15%, 05/31/25 (b),(f) | 1,095,358 | 1,069,037 | ||||||||
LTI Holdings, Inc., 2018 Add On 1st Lien Term Loan, 0.00%, 09/06/25 (b),(f),(p) | 399,309 | 370,295 | ||||||||
Tecomet Inc., 2017 Repriced Term Loan, 3 mo. LIBOR + 3.50%, 4.68%, 05/01/24 (b),(f) | 382,778 | 373,928 | ||||||||
WireCo WorldGroup, Inc. 1st Lien Term Loan, 6.000%, 09/30/23 (b),(f) | 4,780,697 | 4,133,295 | ||||||||
|
| |||||||||
5,946,555 | ||||||||||
|
| |||||||||
Materials — 0.0% | ||||||||||
Graham Packaging Company Inc., Term Loan, 1 mo. LIBOR + 3.75%, | 363,479 | 360,906 | ||||||||
Reynolds Group Holdings Inc., 2020 Term Loan, 0.00%, 02/03/26 (b),(p) | 426,313 | 418,213 | ||||||||
|
| |||||||||
779,119 | ||||||||||
|
| |||||||||
Media — 0.0% | ||||||||||
Nielsen Finance LLC, 2020 USD Term Loan B5, 0.00%, 06/04/25 (b) | 164,464 | 164,135 | ||||||||
|
| |||||||||
Medical Equipment & Devices Manufacturing — 0.0% |
| |||||||||
Albany Molecular Research, Inc., | ||||||||||
2017 1st Lien Term Loan, 3 mo. LIBOR + 3.25%, 4.25%, 08/30/24 (b),(f) | 160,358 | 157,919 |
See Notes to Consolidated Financial Statements.
59
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Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2020 (Unaudited)
Security Description | Principal Amount | Value | ||||||||
2017 2nd Lien Term Loan, 3 mo. LIBOR + 7.00%, 8.00%, 08/30/25 (b),(f) | $ | 14,030 | $ | 13,797 | ||||||
Athenahealth, Inc., 2019 Term Loan B, 3 mo. LIBOR + 4.50%, 4.75%, 02/11/26 (b),(f) | 993,613 | 976,224 | ||||||||
CPI Holdco, LLC, 2019 Term Loan, 1 mo. LIBOR + 4.25%, 4.40%, 11/04/26 (b),(d),(f) | 171,475 | 170,189 | ||||||||
CPI International Inc., 2017 1st Lien Term Loan, 1 mo. LIBOR + 3.50%, 4.50%, 07/26/24 (b),(f) | 180,858 | 174,528 | ||||||||
Sotera Health Holdings, LLC, 2019 Term Loan, 0.00%, 12/11/26 (b),(f),(p) | 308,927 | 307,382 | ||||||||
|
| |||||||||
1,800,039 | ||||||||||
|
| |||||||||
Pharmaceuticals — 0.1% | ||||||||||
Alphabet Holding Company, Inc., 2017 1st Lien Term Loan, 1 mo. LIBOR + 3.50%, 3.65%, 09/26/24 (b),(f) | 1,757,223 | 1,704,823 | ||||||||
Amneal Pharmaceuticals LLC, 2018 Term Loan B, 1 mo. LIBOR + 3.50%, 3.69%, 05/04/25 (b),(f) | 488,926 | 459,591 | ||||||||
Arbor Pharmaceuticals, Inc., Term Loan B, 3 mo. LIBOR + 5.00%, | 681,008 | 628,659 | ||||||||
Bausch Health Companies Inc., | ||||||||||
2018 Term Loan B, 1 mo. LIBOR + 3.00%, 3.15%, 06/02/25 (b),(f) | 219,071 | 214,462 | ||||||||
Term Loan B, 1 mo. LIBOR + 2.75%, 2.90%, 11/27/25 (b),(f) | 573,058 | 558,731 | ||||||||
Endo Luxembourg Finance Company I S.a r.l., 2017 Term Loan B, 3 mo. LIBOR + 4.25%, 5.00%, 04/29/24 (b),(f) | 447,180 | 424,821 | ||||||||
|
| |||||||||
3,991,087 | ||||||||||
|
| |||||||||
Property & Casualty Insurance — 0.2% | ||||||||||
Alliant Holdings Intermediate, LLC, 2018 Term Loan B, 1 mo. LIBOR + 2.75%, 2.90%, 05/09/25 (b),(f) | 384,515 | 372,933 | ||||||||
AmWINS Group, Inc., 2017 Term Loan B, 1 mo. LIBOR + 2.75%, 3.75%, 01/25/24 (b),(f) | 646,842 | 640,225 | ||||||||
AssuredPartners Capital, Inc., 2020 Incremental Term Loan B, 1 mo. LIBOR + 4.50%, 5.50%, 02/12/27 (b),(f) | 322,923 | 321,444 | ||||||||
AssuredPartners, Inc., 2020 Term Loan B, 1 mo. LIBOR + 3.50%, 3.65%, 02/12/27 (b),(f) | 843,658 | 818,045 | ||||||||
Asurion LLC, | ||||||||||
2017 2nd Lien Term Loan, 1 mo. LIBOR + 6.50%, 6.65%, 08/04/25 (b),(f) | 1,075,414 | 1,075,640 | ||||||||
2017 Term Loan B4, 1 mo. LIBOR + 3.00%, 3.15%, 08/04/22 (b),(f) | 420,322 | 414,979 |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2020 (Unaudited)
Security Description | Principal Amount | Value | ||||||||
2018 Term Loan B6, 1 mo. LIBOR + 3.00%, 3.15%, 11/03/23 (b),(f) | $ | 393,740 | $ | 387,507 | ||||||
2018 Term Loan B7, 1 mo. LIBOR + 3.00%, 3.15%, 11/03/24 (b),(f) | 1,190,863 | 1,169,285 | ||||||||
Broadstreet Partners, Inc., 2020 Term Loan B, 1 mo. LIBOR + 3.25%, 3.40%, 01/27/27 (b),(f) | 386,910 | 375,883 | ||||||||
Hub International Limited, | ||||||||||
2018 Term Loan B, 3 mo. LIBOR + 3.00%, 3.26%, 04/25/25 (b),(f) | 1,343,442 | 1,296,676 | ||||||||
2019 Incremental Term Loan B, 3 mo. LIBOR + 4.00%, 5.00%, 04/25/25 (b),(f) | 1,266,362 | 1,260,423 | ||||||||
Sedgwick Claims Management Services, Inc., | ||||||||||
2018 Term Loan B, 1 mo. LIBOR + 3.25%, 3.40%, 12/31/25 (b),(f) | 393,985 | 379,459 | ||||||||
2019 Term Loan B, 1 mo. LIBOR + 4.00%, 4.15%, 09/03/26 (b),(f) | 247,207 | 243,230 | ||||||||
USI, Inc., | ||||||||||
2017 Repriced Term Loan, 3 mo. LIBOR + 3.00%, 3.22%, 05/16/24 (b),(f) | 467,548 | 451,572 | ||||||||
2019 Incremental Term Loan B, 3 mo. LIBOR + 4.00%, 4.22%, 12/02/26 (b),(f) | 401,682 | 396,994 | ||||||||
|
| |||||||||
9,604,295 | ||||||||||
|
| |||||||||
Publishing & Broadcasting — 0.2% | ||||||||||
A-L Parent LLC, | ||||||||||
2016 1st Lien Term Loan, 4.25%, 12/01/23 (b),(f) | 5,018,968 | 4,251,467 | ||||||||
2016 2nd Lien Term Loan, 8.25%, 12/02/24 (b),(f) | 857,047 | 368,530 | ||||||||
Clear Channel Outdoor Holdings, Inc., Term Loan B, 3 mo. LIBOR + 3.50%, 3.76%, 08/21/26 (b),(f) | 744,150 | 675,502 | ||||||||
Entercom Media Corp., 2019 Term Loan, 1 mo. LIBOR + 2.50%, 2.64%, 11/18/24 (b),(f) | 1,566,680 | 1,470,720 | ||||||||
iHeartCommunications, Inc., 2020 Term Loan, 1 mo. LIBOR + 3.00%, 3.15%, 05/01/26 (b),(f) | 1,358,660 | 1,286,271 | ||||||||
LBI Media, Inc., Exit Term Loan, 3 mo. LIBOR + 7.50%, 8.50%, 04/16/26 (b),(d) | 198,706 | 131,146 | ||||||||
Nexstar Broadcasting, Inc., 2019 Term Loan B4, 1 mo. LIBOR + 2.75%, 2.91%, 09/18/26 (b),(f) | 1,530,972 | 1,495,255 | ||||||||
Recorded Books Inc., 2018 Term Loan B, 1 mo. LIBOR + 4.00%, | 350,252 | 347,188 | ||||||||
|
| |||||||||
10,026,079 | ||||||||||
|
| |||||||||
Recreation Facilities & Services — 0.0% | ||||||||||
Motion Finco Sarl, | ||||||||||
Delayed Draw Term Loan B2, 3 mo. LIBOR + 3.25%, 3.47%, 11/12/26 (b) | 15,059 | 12,996 |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2020 (Unaudited)
Security Description | Principal Amount | Value | ||||||||
USD Term Loan B1, 3 mo. LIBOR + 3.25%, 3.47%, 11/12/26 (b) | $ | 112,885 | $ | 97,419 | ||||||
|
| |||||||||
110,415 | ||||||||||
|
| |||||||||
Refining & Marketing — 0.2% | ||||||||||
CITGO Holding Inc. 2019 Term Loan B, 8.000%, 08/01/23 (b),(f) | 5,845,858 | 5,473,184 | ||||||||
Citgo Petroleum Corporation 2019 Term Loan B, 6.000%, 03/28/24 (b),(f) | 5,390,206 | 5,098,218 | ||||||||
Gulf Finance, LLC Term Loan B, 6.250%, 08/25/23 (b),(f) | 135,824 | 95,417 | ||||||||
|
| |||||||||
10,666,819 | ||||||||||
|
| |||||||||
Renewable Energy — 0.0% | ||||||||||
Granite Acquisition Inc., Term Loan B, 3 mo. LIBOR + 3.50%, 4.50%, 12/19/21 (b),(f) | 302,695 | 300,183 | ||||||||
|
| |||||||||
Restaurants — 0.0% | ||||||||||
IRB Holding Corp 2020 Term Loan B, 3.750%, 02/05/25 (b),(f) | 453,571 | 432,340 | ||||||||
Whatabrands LLC, 2020 Term Loan B, 1 mo. LIBOR + 2.75%, 2.91%, 07/31/26 (b),(f) | 546,668 | 533,941 | ||||||||
|
| |||||||||
966,281 | ||||||||||
|
| |||||||||
Retail—Consumer Discretionary — 0.2% | ||||||||||
Academy, Ltd., 2015 Term Loan B, 0.00%, 07/01/22 (b),(f),(p) | 2,085,277 | 2,034,188 | ||||||||
Avis Budget Car Rental, LLC, 2020 Term Loan B, 1 mo. LIBOR + 2.25%, 2.40%, 08/06/27 (b),(f) | 267,021 | 234,711 | ||||||||
Bass Pro Group, LLC Term Loan B, 5.750%, 09/25/24 (b),(f) | 1,044,612 | 1,033,519 | ||||||||
CNT Holdings III Corp, 2017 Term Loan, 1 mo. LIBOR + 3.00%, 4.00%, 01/22/23 (b),(f) | 440,110 | 439,194 | ||||||||
Harbor Freight Tools USA, Inc., 2018 Term Loan B, 1 mo. LIBOR + 2.50%, 3.25%, 08/18/23 (b),(f) | 382,470 | 376,553 | ||||||||
LBM Borrower, LLC, 2018 1st Lien Term Loan, 3 mo. LIBOR + 3.75%, | 203,788 | 203,585 | ||||||||
Michaels Stores, Inc., 2018 Term Loan B, 1 mo. LIBOR + 2.50%, | 167,567 | 166,562 | ||||||||
Petco Animal Supplies, Inc., 2017 Term Loan B, 3 mo. LIBOR + 3.25%, | 1,647,292 | 1,509,842 | ||||||||
PetSmart, Inc. Consenting Term Loan, | 1,849,145 | 1,843,523 | ||||||||
Priso Acquisition Corporation, 2017 Term Loan B, 6 mo. LIBOR + 3.00%, | 164,151 | 159,157 |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2020 (Unaudited)
Security Description | Principal Amount | Value | ||||||||
SiteOne Landscape Supply, Inc., 2018 Term Loan E, 1 mo. LIBOR + 2.75%, | $ | 40,281 | $ | 39,878 | ||||||
SRS Distribution Inc., 2018 1st Lien Term Loan, 3 mo. LIBOR + 3.00%, | 2,192,726 | 2,130,716 | ||||||||
Wand NewCo 3, Inc., | ||||||||||
2020 Term Loan, 1 mo. LIBOR + 3.00%, 3.15%, 02/05/26 (b),(f) | 151,975 | 146,418 | ||||||||
2020 Term Loan, 3 mo. LIBOR + 3.00%, 4.07%, 02/05/26 (b),(f) | 380,669 | 366,752 | ||||||||
|
| |||||||||
10,684,598 | ||||||||||
|
| |||||||||
Software & Services — 0.7% | ||||||||||
Access CIG, LLC, 2018 1st Lien Term Loan, 3 mo. LIBOR + 3.75%, 3.91%, 02/27/25 (b),(f) | 1,651,853 | 1,609,533 | ||||||||
Applied Systems, Inc., 2017 1st Lien Term Loan, 3 mo. LIBOR + 3.25%, 4.25%, 09/19/24 (b),(f) | 753,563 | 748,145 | ||||||||
Ascend Learning, LLC, 2017 Term Loan B, 1 mo. LIBOR + 3.00%, 4.00%, 07/12/24 (b),(f) | 130,031 | 128,080 | ||||||||
Banff Merger Sub Inc, 2018 USD Term Loan B, 1 mo. LIBOR + 4.25%, | 1,728,093 | 1,673,503 | ||||||||
Blackboard, Inc. 2019 Term Loan B5, 7.000%, 06/30/24 (b),(f) | 4,699,837 | 4,557,386 | ||||||||
Brave Parent Holdings, Inc., 1st Lien Term Loan, 1 mo. LIBOR + 4.00%, 4.15%, 04/18/25 (b),(f) | 1,025,061 | 1,009,685 | ||||||||
CCC Information Services, Inc., 2017 1st Lien Term Loan, 1 mo. LIBOR + 3.00%, 4.00%, 04/29/24 (b),(f) | 654,612 | 649,022 | ||||||||
ConvergeOne Holdings, Inc., 2019 Term Loan, 1 mo. LIBOR + 5.00%, | 282,517 | 257,443 | ||||||||
CT Technologies Intermediate Holdings, Inc., New 1st Lien Term Loan, 1 mo. LIBOR + 4.25%, 5.25%, 12/01/21 (b),(f) | 272,834 | 261,752 | ||||||||
DCert Buyer, Inc., 2019 Term Loan B, 1 mo. LIBOR + 4.00%, 4.15%, 10/16/26 (b),(f) | 728,049 | 717,812 | ||||||||
DiscoverOrg, LLC, 2019 1st Lien Term Loan, 1 mo. LIBOR + 3.75%, 3.90%, 02/02/26 (b),(f) | 313,433 | 310,038 | ||||||||
Dun & Bradstreet Corporation (The), Term Loan, 1 mo. LIBOR + 3.75%, 3.89%, 02/06/26 (b),(f) | 878,263 | 868,163 | ||||||||
ECI Macola Max Holdings LLC, 1st Lien Term Loan, 1 mo. LIBOR + 4.25%, 5.25%, 09/27/24 (b),(d),(f) | 551,011 | 547,225 | ||||||||
Epicor Software Corporation, 2020 Term Loan, 1 mo. LIBOR + 4.25%, | 800,862 | 798,972 | ||||||||
Finastra USA, Inc. USD 1st Lien Term Loan, 4.500%, 06/13/24 (b),(f) | 581,096 | 542,017 |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2020 (Unaudited)
Security Description | Principal Amount | Value | ||||||||
Flexera Software LLC, 2018 1st Lien Term Loan, 3 mo. LIBOR + 3.25%, 4.25%, 02/26/25 (b),(f) | $ | 393,939 | $ | 390,678 | ||||||
Genuine Financial Holdings, LLC, 2018 1st Lien Term Loan, 1 mo. LIBOR + 3.75%, 3.90%, 07/11/25 (b),(f) | 447,664 | 407,056 | ||||||||
GlobalLogic Holdings Inc., 2020 Incremental Term Loan B2, 1 mo. LIBOR + 3.75%, 4.50%, 08/13/27 (b),(d),(f) | 205,059 | 203,008 | ||||||||
Help/Systems Holdings, Inc, 2019 Term Loan B, 3 mo. LIBOR + 4.75%, | 773,768 | 766,518 | ||||||||
Hyland Software, Inc., 2018 1st Lien Term Loan, 1 mo. LIBOR + 3.25%, 4.00%, 07/01/24 (b),(f) | 1,274,668 | 1,268,027 | ||||||||
Imperva, Inc., 1st Lien Term Loan, 3 mo. LIBOR + 4.00%, 5.00%, 01/12/26 (b),(f) | 1,416,431 | 1,390,128 | ||||||||
Informatica LLC, 2020 USD 2nd Lien Term Loan, 0.00%, 02/25/25 (b) | 77,519 | 78,618 | ||||||||
MA FinanceCo., LLC, 2020 USD Term Loan B, 3 mo. LIBOR + 4.25%, 5.25%, 06/05/25 (b),(f) | 556,464 | 552,752 | ||||||||
McAfee, LLC, 2018 USD Term Loan B, 1 mo. LIBOR + 3.75%, 3.90%, 09/30/24 (b),(f) | 689,447 | 683,608 | ||||||||
Mitchell International, Inc., 2017 1st Lien Term Loan, 1 mo. LIBOR + 3.25%, 3.40%, 11/29/24 (b),(f) | 1,308,224 | 1,247,862 | ||||||||
MPH Acquisition Holdings LLC, 2016 Term Loan B, 3 mo. LIBOR + 2.75%, 3.75%, 06/07/23 (b),(f) | 905,707 | 890,183 | ||||||||
Perforce Software, Inc., 2020 Term Loan B, 1 mo. LIBOR + 3.75%, | 671,167 | 657,743 | ||||||||
Project Alpha Intermediate Holding, Inc., 2017 Term Loan B, 3 mo. LIBOR + 3.50%, 4.50%, 04/26/24 (b),(f) | 1,487,785 | 1,458,030 | ||||||||
Project Angel Holdings LLC, 2018 1st Lien Term Loan, 3 mo. LIBOR + 3.75%, 4.82%, 05/30/25 (b),(d),(f) | 503,487 | 494,676 | ||||||||
Project Boost Purchaser, LLC, 2019 Term Loan B, 1 mo. LIBOR + 3.50%, 3.65%, 06/01/26 (b),(f) | 395,192 | 383,008 | ||||||||
Project Leopard Holdings, Inc., | ||||||||||
2018 Term Loan, 3 mo. LIBOR + 4.50%, 5.50%, 07/07/23 (b),(f) | 118,205 | 115,840 | ||||||||
2019 Term Loan, 3 mo. LIBOR + 4.25%, 5.25%, 07/07/23 (b),(f) | 512,677 | 502,849 | ||||||||
Quest Software US Holdings Inc., 2018 1st Lien Term Loan, 3 mo. LIBOR + 4.25%, 4.51%, 05/16/25 (b),(f) | 1,601,200 | 1,565,172 | ||||||||
Rackspace Hosting, Inc., 2017 Incremental 1st Lien Term Loan, 3 mo. LIBOR + 3.00%, 4.00%, 11/03/23 (b),(f) | 727,196 | 712,565 |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2020 (Unaudited)
Security Description | Principal Amount | Value | ||||||||
Rocket Software, Inc., 2018 Term Loan, 1 mo. LIBOR + 4.25%, 4.40%, 11/28/25 (b),(f) | $ | 1,193,939 | $ | 1,168,425 | ||||||
Sabre GLBL Inc., 2018 Term Loan B, 1 mo. LIBOR + 2.00%, 2.15%, 02/22/24 (b),(f) | 146,508 | 136,332 | ||||||||
Sophia, L.P., 2020 1st Lien Term Loan, 0.00%, 10/07/27 (b),(p) | 657,555 | 652,788 | ||||||||
Surf Holdings, LLC, USD Term Loan, 3 mo. LIBOR + 3.50%, 3.75%, 03/05/27 (b),(f) | 316,919 | 309,392 | ||||||||
Syncsort Incorporated, | ||||||||||
2018 Term Loan B, 3 mo. LIBOR + 6.25%, 6.51%, 08/16/24 (b),(f) | 92,122 | 90,538 | ||||||||
Term Loan B, 3 mo. LIBOR + 6.00%, 7.00%, 08/16/24 (b),(f) | 439,882 | 432,734 | ||||||||
TierPoint, LLC, 2017 1st Lien Term Loan, 1 mo. LIBOR + 3.75%, 4.75%, 05/06/24 (b),(f) | 1,789,463 | 1,736,621 | ||||||||
Ultimate Software Group Inc(The), Term Loan B, 1 mo. LIBOR + 3.75%, 3.90%, 05/04/26 (b),(f) | 1,734,498 | 1,717,639 | ||||||||
Veritas US Inc., 2020 USD Term Loan B, 3 mo. LIBOR + 5.50%, 6.50%, 09/01/25 (b),(f) | 1,547,240 | 1,512,427 | ||||||||
Verscend Holding Corp., 2018 Term Loan B, 1 mo. LIBOR + 4.50%, | 550,849 | 544,652 | ||||||||
VS Buyer, LLC, Term Loan B, 1 mo. LIBOR + 3.25%, 3.40%, 02/28/27 (b),(f) | 70,606 | 69,253 | ||||||||
VT Topco, Inc., 2018 1st Lien Term Loan, 1 mo. LIBOR + 3.25%, | 96,398 | 91,578 | ||||||||
Weld North Education, LLC, Term Loan B, 3 mo. LIBOR + 4.25%, | 111,457 | 110,273 | ||||||||
|
| |||||||||
37,019,749 | ||||||||||
|
| |||||||||
Specialty Finance — 0.0% | ||||||||||
PI US MergerCo, Inc., USD 2017 1st Lien Term Loan, 3 mo. LIBOR + 3.50%, 4.50%, 01/03/25 (b) | 352,046 | 338,626 | ||||||||
|
| |||||||||
Transportation & Logistics — 0.0% | ||||||||||
Atlantic Aviation FBO Inc., 2018 Term Loan B, 1 mo. LIBOR + 3.75%, 3.90%, 12/06/25 (b),(f) | 168,032 | 163,691 | ||||||||
IBC Capital Limited, 2018 1st Lien Term Loan, 3 mo. LIBOR + 3.75%, 3.98%, 09/11/23 (b),(f) | 553,836 | 518,878 | ||||||||
Lineage Logistics Holdings, LLC, 2018 Term Loan, 1 mo. LIBOR + 3.00%, 4.00%, 02/27/25 (b),(f) | 448,520 | 441,653 | ||||||||
|
| |||||||||
1,124,222 | ||||||||||
|
| |||||||||
Travel & Lodging — 0.0% | ||||||||||
Casablanca US Holdings, Inc., 2018 1st Lien Term Loan, 3 mo. LIBOR + 4.00%, 4.26%, 03/29/24 (b),(f) | 1,969,221 | 1,426,976 |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2020 (Unaudited)
Security Description | Principal Amount | Value | ||||||||||
Diamond Resorts International, Inc., 2018 Term Loan B, Citibank, N.A., 1 mo. LIBOR + 3.75%, 4.75%, 09/02/23 (b),(f) | $ | 98,734 | $ | 87,298 | ||||||||
Hornblower Sub, LLC 2018 Term Loan B ,5.500%, 04/27/25 (b),(f) | 209,526 | 174,535 | ||||||||||
Marriott Ownership Resorts, Inc., 2019 Term Loan B, 1 mo. LIBOR + 1.75%, 1.90%, 08/29/25 (b),(f) | 99,499 | 94,897 | ||||||||||
SMB Shipping Logistics, LLC, 1st Lien Term Loan, 3 mo. LIBOR + 4.00%, 5.00%, 02/02/24 (b),(d),(f) | 308,402 | 294,524 | ||||||||||
|
| |||||||||||
2,078,230 | ||||||||||||
|
| |||||||||||
Waste & Environmental Services & Equipment — 0.0% |
| |||||||||||
EnergySolutions, LLC, 2018 Term Loan B, 3 mo. LIBOR + 3.75%, | 550,294 | 524,155 | ||||||||||
ERM Emerald US Inc., USD Term Loan B1, 3 mo. LIBOR + 3.25%, | 308,467 | 302,683 | ||||||||||
GFL Environmental Inc. 2018 USD Term Loan B, 4.000%, 05/30/25 (b),(f) | 219,079 | 217,874 | ||||||||||
|
| |||||||||||
1,044,712 | ||||||||||||
|
| |||||||||||
Wireless Telecommunications Services — 0.0% | ||||||||||||
Iridium Satellite LLC, Term Loan, 1 mo. LIBOR + 3.75%, 4.75%, 11/04/26 (b),(f) | 270,689 | 269,820 | ||||||||||
Telesat Canada, Term Loan B5, 1 mo. LIBOR + 2.75%, 2.90%, 12/07/26 (b),(f) | 746,496 | 719,749 | ||||||||||
|
| |||||||||||
989,569 | ||||||||||||
|
| |||||||||||
Wireline Telecommunications Services — 0.1% | ||||||||||||
CenturyLink, Inc., 2020 Term Loan B, 1 mo. LIBOR + 2.25%, 2.40%, 03/15/27 (b),(f) | 1,620,244 | 1,553,992 | ||||||||||
Colorado Buyer Inc 2nd Lien Term Loan, 8.250%, 05/01/25 (b),(f) | 1,835,279 | 942,581 | ||||||||||
Securus Technologies Holdings, Inc., 2017 1st Lien Term Loan, 6 mo. LIBOR + 4.50%, 5.50%, 11/01/24 (b),(f) | 263,168 | 216,703 | ||||||||||
|
| |||||||||||
2,713,276 | ||||||||||||
|
| |||||||||||
Total North America |
| 272,605,435 | ||||||||||
|
| |||||||||||
Oceania — 0.0% | ||||||||||||
Financial Services — 0.0% | ||||||||||||
Kiwi VFS Sub I Sarl, GBP 2017 1st Lien Term Loan, 0.00%, 07/29/24 (b),(p) | 1,044,507 | GBP | 1,139,992 | |||||||||
|
| |||||||||||
Total Oceania |
| 1,139,992 | ||||||||||
|
|
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2020 (Unaudited)
Security Description | Principal Amount | Value | ||||||||||
South America — 0.1% | ||||||||||||
Cable & Satellite — 0.0% | ||||||||||||
Coral-US Co-Borrower, LLC, 2020 Term Loan B2, 1 mo. LIBOR + 2.25%, 2.40%, 01/31/28 (b),(f) | $ | 260,383 | $ | 251,536 | ||||||||
|
| |||||||||||
Iron & Steel — 0.1% | ||||||||||||
Samarco Mineracao S.A., Fixed Rate Term Loan, 0.00%, 03/25/21 (b),(d),(p) | 11,623,127 | 5,985,910 | ||||||||||
|
| |||||||||||
Total South America | 6,237,446 | |||||||||||
|
| |||||||||||
TOTAL BANK DEBT | 289,774,132 | |||||||||||
|
| |||||||||||
CORPORATE BONDS & NOTES — 7.3% | ||||||||||||
Africa — 0.2% | ||||||||||||
Utilities — 0.2% | ||||||||||||
Eskom Holdings SOC Ltd., | ||||||||||||
5.75%, 01/26/21 (m),(i) | 4,371,000 | 4,263,211 | ||||||||||
8.45%, 08/10/28 (m) | 4,535,000 | 4,164,264 | ||||||||||
|
| |||||||||||
8,427,475 | ||||||||||||
|
| |||||||||||
Total Africa | 8,427,475 | |||||||||||
|
| |||||||||||
Asia — 0.1% | ||||||||||||
Financial Services — 0.1% | ||||||||||||
VTB Bank OJSC Via VTB Capital SA, | 3,032,000 | 3,213,423 | ||||||||||
|
| |||||||||||
Total Asia | 3,213,423 | |||||||||||
|
| |||||||||||
Europe — 0.3% | ||||||||||||
Automobiles Manufacturing — 0.1% | ||||||||||||
Mclaren Finance plc, 5.00%, 08/01/22 (b),(m) | 3,571,000 | GBP | 4,086,304 | |||||||||
|
| |||||||||||
Banks — 0.1% | ||||||||||||
HSBC Bank plc, MTN, 0.00%, 10/15/20 (m),(e),(j) | 25,275,000 | EGP | 1,597,718 | |||||||||
ICBC Standard Bank plc, MTN, 0.00%, 03/04/21 (c),(e),(j) | $ | 112,517,467 | 6,769,257 | |||||||||
|
| |||||||||||
8,366,975 | ||||||||||||
|
| |||||||||||
Entertainment Resources — 0.0% | ||||||||||||
CPUK Finance Ltd., 4.25%, 02/28/47 (b),(e) | 83,333 | GBP | 105,946 | |||||||||
|
| |||||||||||
Restaurants — 0.1% | ||||||||||||
Stonegate Pub Co. Financing 2019 plc , | 3,332,000 | 3,976,745 |
See Notes to Consolidated Financial Statements.
67
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Consolidated Schedule of Investments (Continued)
September 30, 2020 (Unaudited)
Security Description | Principal Amount | Value | ||||||||||
Wagamama Finance plc, 4.13%, 07/01/22 (b),(m),(i) | 414,000 | GBP | $ | 494,075 | ||||||||
|
| |||||||||||
4,470,820 | ||||||||||||
|
| |||||||||||
Total Europe | 17,030,045 | |||||||||||
|
| |||||||||||
Middle East — 0.7% | ||||||||||||
Exploration & Production — 0.7% | ||||||||||||
Oil and Gas Holding Co. BSCC, 7.50%, 10/25/27 (m),(g) | $ | 36,800,000 | 39,054,810 | |||||||||
|
| |||||||||||
Financial Services — 0.0% | ||||||||||||
MDC-GMTN BV, MTN, 4.50%, 11/07/28 (m) | 1,379,000 | 1,649,904 | ||||||||||
|
| |||||||||||
Total Middle East | 40,704,714 | |||||||||||
|
| |||||||||||
North America — 4.6% | ||||||||||||
Airlines — 0.1% | ||||||||||||
Delta Air Lines, Inc., 7.00%, 05/01/25 (b),(e) | 607,000 | 666,377 | ||||||||||
Delta Air Lines, Inc. / SkyMiles IP Ltd., | 209,000 | 216,837 | ||||||||||
United Airlines Holdings, Inc., | ||||||||||||
4.88%, 01/15/25 (b) | 1,037,000 | 891,820 | ||||||||||
5.00%, 02/01/24 (b) | 1,571,000 | 1,374,625 | ||||||||||
|
| |||||||||||
3,149,659 | ||||||||||||
|
| |||||||||||
Banks — 0.1% | ||||||||||||
Promerica Financial Corp., 9.70%, 05/14/24 (c),(e) | 3,400,000 | 3,340,500 | ||||||||||
|
| |||||||||||
Chemicals — 0.0% | ||||||||||||
LyondellBasell Industries NV, | ||||||||||||
0.00%, 08/15/15 (b) | 980,469 | EUR | 0 | |||||||||
0.00%, 08/15/49 (b) | $ | 16,732,095 | 0 | |||||||||
|
| |||||||||||
0 | ||||||||||||
|
| |||||||||||
Commercial Finance — 0.0% | ||||||||||||
Fortress Transportation & Infrastructure Investors LLC, 6.75%, 03/15/22 (b),(c),(e) | 2,353,000 | 2,317,705 | ||||||||||
|
| |||||||||||
Consumer Finance — 0.2% | ||||||||||||
Curo Group Holdings Corp., 8.25%, 09/01/25 (b),(c),(e) | 15,026,000 | 12,584,275 | ||||||||||
|
| |||||||||||
Consumer Products — 0.1% | ||||||||||||
Kronos Acquisition Holdings, Inc., | 7,044,000 | 7,140,855 | ||||||||||
|
| |||||||||||
Exploration & Production — 0.2% | ||||||||||||
Par Petroleum LLC / Petroleum Finance Corp., | 12,479,000 | 11,043,915 | ||||||||||
|
|
See Notes to Consolidated Financial Statements.
68
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Consolidated Schedule of Investments (Continued)
September 30, 2020 (Unaudited)
Security Description | Principal Amount | Value | ||||||||||
Financial Services ��� 0.1% | ||||||||||||
Citigroup Global Markets Holdings, Inc., | 50,514,000 | EGP | $ | 3,190,102 | ||||||||
MF Global Holdings Ltd., 6.75%, 08/08/16 (b),(d),(i),(n) | $ | 436,000 | 135,160 | |||||||||
|
| |||||||||||
3,325,262 | ||||||||||||
|
| |||||||||||
Food & Beverage — 0.0% | ||||||||||||
Cooke Omega Investments, Inc. / Alpha VesselCo Holdings, Inc., 8.50%, 12/15/22 (b),(e) | 873,000 | 901,372 | ||||||||||
Del Monte Foods, Inc., 11.88%, 05/15/25 (b),(e) | 1,783,000 | 1,883,294 | ||||||||||
|
| |||||||||||
2,784,666 | ||||||||||||
|
| |||||||||||
Health Care Facilities & Services — 0.1% | ||||||||||||
BCPE Cycle Merger Sub II, Inc., | 2,792,000 | 2,959,520 | ||||||||||
Surgery Center Holdings, Inc., | 1,388,000 | 1,382,656 | ||||||||||
|
| |||||||||||
4,342,176 | ||||||||||||
|
| |||||||||||
Home Improvement — 0.1% | ||||||||||||
Werner FinCo LP / Werner FinCo, Inc., | 4,383,000 | 4,175,728 | ||||||||||
|
| |||||||||||
Industrial Other — 0.4% | ||||||||||||
Brand Industrial Services, Inc., | 112,000 | 105,840 | ||||||||||
Michael Baker International LLC, | 20,381,000 | 20,279,095 | ||||||||||
|
| |||||||||||
20,384,935 | ||||||||||||
|
| |||||||||||
Integrated Oils — 1.0% | ||||||||||||
Petroleos Mexicanos, | ||||||||||||
3.50%, 01/30/23 | 2,372,000 | 2,335,305 | ||||||||||
4.50%, 01/23/26 | 1,027,000 | 911,154 | ||||||||||
5.95%, 01/28/31 (e) | 1,712,000 | 1,423,733 | ||||||||||
6.35%, 02/12/48 | 19,554,000 | 14,641,058 | ||||||||||
6.38%, 01/23/45 | 2,673,000 | 2,004,750 | ||||||||||
6.75%, 09/21/47 | 29,746,000 | 22,904,420 | ||||||||||
6.95%, 01/28/60 (e) | 1,976,000 | 1,511,640 | ||||||||||
7.69%, 01/23/50 (m) | 14,846,000 | 12,255,373 | ||||||||||
|
| |||||||||||
57,987,433 | ||||||||||||
|
|
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2020 (Unaudited)
Security Description | Principal Amount | Value | ||||||||||
Internet Media — 0.1% | ||||||||||||
Getty Images, Inc., 9.75%, 03/01/27 (b),(c),(e) | $ | 2,796,000 | $ | 2,726,100 | ||||||||
Uber Technologies, Inc., 7.50%, 11/01/23 (b),(c),(e) | 2,361,000 | 2,459,454 | ||||||||||
|
| |||||||||||
5,185,554 | ||||||||||||
|
| |||||||||||
Machinery Manufacturing — 0.1% | ||||||||||||
Husky III Holding Ltd., PIK, | 4,110,000 | 4,253,850 | ||||||||||
Titan Acquisition Ltd./Titan Co-Borrower LLC, | 4,545,000 | 4,522,275 | ||||||||||
|
| |||||||||||
8,776,125 | ||||||||||||
|
| |||||||||||
Manufactured Goods — 0.1% | ||||||||||||
Foxtrot Escrow Issuer LLC / Foxtrot Escrow Corp., | 4,730,000 | 5,049,275 | ||||||||||
Hillman Group, Inc. (The), 6.38%, 07/15/22 (b),(e) | 1,369,000 | 1,338,198 | ||||||||||
|
| |||||||||||
6,387,473 | ||||||||||||
|
| |||||||||||
Oil & Gas Services & Equipment — 0.1% | ||||||||||||
CSI Compressco LP / CSI Compressco Finance, Inc., | ||||||||||||
7.25%, 08/15/22 (b),(c) | 8,148,000 | 5,744,340 | ||||||||||
7.50%, 04/01/25 (b),(e) | 1,726,000 | 1,517,793 | ||||||||||
|
| |||||||||||
7,262,133 | ||||||||||||
|
| |||||||||||
Pipeline — 0.7% | ||||||||||||
American Midstream Partners LP / American Midstream Finance Corp., | 21,665,000 | 21,502,512 | ||||||||||
Martin Midstream Partners LP / Martin Midstream Finance Corp., | ||||||||||||
10.00%, 02/29/24 (b),(e) | 3,151,352 | 3,269,528 | ||||||||||
11.50%, 02/28/25 (b),(c),(e) | 14,311,133 | 12,880,020 | ||||||||||
|
| |||||||||||
37,652,060 | ||||||||||||
|
| |||||||||||
Real Estate — 0.1% | ||||||||||||
ESH Hospitality, Inc., 4.63%, 10/01/27 (b),(c),(e) | 1,144,000 | 1,122,573 | ||||||||||
Senior Housing Properties Trust, 4.75%, 02/15/28 (b) | 1,619,000 | 1,424,720 | ||||||||||
Service Properties Trust, | ||||||||||||
4.38%, 02/15/30 (b) | 2,292,000 | 1,902,360 | ||||||||||
4.95%, 10/01/29 (b) | 309,000 | 264,967 | ||||||||||
|
| |||||||||||
4,714,620 | ||||||||||||
|
| |||||||||||
Refining & Marketing — 0.1% | ||||||||||||
Citgo Holding, Inc., 9.25%, 08/01/24 (b),(c),(e) | 4,263,000 | 4,060,508 | ||||||||||
|
|
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2020 (Unaudited)
Security Description | Principal Amount | Value | ||||||||||
Retail — Consumer Discretionary — 0.4% | ||||||||||||
Carvana Co., | ||||||||||||
5.63%, 10/01/25 (b),(e) | $ | 523,000 | $ | 515,809 | ||||||||
5.88%, 10/01/28 (b),(e) | 2,089,000 | 2,062,888 | ||||||||||
DriveTime Automotive Group, Inc. / Bridgecrest Acceptance Corp., | 7,543,000 | 7,561,857 | ||||||||||
Guitar Center, Inc., | ||||||||||||
9.50%, 10/15/21 (b),(c),(e) | 15,458,000 | 12,636,915 | ||||||||||
10.00%, 05/15/22 (b),(d),(e) | 1,412,000 | 1,435,157 | ||||||||||
|
| |||||||||||
24,212,626 | ||||||||||||
|
| |||||||||||
Retail—Consumer Staples — 0.0% | ||||||||||||
SunOpta Foods, Inc., 9.50%, 10/09/22 (b),(e) | 1,564,000 | 1,595,280 | ||||||||||
|
| |||||||||||
Software & Services — 0.1% | ||||||||||||
MPH Acquisition Holdings LLC, | 5,938,000 | 6,101,295 | ||||||||||
|
| |||||||||||
Supermarkets — 0.1% | ||||||||||||
Rite Aid Corp., 8.00%, 11/15/26 (b),(e) | 3,040,000 | 3,036,200 | ||||||||||
|
| |||||||||||
Transportation & Logistics — 0.0% | ||||||||||||
BCD Acquisition, Inc., 9.63%, 09/15/23 (b),(e) | 212,000 | 210,940 | ||||||||||
|
| |||||||||||
Travel & Lodging — 0.2% | ||||||||||||
Diamond Resorts International, Inc., | 2,567,000 | 2,464,320 | ||||||||||
Marriott Ownership Resorts, Inc., | 148,000 | 140,230 | ||||||||||
Viking Cruises Ltd., | ||||||||||||
5.88%, 09/15/27 (b),(c),(e) | 3,902,000 | 3,033,805 | ||||||||||
6.25%, 05/15/25 (b),(e) | 69,000 | 54,165 | ||||||||||
13.00%, 05/15/25 (b),(c),(e) | 3,305,000 | 3,825,537 | ||||||||||
VOC Escrow Ltd., 5.00%, 02/15/28 (b),(e) | 1,770,000 | 1,567,105 | ||||||||||
|
| |||||||||||
11,085,162 | ||||||||||||
|
| |||||||||||
Utilities — 0.1% | ||||||||||||
Pacific Gas and Electric Co., | ||||||||||||
3.15%, 01/01/26 (b) | 1,076 | 1,104 | ||||||||||
4.50%, 07/01/40 (b) | 3,126,076 | 3,173,920 | ||||||||||
Rockpoint Gas Storage Canada Ltd., | 3,471,000 | 3,219,352 | ||||||||||
|
| |||||||||||
6,394,376 | ||||||||||||
|
| |||||||||||
Total North America | 259,251,461 | |||||||||||
|
|
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2020 (Unaudited)
Security Description | Principal Amount | Value | ||||||||||
South America — 1.4% | ||||||||||||
Integrated Oils — 1.4% | ||||||||||||
Petrobras Global Finance BV, | ||||||||||||
5.09%, 01/15/30 (c) | $ | 57,779,000 | $ | 60,717,062 | ||||||||
6.75%, 06/03/50 | 368,000 | 398,577 | ||||||||||
6.90%, 03/19/49 (c) | 13,952,000 | 15,516,020 | ||||||||||
|
| |||||||||||
76,631,659 | ||||||||||||
|
| |||||||||||
Metals & Mining — 0.0% | ||||||||||||
CSN Islands XI Corp., 6.75%, 01/28/28 (e) | 1,972,000 | 1,893,514 | ||||||||||
|
| |||||||||||
Total South America | 78,525,173 | |||||||||||
|
| |||||||||||
TOTAL CORPORATE BONDS & NOTES | 407,152,291 | |||||||||||
|
| |||||||||||
SOVEREIGN DEBT — 13.5% | ||||||||||||
Angolan Government International Bond, MTN, | 1,654,000 | 1,305,787 | ||||||||||
Argentine Republic Government International Bond, | ||||||||||||
0.13%, 07/09/35 - 07/09/46 | 11,858,250 | 4,506,190 | ||||||||||
1.00%, 07/09/29 | 485,806 | 221,289 | ||||||||||
Bahrain Government International Bond, | 2,600,000 | 2,884,598 | ||||||||||
Costa Rica Government International Bond, | ||||||||||||
5.63%, 04/30/43 (m) | 3,000,000 | 2,472,000 | ||||||||||
7.16%, 03/12/45 (m),(g) | 30,000,000 | 27,315,000 | ||||||||||
Ecuador Government International Bond, | ||||||||||||
0.00%, 07/31/30 (e),(j) | 3,021,419 | 1,401,334 | ||||||||||
0.50%, 07/31/30 - 07/31/40 (e) | 46,840,819 | 26,442,798 | ||||||||||
Egypt Government International Bond, | ||||||||||||
4.55%, 11/20/23 (m),(g) | 4,400,000 | 4,394,500 | ||||||||||
6.88%, 04/30/40 (m),(g) | 2,300,000 | 2,137,873 | ||||||||||
7.90%, 02/21/48 (m),(g) | 35,100,000 | 32,379,750 | ||||||||||
8.15%, 11/20/59 (e) | 1,279,000 | 1,189,470 | ||||||||||
8.50%, 01/31/47 (m),(g) | 12,500,000 | 12,075,775 | ||||||||||
8.70%, 03/01/49 (m) | 2,462,000 | 2,395,920 | ||||||||||
8.88%, 05/29/50 (m),(e) | 7,008,000 | 6,934,836 | ||||||||||
MTN, 6.20%, 03/01/24 (m),(g) | 6,600,000 | 6,844,490 | ||||||||||
French Republic Government Bond OAT, | 8,080,543 | EUR | 10,434,508 | |||||||||
Gabon Government International Bond, | ||||||||||||
6.38%, 12/12/24 (m) | $ | 4,000,000 | 3,770,800 | |||||||||
6.63%, 02/06/31 (c),(m),(e),(g) | 56,800,000 | 50,664,941 | ||||||||||
HSBC Holdings PLC, 0.00%, 05/23/23 (d),(g) | 42,857,143 | 42,816,964 | ||||||||||
Iraq International Bond, | ||||||||||||
5.80%, 01/15/28 (m),(g) | 95,062,500 | 84,705,441 | ||||||||||
6.75%, 03/09/23 (m),(g) | 11,000,000 | 10,477,500 |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2020 (Unaudited)
Security Description | Principal Amount | Value | ||||||||
Ivory Coast Government International Bond, | ||||||||||
6.13%, 06/15/33 (m),(g) | $ | 46,700,000 | $ | 43,624,338 | ||||||
6.38%, 03/03/28 (m) | 3,200,000 | 3,194,464 | ||||||||
Jordan Government International Bond, | 8,300,000 | 8,231,507 | ||||||||
Kenya Government International Bond, | 20,200,000 | 19,903,141 | ||||||||
Kingdom Of Jordan, | ||||||||||
4.95%, 07/07/25 (e) | 2,099,000 | 2,090,598 | ||||||||
5.85%, 07/07/30 (e) | 1,404,000 | 1,360,154 | ||||||||
Kingdom of Jordan, 7.38%, 10/10/47 (m) | 20,200,000 | 20,033,306 | ||||||||
Mexican Bonos, | ||||||||||
7.75%, 05/29/31 (g) | 340,000,000 | MXN | 17,335,441 | |||||||
8.50%, 05/31/29 - 11/18/38 (g) | 729,600,000 | MXN | 38,846,622 | |||||||
Mexico Government International Bond, | ||||||||||
4.75%, 04/27/32 | $ | 1,930,000 | 2,180,900 | |||||||
5.00%, 04/27/51 | 1,995,000 | 2,226,420 | ||||||||
Nigeria Government International Bond, | ||||||||||
7.14%, 02/23/30 (m),(e),(g) | 32,900,000 | 31,179,330 | ||||||||
7.63%, 11/21/25 (c),(m),(e),(g) | 30,104,000 | 31,306,956 | ||||||||
7.88%, 02/16/32 (m),(g) | 3,800,000 | 3,620,716 | ||||||||
8.75%, 01/21/31 (c),(e) | 1,950,000 | 1,989,780 | ||||||||
MTN, 7.63%, 11/28/47 (m),(g) | 3,800,000 | 3,395,680 | ||||||||
Paraguay Government International Bond, | 8,792,000 | 9,297,540 | ||||||||
Republic of Belarus International Bond, | 6,600,000 | 6,154,500 | ||||||||
Republic of Belarus Ministry of Finance, | ||||||||||
5.88%, 02/24/26 (m) | 5,400,000 | 4,997,376 | ||||||||
6.38%, 02/24/31 (m) | 12,800,000 | 11,936,666 | ||||||||
Russian Federal Bond - OFZ, | ||||||||||
6.00%, 10/06/27 | 554,238,000 | RUB | 7,188,796 | |||||||
7.15%, 11/12/25 | 787,484,000 | RUB | 10,914,819 | |||||||
7.25%, 05/10/34 | 474,471,000 | RUB | 6,594,600 | |||||||
7.40%, 07/17/24 | 736,069,000 | RUB | 10,202,093 | |||||||
Russian Foreign Bond - Eurobond, | $ | 3,000,000 | 3,971,892 | |||||||
Saudi Government International Bond, | ||||||||||
2.75%, 02/03/32 (e) | 4,336,000 | 4,509,787 | ||||||||
3.75%, 01/21/55 (e) | 1,685,000 | 1,823,507 | ||||||||
MTN, 2.75%, 02/03/32 (m) | 200,000 | 208,016 | ||||||||
Senegal Government International Bond, | ||||||||||
6.25%, 05/23/33 (m),(g) | 10,300,000 | 10,141,792 | ||||||||
6.75%, 03/13/48 (m) | 5,300,000 | 5,018,411 | ||||||||
Ukraine Government International Bond, | ||||||||||
0.00%, 05/31/40 (m),(f) | 47,750,000 | 43,376,100 |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2020 (Unaudited)
Security Description | Principal Amount | Value | ||||||||||
7.25%, 03/15/33 (e),(g) | $ | 37,292,000 | $ | 34,263,890 | ||||||||
7.38%, 09/25/32 (m),(g) | 17,500,000 | 16,409,750 | ||||||||||
|
| |||||||||||
TOTAL SOVEREIGN DEBT | 755,300,652 | |||||||||||
|
| |||||||||||
MORTGAGE-BACKED SECURITIES — 18.3% | ||||||||||||
Europe — 0.3% | ||||||||||||
Collateralized Mortgage Obligation (Residential) — 0.1% |
| |||||||||||
JEPSON, | ||||||||||||
Series 2019-1, Class D, | 1,267,000 | EUR | 1,419,655 | |||||||||
Series 2019-1, Class E, 0.97%, 11/24/57 (b),(f) | 1,929,000 | EUR | 2,093,685 | |||||||||
Mulcair Securities DAC, Series 1 SEQ, Class E, 3 mo. EURIBOR + 1.50%, 1.05%, 04/24/71 (b),(m),(f) | 2,461,000 | EUR | 2,768,411 | |||||||||
|
| |||||||||||
6,281,751 | ||||||||||||
|
| |||||||||||
Commercial Mortgage-Backed Securities — 0.2% | ||||||||||||
Cold Finance plc, | ||||||||||||
Series 1, Class C, Update Replacements.xls: BP0003M + 1.95%, | 1,113,210 | GBP | 1,392,025 | |||||||||
Series 1, Class D, Update Replacements.xls: BP0003M + 2.50%, | 3,665,813 | GBP | 4,569,329 | |||||||||
Series 1, Class E, Update Replacements.xls: BP0003M + 3.55%, | 3,753,592 | GBP | 4,487,931 | |||||||||
|
| |||||||||||
10,449,285 | ||||||||||||
|
| |||||||||||
Total Europe | 16,731,036 | |||||||||||
|
| |||||||||||
North America — 18.0% | ||||||||||||
Collateralized Mortgage Obligation (Residential) — 8.8% |
| |||||||||||
American Home Mortgage Investment Trust, | $ | 1,117,273 | 859,214 | |||||||||
Bear Stearns Trust, | 1,251,800 | 970,682 | ||||||||||
Bellemeade Re Ltd., | ||||||||||||
Series 2017-1, Class M2, 1 mo. USD LIBOR + 3.35%, 3.50%, 10/25/27 (b),(c),(e),(f) | 7,343,393 | 7,056,773 | ||||||||||
Series 2018-2A, Class B1, 1 mo. USD LIBOR + 2.65%, 2.80%, 08/25/28 (b),(e),(f) | 250,000 | 232,369 |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2020 (Unaudited)
Security Description | Principal Amount | Value | ||||||||
Series 2019-1A, Class M2, 1 mo. USD LIBOR + 2.70%, 2.85%, 03/25/29 (b),(e),(f),(g) | $ | 1,460,000 | $ | 1,401,692 | ||||||
Series 2019-1A, Class B1, 1 mo. USD LIBOR + 4.00%, 4.15%, 03/25/29 (b),(e),(f) | 331,000 | 258,226 | ||||||||
Series 2019-4A, Class M2, 1 mo. USD LIBOR + 2.85%, 3.03%, 10/25/29 (b),(e),(f),(g) | 8,940,000 | 8,071,327 | ||||||||
Cascade Funding Mortgage Trust, | ||||||||||
Series 2019-RM3 SEQ, Class C, 4.00%, 06/25/69 (b),(e),(f) | 355,182 | 296,030 | ||||||||
Series 2019-RM3 SEQ, Class D, 4.00%, 06/25/69 (b),(e),(f) | 389,860 | 291,101 | ||||||||
Chase Mortgage Finance Corp., | 72,778 | 68,154 | ||||||||
Citicorp Mortgage Securities Trust, | 228,349 | 220,510 | ||||||||
Connecticut Avenue Securities, | ||||||||||
Series 2015-C04, Class 1M2, 1 mo. USD LIBOR + 5.70%, 5.85%, 04/25/28 (b),(c),(f) | 3,725,131 | 3,855,510 | ||||||||
Series 2016-C02, Class 1M2, 1 mo. USD LIBOR + 6.00%, 6.15%, 09/25/28 (b),(c),(f) | 1,566,193 | 1,660,165 | ||||||||
Series 2016-C05, Class 2M2, 1 mo. USD LIBOR + 4.45%, 4.60%, 01/25/29 (b),(c),(f) | 3,245,837 | 3,348,286 | ||||||||
Connecticut Avenue Securities Trust, | ||||||||||
Series 2018-R07, Class 1X2, 1.30%, 04/25/31 (b),(c),(e),(h) | 1,669,398 | 8,726 | ||||||||
Series 2018-R07, Class 1M2, 1 mo. USD LIBOR + 2.40%, | 2,808,621 | 2,794,578 | ||||||||
Series 2019-R01, Class 2X2, 1.30%, 07/25/31 (b),(c),(e),(h) | 4,764,141 | 47,136 | ||||||||
Series 2019-R02, Class 1M2, 1 mo. USD LIBOR + 2.30%, | 3,109,525 | 3,092,034 | ||||||||
Series 2019-R06, Class 2X2, 1.10%, 09/25/39 (b),(c),(e),(h) | 7,997,582 | 73,762 | ||||||||
Series 2020-R01, Class 1M2, 1 mo. USD LIBOR + 2.05%, | 21,206,000 | 20,755,372 | ||||||||
Series 2020-R02, Class 2M2, 1 mo. USD LIBOR + 2.00%, | 26,797,000 | 26,076,831 |
See Notes to Consolidated Financial Statements.
75
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Consolidated Schedule of Investments (Continued)
September 30, 2020 (Unaudited)
Security Description | Principal Amount | Value | ||||||||
Countrywide Alternative Loan Trust, | $ | 644,213 | $ | 634,644 | ||||||
Countrywide Asset-Backed Certificates, | 90 | 90 | ||||||||
Deephaven Residential Mortgage Trust, | 699,000 | 725,438 | ||||||||
Eagle RE Ltd., | ||||||||||
Series 2019-1, Class M2, 1 mo. USD LIBOR + 3.30%, 3.45%, 04/25/29 (b),(e),(f),(g) | 8,674,000 | 8,349,792 | ||||||||
Series 2020-1, Class M2, 1 mo. USD LIBOR + 2.00%, 2.15%, 01/25/30 (b),(e),(f),(g) | 10,192,000 | 8,769,706 | ||||||||
Federal Home Loan Mortgage Corp., | ||||||||||
Series 2015-DNA2, Class M3, 1 mo. USD LIBOR + 3.90%, 4.05%, 12/25/27 (b),(f) | 1,492,694 | 1,521,615 | ||||||||
Series 2015-SC02, Class M3, 3.68%, 09/25/45 (b),(f) | 859,441 | 846,549 | ||||||||
Series 2016-DNA4, Class M3, 1 mo. USD LIBOR + 3.80%, 3.95%, 03/25/29 (b),(f) | 1,443,772 | 1,494,304 | ||||||||
Series 2017-DNA2, Class M2AI, 2.50%, 10/25/29 (b),(h) | 152,674 | 5,719 | ||||||||
Series 2017-DNA2, Class M2B, 1 mo. USD LIBOR + 3.45%, | 1,381,500 | 1,405,676 | ||||||||
Series 2017-DNA3, Class M2AI, 1.75%, 03/25/30 (b),(h) | 1,935,200 | 34,060 | ||||||||
Series 2017-HQA1, Class M2AI, 2.50%, 08/25/29 (b),(c),(h) | 4,024,590 | 72,201 | ||||||||
Series 2017-HQA1, Class M2B, 1 mo. USD LIBOR + 3.55%, | 5,602,000 | 5,522,524 | ||||||||
Series 2017-HQA2, Class M2AI, 2.00%, 12/25/29 (b),(c),(h) | 7,569,463 | 138,483 | ||||||||
Series 2017-HQA2, Class M2B, 1 mo. USD LIBOR + 2.65%, | 10,850,607 | 10,199,571 | ||||||||
Series 2018-DNA1, Class M2AI, 1.25%, 07/25/30 (b),(c),(h) | 6,360,000 | 47,929 | ||||||||
Series 2018-DNA1, Class M2B, 1 mo. USD LIBOR + 1.80%, | 16,672,500 | 15,442,903 | ||||||||
Series 2018-HQA1, Class M2AI, 1.50%, 09/25/30 (b),(c),(h) | 2,197,703 | 26,315 | ||||||||
Series 2018-HQA1, Class M2B, 2.45%, 09/25/30 (b),(c),(f) | 4,649,500 | 4,340,927 | ||||||||
Series 2019-DNA2, Class M2, 1 mo. USD LIBOR + 2.45%, | 2,090,087 | 2,054,816 |
See Notes to Consolidated Financial Statements.
76
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Consolidated Schedule of Investments (Continued)
September 30, 2020 (Unaudited)
Security Description | Principal Amount | Value | ||||||||
Series 2019-FTR2, Class M2, 1 mo. USD LIBOR + 2.15%, | $ | 10,006,000 | $ | 8,980,385 | ||||||
Federal National Mortgage Association, | 2,657,162 | 2,752,655 | ||||||||
Federal National Mortgage Association, | ||||||||||
2.00%, 10/01/50 (b),(l) | 15,000,000 | 15,468,750 | ||||||||
2.50%, 10/01/50 (b),(l) | 38,400,000 | 40,212,019 | ||||||||
4.00%, 10/01/50 (b),(l) | 8,500,000 | 9,069,763 | ||||||||
Series 2016-C06, Class 1M2, 1 mo. USD LIBOR + 4.25%, 4.40%, 04/25/29 (b),(c),(f) | 4,923,737 | 5,022,212 | ||||||||
Series 2017-C01, Class 1X1, 2.30%, 07/25/29 (b),(c),(h) | 8,367,618 | 168,951 | ||||||||
Series 2017-C02, Class 2X3, 2.30%, 09/25/29 (b),(c),(h) | 8,528,499 | 190,339 | ||||||||
Series 2017-C02, Class 2X4, 2.80%, 09/25/29 (b),(c),(h) | 2,773,611 | 49,101 | ||||||||
Series 2017-C02, Class 2M2C, 1 mo. USD LIBOR + 3.65%, | 8,490,294 | 8,146,437 | ||||||||
Series 2017-C04, Class 2X2, 1.75%, 11/25/29 (b),(c),(h) | 22,372,674 | 284,424 | ||||||||
Series 2017-C04, Class 2M2C, 1 mo. USD LIBOR + 2.85%, | 13,884,666 | 13,294,568 | ||||||||
Series 2017-C05, Class 1X3, 1.00%, 01/25/30 (b),(c),(h) | 9,878,471 | 88,877 | ||||||||
Series 2017-C05, Class 1M2C, 1 mo. USD LIBOR + 2.20%, | 9,889,512 | 9,728,807 | ||||||||
Series 2017-C06, Class 2X1, 1.80%, 02/25/30 (b),(c),(h) | 6,705,570 | 83,464 | ||||||||
Series 2017-C06, Class 1M2, 1 mo. USD LIBOR + 2.65%, 2.80%, 02/25/30 (b),(c),(f) | 3,756,897 | 3,700,544 | ||||||||
Series 2017-C06, Class 2M2C, 2.95%, 02/25/30 (b),(c),(f) | 7,714,707 | 7,555,591 | ||||||||
Series 2017-C07, Class 1X3, 1.00%, 05/25/30 (b),(c),(h) | 2,659,565 | 20,298 | ||||||||
Series 2017-C07, Class 1M2C, 1 mo. USD LIBOR + 2.40%, | 2,397,838 | 2,268,206 | ||||||||
Series 2018-C01, Class 1M2C, 2.40%, 07/25/30 (b),(f),(g) | 25,366,752 | 24,358,424 | ||||||||
Series 2018-C02, Class 2X2, 1.30%, 08/25/30 (b),(c),(h) | 2,710,074 | 21,282 | ||||||||
Series 2018-C02, Class 2M2C, 2.35%, 08/25/30 (b),(f),(g) | 2,785,667 | 2,601,117 | ||||||||
Series 2018-C03, Class 1X2, 1.30%, 10/25/30 (b),(c),(h) | 12,125,745 | 85,280 |
See Notes to Consolidated Financial Statements.
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Security Description | Principal Amount | Value | ||||||||
Series 2018-C03, Class 1M2C, 1 mo. USD LIBOR + 2.15%, 2.30%, 10/25/30 (b),(c),(f) | $ | 9,716,368 | $ | 9,285,204 | ||||||
Series 2018-C04, Class 2M2, 1 mo. USD LIBOR + 2.55%, 2.70%, 12/25/30 (b),(f),(g) | 5,576,116 | 5,476,794 | ||||||||
Freddie Mac Stacr Trust, Series 2018-HQA2, Class M2, 1 mo. USD LIBOR + 2.30%, 2.45%, 10/25/48 (b),(c),(e),(f) | 15,513,000 | 15,183,349 | ||||||||
Government National Mortgage Association, | 9,250,000 | 9,833,185 | ||||||||
Government National Mortgage Association, | 10,239,428 | 11,045,384 | ||||||||
Home Re Ltd., | ||||||||||
Series 2018-1, Class M2, 1 mo. USD LIBOR + 3.00%, 3.15%, 10/25/28 (b),(c),(e),(f) | 21,988,000 | 21,219,343 | ||||||||
Series 2019-1, Class M2, 1 mo. USD LIBOR + 3.25%, 3.40%, 05/25/29 (b),(e),(f),(g) | 8,469,000 | 8,130,511 | ||||||||
Homeward Opportunities Fund, | 1,136,000 | 1,129,115 | ||||||||
LHOME Mortgage Trust, | 571,000 | 454,318 | ||||||||
Mortgage Insurance-Linked Notes, | ||||||||||
Series 2019-1, Class M2, 1 mo. USD LIBOR + 2.90%, 3.05%, 11/26/29 (b),(e),(f),(g) | 8,540,000 | 6,992,356 | ||||||||
Series 2020-1, Class M2A, 1 mo. USD LIBOR + 2.00%, 2.15%, 02/25/30 (b),(c),(e),(f) | 5,062,000 | 4,316,884 | ||||||||
Series 2020-1, Class M2B, 1 mo. USD LIBOR + 2.25%, 2.40%, 02/25/30 (b),(e),(f) | 1,425,000 | 1,182,999 | ||||||||
New Residential Mortgage Loan, | 831,000 | 826,939 | ||||||||
New Residential Mortgage Loan Trust, | 376,000 | 383,182 | ||||||||
Oaktown Re Ltd., | 2,302,245 | 2,281,582 | ||||||||
PMT Credit Risk Transfer Trust, | ||||||||||
Series 2019-2R, Class A, 1 mo. USD LIBOR + 2.75%, 2.90%, 05/27/23 (b),(c),(e),(f) | 7,644,014 | 7,109,651 | ||||||||
Series 2019-3R, Class A, 1 mo. USD LIBOR + 2.70%, 2.85%, 10/27/22 (b),(c),(e),(f) | 15,230,727 | 14,564,093 |
See Notes to Consolidated Financial Statements.
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September 30, 2020 (Unaudited)
Security Description | Principal Amount | Value | ||||||||
Radnor Re Ltd., | ||||||||||
Series 2018-1, Class M2, 1 mo. USD LIBOR + 2.70%, 2.85%, 03/25/28 (b),(e),(f),(g) | $ | 401,000 | $ | 371,593 | ||||||
Series 2019-1, Class M2, 1 mo. USD LIBOR + 3.20%, 3.35%, 02/25/29 (b),(e),(f),(g) | 6,916,000 | 6,639,630 | ||||||||
Residential Funding Mortgage Securities, | 844,941 | 814,356 | ||||||||
Sequoia Mortgage Trust, | ||||||||||
Series 2017-3, Class B4, 3.78%, 04/25/47 (b),(e),(f) | 291,000 | 242,972 | ||||||||
Series 2017-7, Class B4, 3.74%, 10/25/47 (b),(e),(f) | 773,000 | 641,431 | ||||||||
Series 2018-2, Class B4, 3.75%, 02/25/48 (b),(e),(f) | 813,641 | 684,932 | ||||||||
Series 2018-3, Class B4, 3.76%, 03/25/48 (b),(e),(f) | 642,000 | 534,093 | ||||||||
Series 2018-5, Class B4, 3.93%, 05/25/48 (b),(e),(f) | 649,000 | 556,800 | ||||||||
Series 2018-8, Class B4, 4.27%, 11/25/48 (b),(e),(f) | 693,000 | 624,564 | ||||||||
Series 2019-1, Class B4, 4.41%, 02/25/49 (b),(e),(f) | 319,000 | 292,816 | ||||||||
Series 2019-2, Class B4, 4.24%, 06/25/49 (b),(e),(f) | 306,000 | 273,827 | ||||||||
Series 2019-3, Class B4, 4.08%, 09/25/49 (b),(e),(f) | 356,000 | 309,836 | ||||||||
STACR Trust, | ||||||||||
Series 2014-DN4, Class M3, 1 mo. USD LIBOR + 4.55%, 4.70%, 10/25/24 (b),(c),(f) | 2,724,138 | 2,773,513 | ||||||||
Series 2015-DN1, Class M3, 1 mo. USD LIBOR + 4.15%, 4.30%, 01/25/25 (b),(c),(f) | 3,702,386 | 3,720,898 | ||||||||
Series 2016-DNA1, Class M3, 1 mo. USD LIBOR + 5.55%, | 6,516,785 | 6,891,500 | ||||||||
Series 2016-DNA2, Class M3, 1 mo. USD LIBOR + 4.65%, | 8,800,815 | 9,141,847 | ||||||||
Series 2016-DNA3, Class M3, 1 mo. USD LIBOR + 5.00%, | 3,223,074 | 3,354,012 | ||||||||
STACR Trust, | ||||||||||
Series 2018-DNA2, Class M2AI, 1.50%, 12/25/30 (b),(c),(e),(h) | 7,780,200 | 114,447 | ||||||||
Series 2018-DNA2, Class M2B, 1 mo. USD LIBOR + 2.15%, | 10,364,000 | 9,562,407 | ||||||||
Series 2018-DNA3, Class M2B, 2.25%, 09/25/48 (b),(c),(e),(f) | 9,189,500 | 8,511,774 |
See Notes to Consolidated Financial Statements.
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September 30, 2020 (Unaudited)
Security Description | Principal Amount | Value | ||||||||
Series 2018-HRP1, Class M2, 1 mo. USD LIBOR + 1.65%, | $ | 421,253 | $ | 404,930 | ||||||
Series 2018-HRP1, Class B1, 1 mo. USD LIBOR + 3.75%, | 623,000 | 585,620 | ||||||||
Series 2018-HRP2, Class M3AI, 1.75%, 02/25/47 (b),(e),(h) | 1,358,000 | 34,184 | ||||||||
Series 2018-HRP2, Class M3B, 2.55%, 02/25/47 (b),(e),(f) | 1,697,500 | 1,515,019 | ||||||||
Series 2018-HRP2, Class B1, 1 mo. USD LIBOR + 4.20%, | 5,461,000 | 4,764,722 | ||||||||
Starwood Mortgage Residential, | 930,000 | 934,335 | ||||||||
Structured Adjustable Rate Mortgage Loan Trust, | 1,711,872 | 1,277,984 | ||||||||
Verus Securitization Trust, | ||||||||||
Series 2019-1, Class B1, 5.31%, 02/25/59 (b),(e),(f) | 1,037,000 | 1,041,291 | ||||||||
Series 2019-INV1 SEQ, Class B1, 4.99%, 12/25/59 (b),(e) | 271,000 | 270,493 | ||||||||
WaMu Mortgage Pass-Through Certificates Trust, | ||||||||||
Series 2005-AR14, Class 1A3, 3.68%, 12/25/35 (b),(f) | 342,352 | 330,649 | ||||||||
Series 2006-AR17, Class 1A, 12 mo. MTA + .82%, 1.99%, 12/25/46 (b),(f) | 6,054,791 | 5,028,110 | ||||||||
Washington Mutual Mortgage Pass-Through Certificates, Series 2006-AR10, Class A1, 1 mo. USD LIBOR + .10%, 0.25%, 12/25/36 (b),(c),(f) | 534,109 | 353,022 | ||||||||
Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2007-HY1 Trust, | ||||||||||
Series 2007-HY1, Class A2A, 1 mo. USD LIBOR + .16%, 0.31%, 02/25/37 (b),(f) | 1,347,544 | 1,108,169 | ||||||||
Series 2007-HY1, Class A3A, 1 mo. USD LIBOR + .23%, 0.38%, 02/25/37 (b),(f) | 3,919,157 | 3,273,652 | ||||||||
|
| |||||||||
493,617,551 | ||||||||||
|
| |||||||||
Commercial Mortgage-Backed Securities — 8.4% | ||||||||||
Ashford Hospitality Trust, | ||||||||||
Series 2018-ASHF, Class E, 1 mo. USD LIBOR + 3.10%, | 5,900,000 | 5,030,659 | ||||||||
Series 2018-KEYS, Class D, 1 mo. USD LIBOR + 2.75%, 2.90%, 06/15/35 (b),(e),(f) | 102,000 | 86,701 |
See Notes to Consolidated Financial Statements.
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September 30, 2020 (Unaudited)
Security Description | Principal Amount | Value | ||||||||
BAMLL Commercial Mortgage Securities Trust, | ||||||||||
Series 2019-BPR, Class ENM, 3.72%, 11/05/32 (b),(c),(e),(f) | $ | 3,000,000 | $ | 1,886,757 | ||||||
Series 2019-BPR, Class EMP, 3.89%, 11/05/32 (b),(c),(e),(f) | 8,817,000 | 6,445,042 | ||||||||
Series 2019-BPR, Class FMP, 3.89%, 11/05/32 (b),(c),(e),(f) | 4,408,000 | 2,748,617 | ||||||||
Banc of America Merrill Lynch Mortgage Trust, | ||||||||||
Series 2019-AHT, Class D, 1 mo. USD LIBOR + 2.50%, 2.65%, 03/15/34 (b),(c),(e),(f) | 9,757,897 | 8,440,581 | ||||||||
Series 2019-AHT, Class E, 1 mo. USD LIBOR + 3.20%, 3.35%, 03/15/34 (b),(c),(e),(f) | 7,000,000 | 5,880,000 | ||||||||
Bancorp Commercial Mortgage Trust, | 2,132,000 | 2,005,310 | ||||||||
BANK, Series 2017-BNK8 SEQ, Class A4, 3.49%, 11/15/50 (b) | 4,200,000 | 4,761,053 | ||||||||
BBCMS Trust, | 2,000,000 | �� | 1,742,500 | |||||||
Bear Stearns Commercial Mortgage Securities Trust, | ||||||||||
Series 2005-PWR9, Class F, 5.23%, 09/11/42 (c),(e),(f) | 6,586,259 | 6,297,840 | ||||||||
Series 2006-PW13, Class D, 5.75%, 09/11/41 (e),(f) | 804,504 | 728,399 | ||||||||
Series 2007-PW16, Class C, 5.93%, 06/11/40 (c),(e),(f) | 3,125,235 | 2,887,320 | ||||||||
Series 2007-PW18, Class B, 6.69%, 06/11/50 (c),(e),(f) | 6,394,786 | 5,667,060 | ||||||||
Benchmark Mortgage Trust, | 172,000 | 159,432 | ||||||||
BHMS, | 4,500,000 | 4,083,750 | ||||||||
BX Trust, | ||||||||||
Series 2017-SLCT, Class E, 1 mo. USD LIBOR + 3.15%, 3.30%, 07/15/34 (b),(c),(e),(f) | 6,800,000 | 6,601,705 | ||||||||
Series 2017-SLCT, Class F, 1 mo. USD LIBOR + 4.25%, 4.40%, 07/15/34 (b),(c),(e),(f) | 3,400,000 | 3,074,916 | ||||||||
Series 2018-EXCL, Class C, 1 mo. USD LIBOR + 1.98%, 2.13%, 09/15/37 (c),(e),(f) | 12,268,100 | 9,706,570 |
See Notes to Consolidated Financial Statements.
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September 30, 2020 (Unaudited)
Security Description | Principal Amount | Value | ||||||||
Series 2018-GW, Class F, 1 mo. USD LIBOR + 2.42%, 2.57%, 05/15/35 (b),(e),(f) | $ | 106,000 | $ | 95,665 | ||||||
BXP Trust, | 5,000,000 | 3,742,060 | ||||||||
CFCRE Commercial Mortgage Trust, | ||||||||||
Series 2016-C6, Class D, 4.35%, 11/10/49 (b),(c),(e),(f) | 3,266,000 | 2,090,861 | ||||||||
Series 2017-C8, Class E, 3.22%, 06/15/50 (b),(c),(e) | 3,110,000 | 1,795,714 | ||||||||
CHC Commercial Mortgage Trust, | 6,969,924 | 6,228,470 | ||||||||
CHT Mortgage Trust, | ||||||||||
Series 2017-CSMO, Class A, 1 mo. USD LIBOR + .93%, | 3,000,000 | 2,881,122 | ||||||||
Series 2017-CSMO, Class E, 1 mo. USD LIBOR + 3.00%, | 4,679,000 | 4,374,865 | ||||||||
Series 2017-CSMO, Class F, 1 mo. USD LIBOR + 3.74%, | 8,000,000 | 7,380,000 | ||||||||
Citigroup Commercial Mortgage Trust, | ||||||||||
Series 2006-C4, Class C, 6.40%, 03/15/49 (f) | 1,856,534 | 1,841,012 | ||||||||
Series 2012-GC8, Class D, 5.04%, 09/10/45 (b),(e),(f) | 926,000 | 769,394 | ||||||||
Series 2014-GC25, Class D, 3.55%, 10/10/47 (b),(c),(e) | 9,000,000 | 7,244,415 | ||||||||
Series 2015-GC27, Class D, 4.57%, 02/10/48 (c),(e),(f) | 5,980,677 | 4,786,396 | ||||||||
Series 2015-GC29, Class D, 3.11%, 04/10/48 (b),(c),(e) | 4,286,000 | 3,741,134 | ||||||||
Series 2015-GC31, Class D, 4.19%, 06/10/48 (b),(f),(g) | 1,850,000 | 1,465,329 | ||||||||
Series 2016-C3, Class D, 3.00%, 11/15/49 (b),(e) | 1,826,000 | 1,137,530 | ||||||||
Series 2018-B2 SEQ, Class A4, 4.01%, 03/10/51 (b) | 2,060,000 | 2,397,994 | ||||||||
Series 2019-C7, Class E, 2.75%, 12/15/72 (b),(e),(f) | 697,000 | 526,735 | ||||||||
Series 2019-PRM, Class E, 4.89%, 05/10/36 (b),(e),(f) | 3,250,000 | 3,334,822 | ||||||||
COBALT CMBS Commercial Mortgage Trust, | 6,295,591 | 5,875,021 |
See Notes to Consolidated Financial Statements.
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September 30, 2020 (Unaudited)
Security Description | Principal Amount | Value | ||||||||
Colony Mortgate Capital Trust, | $ | 5,500,000 | $ | 4,647,500 | ||||||
COMM Mortgage Trust, | ||||||||||
Series 2014-CR14, Class D, 4.62%, 02/10/47 (b),(e),(f) | 591,000 | 514,368 | ||||||||
Series 2014-CR18, Class D, 4.88%, 07/15/47 (b),(e),(f) | 2,111,000 | 1,969,588 | ||||||||
Series 2014-CR21, Class E, 3.00%, 12/10/47 (e) | 1,686,000 | 941,014 | ||||||||
Series 2015-CR27, Class E, 3.25%, 10/10/48 (b),(e) | 1,885,000 | 1,259,587 | ||||||||
Series 2015-LC19, Class D, 2.87%, 02/10/48 (e) | 5,000,000 | 4,446,425 | ||||||||
Series 2015-PC1, Class C, 4.58%, 07/10/50 (f) | 5,022,634 | 4,620,547 | ||||||||
Series 2019-GC44, Class 180C, 3.51%, 08/15/57 (b),(e),(f) | 334,000 | 278,205 | ||||||||
Series 2019-GC44, Class 180D, 3.51%, 08/15/57 (b),(e),(f) | 227,000 | 184,981 | ||||||||
Commercial Mortgage Trust, | ||||||||||
Series 2015-CR22, Class E, 3.00%, 03/10/48 (b),(e) | 239,000 | 161,547 | ||||||||
Series 2015-CR23, Class E, 3.23%, 05/10/48 (b),(c),(e) | 4,668,000 | 3,205,847 | ||||||||
Series 2015-CR23, Class D, 4.43%, 05/10/48 (b),(f) | 2,247,000 | 1,892,032 | ||||||||
Series 2015-CR25, Class D, 3.94%, 08/10/48 (b),(f) | 432,000 | 370,347 | ||||||||
Series 2015-CR27, Class D, 3.60%, 10/10/48 (b),(c),(e),(f) | 2,955,000 | 2,539,435 | ||||||||
Series 2015-LC21, Class D, 4.34%, 07/10/48 (b),(f) | 1,010,000 | 833,666 | ||||||||
Series 2016-CD1, Class D, 2.90%, 08/10/49 (b),(e),(f) | 2,075,000 | 1,568,920 | ||||||||
Commerical Mortgage Trust, | 4,691,174 | 3,843,460 | ||||||||
CORE Mortgage Trust, | 6,358,000 | 5,923,787 | ||||||||
Credit Suisse Commercial Mortgage Trust, | 5,111,908 | 4,677,396 | ||||||||
Credit Suisse Mortgage Capital Certificates, | 5,000,000 | 4,931,250 |
See Notes to Consolidated Financial Statements.
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September 30, 2020 (Unaudited)
Security Description | Principal Amount | Value | ||||||||
CSAIL Commercial Mortgage Trust, | ||||||||||
Series 2015-C2, Class D, 4.33%, 06/15/57 (b),(f),(g) | $ | 1,282,000 | $ | 631,905 | ||||||
Series 2015-C3, Class D, 3.49%, 08/15/48 (b),(f),(g) | 3,139,000 | 1,648,446 | ||||||||
Series 2015-C4, Class F, 3.50%, 11/15/48 (b),(c),(e),(f) | 5,568,000 | 3,629,913 | ||||||||
Series 2018-CX11, Class D, 2.75%, 04/15/51 (b),(e),(f) | 604,000 | 487,776 | ||||||||
Series 2019-C17, Class D, 2.50%, 09/15/52 (b),(e) | 1,409,000 | 1,061,242 | ||||||||
DBWF Mortgage Trust, | 2,202,000 | 1,673,991 | ||||||||
FREMF Mortgage Trust, | ||||||||||
Series 2019-K102, Class C, 3.65%, 12/25/51 (b),(e),(f) | 479,000 | 485,403 | ||||||||
Series 2019-K95, Class C, 4.05%, 08/25/52 (b),(e),(f) | 1,882,000 | 1,930,059 | ||||||||
Series 2019-K96, Class C, 3.94%, 08/25/56 (b),(e),(f),(g) | 3,697,000 | 3,872,397 | ||||||||
Series 2019-K97, Class C, 3.89%, 09/25/51 (b),(e),(f) | 1,559,000 | 1,591,730 | ||||||||
GE Commercial Mortgage Corp., | 9,352,870 | 4,558,589 | ||||||||
GS Mortgage Securities Corp. II, | ||||||||||
Series 2012-TMSQ, Class D, 3.46%, 12/10/30 (b),(e),(f) | 1,000,000 | 857,857 | ||||||||
Series 2013-GC10, Class E, 4.55%, 02/10/46 (b),(c),(e),(f) | 3,900,000 | 3,095,313 | ||||||||
Series 2017-GS8 SEQ, Class A4, 3.47%, 11/10/50 (b) | 1,100,000 | 1,251,678 | ||||||||
Series 2017-SLP, Class E, 4.59%, 10/10/32 (b),(c),(e),(f) | 5,000,000 | 4,637,675 | ||||||||
Series 2018-GS10, Class E, 3.00%, 07/10/51 (b),(e),(f) | 1,379,000 | 1,111,644 | ||||||||
GS Mortgage Securities Corp. Trust, | 7,400,000 | 6,771,000 | ||||||||
GS Mortgage Securities Trust, | ||||||||||
Series 2014-GC20, Class D, 5.13%, 04/10/47 (b),(e),(f) | 1,199,911 | 783,287 | ||||||||
Series 2014-GC20, Class C, 5.13%, 04/10/47 (b),(f) | 1,358,000 | 1,188,337 |
See Notes to Consolidated Financial Statements.
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September 30, 2020 (Unaudited)
Security Description | Principal Amount | Value | ||||||||
Series 2014-GC24, Class C, 4.66%, 09/10/47 (b),(f) | $ | 303,000 | $ | 248,918 | ||||||
Series 2016-GS2, Class D, 2.75%, 05/10/49 (b),(e) | 1,415,000 | 1,039,831 | ||||||||
Series 2017-GS8, Class D, 2.70%, 11/10/50 (b),(e) | 1,593,000 | 1,293,906 | ||||||||
Harvest Commercial Capital Loan Trust, | ||||||||||
Series 2019-1, Class M4, 4.64%, 09/25/46 (b),(e),(f) | 1,290,000 | 975,511 | ||||||||
Series 2019-1, Class M5, 5.73%, 09/25/46 (b),(e),(f) | 1,944,000 | 1,334,187 | ||||||||
Hawaii Hotel Trust, Series 2019-MAUI, Class F, 1 mo. USD LIBOR + 2.75%, | 17,654,000 | 14,917,630 | ||||||||
Hilton Orlando Trust, Series 2018-ORL, Class E, 1 mo. USD LIBOR + 2.65%, 2.80%, 12/15/34 (b),(c),(e),(f) | 5,202,000 | 4,447,710 | ||||||||
Hilton USA Trust, Series 2016-HHV, Class F, 4.19%, 11/05/38 (b),(c),(e),(f) | 20,134,000 | 18,096,640 | ||||||||
IMT Trust, Series 2017-APTS, Class FFX, 3.61%, 06/15/34 (b),(e),(f) | 625,000 | 557,880 | ||||||||
J.P. Morgan Chase Commercial Mortgage SecuritiesTrust, | 6,000,000 | 5,259,468 | ||||||||
JP Morgan Chase Commercial Mortgage Securities Corp., | ||||||||||
Series 2019-MARG, Class E, 1 mo. USD LIBOR + 2.50%, | 3,258,000 | 3,028,405 | ||||||||
Series 2020-NNNZ SEQ, Class M, 8.54%, 01/16/37 (c),(e) | 4,329,188 | 3,325,250 | ||||||||
JP Morgan Chase Commercial Mortgage Securities Trust, | ||||||||||
Series 2003-CB7, Class H, 6.04%, 01/12/38 (c),(e),(f) | 4,065,178 | 4,127,339 | ||||||||
Series 2006-CB15, Class AM, 5.86%, 06/12/43 (c),(f) | 2,698,476 | 2,508,684 | ||||||||
Series 2007-CB20, Class D, 6.37%, 02/12/51 (e),(f) | 1,263,444 | 1,131,112 | ||||||||
Series 2017-FL11, Class D, 1 mo. USD LIBOR + 2.14%, 2.29%, 10/15/32 (e),(f) | 4,486,458 | 4,084,898 |
See Notes to Consolidated Financial Statements.
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September 30, 2020 (Unaudited)
Security Description | Principal Amount | Value | ||||||||
Series 2018-ASH8, Class E, 1 mo. USD LIBOR + 3.00%, | $ | 17,190,000 | $ | 13,013,019 | ||||||
Series 2018-WPT, Class FFX, 5.54%, 07/05/33 (b),(c),(e) | 4,570,000 | 4,348,008 | ||||||||
JPMBB Commercial Mortgage Securities Trust, | ||||||||||
Series 2015-C28, Class D, 3.79%, 10/15/48 (b),(c),(e),(f) | 5,074,000 | 3,661,891 | ||||||||
Series 2015-C29, Class D, 3.85%, 05/15/48 (b),(f) | 112,000 | 90,657 | ||||||||
Series 2015-C30, Class D, 3.91%, 07/15/48 (b),(c),(f),(g) | 4,924,500 | 3,150,794 | ||||||||
Series 2015-C30, Class C, 4.41%, 07/15/48 (b),(f),(g) | 11,768,000 | 10,769,156 | ||||||||
Series 2015-C31, Class E, 4.77%, 08/15/48 (b),(e),(f) | 1,093,000 | 742,653 | ||||||||
Series 2016-C1, Class E, 4.89%, 03/15/49 (b),(c),(e),(f) | 3,116,000 | 2,216,242 | ||||||||
JPMDB Commercial Mortgage Securities Trust, | 4,950,000 | 5,606,613 | ||||||||
KKR Industrial Portfolio Trust, | 4,901,505 | 4,827,982 | ||||||||
LB-UBS Commercial Mortgage Trust, | ||||||||||
Series 2005-C3, Class G, 5.11%, 07/15/40 (c),(e),(f) | 5,250,000 | 4,937,667 | ||||||||
Series 2006-C1, Class C, 5.34%, 02/15/41 (c),(f) | 5,200,821 | 3,120,493 | ||||||||
Series 2007-C6, Class AJ, 6.45%, 07/15/40 (c),(f) | 4,208,918 | 3,924,572 | ||||||||
LSTAR Commercial Mortgage Trust, | 967,000 | 884,941 | ||||||||
Morgan Stanley Bank of America Merrill Lynch Trust, | ||||||||||
Series 2012-C5 SEQ, Class G, 4.50%, 08/15/45 (b),(c),(e) | 8,330,000 | 6,641,659 | ||||||||
Series 2014-C15, Class F, 4.00%, 04/15/47 (e) | 2,000,000 | 1,330,200 | ||||||||
Series 2014-C15, Class E, 5.07%, 04/15/47 (b),(c),(e),(f) | 6,000,000 | 4,784,064 | ||||||||
Series 2014-C15, Class D, 5.07%, 04/15/47 (b),(e),(f) | 2,270,000 | 2,015,690 | ||||||||
Series 2015-C20, Class D, 3.07%, 02/15/48 (b),(c),(e) | 3,659,000 | 3,155,997 | ||||||||
Series 2015-C21, Class D, 4.28%, 03/15/48 (b),(c),(e),(f) | 4,754,000 | 3,112,016 |
See Notes to Consolidated Financial Statements.
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September 30, 2020 (Unaudited)
Security Description | Principal Amount | Value | ||||||||
Series 2015-C22, Class D, 4.37%, 04/15/48 (b),(e),(f) | $ | 870,000 | $ | 544,402 | ||||||
Series 2016-C29, Class D, 3.00%, 05/15/49 (b),(e) | 2,517,000 | 1,698,167 | ||||||||
Series 2016-C30, Class D, 3.00%, 09/15/49 (b),(e),(f) | 1,323,000 | 750,757 | ||||||||
Series 2016-C31, Class D, 3.00%, 11/15/49 (b),(e),(f) | 2,354,000 | 1,399,215 | ||||||||
Series 2016-C32, Class D, 3.40%, 12/15/49 (b),(e),(f) | 991,000 | 629,727 | ||||||||
Series 2017-C34 SEQ, Class A4, 3.54%, 11/15/52 (b) | 2,907,303 | 3,284,677 | ||||||||
Morgan Stanley Capital I Trust, | ||||||||||
Series 2006-HQ8, Class D, 5.79%, 03/12/44 (f) | 476,957 | 475,070 | ||||||||
Series 2016-UB11, Class E, 2.82%, 08/15/49 (b),(c),(e),(f) | 3,200,500 | 1,671,115 | ||||||||
Series 2016-UB12, Class D, 3.31%, 12/15/49 (b),(e) | 1,761,000 | 668,884 | ||||||||
Motel 6 Trust, Series 2017-MTL6, Class E, 1 mo. USD LIBOR + 3.25%, | 379,558 | 367,222 | ||||||||
Natixis Commercial Mortgage Securities Trust, | ||||||||||
Series 2018-RIVA, Class D, 1 mo. USD LIBOR + 2.05%, 2.20%, 02/15/33 (b),(e),(f) | 250,000 | 209,305 | ||||||||
Series 2019-MILE, Class D, 1 mo. USD LIBOR + 2.75%, 2.90%, 07/15/36 (b),(e),(f) | 102,000 | 97,219 | ||||||||
Series 2019-MILE, Class E, 1 mo. USD LIBOR + 3.50%, 3.65%, 07/15/36 (b),(e),(f) | 105,000 | 98,437 | ||||||||
New Orleans Hotel Trust, Series 2019-HNLA, Class E, 1 mo. USD LIBOR + 2.69%, 2.84%, 04/15/32 (b),(e),(f) | 1,301,000 | 1,092,840 | ||||||||
Palisades Center Trust, Series 2016-PLSD, Class D, 4.74%, 04/13/33 (b),(c),(e) | 6,907,000 | 2,072,100 | ||||||||
Prima Capital CRE Securitization Ltd., | ||||||||||
Series 2019-RK1, Class DD, 3.50%, 04/15/38 (b),(e) | 1,648,000 | 1,408,941 | ||||||||
Series 2019-RK1, Class CG, 4.00%, 04/15/38 (b),(e) | 339,000 | 283,587 | ||||||||
Series 2019-RK1, Class BT, 4.45%, 04/15/38 (b),(e) | 1,173,000 | 1,020,248 | ||||||||
Series 2019-RK1, Class CT, 4.45%, 04/15/38 (b),(e) | 121,000 | 97,315 | ||||||||
ReadyCap Commercial Mortgage Trust, | ||||||||||
Series 2019-6, Class C, 4.13%, 10/25/52 (b),(e),(f) | 1,691,000 | 1,524,225 |
See Notes to Consolidated Financial Statements.
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September 30, 2020 (Unaudited)
Security Description | Principal Amount | Value | ||||||||
Series 2019-6, Class D, 4.93%, 10/25/52 (b),(e),(f) | $ | 227,000 | $ | 200,163 | ||||||
Series RR Trust, Series 2015-1, Class B, 0.00%, 04/26/48 (b),(c),(e),(j) | 3,595,000 | 2,866,984 | ||||||||
SG Commercial Mortgage Securities Trust, | ||||||||||
Series 2016-C5, Class D, 5.00%, 10/10/48 (b),(e),(f) | 295,000 | 231,666 | ||||||||
Series 2019-PREZ, Class E, 3.59%, 09/15/39 (b),(e),(f) | 1,720,000 | 1,584,352 | ||||||||
Shelter Growth CRE Issuer Ltd., Series 2018-FL1, Class D, 1 mo. USD LIBOR + 3.00%, 3.15%, 01/15/35 (b),(c),(e),(f) | 4,158,000 | 3,894,458 | ||||||||
UBS Commercial Mortgage Trust, | ||||||||||
Series 2018-C9, Class D, 5.05%, 03/15/51 (b),(e),(f) | 308,000 | 299,017 | ||||||||
Series 2018-NYCH, Class F, 1 mo. USD LIBOR + 3.82%, 3.97%, 02/15/32 (b),(e),(f) | 798,000 | 686,280 | ||||||||
UBS-Citigroup Commercial Mortgage Trust, | 4,327,496 | 1,254,974 | ||||||||
Wachovia Bank Commercial Mortgage Trust, | ||||||||||
Series 2005-C21, Class E, 5.27%, 10/15/44 (c),(e),(f) | 1,477,075 | 1,330,401 | ||||||||
Series 2006-C28, Class D, 5.72%, 10/15/48 (c),(f) | 6,640,151 | 5,693,930 | ||||||||
Waldorf Astoria Boca Raton Trust, | 5,000,000 | 4,193,250 | ||||||||
Wells Fargo Commercial Mortgage Trust, | ||||||||||
Series 2014-LC18, Class D, 3.96%, 12/15/47 (b),(e),(f) | 992,000 | 834,951 | ||||||||
Series 2015-C26, Class D, 3.59%, 02/15/48 (b),(c),(e) | 4,512,000 | 2,919,936 | ||||||||
Series 2015-C27, Class D, 3.77%, 02/15/48 (b),(e),(g) | 6,903,000 | 4,252,407 | ||||||||
Series 2015-C31, Class D, 3.85%, 11/15/48 (b),(g) | 3,546,000 | 2,844,587 | ||||||||
Series 2015-LC20, Class E, 2.63%, 04/15/50 (b),(e) | 1,312,000 | 787,132 | ||||||||
Series 2015-LC20, Class D, 4.52%, 04/15/50 (b),(c),(e),(f) | 3,000,000 | 2,400,765 | ||||||||
Series 2015-LC22, Class D, 4.69%, 09/15/58 (f) | 1,500,000 | 1,180,915 | ||||||||
Series 2015-NXS2, Class C, 4.44%, 07/15/58 (b),(c),(f) | 9,557,000 | 8,413,658 |
See Notes to Consolidated Financial Statements.
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September 30, 2020 (Unaudited)
Security Description | Principal Amount | Value | ||||||||
Series 2015-NXS4, Class E, 3.82%, 12/15/48 (b),(e),(f),(g) | $ | 2,629,000 | $ | 1,814,654 | ||||||
Series 2016-C32, Class D, 3.79%, 01/15/59 (e),(f) | 2,100,000 | 1,659,937 | ||||||||
Series 2016-C34, Class D, 5.19%, 06/15/49 (c),(e),(f) | 2,749,162 | 1,625,068 | ||||||||
Series 2016-C34, Class C, 5.19%, 06/15/49 (c),(f) | 4,661,495 | 4,079,064 | ||||||||
Series 2016-LC24, Class D, 3.21%, 10/15/49 (b),(c),(e) | 4,253,000 | 3,734,891 | ||||||||
Series 2019-JWDR, Class E, 3.99%, 09/15/31 (b),(e),(f) | 1,978,000 | 1,707,220 | ||||||||
Series 2019-JWDR, Class F, 4.71%, 09/15/31 (b),(e),(f) | 2,291,000 | 1,927,906 | ||||||||
Series 2019-JWDR, Class G, 5.56%, 09/15/31 (b),(e),(f) | 2,067,000 | 1,716,896 | ||||||||
Series 2020-SOP, Class E, 1 mo. USD LIBOR + 2.71%, 2.86%, 01/15/35 (e),(f) | 1,250,000 | 1,143,750 | ||||||||
WFRBS Commercial Mortgage Trust, | ||||||||||
Series 2014-C19, Class D, 4.23%, 03/15/47 (b),(e) | 325,000 | 300,613 | ||||||||
Series 2014-C22, Class C, 3.91%, 09/15/57 (b),(f) | 1,525,000 | 1,430,085 | ||||||||
Series 2014-C22, Class D, 4.05%, 09/15/57 (b),(c),(e),(f) | 4,635,000 | 3,527,949 | ||||||||
Worldwide Plaza Trust, | 129,000 | 111,754 | ||||||||
|
| |||||||||
468,775,644 | ||||||||||
|
| |||||||||
Interest Only Commercial Mortgage-Backed Securities — 0.8% |
| |||||||||
CFK Trust, Series 2020-MF2, Class X, 1.24%, 03/15/39 (b),(c),(e),(f),(h) | 19,612,000 | 888,561 | ||||||||
Citigroup Commercial Mortgage Trust, | ||||||||||
Series 2015-GC29, Class XA, 1.18%, 04/10/48 (b),(f) | 15,881 | 627 | ||||||||
Series 2019-C7, Class XD, 1.33%, 12/15/72 (b),(c),(e),(f),(h) | 5,347,000 | 468,686 | ||||||||
Series 2019-GC43, Class XD, 0.74%, 11/10/52 (b),(c),(e),(f),(h) | 5,918,000 | 287,775 | ||||||||
Commercial Mortgage Trust, | ||||||||||
Series 2014-UBS4, Class XA, 1.10%, 08/10/47 (b),(c),(f),(h) | 16,843,000 | 560,855 | ||||||||
Series 2014-UBS5, Class XA, 1.03%, 09/10/47 (b),(c),(f),(h) | 3,068,123 | 86,773 |
See Notes to Consolidated Financial Statements.
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September 30, 2020 (Unaudited)
Security Description | Principal Amount | Value | ||||||||
CSAIL Commercial Mortgage Trust, | ||||||||||
Series 2015-C2, Class XA, 0.89%, 06/15/57 (b),(c),(f),(h) | $ | 37,130,081 | $ | 976,855 | ||||||
Series 2015-C3, Class XA, 0.90%, 08/15/48 (b),(c),(f),(h) | 111,235,017 | 3,261,299 | ||||||||
Series 2019-C18, Class XD, 1.58%, 12/15/52 (b),(c),(e),(f),(h) | 4,452,333 | 473,323 | ||||||||
DC Office Trust, Series 2019-MTC, Class X, 0.21%, 09/15/45 (b),(c),(e),(f),(h) | 64,579,000 | 757,835 | ||||||||
Federal Home Loan Mortgage Corp., | ||||||||||
Series K-1514, Class X3, 2.86%, 10/25/34 (b),(c),(f),(h) | 13,043,739 | 3,545,510 | ||||||||
Series K049, Class X3, 1.60%, 10/25/43 (b),(f),(h) | 2,177,000 | 140,120 | ||||||||
Series K061, Class X1, 0.30%, 11/25/26 (b),(c),(f),(h) | 17,878,594 | 191,498 | ||||||||
Series K071, Class X1, 0.42%, 11/25/27 (b),(c),(f),(h) | 89,154,916 | 1,662,917 | ||||||||
Series K089, Class X3, 2.37%, 01/25/46 (b),(c),(f),(h) | 7,963,000 | 1,292,140 | ||||||||
Series K095, Class X3, 2.17%, 08/25/47 (b),(c),(f),(h) | 9,297,000 | 1,415,980 | ||||||||
Series K102, Class X3, 1.96%, 12/25/46 (b),(c),(f),(h) | 20,880,337 | 2,945,986 | ||||||||
Series K105, Class X3, 2.04%, 06/25/30 (b),(c),(f),(h) | 8,413,000 | 1,232,075 | ||||||||
Series K154, Class X1, 0.44%, 11/25/32 (b),(c),(f),(h) | 33,042,971 | 931,547 | ||||||||
Series K725, Class X1, 0.84%, 01/25/24 (b),(c),(f),(h) | 141,720,456 | 2,836,393 | ||||||||
Series KG01, Class X3, 3.23%, 05/25/29 (b),(c),(f),(h) | 9,477,000 | 2,105,022 | ||||||||
Series KLU1, Class X3, 4.10%, 01/25/31 (b),(c),(f),(h) | 25,165,523 | 4,558,307 | ||||||||
Series KLU2, Class X1, 1.16%, 08/25/29 (b),(c),(f),(h) | 63,899,844 | 3,720,313 | ||||||||
Series KLU2, Class X3, 4.10%, 08/25/29 (b),(c),(f),(h) | 9,490,648 | 2,230,521 | ||||||||
Series KS11, Class XFX, 1.76%, 06/25/29 (b),(c),(f),(h) | 25,265,000 | 2,819,624 | ||||||||
Series KW08, Class X3, 3.29%, 10/25/31 (b),(c),(f),(h) | 6,701,000 | 1,421,483 | ||||||||
Series KW09, Class X3, 3.11%, 06/25/29 (b),(c),(f),(h) | 6,654,000 | 1,410,502 |
See Notes to Consolidated Financial Statements.
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September 30, 2020 (Unaudited)
Security Description | Principal Amount | Value | ||||||||||
Series KW10, Class X3, 2.81%, 10/25/32 (b),(c),(f),(h) | $ | 5,935,000 | $ | 1,144,814 | ||||||||
Federal National Mortgage Association, | ||||||||||||
Series 2017-C03, Class 1X2, 1.80%, 10/25/29 (b),(c),(h) | 12,556,135 | 306,834 | ||||||||||
Series 2018-C01, Class 1X2, 1.40%, 07/25/30 (b),(c),(h) | 29,484,108 | 233,426 | ||||||||||
FRESB Mortgage Trust, | 19,076,000 | 1,840,968 | ||||||||||
GS Mortgage Securities Corp. Trust, | 15,243,000 | 29,007 | ||||||||||
GS Mortgage Securities Trust, | 2,219,000 | 200,209 | ||||||||||
JPMDB Commercial Mortgage Securities Trust, | 4,231,000 | 449,848 | ||||||||||
MFT Trust, Series 2020-ABC, Class XA, 0.12%, 02/10/42 (b),(c),(e),(f),(h) | 20,401,000 | 337,453 | ||||||||||
STACR Trust, Series 2018-DNA3, Class M2AI, 1.50%, 09/25/48 (b),(c),(e),(h) | 7,351,600 | 93,880 | ||||||||||
|
| |||||||||||
46,858,966 | ||||||||||||
|
| |||||||||||
Total North America |
| 1,009,252,161 | ||||||||||
|
| |||||||||||
TOTAL MORTGAGE-BACKED SECURITIES |
| 1,025,983,197 | ||||||||||
|
| |||||||||||
U.S. GOVERNMENT SPONSORED AGENCY SECURITIES — 0.3% |
| |||||||||||
North America — 0.3% | ||||||||||||
Inverse Interest Only Collateralized Mortgage Obligations — 0.3% |
| |||||||||||
Government National Mortgage Association, | ||||||||||||
Series 2015-151, Class SC, 1 mo. USD LIBOR + 6.15%, 5.99%, 10/20/45 (b),(f),(h) | 6,394,085 | 1,303,345 | ||||||||||
Series 2015-161, Class AS, 1 mo. USD LIBOR + 6.20%, 6.04%, 11/20/45 (b),(f),(h) | 6,192,140 | 1,464,763 | ||||||||||
Series 2016-5, Class QS, 1 mo. USD LIBOR + 6.20%, 6.04%, 01/20/46 (b),(f),(h) | 9,768,109 | 2,122,483 | ||||||||||
Series 2017-114, Class SP, 1 mo. USD LIBOR + 6.20%, 6.04%, 07/20/47 (b),(f),(h) | 5,859,027 | 1,027,744 | ||||||||||
Series 2017-117, Class SA, 1 mo. USD LIBOR + 6.20%, 6.04%, 08/20/47 (b),(f),(h) | 6,463,587 | 1,446,363 |
See Notes to Consolidated Financial Statements.
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September 30, 2020 (Unaudited)
Security Description | Principal Amount | Value | ||||||||||
Series 2017-156, Class SB, 1 mo. USD LIBOR + 6.20%, 6.04%, 10/20/47 (b),(f),(h) | $ | 6,894,612 | $ | 1,411,079 | ||||||||
Series 2017-56, Class AS, 1 mo. USD LIBOR + 6.15%, 5.99%, 04/20/47 (b),(f),(h) | 5,877,340 | 1,204,073 | ||||||||||
Series 2017-73, Class SM, 1 mo. USD LIBOR + 6.20%, 6.04%, 05/20/47 (b),(f),(h) | 6,113,105 | 1,278,183 | ||||||||||
Series 2018-48, Class SA, 1 mo. USD LIBOR + 6.20%, 6.04%, 04/20/48 (b),(f),(h) | 8,312,432 | 1,809,010 | ||||||||||
Series 2018-65, Class PS, 1 mo. USD LIBOR + 6.15%, 5.99%, 05/20/48 (b),(f),(h) | 6,356,330 | 1,083,354 | ||||||||||
Series 2018-93, Class SA, 1 mo. USD LIBOR + 6.20%, 6.04%, 07/20/48 (b),(f),(h) | 5,421,346 | 759,747 | ||||||||||
|
| |||||||||||
14,910,144 | ||||||||||||
|
| |||||||||||
Total North America |
| 14,910,144 | ||||||||||
|
| |||||||||||
TOTAL U.S. GOVERNMENT SPONSORED AGENCY SECURITIES |
| 14,910,144 | ||||||||||
|
| |||||||||||
MUNICIPALS — 0.5% | ||||||||||||
North America — 0.5% | ||||||||||||
California Housing Finance, Rev., | 15,277,600 | 305,857 | ||||||||||
Puerto Rico, | ||||||||||||
GO, Series 2012 A, (REF-PUBLIC IMPT-SER A),, 5.00%, 07/01/41 (c),(n) | 5,505,000 | 3,468,150 | ||||||||||
GO, Series 2012 A, (REF-PUBLIC IMPT-SER A),, 5.50%, 07/01/39 (c),(n) | 3,740,000 | 2,477,750 | ||||||||||
GO, Series 2014 A, (SER A),, 8.00%, 07/01/35 (c),(n) | 32,250,000 | 20,478,750 | ||||||||||
|
| |||||||||||
Total North America |
| 26,730,507 | ||||||||||
|
| |||||||||||
TOTAL MUNICIPALS |
| 26,730,507 | ||||||||||
|
| |||||||||||
Security Description | Shares | Value | ||||||||||
EXCHANGE-TRADED FUNDS — 0.1% | ||||||||||||
Invesco Emerging Markets Sovereign Debt ETF (b) | 4,662 | 126,433 | ||||||||||
iShares Core MSCI Emerging Markets ETF (b) | 30,691 | 1,620,485 | ||||||||||
SPDR Dow Jones International Real Estate ETF (b),(c) | 27,250 | 809,597 | ||||||||||
Vanguard Emerging Markets Government Bond ETF (b) | 1,375 | 108,488 | ||||||||||
Vanguard FTSE Emerging Markets ETF (b) | 36,544 | 1,580,163 |
See Notes to Consolidated Financial Statements.
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September 30, 2020 (Unaudited)
Security Description | Shares | Value | ||||||||||
Vanguard Global ex-U.S. Real Estate ETF (a),(b),(c) | 29,423 | $ | 1,430,252 | |||||||||
Vanguard Real Estate ETF (b),(c) | 7,077 | 558,800 | ||||||||||
|
| |||||||||||
TOTAL EXCHANGE-TRADED FUNDS |
| 6,234,218 | ||||||||||
|
| |||||||||||
WARRANTS — 0.2% | ||||||||||||
Amplitude Healthcare Acquisition Corp. (a),(b) | 150,000 | 186,000 | ||||||||||
Apex Technology Acquisition Corp., Class A (a),(b) | 517,639 | 1,009,396 | ||||||||||
ARYA Sciences Acquisition Corp. (a),(b) | 64,986 | 120,224 | ||||||||||
Ascendant Digital Acquisition Corp. (a),(b) | 266,000 | 393,680 | ||||||||||
Bespoke Capital Acquisition Corp. (a),(b) | 375,000 | 288,750 | ||||||||||
CC Neuberger Principal Holdings I (a),(b) | 247,000 | 444,600 | ||||||||||
CHP Merger Corp., Class A (a),(b) | 291,000 | 378,300 | ||||||||||
Churchill Capital Corp. II (a),(b) | 264,055 | 576,538 | ||||||||||
CIIG Merger Corp., Class A (a),(b) | 43,254 | 37,198 | ||||||||||
Crescent Acquisition Corp. (a),(b) | 375,000 | 315,000 | ||||||||||
Experience Investment Corp. (a),(b) | 275,000 | 338,250 | ||||||||||
FinServ Acquisition Corp. (a),(b) | 166,667 | 153,334 | ||||||||||
Foley Trasimene Acquisition Corp., Class A (a),(b) | 194,000 | 438,440 | ||||||||||
Galileo Acquisition Corp. (a),(b) | 342,155 | 212,033 | ||||||||||
GigCapital2, Inc. (a),(b) | 500,000 | 455,000 | ||||||||||
Haymaker Acquisition Corp. II, Class A (a),(b) | 399,373 | 403,367 | ||||||||||
Jaws Acquisition Corp., Class A (a),(b) | 200,000 | 424,000 | ||||||||||
Juniper Industrial Holdings, Inc. (a),(b) | 298,682 | 516,720 | ||||||||||
LIV Capital Acquisition Corp. (a),(b) | 210,000 | 98,700 | ||||||||||
Monocle Acquisition Corp. (a),(b) | 77,774 | 38,809 | ||||||||||
New Providence Acquisition Corp., Class A (a),(b) | 300,000 | 372,000 | ||||||||||
Osprey Technology Acquisition Corp. (a),(b) | 474,375 | 664,125 | ||||||||||
SC Health Corp. (a),(b) | 123,794 | 123,794 | ||||||||||
SCVX Corp., Class A (a),(b) | 214,286 | 321,386 | ||||||||||
Silver Spike Acquisition Corp. (a),(b) | 375,000 | 228,750 | ||||||||||
Social Capital Hedosophia Holdings Corp. III (a),(b) | 192,072 | 741,398 | ||||||||||
South Mountain Merger Corp. (a),(b) | 158,316 | 237,474 | ||||||||||
Subversive Capital Acquisition Corp. (a),(b) | 750,000 | 450,000 | ||||||||||
Thunder Bridge Acquisition II Ltd. (a),(b) | 375,000 | 513,750 | ||||||||||
Tuscan Holdings Corp. (a),(b) | 400,000 | 204,000 | ||||||||||
Tuscan Holdings Corp. II (a),(b) | 158,150 | 68,005 | ||||||||||
Union Acquisition Corp. II (a),(b) | 525,000 | 393,750 | ||||||||||
|
| |||||||||||
TOTAL WARRANTS |
| 11,146,771 | ||||||||||
|
| |||||||||||
INVESTMENTS IN INVESTEE FUNDS — 4.8% | ||||||||||||
North America — 4.8% | ||||||||||||
Aeolus Property Catastrophe Keystone PF Fund LP (a),(k) | 3 | 110,878,315 |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2020 (Unaudited)
Security Description | Shares | Value | ||||||||||
EJF Debt Opportunities Offshore Fund, Ltd. | 1,750,207 | $ | 148,977,578 | |||||||||
PIMCO ILS Fund SP II (a),(k) | 2 | 9,616,416 | ||||||||||
|
| |||||||||||
Total North America |
| 269,472,309 | ||||||||||
|
| |||||||||||
TOTAL INVESTMENTS IN INVESTEE FUNDS |
| 269,472,309 | ||||||||||
|
| |||||||||||
RIGHTS — 0.0% | ||||||||||||
GigCapital2, Inc. (a),(b) | 500,000 | 165,000 | ||||||||||
|
| |||||||||||
TOTAL RIGHTS | 165,000 | |||||||||||
|
| |||||||||||
TOTAL LONG-TERM INVESTMENTS | 4,085,276,001 | |||||||||||
|
|
Strike | Expiration Date | Contracts | Notional Amount | Premium Paid | Market Value | Unrealized Appreciation (Depreciation) | ||||||||||||||||||||||||
PURCHASED OPTIONS — 0.4% |
| |||||||||||||||||||||||||||||
Exchange-Traded Call Options — 0.3% |
| |||||||||||||||||||||||||||||
BRENT CRUDE FUTURE DEC21 | 60.00 | USD | 10/26/21 | 600 | 27,330,000 | $ | 1,267,637 | $ | 1,020,000 | $ | (247,637 | ) | ||||||||||||||||||
CBOE Volatility Index | 42.50 | USD | 11/18/20 | 2,521 | 6,647,877 | 940,333 | 650,532 | (289,801 | ) | |||||||||||||||||||||
CBOE Volatility Index | 45.00 | USD | 11/18/20 | 2,521 | 6,647,877 | 831,930 | 553,048 | (278,882 | ) | |||||||||||||||||||||
NATURAL GAS FUTURE APR23 | 3.00 | USD | 03/28/23 | 113 | 2,623,860 | 223,464 | 149,951 | (73,513 | ) | |||||||||||||||||||||
NATURAL GAS FUTURE AUG23 | 3.00 | USD | 07/26/23 | 113 | 2,662,280 | 223,465 | 122,718 | (100,747 | ) | |||||||||||||||||||||
NATURAL GAS FUTURE DEC23 | 3.00 | USD | 11/27/23 | 113 | 3,005,800 | 223,465 | 294,591 | 71,126 | ||||||||||||||||||||||
NATURAL GAS FUTURE FEB23 | 3.00 | USD | 01/26/23 | 113 | 3,171,910 | 223,465 | 535,846 | 312,381 | ||||||||||||||||||||||
NATURAL GAS FUTURE JAN21 | 4.00 | USD | 12/28/20 | 100 | 3,267,000 | 219,252 | 208,200 | (11,052 | ) | |||||||||||||||||||||
NATURAL GAS FUTURE JAN23 | 3.00 | USD | 12/22/22 | 50 | 75,820 | 375 | 10,338 | 9,963 | ||||||||||||||||||||||
NATURAL GAS FUTURE JAN23 | 3.00 | USD | 12/27/22 | 113 | 3,220,500 | 223,465 | 507,822 | 284,357 | ||||||||||||||||||||||
NATURAL GAS FUTURE JUL23 | 3.00 | USD | 06/27/23 | 113 | 2,653,240 | 223,465 | 120,345 | (103,120 | ) | |||||||||||||||||||||
NATURAL GAS FUTURE JUN23 | 3.00 | USD | 05/25/23 | 113 | 2,615,950 | 223,465 | 113,000 | (110,465 | ) | |||||||||||||||||||||
NATURAL GAS FUTURE MAR21 | 3.00 | USD | 02/23/21 | 600 | 18,594,000 | 3,199,512 | 3,148,800 | (50,712 | ) |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2020 (Unaudited)
Strike | Expiration Date | Contracts | Notional Amount | Premium Paid | Market Value | Unrealized Appreciation (Depreciation) | ||||||||||||||||||||||||
NATURAL GAS FUTURE MAR21 | 3.50 | USD | 02/23/21 | 600 | 18,594,000 | $ | 2,268,012 | $ | 2,221,200 | $ | (46,812 | ) | ||||||||||||||||||
NATURAL GAS FUTURE MAR21 | 4.00 | USD | 02/23/21 | 600 | 18,594,000 | 1,728,012 | 1,656,000 | (72,012 | ) | |||||||||||||||||||||
NATURAL GAS FUTURE MAR23 | 3.00 | USD | 02/23/23 | 113 | 2,997,890 | 223,465 | 488,386 | 264,921 | ||||||||||||||||||||||
NATURAL GAS FUTURE MAY23 | 3.00 | USD | 04/25/23 | 113 | 2,578,660 | 223,465 | 111,192 | (112,273 | ) | |||||||||||||||||||||
NATURAL GAS FUTURE NOV20 | 2.75 | USD | 10/27/20 | 158 | 3,992,660 | 464,498 | 213,300 | (251,198 | ) | |||||||||||||||||||||
NATURAL GAS FUTURE NOV20 | 3.25 | USD | 10/27/20 | 500 | 12,635,000 | 300,092 | 196,000 | (104,092 | ) | |||||||||||||||||||||
NATURAL GAS FUTURE NOV20 | 3.50 | USD | 10/27/20 | 333 | 8,414,910 | 141,529 | 74,259 | (67,270 | ) | |||||||||||||||||||||
NATURAL GAS FUTURE NOV23 | 3.00 | USD | 10/26/23 | 113 | 2,776,410 | 223,465 | 172,099 | (51,366 | ) | |||||||||||||||||||||
NATURAL GAS FUTURE OCT23 | 3.00 | USD | 09/26/23 | 113 | 2,679,230 | 223,465 | 136,391 | (87,074 | ) | |||||||||||||||||||||
NATURAL GAS FUTURE SEP23 | 3.00 | USD | 08/28/23 | 113 | 2,649,850 | 223,465 | 122,944 | (100,521 | ) | |||||||||||||||||||||
WTI CRUDE FUTURE DEC21 | 45.00 | USD | 11/16/21 | 63 | 2,716,560 | 428,495 | 347,760 | (80,735 | ) | |||||||||||||||||||||
ZAR vs USD | 17.15 | USD | 12/18/20 | 54,000,000 | 54,000,000 | 2,033,953 | 1,536,840 | (497,113 | ) | |||||||||||||||||||||
ZAR vs USD | 17.25 | USD | 12/18/20 | 54,000,000 | 54,000,000 | 2,043,909 | 1,424,736 | (619,173 | ) | |||||||||||||||||||||
ZAR vs USD | 18.00 | USD | 12/18/20 | 1,800,000 | 1,800,000 | 477,000 | 385,713 | (91,287 | ) | |||||||||||||||||||||
|
| |||||||||||||||||||||||||||||
$ | 19,026,118 | $ | 16,522,011 | $ | (2,504,107 | ) | ||||||||||||||||||||||||
|
| |||||||||||||||||||||||||||||
Exchange-Traded Put Options — 0.1% |
| |||||||||||||||||||||||||||||
BRENT CRUDE FUTURE JAN21 | 40.00 | USD | 11/25/20 | 138 | 5,899,500 | $ | 290,063 | $ | 238,740 | $ | (51,323 | ) | ||||||||||||||||||
INR vs USD | 74.37 | USD | 01/04/21 | 40,500,000 | 40,500,000 | 966,533 | 604,584 | (361,949 | ) | |||||||||||||||||||||
NATURAL GAS FUTURE APR23 | 1.50 | USD | 03/28/23 | 50 | 1,161,000 | 10,721 | 21,100 | 10,379 | ||||||||||||||||||||||
NATURAL GAS FUTURE AUG23 | 1.50 | USD | 07/26/23 | 50 | 1,178,000 | 10,721 | 13,350 | 2,629 | ||||||||||||||||||||||
NATURAL GAS FUTURE DEC20 | 2.00 | USD | 10/27/20 | 1,168 | 36,406,560 | 220,188 | 557,136 | 336,948 |
See Notes to Consolidated Financial Statements.
95
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Consolidated Schedule of Investments (Continued)
September 30, 2020 (Unaudited)
Strike | Expiration Date | Contracts | Notional Amount | Premium Paid | Market Value | Unrealized Appreciation (Depreciation) | ||||||||||||||||||||||||
NATURAL GAS FUTURE DEC20 | 2.25 | USD | 11/24/20 | 500 | 15,585,000 | $ | 165,010 | $ | 104,000 | $ | (61,010 | ) | ||||||||||||||||||
NATURAL GAS FUTURE DEC23 | 1.50 | USD | 11/27/23 | 50 | 1,330,000 | 10,721 | 10,200 | (521 | ) | |||||||||||||||||||||
NATURAL GAS FUTURE FEB23 | 1.50 | USD | 01/26/23 | 50 | 1,403,500 | 10,721 | 16,450 | 5,729 | ||||||||||||||||||||||
NATURAL GAS FUTURE JAN23 | 1.50 | USD | 12/27/22 | 50 | 1,425,000 | 10,721 | 10,650 | (71 | ) | |||||||||||||||||||||
NATURAL GAS FUTURE JUL23 | 1.50 | USD | 06/27/23 | 50 | 1,174,000 | 10,721 | 13,550 | 2,829 | ||||||||||||||||||||||
NATURAL GAS FUTURE JUN23 | 1.50 | USD | 05/25/23 | 50 | 1,157,500 | 10,721 | 14,800 | 4,079 | ||||||||||||||||||||||
NATURAL GAS FUTURE MAR21 | 2.25 | USD | 02/23/21 | 1,200 | 37,188,000 | 1,284,024 | 1,230,000 | (54,024 | ) | |||||||||||||||||||||
NATURAL GAS FUTURE MAR21 | 2.50 | USD | 02/23/21 | 625 | 19,368,750 | 1,257,825 | 1,125,000 | (132,825 | ) | |||||||||||||||||||||
NATURAL GAS FUTURE MAR23 | 1.50 | USD | 02/23/23 | 50 | 1,326,500 | 10,721 | 25,050 | 14,329 | ||||||||||||||||||||||
NATURAL GAS FUTURE MAY23 | 1.50 | USD | 04/25/23 | 50 | 1,141,000 | 10,721 | 17,200 | 6,479 | ||||||||||||||||||||||
NATURAL GAS FUTURE NOV20 | 2.25 | USD | 10/27/20 | 667 | 16,855,090 | 486,743 | 720,360 | 233,617 | ||||||||||||||||||||||
NATURAL GAS FUTURE NOV20 | 2.50 | USD | 10/27/20 | 625 | 15,793,750 | 1,055,325 | 1,315,000 | 259,675 | ||||||||||||||||||||||
NATURAL GAS FUTURE NOV23 | 1.50 | USD | 10/26/23 | 50 | 1,228,500 | 10,721 | 11,150 | 429 | ||||||||||||||||||||||
NATURAL GAS FUTURE OCT23 | 1.50 | USD | 09/26/23 | 50 | 1,185,500 | 10,721 | 14,600 | 3,879 | ||||||||||||||||||||||
NATURAL GAS FUTURE SEP23 | 1.50 | USD | 08/28/23 | 50 | 1,172,500 | 10,721 | 14,300 | 3,579 | ||||||||||||||||||||||
WTI CRUDE FUTURE DEC20 | 35.00 | USD | 11/17/20 | 83 | 3,359,010 | 78,976 | 73,040 | (5,936 | ) | |||||||||||||||||||||
WTI CRUDE FUTURE DEC20 | 37.50 | USD | 11/17/20 | 50 | 2,023,500 | 73,576 | 68,500 | (5,076 | ) | |||||||||||||||||||||
WTI CRUDE FUTURE JAN21 | 35.00 | USD | 12/16/20 | 142 | 5,792,180 | 288,436 | 187,440 | (100,996 | ) | |||||||||||||||||||||
WTI CRUDE FUTURE JAN21 | 39.00 | USD | 12/16/20 | 100 | 4,079,000 | 273,152 | 235,000 | (38,152 | ) |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2020 (Unaudited)
Strike | Expiration Date | Contracts | Notional Amount | Premium Paid | Market Value | Unrealized Appreciation (Depreciation) | ||||||||||||||||||||||||
WTI CRUDE FUTURE NOV20 | 37.00 | USD | 10/15/20 | 50 | 2,011,000 | $ | 57,556 | $ | 22,500 | $ | (35,056 | ) | ||||||||||||||||||
WTI CRUDE FUTURE NOV20 | 37.50 | USD | 10/15/20 | 50 | 2,011,000 | 59,076 | 26,000 | (33,076 | ) | |||||||||||||||||||||
WTI CRUDE FUTURE NOV20 | 40.00 | USD | 10/15/20 | 50 | 2,011,000 | 85,576 | 56,500 | (29,076 | ) | |||||||||||||||||||||
|
| |||||||||||||||||||||||||||||
$ | 6,770,711 | $ | 6,746,200 | $ | (24,511 | ) | ||||||||||||||||||||||||
|
| |||||||||||||||||||||||||||||
Total Purchased Options Outstanding |
| $ | 25,796,829 | $ | 23,268,211 | $ | (2,528,618 | ) | ||||||||||||||||||||||
|
|
TOTAL INVESTMENTS IN SECURITIES — 73.5% | 4,108,544,212 | |||||||||||||||||||
|
| |||||||||||||||||||
TOTAL SECURITIES SOLD SHORT — (6.5)% | (364,958,390 | ) | ||||||||||||||||||
|
| |||||||||||||||||||
Other Assets (o) — 33.0% | 1,847,298,484 | |||||||||||||||||||
|
| |||||||||||||||||||
Net Assets — 100.0% | $ | 5,590,884,306 | ||||||||||||||||||
|
|
Security Description | Shares | Value | ||||||||||
SECURITIES SOLD SHORT — (6.5)% | ||||||||||||
COMMON STOCK — (6.5)% | ||||||||||||
Africa — (0.0)% | ||||||||||||
Metals & Mining — (0.0)% | ||||||||||||
AngloGold Ashanti Ltd., ADR | 9,100 | $ | (240,058 | ) | ||||||||
Gold Fields Ltd., ADR | 51,700 | (635,393 | ) | |||||||||
Harmony Gold Mining Co. Ltd., ADR | 46,800 | (246,636 | ) | |||||||||
|
| |||||||||||
(1,122,087 | ) | |||||||||||
|
| |||||||||||
Total Africa | (1,122,087 | ) | ||||||||||
|
| |||||||||||
Asia — (0.6)% | ||||||||||||
Automotive — (0.0)% | ||||||||||||
Honda Motor Co. Ltd., ADR | 11,500 | (272,550 | ) | |||||||||
Kandi Technologies Group, Inc. | 700 | (4,340 | ) | |||||||||
Toyota Motor Corp., ADR | 3,200 | (423,808 | ) | |||||||||
|
| |||||||||||
(700,698 | ) | |||||||||||
|
| |||||||||||
Banking — (0.0)% | ||||||||||||
HDFC Bank Ltd., ADR | 5,000 | (249,800 | ) | |||||||||
ICICI Bank Ltd., ADR | 140,300 | (1,379,149 | ) | |||||||||
KB Financial Group, Inc., ADR | 3,500 | (112,420 | ) | |||||||||
Mitsubishi UFJ Financial Group, Inc., ADR | 29,200 | (117,092 | ) |
See Notes to Consolidated Financial Statements.
97
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Consolidated Schedule of Investments (Continued)
September 30, 2020 (Unaudited)
Security Description | Shares | Value | ||||||||
Mizuho Financial Group, Inc., ADR | 7,500 | $ | (19,125 | ) | ||||||
Shinhan Financial Group Co. Ltd., ADR | 300 | (6,891 | ) | |||||||
Sumitomo Mitsui Financial Group, Inc., ADR | 26,500 | (148,135 | ) | |||||||
|
| |||||||||
(2,032,612 | ) | |||||||||
|
| |||||||||
Biotechnology & Pharmaceuticals — (0.0)% | ||||||||||
111, Inc., ADR | 200 | (1,240 | ) | |||||||
Dr Reddy’s Laboratories Ltd., ADR | 400 | (27,824 | ) | |||||||
Takeda Pharmaceutical Co. Ltd., ADR | 13,591 | (242,464 | ) | |||||||
|
| |||||||||
(271,528 | ) | |||||||||
|
| |||||||||
Commercial Services — (0.0)% | ||||||||||
OneSmart International Education Group Ltd., ADR | 100 | (449 | ) | |||||||
|
| |||||||||
Consumer Services — (0.0)% | ||||||||||
Bright Scholar Education Holdings Ltd., ADR | 800 | (5,112 | ) | |||||||
RISE Education Cayman Ltd., ADR | 1,499 | (9,099 | ) | |||||||
Tarena International, Inc., ADR | 3,700 | (6,512 | ) | |||||||
|
| |||||||||
(20,723 | ) | |||||||||
|
| |||||||||
Financial Services — (0.0)% | ||||||||||
Nomura Holdings, Inc., ADR | 4,200 | (19,236 | ) | |||||||
|
| |||||||||
Gaming, Lodging & Restaurants — (0.1)% | ||||||||||
Huazhu Group Ltd., ADR | 28,100 | (1,215,044 | ) | |||||||
Melco Resorts & Entertainment Ltd., ADR | 8,000 | (133,200 | ) | |||||||
Yum China Holdings, Inc. | 28,600 | (1,514,370 | ) | |||||||
|
| |||||||||
(2,862,614 | ) | |||||||||
|
| |||||||||
Hardware — (0.0)% | ||||||||||
Huami Corp., ADR | 400 | (5,140 | ) | |||||||
Sony Corp., ADR | 22,800 | (1,749,900 | ) | |||||||
|
| |||||||||
(1,755,040 | ) | |||||||||
|
| |||||||||
Health Care — (0.0)% | ||||||||||
China SXT Pharmaceuticals, Inc. | 100 | (24 | ) | |||||||
Happiness Biotech Group Ltd. | 100 | (177 | ) | |||||||
Lianluo Smart Ltd. | 95 | (38 | ) | |||||||
|
| |||||||||
(239 | ) | |||||||||
|
| |||||||||
Health Care Facilities & Services — (0.0)% | ||||||||||
SOS Ltd., ADR | 298 | (557 | ) | |||||||
|
| |||||||||
Insurance — (0.0)% | ||||||||||
China Life Insurance Co. Ltd., ADR | 1,100 | (12,452 | ) | |||||||
Fanhua, Inc., ADR | 1,600 | (26,800 | ) | |||||||
|
| |||||||||
(39,252 | ) | |||||||||
|
|
See Notes to Consolidated Financial Statements.
98
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Consolidated Schedule of Investments (Continued)
September 30, 2020 (Unaudited)
Security Description | Shares | Value | ||||||||
Media — (0.1)% | ||||||||||
Baidu, Inc., ADR | 3,700 | $ | (468,383 | ) | ||||||
Eros STX Global Corp. | 44,300 | (97,903 | ) | |||||||
Fang Holdings Ltd., ADR | 180 | (2,072 | ) | |||||||
iQIYI, Inc., ADR | 52,000 | (1,174,160 | ) | |||||||
LINE Corp., ADR | 200 | (10,160 | ) | |||||||
MakeMyTrip Ltd. | 4,700 | (72,192 | ) | |||||||
SINA Corp. | 6,000 | (255,660 | ) | |||||||
Sogou, Inc., ADR | 1,000 | (8,890 | ) | |||||||
Tencent Music Entertainment Group, ADR | 4,100 | (60,557 | ) | |||||||
Trip.com Group Ltd., ADR | 6,900 | (214,866 | ) | |||||||
Uxin Ltd., ADR | 2,800 | (2,435 | ) | |||||||
Weibo Corp., ADR | 200 | (7,286 | ) | |||||||
Yatra Online, Inc. | 1,600 | (1,200 | ) | |||||||
|
| |||||||||
(2,375,764 | ) | |||||||||
|
| |||||||||
Metals & Mining — (0.0)% | ||||||||||
Vedanta Ltd., ADR | 4,800 | (35,472 | ) | |||||||
|
| |||||||||
Retail—Discretionary — (0.1)% | ||||||||||
Alibaba Group Holding Ltd., ADR | 23,500 | (6,908,530 | ) | |||||||
JD.com, Inc., ADR | 200 | (15,522 | ) | |||||||
Pinduoduo, Inc., ADR | 5,300 | (392,995 | ) | |||||||
|
| |||||||||
(7,317,047 | ) | |||||||||
|
| |||||||||
Semiconductors — (0.1)% | ||||||||||
Himax Technologies, Inc., ADR | 6,200 | (22,072 | ) | |||||||
Taiwan Semiconductor Manufacturing Co. Ltd., ADR | 85,800 | (6,955,806 | ) | |||||||
|
| |||||||||
(6,977,878 | ) | |||||||||
|
| |||||||||
Software — (0.2)% |
| |||||||||
Agora, Inc., ADR | 200 | (8,596 | ) | |||||||
Bilibili, Inc., ADR | 1,400 | (58,240 | ) | |||||||
GSX Techedu, Inc., ADR | 37,500 | (3,379,125 | ) | |||||||
Kingsoft Cloud Holdings Ltd., ADR | 1,500 | (44,295 | ) | |||||||
Link Motion, Inc., ADR | 11,000 | 0 | ||||||||
Luokung Technology Corp. | 7,149 | (3,482 | ) | |||||||
OneConnect Financial Technology Co. Ltd., ADR | 2,100 | (44,730 | ) | |||||||
Qutoutiao, Inc., ADR | 11,500 | (25,185 | ) | |||||||
Sea Ltd., ADR | 32,900 | (5,067,916 | ) | |||||||
Youdao, Inc., ADR | 600 | (15,504 | ) | |||||||
|
| |||||||||
(8,647,073 | ) | |||||||||
|
| |||||||||
Specialty Finance — (0.0)% | ||||||||||
360 Finance, Inc., ADR | 200 | (2,388 | ) | |||||||
FinVolution Group, ADR | 3,200 | (5,888 | ) |
See Notes to Consolidated Financial Statements.
99
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Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2020 (Unaudited)
Security Description | Shares | Value | ||||||||||
Hudson Capital, Inc. | 9,600 | $ | (3,907 | ) | ||||||||
Jianpu Technology, Inc., ADR | 200 | (102 | ) | |||||||||
LexinFintech Holdings Ltd., ADR | 6,500 | (44,525 | ) | |||||||||
Qudian, Inc., ADR | 20,500 | (25,420 | ) | |||||||||
|
| |||||||||||
(82,230 | ) | |||||||||||
|
| |||||||||||
Technology Services — (0.0)% | ||||||||||||
Baozun, Inc., ADR | 1,300 | (42,237 | ) | |||||||||
Infosys Ltd., ADR | 300 | (4,143 | ) | |||||||||
Taoping, Inc. | 50 | (133 | ) | |||||||||
Wipro Ltd., ADR | 4,566 | (21,460 | ) | |||||||||
|
| |||||||||||
(67,973 | ) | |||||||||||
|
| |||||||||||
Telecommunications — (0.0)% | ||||||||||||
KT Corp., ADR | 100 | (961 | ) | |||||||||
PLDT, Inc., ADR | 1,200 | (32,460 | ) | |||||||||
SK Telecom Co. Ltd., ADR | 2,200 | (49,324 | ) | |||||||||
|
| |||||||||||
(82,745 | ) | |||||||||||
|
| |||||||||||
Transportation & Logistics — (0.0)% | ||||||||||||
BEST, Inc., ADR | 2,700 | (8,100 | ) | |||||||||
ZTO Express Cayman, Inc., ADR | 2,400 | (71,808 | ) | |||||||||
|
| |||||||||||
(79,908 | ) | |||||||||||
|
| |||||||||||
Utilities — (0.0)% | ||||||||||||
Azure Power Global Ltd. | 100 | (2,980 | ) | |||||||||
Korea Electric Power Corp., ADR | 3,000 | (26,130 | ) | |||||||||
|
| |||||||||||
(29,110 | ) | |||||||||||
|
| |||||||||||
Total Asia |
| (33,398,148 | ) | |||||||||
|
| |||||||||||
Europe — (0.4)% | ||||||||||||
Asset Management — (0.0)% | ||||||||||||
UBS Group AG | 47,400 | (528,510 | ) | |||||||||
|
| |||||||||||
Automotive — (0.0)% | ||||||||||||
Autoliv, Inc. | 1,000 | (72,880 | ) | |||||||||
Ferrari NV | 2,400 | (441,816 | ) | |||||||||
Fiat Chrysler Automobiles NV | 16,300 | (199,186 | ) | |||||||||
Veoneer, Inc. | 200 | (2,940 | ) | |||||||||
|
| |||||||||||
(716,822 | ) | |||||||||||
|
| |||||||||||
Banking — (0.1)% | ||||||||||||
Banco Bilbao Vizcaya Argentaria SA, ADR | 20,900 | (57,266 | ) | |||||||||
Banco Santander SA, ADR | 119,243 | (220,599 | ) | |||||||||
Barclays plc, ADR | 58,381 | (292,489 | ) | |||||||||
Deutsche Bank AG | 32,600 | (273,840 | ) |
See Notes to Consolidated Financial Statements.
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September 30, 2020 (Unaudited)
Security Description | Shares | Value | ||||||||
HSBC Holdings plc, ADR | 45,326 | $ | (887,483 | ) | ||||||
ING Groep NV, ADR | 16,400 | (116,112 | ) | |||||||
Lloyds Banking Group plc, ADR | 58,700 | (76,310 | ) | |||||||
Natwest Group plc, ADR | 10,600 | (28,514 | ) | |||||||
|
| |||||||||
(1,952,613 | ) | |||||||||
|
| |||||||||
Biotechnology & Pharmaceuticals — (0.0)% | ||||||||||
AC Immune SA | 13 | (63 | ) | |||||||
Auris Medical Holding Ltd. | 20 | (16 | ) | |||||||
BioNTech SE, ADR | 51 | (3,531 | ) | |||||||
Centogene NV | 200 | (1,892 | ) | |||||||
Grifols SA, ADR | 7,700 | (133,595 | ) | |||||||
Novartis AG, ADR | 3,400 | (295,664 | ) | |||||||
Orchard Therapeutics plc, ADR | 1,900 | (7,809 | ) | |||||||
Tiziana Life Sciences plc, ADR | 7,300 | (24,455 | ) | |||||||
|
| |||||||||
(467,025 | ) | |||||||||
|
| |||||||||
Chemicals — (0.0)% | ||||||||||
Linde plc | 1,600 | (381,008 | ) | |||||||
|
| |||||||||
Construction Materials — (0.0)% | ||||||||||
CRH plc, ADR | 6,800 | (245,412 | ) | |||||||
|
| |||||||||
Consumer Products — (0.1)% | ||||||||||
Anheuser-Busch InBev NV, ADR | 8,400 | (452,592 | ) | |||||||
British American Tobacco plc, ADR | 31,000 | (1,120,650 | ) | |||||||
Unilever NV | 26,200 | (1,582,480 | ) | |||||||
Unilever plc, ADR | 300 | (18,504 | ) | |||||||
|
| |||||||||
(3,174,226 | ) | |||||||||
|
| |||||||||
Electrical Equipment — (0.0)% | ||||||||||
ABB Ltd., ADR | 25,600 | (651,520 | ) | |||||||
|
| |||||||||
Financial Services — (0.0)% | ||||||||||
Credit Suisse Group AG, ADR | 24,949 | (248,742 | ) | |||||||
|
| |||||||||
Gaming, Lodging & Restaurants — (0.0)% | ||||||||||
Esports Entertainment Group, Inc. | 700 | (2,709 | ) | |||||||
GAN Ltd. | 300 | (5,070 | ) | |||||||
InterContinental Hotels Group plc, ADR | 1,000 | (52,480 | ) | |||||||
|
| |||||||||
(60,259 | ) | |||||||||
|
| |||||||||
Hardware — (0.0)% | ||||||||||
Nokia Oyj, ADR | 20,500 | (80,155 | ) | |||||||
|
| |||||||||
Health Care — (0.0)% | ||||||||||
Smith & Nephew plc, ADR | 1,800 | (70,380 | ) | |||||||
|
|
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2020 (Unaudited)
Security Description | Shares | Value | ||||||||
Insurance — (0.0)% | ||||||||||
Aegon NV | 311 | $ | (796 | ) | ||||||
Prudential plc, ADR | 6,000 | (171,540 | ) | |||||||
|
| |||||||||
(172,336 | ) | |||||||||
|
| |||||||||
Machinery — (0.0)% | ||||||||||
CNH Industrial NV | 8,900 | (69,598 | ) | |||||||
|
| |||||||||
Media — (0.0)% | ||||||||||
Jumia Technologies AG, ADR | 18,100 | (144,619 | ) | |||||||
Liberty Global plc, Class A | 23,300 | (489,533 | ) | |||||||
Pearson plc, ADR | 600 | (4,266 | ) | |||||||
WPP plc, ADR | 2,300 | (90,252 | ) | |||||||
|
| |||||||||
(728,670 | ) | |||||||||
|
| |||||||||
Medical Equipment & Devices — (0.0)% | ||||||||||
Alcon, Inc. | 2,200 | (125,290 | ) | |||||||
Koninklijke Philips NV | 7,738 | (364,847 | ) | |||||||
|
| |||||||||
(490,137 | ) | |||||||||
|
| |||||||||
Metals & Mining — (0.0)% | ||||||||||
Ferroglobe PLC | 400 | 0 | ||||||||
|
| |||||||||
Retail—Discretionary — (0.0)% | ||||||||||
Farfetch Ltd., Class A | 45,400 | (1,142,264 | ) | |||||||
|
| |||||||||
Semiconductors — (0.1)% | ||||||||||
ASML Holding NV | 9,000 | (3,323,430 | ) | |||||||
NXP Semiconductors NV | 11,768 | (1,468,764 | ) | |||||||
|
| |||||||||
(4,792,194 | ) | |||||||||
|
| |||||||||
Software — (0.1)% | ||||||||||
Materialise NV, ADR | 300 | (11,073 | ) | |||||||
SAP SE, ADR | 10,000 | (1,558,100 | ) | |||||||
|
| |||||||||
(1,569,173 | ) | |||||||||
|
| |||||||||
Specialty Finance — (0.0)% | ||||||||||
Fly Leasing Ltd., ADR | 600 | (4,356 | ) | |||||||
|
| |||||||||
Technology Services — (0.0)% | ||||||||||
RELX plc, ADR | 1,000 | (22,370 | ) | |||||||
|
| |||||||||
Telecommunications — (0.0)% | ||||||||||
Telefonica SA, ADR | 27,119 | (93,289 | ) | |||||||
Vodafone Group plc, ADR | 47,400 | (636,108 | ) | |||||||
|
| |||||||||
(729,397 | ) | |||||||||
|
|
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2020 (Unaudited)
Security Description | Shares | Value | ||||||||||
Transportation & Logistics — (0.0)% | ||||||||||||
Ardmore Shipping Corp. | 100 | $ | (356 | ) | ||||||||
Costamare, Inc. | 1,100 | (6,677 | ) | |||||||||
Diana Shipping, Inc. | 353 | (498 | ) | |||||||||
Euroseas Ltd. | 300 | (741 | ) | |||||||||
Frontline Ltd. | 37,640 | (244,660 | ) | |||||||||
GasLog Ltd. | 14,600 | (39,566 | ) | |||||||||
Golden Ocean Group Ltd. | 1,180 | (4,508 | ) | |||||||||
Navios Maritime Holdings, Inc. | 770 | (1,355 | ) | |||||||||
Performance Shipping, Inc. | 700 | (413 | ) | |||||||||
Ryanair Holdings plc, ADR | 10,500 | (858,480 | ) | |||||||||
Scorpio Tankers, Inc. | 7,642 | (84,597 | ) | |||||||||
Star Bulk Carriers Corp. | 10,100 | (69,589 | ) | |||||||||
|
| |||||||||||
(1,311,440 | ) | |||||||||||
|
| |||||||||||
Utilities — (0.0)% | ||||||||||||
National Grid plc, ADR | 8,400 | (485,436 | ) | |||||||||
|
| |||||||||||
Total Europe | (20,094,043 | ) | ||||||||||
|
| |||||||||||
Middle East — (0.0)% | ||||||||||||
Biotechnology & Pharmaceuticals — (0.0)% | ||||||||||||
Cellect Biotechnology Ltd., ADR | 1,000 | (2,110 | ) | |||||||||
Compugen Ltd. | 2,500 | (40,625 | ) | |||||||||
Intec Pharma Ltd. | 1,800 | (443 | ) | |||||||||
Teva Pharmaceutical Industries Ltd., ADR | 18,000 | (162,180 | ) | |||||||||
|
| |||||||||||
(205,358 | ) | |||||||||||
|
| |||||||||||
Chemicals — (0.0)% | ||||||||||||
ICL Group Ltd. | 100 | (349 | ) | |||||||||
|
| |||||||||||
Hardware — (0.0)% | ||||||||||||
Kornit Digital Ltd. | 2,300 | (149,201 | ) | |||||||||
Nano Dimension Ltd., ADR | 8,000 | (22,880 | ) | |||||||||
|
| |||||||||||
(172,081 | ) | |||||||||||
|
| |||||||||||
Health Care Facilities & Services — (0.0)% | ||||||||||||
Nano-X Imaging Ltd. | 200 | (4,704 | ) | |||||||||
|
| |||||||||||
Media — (0.0)% | ||||||||||||
Fiverr International Ltd. | 3,500 | (486,430 | ) | |||||||||
|
| |||||||||||
Oil, Gas & Coal — (0.0)% | ||||||||||||
Borr Drilling Ltd. | 400 | (220 | ) | |||||||||
|
| |||||||||||
Software — (0.0)% | ||||||||||||
My Size, Inc. | 442 | (455 | ) |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2020 (Unaudited)
Security Description | Shares | Value | ||||||||||
Sapiens International Corp. NV | 400 | $ | (12,232 | ) | ||||||||
|
| |||||||||||
(12,687 | ) | |||||||||||
|
| |||||||||||
Telecommunications — (0.0)% | ||||||||||||
Turkcell Iletisim Hizmetleri AS, ADR | 1,300 | (6,227 | ) | |||||||||
|
| |||||||||||
Total Middle East | (888,056 | ) | ||||||||||
|
| |||||||||||
North America — (5.3)% | ||||||||||||
Aerospace & Defense — (0.0)% | ||||||||||||
AeroVironment, Inc. | 1,200 | (72,012 | ) | |||||||||
Astrotech Corp. | 600 | (1,020 | ) | |||||||||
Axon Enterprise, Inc. | 100 | (9,070 | ) | |||||||||
HEICO Corp. | 12 | (1,256 | ) | |||||||||
Howmet Aerospace, Inc. | 3,295 | (55,092 | ) | |||||||||
Mercury Systems, Inc. | 1,900 | (147,174 | ) | |||||||||
Smith & Wesson Brands, Inc. | 5,000 | (77,600 | ) | |||||||||
Textron, Inc. | 5,100 | (184,059 | ) | |||||||||
Triumph Group, Inc. | 11,700 | (76,167 | ) | |||||||||
|
| |||||||||||
(623,450 | ) | |||||||||||
|
| |||||||||||
Apparel & Textile Products — (0.1)% | ||||||||||||
Canada Goose Holdings, Inc. | 600 | (19,302 | ) | |||||||||
Capri Holdings Ltd. | 36,800 | (662,400 | ) | |||||||||
Carter’s, Inc. | 8,500 | (735,930 | ) | |||||||||
Crocs, Inc. | 400 | (17,092 | ) | |||||||||
Fossil Group, Inc. | 10,100 | (57,974 | ) | |||||||||
Hanesbrands, Inc. | 23,400 | (368,550 | ) | |||||||||
Iconix Brand Group, Inc. | 3,510 | (2,503 | ) | |||||||||
Kontoor Brands, Inc. | 100 | (2,420 | ) | |||||||||
Lakeland Industries, Inc. | 1,400 | (27,720 | ) | |||||||||
PVH Corp. | 12,100 | (721,644 | ) | |||||||||
Sequential Brands Group, Inc. | 115 | (533 | ) | |||||||||
Skechers U.S.A., Inc., Class A | 2,600 | (78,572 | ) | |||||||||
Steven Madden Ltd. | 7,450 | (145,275 | ) | |||||||||
VF Corp. | 5,899 | (414,405 | ) | |||||||||
Wolverine World Wide, Inc. | 400 | (10,336 | ) | |||||||||
|
| |||||||||||
(3,264,656 | ) | |||||||||||
|
| |||||||||||
Asset Management — (0.0)% | ||||||||||||
Artisan Partners Asset Management, Inc., Class A | 800 | (31,192 | ) | |||||||||
Barings BDC, Inc. | 500 | (4,000 | ) | |||||||||
Brookfield Asset Management, Inc., Class A | 47,775 | (1,579,442 | ) | |||||||||
Carlyle Group, Inc. (The) | 10,600 | (261,502 | ) | |||||||||
Focus Financial Partners, Inc., Class A | 900 | (29,511 | ) | |||||||||
FS KKR Capital Corp. | 500 | (7,930 | ) | |||||||||
Kennedy-Wilson Holdings, Inc. | 5,700 | (82,764 | ) |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2020 (Unaudited)
Security Description | Shares | Value | ||||||||
Stifel Financial Corp. | 5,000 | $ | (252,800 | ) | ||||||
Virtus Investment Partners, Inc. | 100 | (13,865 | ) | |||||||
|
| |||||||||
(2,263,006 | ) | |||||||||
|
| |||||||||
Automotive — (0.1)% | ||||||||||
Aptiv plc | 9,900 | (907,632 | ) | |||||||
BorgWarner, Inc. | 20,800 | (805,792 | ) | |||||||
CBAK Energy Technology, Inc. | 1,100 | (2,222 | ) | |||||||
Cooper Tire & Rubber Co. | 6,800 | (215,560 | ) | |||||||
Dana, Inc. | 1,100 | (13,552 | ) | |||||||
Ford Motor Co. | 35,800 | (238,428 | ) | |||||||
Fox Factory Holding Corp. | 3,900 | (289,887 | ) | |||||||
General Motors Co. | 37,000 | (1,094,830 | ) | |||||||
Harley-Davidson, Inc. | 32,700 | (802,458 | ) | |||||||
Lear Corp. | 6,400 | (697,920 | ) | |||||||
Magna International, Inc. | 1,000 | (45,750 | ) | |||||||
Motorcar Parts of America, Inc. | 1,300 | (20,228 | ) | |||||||
Visteon Corp. | 900 | (62,298 | ) | |||||||
Westport Fuel Systems, Inc. | 7,900 | (12,877 | ) | |||||||
XPEL, Inc. | 400 | (10,432 | ) | |||||||
|
| |||||||||
(5,219,866 | ) | |||||||||
|
| |||||||||
Banking — (0.1)% | ||||||||||
Allegiance Bancshares, Inc. | 500 | (11,685 | ) | |||||||
Ameris Bancorp | 5,699 | (129,823 | ) | |||||||
Banc of California, Inc. | 3,700 | (37,444 | ) | |||||||
Banco Latinoamericano de Comercio Exterior SA, Class E | 2,500 | (30,375 | ) | |||||||
Bank of Montreal | 1,900 | (110,979 | ) | |||||||
Bank of Nova Scotia | 19,800 | (821,898 | ) | |||||||
BankUnited, Inc. | 2,800 | (61,348 | ) | |||||||
Berkshire Hills Bancorp, Inc. | 100 | (1,011 | ) | |||||||
Canadian Imperial Bank of Commerce | 6,200 | (463,264 | ) | |||||||
Commerce Bancshares, Inc. | 100 | (5,629 | ) | |||||||
Credicorp Ltd. | 800 | (99,192 | ) | |||||||
Customers Bancorp, Inc. | 3,200 | (35,840 | ) | |||||||
FB Financial Corp. | 1,100 | (27,632 | ) | |||||||
First Republic Bank | 10,600 | (1,156,036 | ) | |||||||
Great Western Bancorp, Inc. | 400 | (4,980 | ) | |||||||
Hilltop Holdings, Inc. | 100 | (2,058 | ) | |||||||
Independent Bank Corp. | 100 | (5,238 | ) | |||||||
Independent Bank Group, Inc. | 700 | (30,926 | ) | |||||||
Meta Financial Group, Inc. | 1,800 | (34,596 | ) | |||||||
OceanFirst Financial Corp. | 100 | (1,369 | ) | |||||||
Pacific Premier Bancorp, Inc. | 120 | (2,417 | ) | |||||||
Pinnacle Financial Partners, Inc. | 6,400 | (227,776 | ) |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2020 (Unaudited)
Security Description | Shares | Value | ||||||||
Royal Bank of Canada | 9,000 | $ | (631,260 | ) | ||||||
Simmons First National Corp., Class A | 200 | (3,171 | ) | |||||||
South State Corp. | 1,100 | (52,965 | ) | |||||||
Sterling Bancorp | 39,508 | (415,624 | ) | |||||||
SVB Financial Group | 400 | (96,248 | ) | |||||||
TCF Financial Corp. | 14,747 | (344,490 | ) | |||||||
Triumph Bancorp, Inc. | 1,500 | (46,710 | ) | |||||||
|
| |||||||||
(4,891,984 | ) | |||||||||
|
| |||||||||
Biotechnology & Pharmaceuticals — (0.5)% | ||||||||||
Abeona Therapeutics, Inc. | 1,700 | (1,734 | ) | |||||||
AcelRx Pharmaceuticals, Inc. | 100 | (142 | ) | |||||||
Achieve Life Sciences, Inc. | 1,000 | (8,370 | ) | |||||||
Acorda Therapeutics, Inc. | 12,400 | (6,386 | ) | |||||||
Actinium Pharmaceuticals, Inc. | 1,986 | (19,244 | ) | |||||||
Adamis Pharmaceuticals Corp. | 4,800 | (3,760 | ) | |||||||
Adial Pharmaceuticals, Inc. | 800 | (1,784 | ) | |||||||
ADMA Biologics, Inc. | 23,000 | (54,970 | ) | |||||||
Advaxis, Inc. | 10,700 | (4,387 | ) | |||||||
Aerie Pharmaceuticals, Inc. | 700 | (8,239 | ) | |||||||
Aeterna Zentaris, Inc. | 9,224 | (3,238 | ) | |||||||
Akcea Therapeutics, Inc. | 4,200 | (76,188 | ) | |||||||
Alimera Sciences, Inc. | 306 | (1,487 | ) | |||||||
Allovir, Inc. | 200 | (5,500 | ) | |||||||
Ampio Pharmaceuticals, Inc. | 20,712 | (19,821 | ) | |||||||
Anavex Life Sciences Corp. | 3,100 | (14,105 | ) | |||||||
Aphria, Inc. | 3,900 | (17,277 | ) | |||||||
Aptevo Therapeutics, Inc. | 100 | (760 | ) | |||||||
Aspira Women’s Health, Inc. | 2,200 | (6,787 | ) | |||||||
Aurora Cannabis, Inc. | 18,500 | (86,025 | ) | |||||||
Axsome Therapeutics, Inc. | 3,700 | (263,625 | ) | |||||||
Aytu BioScience, Inc. | 15,100 | (17,969 | ) | |||||||
Bausch Health Cos., Inc. | 17,500 | (271,950 | ) | |||||||
Beam Therapeutics, Inc. | 100 | (2,462 | ) | |||||||
Bellicum Pharmaceuticals, Inc. | 1,370 | (9,001 | ) | |||||||
Bio-Path Holdings, Inc. | 8 | (34 | ) | |||||||
Biocept, Inc. | 4,010 | (17,684 | ) | |||||||
Biogen Idec, Inc. | 11,100 | (3,148,848 | ) | |||||||
BioMarin Pharmaceutical, Inc. | 3,700 | (281,496 | ) | |||||||
Blueprint Medicines Corp. | 400 | (37,080 | ) | |||||||
Bridgebio Pharma, Inc. | 2,400 | (90,048 | ) | |||||||
Canopy Growth Corp. | 1,700 | (24,344 | ) | |||||||
Capricor Therapeutics, Inc. | 4,000 | (21,000 | ) | |||||||
Cassava Sciences, Inc. | 7,400 | (85,174 | ) | |||||||
Checkpoint Therapeutics, Inc. | 100 | (268 | ) | |||||||
China Pharma Holdings, Inc. | 3,300 | (1,204 | ) |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2020 (Unaudited)
Security Description | Shares | Value | ||||||||
Cleveland BioLabs, Inc. | 400 | $ | (788 | ) | ||||||
Clovis Oncology, Inc. | 20,800 | (121,264 | ) | |||||||
Coherus Biosciences, Inc. | 4,300 | (78,862 | ) | |||||||
Collegium Pharmaceutical, Inc. | 100 | (2,082 | ) | |||||||
Corbus Pharmaceuticals Holdings, Inc. | 2,000 | (3,600 | ) | |||||||
Corcept Therapeutics, Inc. | 500 | (8,702 | ) | |||||||
Diffusion Pharmaceuticals, Inc. | 2,904 | (2,445 | ) | |||||||
Dyadic International, Inc. | 500 | (3,785 | ) | |||||||
Elanco Animal Health, Inc. | 2,300 | (64,239 | ) | |||||||
ElectroCore, Inc. | 500 | (865 | ) | |||||||
Endo International plc | 35,800 | (118,140 | ) | |||||||
Equillium, Inc. | 100 | (577 | ) | |||||||
Evolus, Inc. | 2,300 | (8,993 | ) | |||||||
Genprex, Inc. | 1,400 | (4,704 | ) | |||||||
Gilead Sciences, Inc. | 72,400 | (4,574,956 | ) | |||||||
Guardant Health, Inc. | 15,900 | (1,777,302 | ) | |||||||
Hepion Pharmaceuticals, Inc. | 600 | (1,866 | ) | |||||||
Heron Therapeutics, Inc. | 1,700 | (25,194 | ) | |||||||
HEXO Corp. | 12,400 | (8,172 | ) | |||||||
HTG Molecular Diagnostics, Inc. | 5,696 | (1,882 | ) | |||||||
iBio, Inc. | 52,300 | (106,169 | ) | |||||||
IGM Biosciences, Inc. | 1,100 | (81,191 | ) | |||||||
Inovio Pharmaceuticals, Inc. | 3,200 | (37,120 | ) | |||||||
Intra-Cellular Therapies, Inc. | 4,200 | (107,772 | ) | |||||||
Jazz Pharmaceuticals plc | 600 | (85,554 | ) | |||||||
Jounce Therapeutics, Inc. | 100 | (816 | ) | |||||||
Kala Pharmaceuticals, Inc. | 200 | (1,500 | ) | |||||||
Karuna Therapeutics, Inc. | 1,000 | (77,320 | ) | |||||||
Kindred Biosciences, Inc. | 100 | (429 | ) | |||||||
Krystal Biotech, Inc. | 500 | (21,525 | ) | |||||||
Lipocine, Inc. | 3,200 | (4,512 | ) | |||||||
Livongo Health, Inc. | 18,300 | (2,562,915 | ) | |||||||
Lumos Pharma, Inc. | 422 | (5,832 | ) | |||||||
MediciNova, Inc. | 200 | (1,048 | ) | |||||||
Merrimack Pharmaceuticals, Inc. | 60 | (240 | ) | |||||||
Moderna, Inc. | 116,900 | (8,270,675 | ) | |||||||
Mylan NV | 90,400 | (1,340,632 | ) | |||||||
NanoViricides, Inc. | 2,100 | (8,064 | ) | |||||||
Neos Therapeutics, Inc. | 4,000 | (2,121 | ) | |||||||
Neurobo Pharmaceuticals, Inc. | 92 | (29 | ) | |||||||
Novan, Inc. | 12,900 | (6,211 | ) | |||||||
Novavax, Inc. | 3,300 | (357,555 | ) | |||||||
Novus Therapeutics, Inc. | 22 | (21 | ) | |||||||
Ocugen, Inc. | 31,100 | (9,641 | ) | |||||||
Oncocyte Corp. | 100 | (139 | ) | |||||||
Oragenics, Inc. | 13,000 | (7,475 | ) | |||||||
Organigram Holdings, Inc. | 5,500 | (5,775 | ) |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2020 (Unaudited)
Security Description | Shares | Value | ||||||||
Organovo Holdings, Inc. | 905 | $ | (7,159 | ) | ||||||
Paratek Pharmaceuticals, Inc. | 800 | (4,328 | ) | |||||||
PDL BioPharma, Inc. | 6,000 | (18,900 | ) | |||||||
PolarityTE, Inc. | 10,099 | (10,503 | ) | |||||||
Qualigen Therapeutics, Inc. | 6,300 | (31,185 | ) | |||||||
Regulus Therapeutics, Inc. | 200 | (103 | ) | |||||||
REVOLUTION Medicines, Inc. | 300 | (10,440 | ) | |||||||
Rockwell Medical, Inc. | 3,200 | (3,424 | ) | |||||||
Royalty Pharma plc, Class A | 200 | (8,414 | ) | |||||||
Sarepta Therapeutics, Inc. | 900 | (126,387 | ) | |||||||
SCYNEXIS, Inc. | 100 | (441 | ) | |||||||
Seelos Therapeutics, Inc. | 200 | (187 | ) | |||||||
SELLAS Life Sciences Group, Inc. | 2,767 | (7,333 | ) | |||||||
Senestech, Inc. | 700 | (1,309 | ) | |||||||
Senseonics Holdings, Inc. | 23,100 | (8,947 | ) | |||||||
Sorrento Therapeutics, Inc. | 75,700 | (844,055 | ) | |||||||
SpringWorks Therapeutics, Inc. | 300 | (14,301 | ) | |||||||
Stoke Therapeutics, Inc. | 1,300 | (43,537 | ) | |||||||
Sunesis Pharmaceuticals, Inc. | 5,340 | (6,675 | ) | |||||||
TG Therapeutics, Inc. | 24,900 | (666,324 | ) | |||||||
TherapeuticsMD, Inc. | 1,300 | (2,054 | ) | |||||||
Tilray, Inc. | 22,700 | (110,095 | ) | |||||||
Tonix Pharmaceuticals Holding Corp. | 17,100 | (14,364 | ) | |||||||
TransMedics Group, Inc. | 2,000 | (27,560 | ) | |||||||
Trevena, Inc. | 1,100 | (3,289 | ) | |||||||
Trillium Therapeutics, Inc. | 23,200 | (329,672 | ) | |||||||
UroGen Pharma Ltd. | 2,600 | (50,154 | ) | |||||||
Vaxart, Inc. | 32,700 | (217,455 | ) | |||||||
Viela Bio, Inc. | 200 | (5,616 | ) | |||||||
Vir Biotechnology, Inc. | 9,600 | (329,568 | ) | |||||||
VolitionRX Ltd. | 800 | (2,568 | ) | |||||||
WaVe Life Sciences Ltd. | 1,800 | (15,282 | ) | |||||||
XBiotech, Inc. | 800 | (15,272 | ) | |||||||
Xencor, Inc. | 2,400 | (93,096 | ) | |||||||
|
| |||||||||
(27,553,087 | ) | |||||||||
|
| |||||||||
Chemicals — (0.0)% | ||||||||||
AgroFresh Solutions, Inc. | 900 | (2,187 | ) | |||||||
Albemarle Corp. | 6,700 | (598,176 | ) | |||||||
American Vanguard Corp. | 100 | (1,314 | ) | |||||||
Amyris, Inc. | 14,300 | (41,756 | ) | |||||||
Celanese Corp. | 700 | (75,215 | ) | |||||||
Dow, Inc. | 9,700 | (456,385 | ) | |||||||
Eastman Chemical Co. | 1,400 | (109,368 | ) | |||||||
Ferro Corp. | 900 | (11,160 | ) | |||||||
GCP Applied Technologies, Inc. | 4,200 | (87,990 | ) |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2020 (Unaudited)
Security Description | Shares | Value | ||||||||
Huntsman Corp. | 2,700 | $ | (59,967 | ) | ||||||
Kraton Corp. | 200 | (3,564 | ) | |||||||
Kronos Worldwide, Inc. | 600 | (7,716 | ) | |||||||
LSB Industries, Inc. | 1,800 | (2,916 | ) | |||||||
LyondellBasell Industries NV, Class A | 2,300 | (162,127 | ) | |||||||
Nutrien Ltd. | 1,901 | (74,576 | ) | |||||||
Quaker Chemical Corp. | 1,100 | (197,681 | ) | |||||||
Tronox Holdings PLC, Class A | 23,200 | (182,584 | ) | |||||||
Univar, Inc. | 1,000 | (16,880 | ) | |||||||
WD-40 Co. | 300 | (56,793 | ) | |||||||
|
| |||||||||
(2,148,355 | ) | |||||||||
|
| |||||||||
Commercial Services — (0.0)% | ||||||||||
ABM Industries, Inc. | 200 | (7,332 | ) | |||||||
Aramark | 13,800 | (365,010 | ) | |||||||
ASGN, Inc. | 1,400 | (88,984 | ) | |||||||
Bright Horizons Family Solutions, Inc. | 1,500 | (228,060 | ) | |||||||
GP Strategies Corp. | 100 | (964 | ) | |||||||
Interpace Biosciences, Inc. | 1,160 | (3,584 | ) | |||||||
ManpowerGroup, Inc. | 2,600 | (190,658 | ) | |||||||
NV5 Global, Inc. | 1,300 | (68,601 | ) | |||||||
Quanta Services, Inc. | 400 | (21,144 | ) | |||||||
Robert Half International, Inc. | 100 | (5,294 | ) | |||||||
Rollins, Inc. | 10,700 | (579,833 | ) | |||||||
RR Donnelley & Sons Co. | 8,834 | (12,898 | ) | |||||||
Vivint Smart Home, Inc. | 100 | (1,708 | ) | |||||||
Willdan Group, Inc. | 500 | (12,755 | ) | |||||||
|
| |||||||||
(1,586,825 | ) | |||||||||
|
| |||||||||
Construction Materials — (0.0)% | ||||||||||
AZEK Co., Inc. (The) | 100 | (3,481 | ) | |||||||
Boise Cascade Co. | 100 | (3,992 | ) | |||||||
Eagle Materials, Inc. | 700 | (60,424 | ) | |||||||
Fortune Brands Home & Security, Inc. | 2,400 | (207,648 | ) | |||||||
Martin Marietta Materials, Inc. | 400 | (94,144 | ) | |||||||
Masco Corp. | 2,000 | (110,260 | ) | |||||||
Owens Corning | 400 | (27,524 | ) | |||||||
PGT Innovations, Inc. | 100 | (1,752 | ) | |||||||
Simpson Manufacturing Co., Inc. | 100 | (9,716 | ) | |||||||
Trex Co., Inc. | 20,500 | (1,467,800 | ) | |||||||
UFP Industries, Inc. | 300 | (16,953 | ) | |||||||
|
| |||||||||
(2,003,694 | ) | |||||||||
|
| |||||||||
Consumer Products — (0.2)% | ||||||||||
22nd Century Group, Inc. | 5,500 | (3,524 | ) | |||||||
Alkaline Water Co., Inc. (The) | 400 | (504 | ) |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2020 (Unaudited)
Security Description | Shares | Value | ||||||||
Avery Dennison Corp. | 300 | $ | (38,352 | ) | ||||||
B&G Foods, Inc. | 12,200 | (338,794 | ) | |||||||
BellRing Brands, Inc., Class A | 1,800 | (37,332 | ) | |||||||
Beyond Meat, Inc. | 18,700 | (3,105,322 | ) | |||||||
Brown-Forman Corp., Class B | 1,100 | (82,852 | ) | |||||||
Cadiz, Inc. | 1,200 | (11,916 | ) | |||||||
Cal-Maine Foods, Inc. | 1,600 | (61,392 | ) | |||||||
Calyxt, Inc. | 100 | (549 | ) | |||||||
Celsius Holdings, Inc. | 3,800 | (86,298 | ) | |||||||
Coty, Inc., Class A | 190,185 | (513,500 | ) | |||||||
Craft Brew Alliance, Inc. | 2,700 | (44,577 | ) | |||||||
Cronos Group, Inc. | 70,200 | (351,702 | ) | |||||||
Darling Ingredients, Inc. | 1,000 | (36,030 | ) | |||||||
Edgewell Personal Care Co. | 5,300 | (147,764 | ) | |||||||
Energizer Holdings, Inc. | 4,000 | (156,560 | ) | |||||||
Estee Lauder Cos., Inc. (The), Class A | 1,600 | (349,200 | ) | |||||||
Fresh Del Monte Produce, Inc. | 1,900 | (43,548 | ) | |||||||
Hain Celestial Group, Inc. | 7,400 | (253,820 | ) | |||||||
Helen of Troy Ltd. | 2,200 | (425,744 | ) | |||||||
Ingredion, Inc. | 700 | (52,976 | ) | |||||||
Lamb Weston Holdings, Inc. | 300 | (19,881 | ) | |||||||
Landec Corp. | 100 | (972 | ) | |||||||
Limoneira Co. | 200 | (2,860 | ) | |||||||
Monster Beverage Corp. | 10,500 | (842,100 | ) | |||||||
NewAge, Inc. | 26,900 | (46,537 | ) | |||||||
Ocean Bio-Chem, Inc. | 300 | (4,299 | ) | |||||||
Pilgrim’s Pride Corp. | 3,800 | (56,867 | ) | |||||||
Post Holdings, Inc. | 6,000 | (516,000 | ) | |||||||
Primo Water Corp. | 1,300 | (18,460 | ) | |||||||
Reed’s, Inc. | 800 | (743 | ) | |||||||
Revlon, Inc., Class A | 300 | (1,896 | ) | |||||||
Sanderson Farms, Inc. | 300 | (35,391 | ) | |||||||
Simply Good Foods Co. (The) | 3,200 | (70,560 | ) | |||||||
Spectrum Brands Holdings, Inc. | 1,100 | (62,876 | ) | |||||||
Tejon Ranch Co. | 300 | (4,245 | ) | |||||||
Trinseo SA | 200 | (5,128 | ) | |||||||
Universal Corp. | 2,100 | (87,948 | ) | |||||||
Vector Group Ltd. | 11,428 | (110,737 | ) | |||||||
Youngevity International, Inc. | 100 | (60 | ) | |||||||
|
| |||||||||
(8,029,816 | ) | |||||||||
|
| |||||||||
Consumer Services — (0.0)% | ||||||||||
Laureate Education, Inc., Class A | 10,100 | (134,128 | ) | |||||||
Regis Corp. | 8,100 | (49,734 | ) | |||||||
Rent-A-Center, Inc. | 4,900 | (146,461 | ) |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2020 (Unaudited)
Security Description | Shares | Value | ||||||||
Strategic Education, Inc. | 1,025 | $ | (93,757 | ) | ||||||
|
| |||||||||
(424,080 | ) | |||||||||
|
| |||||||||
Containers & Packaging — (0.0)% | ||||||||||
Amcor plc | 106,100 | (1,172,405 | ) | |||||||
Ardagh Group SA | 100 | (1,405 | ) | |||||||
Berry Global Group, Inc. | 2,900 | (140,128 | ) | |||||||
Document Security Systems, Inc. | 800 | (3,648 | ) | |||||||
Greif, Inc., Class A | 2,800 | (101,388 | ) | |||||||
O-I Glass, Inc. | 400 | (4,236 | ) | |||||||
Packaging Corp. of America | 400 | (43,620 | ) | |||||||
Westrock Co. | 6,200 | (215,388 | ) | |||||||
|
| |||||||||
(1,682,218 | ) | |||||||||
|
| |||||||||
Design, Manufacturing & Distribution — (0.0)% | ||||||||||
Arrow Electronics, Inc. | 4,000 | (314,640 | ) | |||||||
Benchmark Electronics, Inc. | 3,200 | (64,480 | ) | |||||||
Flex Ltd. | 15,800 | (176,012 | ) | |||||||
SYNNEX Corp. | 3,400 | (476,204 | ) | |||||||
|
| |||||||||
(1,031,336 | ) | |||||||||
|
| |||||||||
Distributors—Consumer Staples — (0.0)% | ||||||||||
Archer-Daniels-Midland Co. | 800 | (37,192 | ) | |||||||
Bunge Ltd. | 5,700 | (260,490 | ) | |||||||
HF Foods Group, Inc. | 400 | (2,644 | ) | |||||||
|
| |||||||||
(300,326 | ) | |||||||||
|
| |||||||||
Distributors—Discretionary — (0.1)% | ||||||||||
Copart, Inc. | 20,800 | (2,187,328 | ) | |||||||
G-III Apparel Group Ltd. | 500 | (6,555 | ) | |||||||
Hudson Technologies, Inc. | 900 | (1,035 | ) | |||||||
IAA, Inc. | 3,600 | (187,452 | ) | |||||||
LKQ Corp. | 6,700 | (185,791 | ) | |||||||
Pool Corp. | 200 | (66,908 | ) | |||||||
|
| |||||||||
(2,635,069 | ) | |||||||||
|
| |||||||||
Electrical Equipment — (0.1)% | ||||||||||
Advanced Energy Industries, Inc. | 4,600 | (289,524 | ) | |||||||
Allied Motion Technologies, Inc. | 100 | (4,128 | ) | |||||||
Argan, Inc. | 1,300 | (54,483 | ) | |||||||
Babcock & Wilcox Enterprises, Inc. | 3,308 | (7,675 | ) | |||||||
Belden, Inc. | 300 | (9,336 | ) | |||||||
Bloom Energy Corp. | 6,000 | (107,820 | ) | |||||||
Capstone Turbine Corp. | 348 | (1,656 | ) | |||||||
Cognex Corp. | 7,200 | (468,720 | ) | |||||||
Emerson Electric Co. | 400 | (26,228 | ) |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2020 (Unaudited)
Security Description | Shares | Value | ||||||||
Energous Corp. | 3,900 | $ | (11,505 | ) | ||||||
Generac Holdings, Inc. | 300 | (58,092 | ) | |||||||
General Electric Co. | 55,500 | (345,765 | ) | |||||||
IntriCon Corp. | 800 | (9,744 | ) | |||||||
Johnson Controls International plc | 36,600 | (1,495,110 | ) | |||||||
Mesa Laboratories, Inc. | 300 | (76,428 | ) | |||||||
MSA Safety, Inc. | 200 | (26,834 | ) | |||||||
Novanta, Inc. | 1,500 | (158,010 | ) | |||||||
Orion Energy Systems, Inc. | 100 | (757 | ) | |||||||
Pioneer Power Solutions, Inc. | 2,530 | (3,896 | ) | |||||||
Plexus Corp. | 200 | (14,126 | ) | |||||||
Polar Power, Inc. | 700 | (2,212 | ) | |||||||
Research Frontiers, Inc. | 600 | (1,620 | ) | |||||||
Rockwell Automation, Inc. | 4,200 | (926,856 | ) | |||||||
Snap-on, Inc. | 100 | (14,713 | ) | |||||||
Stoneridge, Inc. | 100 | (1,837 | ) | |||||||
TE Connectivity Ltd. | 1,500 | (146,610 | ) | |||||||
Trimble, Inc. | 6,500 | (316,550 | ) | |||||||
Wrap Technologies, Inc. | 300 | (2,031 | ) | |||||||
|
| |||||||||
(4,582,266 | ) | |||||||||
|
| |||||||||
Engineering & Construction Services — (0.0)% | ||||||||||
AECOM | 800 | (33,472 | ) | |||||||
Century Communities, Inc. | 400 | (16,932 | ) | |||||||
Construction Partners, Inc., Class A | 500 | (9,100 | ) | |||||||
Goldfield Corp. | 700 | (2,961 | ) | |||||||
Green Brick Partners, Inc. | 300 | (4,830 | ) | |||||||
Installed Building Products, Inc. | 100 | (10,175 | ) | |||||||
Kratos Defense & Security Solutions, Inc. | 700 | (13,496 | ) | |||||||
Meritage Homes Corp. | 700 | (77,273 | ) | |||||||
|
| |||||||||
(168,239 | ) | |||||||||
|
| |||||||||
Financial Services — (0.1)% | ||||||||||
Affiliated Managers Group, Inc. | 200 | (13,676 | ) | |||||||
Altus Midstream | 610 | (6,777 | ) | |||||||
Arlington Asset Investment Corp., Class A | 2,800 | (7,952 | ) | |||||||
Columbia Financial, Inc. | 100 | (1,110 | ) | |||||||
Evercore, Inc., Class A | 100 | (6,546 | ) | |||||||
Goldman Sachs Group, Inc. | 33,100 | (6,652,107 | ) | |||||||
Greenhill & Co., Inc. | 2,600 | (29,510 | ) | |||||||
Invesco Ltd. | 600 | (6,846 | ) | |||||||
LM Funding America, Inc. | 400 | (263 | ) | |||||||
Marathon Patent Group, Inc. | 9,600 | (18,816 | ) | |||||||
Medley Capital Corp. | 220 | (3,922 | ) | |||||||
Moelis & Co., Class A | 4,300 | (151,102 | ) | |||||||
Ocwen Financial Corp. | 206 | (4,351 | ) |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2020 (Unaudited)
Security Description | Shares | Value | ||||||||
Virtu Financial, Inc., Class A | 9,800 | $ | (225,498 | ) | ||||||
|
| |||||||||
(7,128,476 | ) | |||||||||
|
| |||||||||
Forest & Paper Products — (0.0)% | ||||||||||
International Paper Co. | 1,400 | (56,756 | ) | |||||||
Mercer International, Inc. | 3,800 | (25,080 | ) | |||||||
|
| |||||||||
(81,836 | ) | |||||||||
|
| |||||||||
Gaming, Lodging & Restaurants — (0.3)% | ||||||||||
BJ’s Restaurants, Inc. | 4,700 | (138,368 | ) | |||||||
Brinker International, Inc. | 6,300 | (269,136 | ) | |||||||
Caesars Entertainment, Inc. | 30,376 | (1,702,879 | ) | |||||||
Cheesecake Factory, Inc. (The) | 2,300 | (63,802 | ) | |||||||
Choice Hotels International, Inc. | 4,200 | (361,032 | ) | |||||||
Churchill Downs, Inc. | 100 | (16,382 | ) | |||||||
Chuy’s Holdings, Inc. | 100 | (1,958 | ) | |||||||
Darden Restaurants, Inc. | 700 | (70,518 | ) | |||||||
Dave & Buster’s Entertainment, Inc. | 14,200 | (215,272 | ) | |||||||
DraftKings, Inc., Class A | 41,600 | (2,447,744 | ) | |||||||
El Pollo Loco Holdings, Inc. | 5,000 | (81,000 | ) | |||||||
Fiesta Restaurant Group, Inc. | 4,000 | (37,480 | ) | |||||||
Hilton Worldwide Holdings, Inc. | 18,700 | (1,595,484 | ) | |||||||
Hyatt Hotels Corp., Class A | 2,400 | (128,088 | ) | |||||||
International Game Technology plc | 300 | (3,339 | ) | |||||||
Kura Sushi USA, Inc., Class A | 1,200 | (15,720 | ) | |||||||
Las Vegas Sands Corp. | 39,500 | (1,843,070 | ) | |||||||
Marriott International, Inc., Class A | 6,500 | (601,770 | ) | |||||||
Marriott Vacations Worldwide Corp. | 6,700 | (608,427 | ) | |||||||
MGM Resorts International | 63,200 | (1,374,600 | ) | |||||||
Norwegian Cruise Line Holdings Ltd. | 80,300 | (1,373,933 | ) | |||||||
Penn National Gaming, Inc. | 7,400 | (537,980 | ) | |||||||
Playa Hotels & Resorts NV | 10,400 | (43,576 | ) | |||||||
Potbelly Corp. | 1,100 | (4,169 | ) | |||||||
Red Robin Gourmet Burgers, Inc. | 2,600 | (34,216 | ) | |||||||
Restaurant Brands International, Inc. | 2,879 | (165,571 | ) | |||||||
Royal Caribbean Cruises Ltd. | 9,800 | (634,354 | ) | |||||||
Shake Shack, Inc., Class A | 1,100 | (70,928 | ) | |||||||
Target Hospitality Corp. | 100 | (122 | ) | |||||||
Twin River Worldwide Holdings, Inc. | 2,800 | (73,556 | ) | |||||||
Waitr Holdings, Inc. | 500 | (1,610 | ) | |||||||
Wyndham Hotels & Resorts, Inc. | 2,100 | (106,050 | ) | |||||||
Wynn Resorts Ltd. | 31,700 | (2,276,377 | ) | |||||||
|
| |||||||||
(16,898,511 | ) | |||||||||
|
| |||||||||
Hardware — (0.2)% | ||||||||||
Acacia Communications, Inc. | 9,200 | (620,080 | ) |
See Notes to Consolidated Financial Statements.
113
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Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2020 (Unaudited)
Security Description | Shares | Value | ||||||||
Akoustis Technologies, Inc. | 100 | $ | (816 | ) | ||||||
Apple, Inc. | 32,400 | (3,752,244 | ) | |||||||
Ciena Corp. | 700 | (27,783 | ) | |||||||
CommScope Holding Co., Inc. | 27,100 | (243,900 | ) | |||||||
Corning, Inc. | 15,100 | (489,391 | ) | |||||||
Cubic Corp. | 7,000 | (407,190 | ) | |||||||
Dell Technologies, Inc., Class C | 44,170 | (2,989,867 | ) | |||||||
Diebold Nixdorf, Inc. | 200 | (1,528 | ) | |||||||
Digital Ally, Inc. | 7,900 | (16,906 | ) | |||||||
Everspin Technologies, Inc. | 100 | (567 | ) | |||||||
Garmin Ltd. | 2,700 | (256,122 | ) | |||||||
GoPro, Inc., Class A | 38,600 | (174,858 | ) | |||||||
HP, Inc. | 20,200 | (383,598 | ) | |||||||
Kopin Corp. | 100 | (138 | ) | |||||||
LightPath Technologies, Inc., Class A | 100 | (241 | ) | |||||||
Lumentum Holdings, Inc. | 1,305 | (98,045 | ) | |||||||
Maxar Technologies, Inc. | 1,500 | (37,410 | ) | |||||||
PAR Technology Corp. | 4,100 | (166,091 | ) | |||||||
Plantronics, Inc. | 500 | (5,920 | ) | |||||||
Resonant, Inc. | 1,600 | (3,808 | ) | |||||||
Seagate Technology plc | 8,500 | (418,795 | ) | |||||||
Superconductor Technologies, Inc. | 300 | (420 | ) | |||||||
Ubiquiti, Inc. | 500 | (83,330 | ) | |||||||
Vicor Corp. | 500 | (38,865 | ) | |||||||
Western Digital Corp. | 11,900 | (434,945 | ) | |||||||
|
| |||||||||
(10,652,858 | ) | |||||||||
|
| |||||||||
Health Care — (0.0)% | ||||||||||
Align Technology, Inc. | 700 | (229,152 | ) | |||||||
Alpha Pro Tech Ltd. | 1,700 | (25,126 | ) | |||||||
Avanos Medical, Inc. | 200 | (6,644 | ) | |||||||
Avita Therapeutics, Inc. | 100 | (2,516 | ) | |||||||
Biomerica, Inc. | 2,400 | (16,632 | ) | |||||||
BioNano Genomics, Inc. | 2,200 | (1,430 | ) | |||||||
BioTelemetry, Inc. | 200 | (9,116 | ) | |||||||
Cantel Medical Corp. | 400 | (17,576 | ) | |||||||
Cardiovascular Systems, Inc. | 200 | (7,870 | ) | |||||||
Chembio Diagnostics, Inc. | 6,000 | (29,160 | ) | |||||||
Co-Diagnostics, Inc. | 8,400 | (114,156 | ) | |||||||
Cogent Biosciences, Inc. | 1,000 | (2,340 | ) | |||||||
Electromed, Inc. | 600 | (6,246 | ) | |||||||
Glaukos Corp. | 1,900 | (94,088 | ) | |||||||
Inari Medical, Inc. | 700 | (48,314 | ) | |||||||
Inspire Medical Systems, Inc. | 200 | (25,810 | ) | |||||||
Integra LifeSciences Holdings Corp. | 200 | (9,444 | ) | |||||||
iRhythm Technologies, Inc. | 300 | (71,433 | ) |
See Notes to Consolidated Financial Statements.
114
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Consolidated Schedule of Investments (Continued)
September 30, 2020 (Unaudited)
Security Description | Shares | Value | ||||||||
Milestone Scientific, Inc. | 1,400 | $ | (1,946 | ) | ||||||
PAVmed, Inc. | 5,000 | (8,900 | ) | |||||||
PerkinElmer, Inc. | 100 | (12,551 | ) | |||||||
PhaseBio Pharmaceuticals, Inc. | 100 | (351 | ) | |||||||
Retractable Technologies, Inc. | 800 | (5,328 | ) | |||||||
Seagen, Inc. | 100 | (19,569 | ) | |||||||
SmileDirectClub, Inc. | 6,300 | (73,584 | ) | |||||||
ThermoGenesis Holdings, Inc. | 2,000 | (5,800 | ) | |||||||
West Pharmaceutical Services, Inc. | 600 | (164,940 | ) | |||||||
|
| |||||||||
(1,010,022 | ) | |||||||||
|
| |||||||||
Health Care Facilities & Services — (0.1)% | ||||||||||
Acadia Healthcare Co., Inc. | 7,700 | (226,996 | ) | |||||||
Acasti Pharma, Inc. | 10,600 | (2,122 | ) | |||||||
Addus HomeCare Corp. | 300 | (28,353 | ) | |||||||
Avalon GloboCare Corp. | 1,696 | (2,120 | ) | |||||||
Brookdale Senior Living, Inc. | 22,491 | (57,127 | ) | |||||||
Capital Senior Living Corp. | 5,300 | (3,329 | ) | |||||||
CVS Health Corp. | 2,800 | (163,520 | ) | |||||||
DaVita, Inc. | 3,600 | (308,340 | ) | |||||||
Enzo Biochem, Inc. | 1,700 | (3,587 | ) | |||||||
Fulgent Genetics, Inc. | 100 | (4,004 | ) | |||||||
Genesis Healthcare, Inc. | 4,800 | (2,612 | ) | |||||||
HealthEquity, Inc. | 2,000 | (102,740 | ) | |||||||
Invitae Corp. | 5,000 | (216,750 | ) | |||||||
LHC Group, Inc. | 2,283 | (485,275 | ) | |||||||
NeoGenomics, Inc. | 12,900 | (475,881 | ) | |||||||
Option Care Health, Inc. | 100 | (1,337 | ) | |||||||
PPD, Inc. | 200 | (7,398 | ) | |||||||
Progyny, Inc. | 1,900 | (55,917 | ) | |||||||
Surgery Partners, Inc. | 4,100 | (89,790 | ) | |||||||
Teladoc Health, Inc. | 400 | (87,696 | ) | |||||||
Viemed Healthcare, Inc. | 100 | (864 | ) | |||||||
Elanco Animal Health, Inc. | 6,500 | 0 | ||||||||
|
| |||||||||
(2,325,758 | ) | |||||||||
|
| |||||||||
Home & Office Products — (0.2)% | ||||||||||
American Woodmark Corp. | 1,900 | (149,226 | ) | |||||||
Beazer Homes USA, Inc. | 5,300 | (69,960 | ) | |||||||
DR Horton, Inc. | 11,800 | (892,434 | ) | |||||||
Hooker Furniture Corp. | 600 | (15,498 | ) | |||||||
Hovnanian Enterprises, Class A | 1,216 | (39,545 | ) | |||||||
Knoll, Inc. | 100 | (1,206 | ) | |||||||
Leggett & Platt, Inc. | 1,200 | (49,404 | ) | |||||||
Lennar Corp., Class A | 32,224 | (2,632,056 | ) | |||||||
LGI Homes, Inc. | 5,600 | (650,552 | ) |
See Notes to Consolidated Financial Statements.
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September 30, 2020 (Unaudited)
Security Description | Shares | Value | ||||||||
M/I Homes, Inc. | 500 | $ | (23,025 | ) | ||||||
Mohawk Industries, Inc. | 200 | (19,518 | ) | |||||||
Newell Brands, Inc. | 65,718 | (1,127,721 | ) | |||||||
Skyline Champion Corp. | 900 | (24,093 | ) | |||||||
Taylor Morrison Home Corp., Class A | 600 | (14,754 | ) | |||||||
Toll Brothers, Inc. | 27,300 | (1,328,418 | ) | |||||||
Tupperware Brands Corp. | 100 | (2,016 | ) | |||||||
Whirlpool Corp. | 7,800 | (1,434,342 | ) | |||||||
|
| |||||||||
(8,473,768 | ) | |||||||||
|
| |||||||||
Industrial Services — (0.0)% | ||||||||||
Bristow Group, Inc. | 333 | (7,076 | ) | |||||||
CAI International, Inc. | 1,100 | (30,283 | ) | |||||||
EVI Industries, Inc. | 200 | (5,322 | ) | |||||||
Fastenal Co. | 1,200 | (54,108 | ) | |||||||
GFL Environmental ,Inc. | 3,400 | (72,284 | ) | |||||||
Harsco Corp. | 400 | (5,564 | ) | |||||||
SiteOne Landscape Supply, Inc. | 100 | (12,195 | ) | |||||||
Team, Inc. | 2,900 | (15,950 | ) | |||||||
United Rentals, Inc. | 8,000 | (1,396,000 | ) | |||||||
Watsco, Inc. | 100 | (23,289 | ) | |||||||
WESCO International, Inc. | 21 | (925 | ) | |||||||
|
| |||||||||
(1,622,996 | ) | |||||||||
|
| |||||||||
Insurance — (0.2)% | ||||||||||
Ambac Financial Group, Inc. | 6,000 | (76,620 | ) | |||||||
American International Group, Inc. | 42,200 | (1,161,766 | ) | |||||||
Axis Capital Holdings Ltd. | 2,200 | (96,888 | ) | |||||||
Berkshire Hathaway, Inc., Class B | 17,100 | (3,641,274 | ) | |||||||
eHealth, Inc. | 7,700 | (608,300 | ) | |||||||
Enstar Group Ltd. | 100 | (16,150 | ) | |||||||
Erie Indemnity Co., Class A | 400 | (84,112 | ) | |||||||
Genworth Financial, Inc., Class A | 8,400 | (28,140 | ) | |||||||
HCI Group, Inc. | 400 | (19,716 | ) | |||||||
Kemper Corp. | 100 | (6,683 | ) | |||||||
Kinsale Capital Group, Inc. | 1,800 | (342,324 | ) | |||||||
Lemonade, Inc. | 700 | (34,804 | ) | |||||||
Loews Corp. | 300 | (10,425 | ) | |||||||
Manulife Financial Corp. | 17,500 | (243,425 | ) | |||||||
Marsh & McLennan Cos., Inc. | 14,100 | (1,617,270 | ) | |||||||
MBIA, Inc. | 1,300 | (7,878 | ) | |||||||
Palomar Holdings, Inc. | 1,500 | (156,360 | ) | |||||||
ProSight Global, Inc. | 100 | (1,134 | ) | |||||||
Sun Life Financial, Inc. | 6,300 | (256,599 | ) | |||||||
Trupanion, Inc. | 1,100 | (86,790 | ) |
See Notes to Consolidated Financial Statements.
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September 30, 2020 (Unaudited)
Security Description | Shares | Value | ||||||||
Voya Financial, Inc. | 5,600 | $ | (268,408 | ) | ||||||
|
| |||||||||
(8,765,066 | ) | |||||||||
|
| |||||||||
Iron & Steel — (0.0)% | ||||||||||
Arch Resources, Inc. | 2,600 | (110,448 | ) | |||||||
Cleveland-Cliffs, Inc. | 81,700 | (524,514 | ) | |||||||
Commercial Metals Co. | 1,400 | (27,972 | ) | |||||||
Schnitzer Steel Industries, Inc., Class A | 800 | (15,384 | ) | |||||||
Ternium SA, ADR | 1,100 | (20,713 | ) | |||||||
Warrior Met Coal, Inc. | 11,400 | (194,712 | ) | |||||||
Worthington Industries, Inc. | 100 | (4,078 | ) | |||||||
|
| |||||||||
(897,821 | ) | |||||||||
|
| |||||||||
Leisure Products — (0.0)% | ||||||||||
Acushnet Holdings Corp. | 200 | (6,722 | ) | |||||||
Camping World Holdings, Inc., Class A | 200 | (5,950 | ) | |||||||
Hasbro, Inc. | 1,000 | (82,720 | ) | |||||||
Horizon Global Corp. | 1,400 | (8,050 | ) | |||||||
JAKKS Pacific, Inc. | 10 | (38 | ) | |||||||
LCI Industries | 1,900 | (201,951 | ) | |||||||
Mattel, Inc. | 62,600 | (732,420 | ) | |||||||
Nautilus, Inc. | 5,000 | (85,800 | ) | |||||||
Winnebago Industries, Inc. | 1,700 | (87,839 | ) | |||||||
|
| |||||||||
(1,211,490 | ) | |||||||||
|
| |||||||||
Machinery — (0.1)% | ||||||||||
AGCO Corp. | 100 | (7,427 | ) | |||||||
AgEagle Aerial Systems, Inc. | 17,100 | (38,988 | ) | |||||||
Alamo Group, Inc. | 600 | (64,818 | ) | |||||||
Altra Industrial Motion Corp. | 2,200 | (81,334 | ) | |||||||
Astec Industries, Inc. | 1,800 | (97,650 | ) | |||||||
Caterpillar, Inc. | 12,000 | (1,789,800 | ) | |||||||
Chart Industries, Inc. | 1,100 | (77,297 | ) | |||||||
CIRCOR International, Inc. | 2,300 | (62,905 | ) | |||||||
Colfax Corp. | 100 | (3,136 | ) | |||||||
Deere & Co. | 2,800 | (620,564 | ) | |||||||
Eastman Kodak Co. | 9,200 | (81,144 | ) | |||||||
Enerpac Tool Group Corp. | 3,500 | (65,835 | ) | |||||||
Helios Technologies, Inc. | 800 | (29,120 | ) | |||||||
Ingersoll Rand, Inc. | 27,952 | (995,091 | ) | |||||||
John Bean Technologies Corp. | 2,600 | (238,914 | ) | |||||||
Kennametal, Inc. | 800 | (23,152 | ) | |||||||
Middleby Corp. | 5,600 | (502,376 | ) | |||||||
Oshkosh Corp. | 2,100 | (154,350 | ) | |||||||
SPX FLOW, Inc. | 1,700 | (72,794 | ) | |||||||
Terex Corp. | 1,300 | (25,168 | ) |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2020 (Unaudited)
Security Description | Shares | Value | ||||||||
Xylem, Inc. | 500 | $ | (42,060 | ) | ||||||
|
| |||||||||
(5,073,923 | ) | |||||||||
|
| |||||||||
Manufactured Goods — (0.0)% | ||||||||||
Mueller Industries, Inc. | 1,200 | (32,472 | ) | |||||||
RBC Bearings, Inc. | 1,300 | (157,573 | ) | |||||||
|
| |||||||||
(190,045 | ) | |||||||||
|
| |||||||||
Media — (0.4)% | ||||||||||
AMC Networks, Inc., Class A | 9,100 | (224,861 | ) | |||||||
Apex Global Brands, Inc. | 160 | (971 | ) | |||||||
AutoWeb, Inc. | 3,300 | (10,362 | ) | |||||||
Booking Holdings, Inc. | 2,400 | (4,105,632 | ) | |||||||
Boston Omaha Corp., Class A | 1,600 | (25,600 | ) | |||||||
Cinedigm Corp. | 600 | (339 | ) | |||||||
Clear Channel Outdoor Holdings, Inc. | 300 | (300 | ) | |||||||
DHI Group, Inc. | 1,800 | (4,068 | ) | |||||||
Discovery, Inc., Class A | 24,200 | (526,834 | ) | |||||||
EW Scripps Co., Class A | 3,936 | (45,028 | ) | |||||||
Expedia, Inc. | 9,516 | (872,522 | ) | |||||||
Gannett Co., Inc. | 15,014 | (19,518 | ) | |||||||
Gray Television, Inc. | 15,500 | (213,435 | ) | |||||||
Groupon, Inc. | 1,875 | (38,250 | ) | |||||||
Houghton Mifflin Harcourt Co. | 29,100 | (50,343 | ) | |||||||
HyreCar, Inc. | 2,000 | (6,300 | ) | |||||||
IAC/InterActiveCorp | 500 | (59,890 | ) | |||||||
iHeartMedia, Inc., Class A | 500 | (4,060 | ) | |||||||
Inuvo, Inc. | 29,200 | (10,673 | ) | |||||||
IZEA Worldwide, Inc. | 14,500 | (14,433 | ) | |||||||
Liberty Media Corp-Liberty SiriusXM | 1,300 | (43,004 | ) | |||||||
Liberty Media Group, Class A | 2,592 | (86,858 | ) | |||||||
Live Ventures, Inc. | 66 | (566 | ) | |||||||
LiveXLive Media, Inc. | 600 | (1,557 | ) | |||||||
Lyft, Inc., Class A | 56,523 | (1,557,209 | ) | |||||||
Madison Square Garden Entertainment Corp. | 100 | (6,849 | ) | |||||||
Match Group, Inc. | 1,600 | (177,040 | ) | |||||||
Media General, Inc. | 12,100 | 0 | ||||||||
Meredith Corp. | 2,600 | (34,112 | ) | |||||||
MSG Networks, Inc. | 2,400 | (22,968 | ) | |||||||
News Corp., Class A | 26,300 | (368,726 | ) | |||||||
Nexstar Media Group, Inc., Class A | 7,311 | (657,478 | ) | |||||||
NTN Buzztime, Inc. | 800 | (1,360 | ) | |||||||
Quotient Technology, Inc. | 4,200 | (30,996 | ) | |||||||
Roku, Inc. | 2,200 | (415,360 | ) | |||||||
RumbleON, Inc., Class B | 455 | (12,126 | ) | |||||||
TEGNA, Inc. | 16,200 | (190,350 | ) |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2020 (Unaudited)
Security Description | Shares | Value | ||||||||
Trade Desk, Inc. (The), Class A | 11,600 | $ | (6,017,848 | ) | ||||||
Uber Technologies, Inc. | 172,300 | (6,285,504 | ) | |||||||
Upwork, Inc. | 100 | (1,744 | ) | |||||||
ViacomCBS, Inc., Class B | 65,329 | (1,829,865 | ) | |||||||
|
| |||||||||
(23,974,939 | ) | |||||||||
|
| |||||||||
Medical Equipment & Devices — (0.3)% | ||||||||||
Adaptive Biotechnologies Corp. | 8,200 | (398,766 | ) | |||||||
Apyx Medical Corp. | 700 | (3,297 | ) | |||||||
Avinger, Inc. | 21,748 | (7,005 | ) | |||||||
Axonics Modulation Technologies, Inc. | 2,700 | (137,808 | ) | |||||||
BioLife Solutions, Inc. | 3,600 | (104,184 | ) | |||||||
DENTSPLY SIRONA, Inc. | 20,000 | (874,600 | ) | |||||||
Edwards Lifesciences Corp. | 303 | (24,185 | ) | |||||||
Exact Sciences Corp. | 27,500 | (2,803,625 | ) | |||||||
Illumina, Inc. | 3,800 | (1,174,504 | ) | |||||||
Insulet Corp. | 100 | (23,659 | ) | |||||||
LivaNova plc | 100 | (4,521 | ) | |||||||
Microbot Medical, Inc. | 2,100 | (16,044 | ) | |||||||
Pacific Biosciences of California, Inc. | 41,000 | (404,670 | ) | |||||||
Penumbra, Inc. | 3,200 | (622,016 | ) | |||||||
Pulse Biosciences, Inc. | 1,430 | (16,860 | ) | |||||||
ResMed, Inc. | 300 | (51,429 | ) | |||||||
Second Sight Medical Products, Inc. | 6,923 | (5,970 | ) | |||||||
Shockwave Medical, Inc. | 6,800 | (515,440 | ) | |||||||
Sientra, Inc. | 700 | (2,380 | ) | |||||||
Silk Road Medical, Inc. | 5,700 | (383,097 | ) | |||||||
Stereotaxis, Inc. | 900 | (3,222 | ) | |||||||
Thermo Fisher Scientific, Inc. | 15,400 | (6,799,408 | ) | |||||||
TransEnterix, Inc. | 830 | (288 | ) | |||||||
Varian Medical Systems, Inc. | 8,000 | (1,376,000 | ) | |||||||
Venus Concept, Inc. | 33 | (77 | ) | |||||||
ViewRay, Inc. | 500 | (1,750 | ) | |||||||
Zimmer Biomet Holdings, Inc. | 3,000 | (408,420 | ) | |||||||
Zynex, Inc. | 6,200 | (108,190 | ) | |||||||
|
| |||||||||
(16,271,415 | ) | |||||||||
|
| |||||||||
Metals & Mining — (0.2)% | ||||||||||
Agnico Eagle Mines Ltd. | 4,200 | (334,362 | ) | |||||||
Barrick Gold Corp. | 156,948 | (4,411,808 | ) | |||||||
Cameco Corp. | 2,500 | (25,250 | ) | |||||||
Century Aluminum Co. | 20,900 | (148,808 | ) | |||||||
Coeur Mining, Inc. | 3,764 | (27,778 | ) | |||||||
Compass Minerals International, Inc. | 800 | (47,480 | ) | |||||||
First Majestic Silver Corp. | 59,900 | (570,248 | ) | |||||||
Fortuna Silver Mines, Inc. | 12,000 | (76,320 | ) |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2020 (Unaudited)
Security Description | Shares | Value | ||||||||
Freeport-McMoRan, Inc. | 39,600 | $ | (619,344 | ) | ||||||
Hecla Mining Co. | 8,519 | (43,277 | ) | |||||||
Kinross Gold Corp. | 800 | (7,056 | ) | |||||||
Kirkland Lake Gold Ltd. | 10,200 | (497,046 | ) | |||||||
Livent Corp. | 4,200 | (37,674 | ) | |||||||
MAG Silver Corp. | 300 | (4,878 | ) | |||||||
McEwen Mining, Inc. | 56,700 | (60,102 | ) | |||||||
North American Construction Group Ltd. | 2,100 | (13,671 | ) | |||||||
Northern Dynasty Minerals Ltd. | 63,400 | (62,157 | ) | |||||||
Novagold Resources, Inc. | 54,200 | (644,438 | ) | |||||||
Pan American Silver Corp. | 31,900 | (1,025,585 | ) | |||||||
PolyMet Mining Corp. | 400 | (1,460 | ) | |||||||
Seabridge Gold, Inc. | 10,400 | (195,312 | ) | |||||||
Silvercorp Metals, Inc. | 8,800 | (63,712 | ) | |||||||
SilverCrest Metals, Inc. | 1,700 | (14,433 | ) | |||||||
Turquoise Hill Resources Ltd. | 44,400 | (37,447 | ) | |||||||
Uranium Energy Corp. | 29,200 | (29,107 | ) | |||||||
Westwater Resources, Inc. | 700 | (1,757 | ) | |||||||
Wheaton Precious Metals Corp. | 5,300 | (260,071 | ) | |||||||
|
| |||||||||
(9,260,581 | ) | |||||||||
|
| |||||||||
Oil, Gas & Coal — (0.1)% | ||||||||||
Abraxas Petroleum Corp. | 2,800 | (409 | ) | |||||||
Amplify Energy Corp. | 334 | (285 | ) | |||||||
Antero Midstream Corp. | 115,800 | (621,846 | ) | |||||||
Antero Resources Corp. | 300 | (825 | ) | |||||||
Baytex Energy Corp. | 22,100 | (7,792 | ) | |||||||
Berry Petroleum Corp. | 1,900 | (6,023 | ) | |||||||
Bonanza Creek Energy, Inc. | 4,000 | (75,200 | ) | |||||||
Callon Petroleum Co. | 10,395 | (50,104 | ) | |||||||
Cheniere Energy, Inc. | 16,000 | (740,320 | ) | |||||||
Chevron Corp. (b) | 12,070 | (869,040 | ) | |||||||
Contango Oil & Gas Co. | 2,152 | (2,884 | ) | |||||||
Delek US Holdings, Inc. | 9,739 | (108,395 | ) | |||||||
Diamondback Energy, Inc. | 5,700 | (171,684 | ) | |||||||
Dril-Quip, Inc. | 4,200 | (103,992 | ) | |||||||
Earthstone Energy, Inc., Class A | 4,200 | (10,878 | ) | |||||||
Enbridge, Inc. | 25,422 | (742,322 | ) | |||||||
Equitrans Midstream Corp. | 43,700 | (369,702 | ) | |||||||
Exxon Mobil Corp. (b) | 30,845 | (1,058,909 | ) | |||||||
Flotek Industries, Inc. | 7,200 | (19,512 | ) | |||||||
Forum Energy Technologies, Inc. | 400 | (220 | ) | |||||||
Frank’s International NV | 17,500 | (26,950 | ) | |||||||
FTS International, Inc. | 1,030 | (3,419 | ) | |||||||
Geospace Technologies Corp. | 1,100 | (6,798 | ) | |||||||
Gulfport Energy Corp. | 28,700 | (15,128 | ) |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2020 (Unaudited)
Security Description | Shares | Value | ||||||||
Hess Corp. | 2,200 | $ | (90,046 | ) | ||||||
HighPoint Resources Corp. | 4,500 | (1,035 | ) | |||||||
ION Geophysical Corp. | 4,200 | (6,300 | ) | |||||||
Laredo Petroleum, Inc. | 3,550 | (34,790 | ) | |||||||
Liberty Oilfield Services, Inc., Class A | 9,400 | (75,106 | ) | |||||||
Montage Resources Corp. | 2,966 | (13,021 | ) | |||||||
Nabors Industries Ltd. | 2,116 | (51,715 | ) | |||||||
National Energy Services Reunited Corp. | 3,000 | (19,140 | ) | |||||||
New Fortress Energy LLC | 2,100 | (92,421 | ) | |||||||
Northern Oil and Gas, Inc. | 8,790 | (50,455 | ) | |||||||
Occidental Petroleum Corp. | 15,462 | (154,775 | ) | |||||||
Penn Virginia Corp. | 2,400 | (23,640 | ) | |||||||
Ramaco Resources, Inc. | 1,800 | (6,300 | ) | |||||||
Ring Energy, Inc. | 15,800 | (10,744 | ) | |||||||
Select Energy Services, Inc., Class A | 100 | (384 | ) | |||||||
SilverBow Resources, Inc. | 2,300 | (9,039 | ) | |||||||
Smart Sand, Inc. | 5,100 | (6,681 | ) | |||||||
Solaris Oilfield Infrastructure, Inc., Class A | 3,300 | (20,922 | ) | |||||||
Southwestern Energy Co. | 103,600 | (243,460 | ) | |||||||
Sundance Energy, Inc. | 700 | (1,624 | ) | |||||||
Talos Energy, Inc. | 1,400 | (9,030 | ) | |||||||
Tellurian, Inc. | 6,400 | (5,099 | ) | |||||||
TETRA Technologies, Inc. | 31,500 | (16,090 | ) | |||||||
Tidewater, Inc. | 2,800 | (18,788 | ) | |||||||
VAALCO Energy, Inc. | 400 | (400 | ) | |||||||
World Fuel Services Corp. | 8,100 | (171,639 | ) | |||||||
|
| |||||||||
(6,145,281 | ) | |||||||||
|
| |||||||||
Pharmaceuticals — (0.0)% | ||||||||||
Cogent Biosciences, Inc. | 1,000 | 0 | ||||||||
|
| |||||||||
Real Estate — (0.3)% | ||||||||||
American Campus Communities, Inc. | 3,100 | (108,252 | ) | |||||||
Americold Realty Trust | 21,500 | (768,625 | ) | |||||||
Apple Hospitality REIT, Inc. | 47,200 | (453,592 | ) | |||||||
Ashford Hospitality Trust, Inc. | 1,500 | (2,475 | ) | |||||||
Braemar Hotels & Resorts, Inc. | 8,922 | (22,305 | ) | |||||||
Brandywine Realty Trust | 100 | (1,034 | ) | |||||||
Brixmor Property Group, Inc. | 39,300 | (459,417 | ) | |||||||
BRT Apartments Corp. | 500 | (5,890 | ) | |||||||
CBRE Group, Inc., Class A | 6,800 | (319,396 | ) | |||||||
Chatham Lodging Trust | 5,200 | (39,624 | ) | |||||||
Clipper Realty, Inc. | 600 | (3,630 | ) | |||||||
Colony Capital, Inc. | 6,421 | (17,529 | ) | |||||||
Cousins Properties, Inc. | 17,098 | (488,832 | ) | |||||||
Cushman & Wakefield plc | 1,800 | (18,918 | ) | |||||||
DiamondRock Hospitality Co. | 43,900 | (222,573 | ) |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2020 (Unaudited)
Security Description | Shares | Value | ||||||||
Digital Realty Trust, Inc. | 406 | $ | (59,584 | ) | ||||||
Diversified Healthcare Trust | 600 | (2,112 | ) | |||||||
Empire State Realty Trust, Inc., Class A | 1,300 | (7,956 | ) | |||||||
Equinix, Inc. | 100 | (76,013 | ) | |||||||
Essential Properties Realty Trust, Inc. | 13,200 | (241,824 | ) | |||||||
Five Point Holdings LLC, Class A | 2,000 | (8,340 | ) | |||||||
Franklin Street Properties Corp. | 800 | (2,928 | ) | |||||||
Healthpeak Properties, Inc. | 27,400 | (743,910 | ) | |||||||
Hersha Hospitality Trust | 3,400 | (18,836 | ) | |||||||
Host Hotels & Resorts, Inc. | 127,200 | (1,372,488 | ) | |||||||
Howard Hughes Corp. (The) | 300 | (17,280 | ) | |||||||
Hudson Pacific Properties, Inc. | 1,000 | (21,930 | ) | |||||||
Independence Realty Trust, Inc. | 400 | (4,636 | ) | |||||||
Industrial Logistics Properties Trust | 1,800 | (39,366 | ) | |||||||
iStar, Inc. | 9,000 | (106,290 | ) | |||||||
JBG SMITH Properties | 2,100 | (56,154 | ) | |||||||
Jernigan Capital, Inc. | 4,700 | (80,558 | ) | |||||||
Jones Lang LaSalle, Inc. | 3,500 | (334,810 | ) | |||||||
Kilroy Realty Corp. | 1,300 | (67,548 | ) | |||||||
Kimco Realty Corp. | 900 | (10,134 | ) | |||||||
Kite Realty Group Trust | 11,700 | (135,486 | ) | |||||||
Macerich Co. | 34 | (231 | ) | |||||||
Mack-Cali Realty Corp. | 10,000 | (126,200 | ) | |||||||
Marcus & Millichap, Inc. | 200 | (5,504 | ) | |||||||
National Storage Affiliates Trust | 2,400 | (78,504 | ) | |||||||
New Senior Investment Group, Inc. | 9,801 | (39,204 | ) | |||||||
NexPoint Residential Trust, Inc. | 2,000 | (88,700 | ) | |||||||
Office Properties Income Trust | 3,973 | (82,321 | ) | |||||||
Park Hotels & Resorts, Inc. | 4,088 | (40,839 | ) | |||||||
Pebblebrook Hotel Trust | 29,700 | (372,141 | ) | |||||||
Physicians Realty Trust | 1,500 | (26,865 | ) | |||||||
PotlatchDeltic Corp. | 7,221 | (304,004 | ) | |||||||
Preferred Apartment Communities, Inc., Class A | 200 | (1,080 | ) | |||||||
Prologis, Inc. | 10 | (1,006 | ) | |||||||
Regency Centers Corp. | 3,600 | (136,872 | ) | |||||||
Rexford Industrial Realty, Inc. | 6,300 | (288,288 | ) | |||||||
RLJ Lodging Trust | 16,100 | (139,426 | ) | |||||||
Ryman Hospitality Properties, Inc. | 400 | (14,720 | ) | |||||||
Sabra Health Care REIT, Inc. | 290 | (3,998 | ) | |||||||
Seritage Growth Properties | 11,500 | (154,675 | ) | |||||||
Service Properties Trust | 10,300 | (81,885 | ) | |||||||
SITE Centers Corp. | 50 | (360 | ) | |||||||
SL Green Realty Corp. | 300 | (13,911 | ) | |||||||
STAG Industrial, Inc. | 500 | (15,245 | ) | |||||||
Summit Hotel Properties, Inc. | 200 | (1,036 | ) | |||||||
Taubman Centers, Inc. | 12,200 | (406,138 | ) |
See Notes to Consolidated Financial Statements.
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September 30, 2020 (Unaudited)
Security Description | Shares | Value | ||||||||
Urban Edge Properties | 100 | $ | (972 | ) | ||||||
Ventas, Inc. | 14,100 | (591,636 | ) | |||||||
Vornado Realty Trust | 35,800 | (1,206,818 | ) | |||||||
Washington Real Estate Investment Trust | 6,000 | (120,780 | ) | |||||||
Weingarten Realty Investors | 300 | (5,088 | ) | |||||||
Welltower, Inc. | 40,700 | (2,242,163 | ) | |||||||
Weyerhaeuser Co. | 37,000 | (1,055,240 | ) | |||||||
Wheeler Real Estate Investment Trust, Inc. | 352 | (1,070 | ) | |||||||
Xenia Hotels & Resorts, Inc. | 6,400 | (56,192 | ) | |||||||
|
| |||||||||
(14,043,387 | ) | |||||||||
|
| |||||||||
Recreation Facilities & Services — (0.0)% | ||||||||||
Drive Shack, Inc. | 11,967 | (13,403 | ) | |||||||
Liberty Media Corp-Liberty Braves, Class C | 700 | (14,707 | ) | |||||||
Live Nation Entertainment, Inc. | 800 | (43,104 | ) | |||||||
Madison Square Garden Sports Corp. | 300 | (45,144 | ) | |||||||
SCWorx Corp. | 200 | (303 | ) | |||||||
Six Flags Entertainment Corp. | 500 | (10,150 | ) | |||||||
Vail Resorts, Inc. | 1,000 | (213,970 | ) | |||||||
Virgin Galactic Holdings, Inc. | 70,200 | (1,349,946 | ) | |||||||
|
| |||||||||
(1,690,727 | ) | |||||||||
|
| |||||||||
Renewable Energy — (0.0)% | ||||||||||
Ballard Power Systems, Inc. | 5,900 | (89,090 | ) | |||||||
Beam Global | 100 | (1,216 | ) | |||||||
Cleanspark, Inc. | 5,200 | (64,948 | ) | |||||||
Enphase Energy, Inc. | 3,400 | (280,806 | ) | |||||||
First Solar, Inc. | 11,300 | (748,060 | ) | |||||||
FuelCell Energy, Inc. | 71,729 | (153,500 | ) | |||||||
Gevo, Inc. | 27,600 | (27,589 | ) | |||||||
Green Plains, Inc. | 1,700 | (26,316 | ) | |||||||
Maxeon Solar Technologies Ltd. | 200 | (3,392 | ) | |||||||
Pacific Ethanol, Inc. | 16,600 | (121,346 | ) | |||||||
Plug Power, Inc. | 22,800 | (305,748 | ) | |||||||
SunPower Corp. | 4,700 | (58,797 | ) | |||||||
|
| |||||||||
(1,880,808 | ) | |||||||||
|
| |||||||||
Retail—Consumer Staples — (0.1)% | ||||||||||
Big Lots, Inc. | 6,700 | (298,820 | ) | |||||||
Five Below, Inc. | 15,202 | (1,930,654 | ) | |||||||
Grocery Outlet Holding Corp. | 200 | (7,864 | ) | |||||||
PriceSmart, Inc. | 700 | (46,515 | ) | |||||||
Rite Aid Corp. | 16,388 | (155,522 | ) | |||||||
Walgreens Boots Alliance, Inc. | 13,900 | (499,288 | ) | |||||||
|
| |||||||||
(2,938,663 | ) | |||||||||
|
|
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2020 (Unaudited)
Security Description | Shares | Value | ||||||||
Retail—Discretionary — (0.3)% | ||||||||||
American Eagle Outfitters, Inc. | 6,900 | $ | (102,189 | ) | ||||||
AutoNation, Inc. | 1,000 | (52,930 | ) | |||||||
Beacon Roofing Supply, Inc. | 100 | (3,107 | ) | |||||||
Big 5 Sporting Goods Corp. | 4,917 | (36,779 | ) | |||||||
BlueLinx Holdings, Inc. | 1,100 | (23,683 | ) | |||||||
Boot Barn Holdings, Inc. | 2,600 | (73,164 | ) | |||||||
Buckle, Inc. | 7,000 | (142,730 | ) | |||||||
Builders FirstSource, Inc. | 500 | (16,310 | ) | |||||||
Burlington Stores, Inc. | 2,200 | (453,398 | ) | |||||||
Carvana Co. | 20,800 | (4,639,648 | ) | |||||||
Cato Corp., Class A | 3,400 | (26,588 | ) | |||||||
Chewy, Inc., Class A | 16,500 | (904,695 | ) | |||||||
Chico’s FAS, Inc. | 19,600 | (19,061 | ) | |||||||
Designer Brands, Inc., Class A | 7,700 | (41,811 | ) | |||||||
Destination XL Group, Inc. | 200 | (52 | ) | |||||||
Express, Inc. | 6,800 | (4,148 | ) | |||||||
Freshpet, Inc. | 1,200 | (133,980 | ) | |||||||
GameStop Corp., Class A | 5,000 | (51,000 | ) | |||||||
Genesco, Inc. | 3,300 | (71,082 | ) | |||||||
Group 1 Automotive, Inc. | 3,100 | (274,009 | ) | |||||||
GrowGeneration Corp. | 13,800 | (220,524 | ) | |||||||
Guess?, Inc. | 13,800 | (160,356 | ) | |||||||
Hibbett Sports, Inc. | 2,400 | (94,128 | ) | |||||||
Lithia Motors, Inc., Class A | 3,700 | (843,378 | ) | |||||||
Lovesac Co. (The) | 2,700 | (74,817 | ) | |||||||
Lululemon Athletica, Inc. | 20,300 | (6,686,211 | ) | |||||||
Michaels Cos., Inc. (The) | 5,200 | (50,206 | ) | |||||||
Net Element, Inc. | 1,300 | (11,687 | ) | |||||||
Nordstrom, Inc. | 2,699 | (32,172 | ) | |||||||
Overstock.com, Inc. | 3,200 | (232,480 | ) | |||||||
Penske Automotive Group, Inc. | 800 | (38,128 | ) | |||||||
PetIQ, Inc. | 5,000 | (164,600 | ) | |||||||
PetMed Express, Inc. | 5,100 | (161,262 | ) | |||||||
RealReal, Inc. (The) | 200 | (2,894 | ) | |||||||
Sally Beauty Holdings, Inc. | 23,300 | (202,477 | ) | |||||||
Signet Jewelers Ltd. | 100 | (1,870 | ) | |||||||
Sonic Automotive, Inc., Class A | 500 | (20,080 | ) | |||||||
Stitch Fix, Inc., Class A | 2,300 | (62,399 | ) | |||||||
Tiffany & Co. | 400 | (46,340 | ) | |||||||
Tilly’s, Inc., Class A | 100 | (603 | ) | |||||||
TJX Cos., Inc. | 34,000 | (1,892,100 | ) | |||||||
Urban Outfitters, Inc. | 7,400 | (153,994 | ) | |||||||
Vroom, Inc. | 5,700 | (295,146 | ) | |||||||
|
| |||||||||
(18,518,216 | ) | |||||||||
|
|
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2020 (Unaudited)
Security Description | Shares | Value | ||||||||
Semiconductors — (0.3)% | ||||||||||
Atomera, Inc. | 5,100 | $ | (53,295 | ) | ||||||
Broadcom, Inc. | 38 | (13,844 | ) | |||||||
Brooks Automation, Inc. | 1,500 | (69,390 | ) | |||||||
Coherent, Inc. | 1,300 | (144,209 | ) | |||||||
Cohu, Inc. | 2,000 | (34,360 | ) | |||||||
Cree, Inc. | 6,300 | (401,562 | ) | |||||||
Diodes, Inc. | 2,000 | (112,900 | ) | |||||||
II-VI, Inc. | 16,600 | (673,296 | ) | |||||||
KLA Corp. | 300 | (58,122 | ) | |||||||
Marvell Technology Group Ltd. | 147,170 | (5,842,649 | ) | |||||||
Microchip Technology, Inc. | 900 | (92,484 | ) | |||||||
Micron Technology, Inc. | 7,000 | (328,720 | ) | |||||||
MKS Instruments, Inc. | 4,400 | (480,612 | ) | |||||||
MoSys, Inc. | 19 | (28 | ) | |||||||
NVIDIA Corp. | 15,800 | (8,551,276 | ) | |||||||
ON Semiconductor Corp. | 62,600 | (1,357,794 | ) | |||||||
Universal Display Corp. | 2,000 | (361,480 | ) | |||||||
|
| |||||||||
(18,576,021 | ) | |||||||||
|
| |||||||||
Software — (0.5)% | ||||||||||
Altair Engineering, Inc., Class A | 500 | (20,990 | ) | |||||||
Alteryx, Inc., Class A | 16,000 | (1,816,800 | ) | |||||||
Anaplan, Inc. | 700 | (43,806 | ) | |||||||
ANSYS, Inc. | 2,200 | (719,906 | ) | |||||||
Appian Corp. | 9,700 | (628,075 | ) | |||||||
Atlassian Corp. plc, Class A | 3,500 | (636,265 | ) | |||||||
Bandwidth, Inc., Class A | 300 | (52,371 | ) | |||||||
BigCommerce Holdings, Inc. | 1,300 | (108,290 | ) | |||||||
Bill.com Holdings, Inc. | 300 | (30,093 | ) | |||||||
BlackBerry Ltd. | 52,900 | (242,811 | ) | |||||||
Boxlight Corp., Class A | 15,000 | (24,150 | ) | |||||||
Cardlytics, Inc. | 5,400 | (381,078 | ) | |||||||
Cerence Inc. | 100 | (4,887 | ) | |||||||
Citrix Systems, Inc. | 1,700 | (234,107 | ) | |||||||
Cloudflare, Inc., Class A | 28,800 | (1,182,528 | ) | |||||||
Computer Programs & Systems, Inc. | 600 | (16,566 | ) | |||||||
Coupa Software, Inc. | 12,100 | (3,318,304 | ) | |||||||
Datadog, Inc., Class A | 6,900 | (704,904 | ) | |||||||
Elastic NV | 2,800 | (302,092 | ) | |||||||
Envestnet, Inc. | 3,200 | (246,912 | ) | |||||||
FireEye, Inc. | 200 | (2,469 | ) | |||||||
Genius Brands International, Inc. | 65,700 | (78,183 | ) | |||||||
Health Catalyst, Inc. | 200 | (7,320 | ) | |||||||
MongoDB, Inc. | 11,500 | (2,662,365 | ) | |||||||
MTBC, Inc. | 600 | (5,322 | ) |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2020 (Unaudited)
Security Description | Shares | Value | ||||||||
Nuance Communications, Inc. | 38,400 | $ | (1,274,496 | ) | ||||||
Nutanix, Inc. | 300 | (6,654 | ) | |||||||
Oblong, Inc. | 100 | (230 | ) | |||||||
Okta, Inc. | 2,400 | (513,240 | ) | |||||||
Omnicell, Inc. | 200 | (14,932 | ) | |||||||
OneSpan, Inc. | 100 | (2,096 | ) | |||||||
Pareteum Corp. | 25,962 | (17,571 | ) | |||||||
Pegasystems, Inc. | 2,400 | (290,496 | ) | |||||||
Ping Identity Holding Corp. | 6,300 | (196,623 | ) | |||||||
PTC, Inc. | 900 | (74,448 | ) | |||||||
RealNetworks, Inc. | 100 | (122 | ) | |||||||
salesforce.com, Inc. | 11,304 | (2,840,921 | ) | |||||||
SilverSun Technologies, Inc. | 100 | (265 | ) | |||||||
Slack Technologies, Inc., Class A | 38,600 | (1,036,796 | ) | |||||||
Smartsheet, Inc., Class A | 20,500 | (1,013,110 | ) | |||||||
Splunk, Inc. | 12,600 | (2,370,438 | ) | |||||||
Tabula Rasa HealthCare, Inc. | 6,100 | (248,697 | ) | |||||||
Twilio, Inc., Class A | 24,739 | (6,112,760 | ) | |||||||
Upland Software, Inc. | 3,400 | (128,180 | ) | |||||||
Veeva Systems, Inc., Class A | 400 | (112,476 | ) | |||||||
Verint Systems, Inc. | 600 | (28,908 | ) | |||||||
VirnetX Holding Corp. | 11,300 | (59,551 | ) | |||||||
Vislink Technologies, Inc. | 4,766 | (6,482 | ) | |||||||
Xperi Holding Corp. | 15 | (172 | ) | |||||||
Yext, Inc. | 2,200 | (33,396 | ) | |||||||
|
| |||||||||
(29,853,654 | ) | |||||||||
|
| |||||||||
Specialty Finance — (0.1)% | ||||||||||
Air Lease Corp. | 100 | (2,942 | ) | |||||||
Alliance Data Systems Corp. | 2,871 | (120,525 | ) | |||||||
Annaly Capital Management, Inc. | 65,600 | (467,072 | ) | |||||||
Apollo Commercial Real Estate Finance, Inc. | 5,100 | (45,951 | ) | |||||||
Arbor Realty Trust, Inc. | 13,100 | (150,257 | ) | |||||||
ARMOUR Residential REIT, Inc. | 462 | (4,394 | ) | |||||||
Cherry Hill Mortgage Investment Corp. | 478 | (4,292 | ) | |||||||
Colony Credit Real Estate, Inc. | 4,300 | (21,113 | ) | |||||||
Credit Acceptance Corp. | 2,000 | (677,280 | ) | |||||||
Dynex Capital, Inc. | 34 | (517 | ) | |||||||
Encore Capital Group, Inc. | 4,400 | (169,796 | ) | |||||||
Essent Group Ltd. | 700 | (25,907 | ) | |||||||
Evo Payments, Inc., Class A | 100 | (2,485 | ) | |||||||
Global Payments, Inc. | 4,000 | (710,320 | ) | |||||||
Granite Point Mortgage Trust, Inc. | 1,600 | (11,344 | ) | |||||||
Invesco Mortgage Capital, Inc. | 14,397 | (39,016 | ) | |||||||
KKR Real Estate Finance Trust, Inc. | 4,000 | (66,120 | ) | |||||||
MoneyGram International, Inc. | 9,000 | (25,425 | ) |
See Notes to Consolidated Financial Statements.
126
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Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2020 (Unaudited)
Security Description | Shares | Value | ||||||||
Mr Cooper Group, Inc. | 13,891 | $ | (310,047 | ) | ||||||
PennyMac Financial Services, Inc. | 800 | (46,496 | ) | |||||||
Ready Capital Corp. | 2,000 | (22,400 | ) | |||||||
Redwood Trust, Inc. | 200 | (1,504 | ) | |||||||
Santander Consumer USA Holdings, Inc. | 16,300 | (296,497 | ) | |||||||
SLM Corp. | 22,100 | (178,789 | ) | |||||||
World Acceptance Corp. | 400 | (42,220 | ) | |||||||
|
| |||||||||
(3,442,709 | ) | |||||||||
|
| |||||||||
Technology Services — (0.0)% | ||||||||||
CoStar Group, Inc. | 300 | (254,553 | ) | |||||||
EPAM Systems, Inc. | 600 | (193,968 | ) | |||||||
IHS Markit Ltd. | 100 | (7,851 | ) | |||||||
Insight Enterprises, Inc. | 3,800 | (215,004 | ) | |||||||
International Business Machines Corp. | 9,300 | (1,131,531 | ) | |||||||
LiveRamp Holdings, Inc. | 400 | (20,708 | ) | |||||||
Nielsen Holdings plc | 11,900 | (168,742 | ) | |||||||
Parsons Corp. | 3,200 | (107,328 | ) | |||||||
Riot Blockchain, Inc. | 14,200 | (38,340 | ) | |||||||
StarTek, Inc. | 700 | (3,675 | ) | |||||||
Unisys Corp. | 700 | (7,469 | ) | |||||||
Virtusa Corp. | 100 | (4,916 | ) | |||||||
|
| |||||||||
(2,154,085 | ) | |||||||||
|
| |||||||||
Telecommunications — (0.1)% | ||||||||||
BCE, Inc. | 1,600 | (66,352 | ) | |||||||
Cincinnati Bell, Inc. | 8,249 | (123,735 | ) | |||||||
Consolidated Communications Holdings, Inc. | 9,276 | (52,780 | ) | |||||||
EchoStar Corp., Class A | 100 | (2,489 | ) | |||||||
Globalstar, Inc. | 31,300 | (9,603 | ) | |||||||
Gogo, Inc. | 25,500 | (235,620 | ) | |||||||
HC2 Holdings, Inc. | 6,600 | (15,972 | ) | |||||||
RigNet, Inc. | 6,100 | (25,010 | ) | |||||||
Shenandoah Telecommunications Co. | 2,200 | (97,757 | ) | |||||||
T-Mobile US, Inc. | 27,232 | (3,114,252 | ) | |||||||
|
| |||||||||
(3,743,570 | ) | |||||||||
|
| |||||||||
Transportation & Logistics — (0.1)% | ||||||||||
American Airlines Group, Inc. | 3,100 | (38,099 | ) | |||||||
Atlas Corp. | 10,678 | (95,461 | ) | |||||||
Canadian National Railway Co. | 3,500 | (372,610 | ) | |||||||
CH Robinson Worldwide, Inc. | 1,499 | (153,183 | ) | |||||||
Copa Holdings SA, Class A | 300 | (15,102 | ) | |||||||
CryoPort, Inc. | 2,800 | (132,720 | ) | |||||||
Diamond S Shipping, Inc. | 2,200 | (15,114 | ) | |||||||
Eagle Bulk Shipping, Inc. | 303 | (4,960 | ) |
See Notes to Consolidated Financial Statements.
127
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Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2020 (Unaudited)
Security Description | Shares | Value | ||||||||
Echo Global Logistics, Inc. | 100 | $ | (2,577 | ) | ||||||
FedEx Corp. | 22,400 | (5,634,048 | ) | |||||||
Golar LNG Ltd. | 21,900 | (132,605 | ) | |||||||
International Seaways, Inc. | 600 | (8,766 | ) | |||||||
Matson, Inc. | 2,500 | (100,225 | ) | |||||||
Navigator Holdings Ltd. | 1,600 | (13,376 | ) | |||||||
Nordic American Tankers Ltd. | 1,100 | (3,839 | ) | |||||||
Saia, Inc. | 700 | (88,298 | ) | |||||||
Scorpio Bulkers, Inc. | 3,710 | (52,534 | ) | |||||||
SEACOR Marine Holdings, Inc. | 1,400 | (2,842 | ) | |||||||
Seanergy Maritime Holdings | 19,843 | (9,062 | ) | |||||||
Teekay Corp. | 14,600 | (32,558 | ) | |||||||
Teekay Tankers Ltd., Class A | 8,637 | (93,625 | ) | |||||||
TOP Ships, Inc. | 11,900 | (12,852 | ) | |||||||
XPO Logistics, Inc. | 200 | (16,932 | ) | |||||||
YRC Worldwide, Inc. | 100 | (392 | ) | |||||||
|
| |||||||||
(7,031,780 | ) | |||||||||
|
| |||||||||
Transportation Equipment — (0.1)% | ||||||||||
Cummins, Inc. | 9,400 | (1,984,904 | ) | |||||||
Meritor, Inc. | 11,700 | (244,998 | ) | |||||||
Navistar International Corp. | 4,300 | (187,222 | ) | |||||||
REV Group, Inc. | 200 | (1,578 | ) | |||||||
Wabtec Corp. | 8,075 | (499,681 | ) | |||||||
Workhorse Group, Inc. | 31,500 | (796,320 | ) | |||||||
|
| |||||||||
(3,714,703 | ) | |||||||||
|
| |||||||||
Utilities — (0.0)% | ||||||||||
AES Corp. | 700 | (12,677 | ) | |||||||
Algonquin Power & Utilities Corp. | 700 | (10,178 | ) | |||||||
Avangrid, Inc. | 4,500 | (227,070 | ) | |||||||
Brookfield Infrastructure Corp., Class A | 3,200 | (177,248 | ) | |||||||
Brookfield Renewable Corp., Class A | 200 | (11,720 | ) | |||||||
CenterPoint Energy, Inc. | 12,600 | (243,810 | ) | |||||||
Clearway Energy, Inc., Class C | 300 | (8,088 | ) | |||||||
Consolidated Edison, Inc. | 300 | (23,340 | ) | |||||||
Fortis, Inc. | 4,300 | (175,698 | ) | |||||||
Genie Energy Ltd., Class B | 1,300 | (10,400 | ) | |||||||
New Jersey Resources Corp. | 1,300 | (35,126 | ) | |||||||
NextEra Energy Partners LP | 900 | (53,964 | ) | |||||||
NRG Energy, Inc. | 1,300 | (39,962 | ) | |||||||
PG&E Corp. | 16,000 | (150,240 | ) | |||||||
SJW Group | 1,600 | (97,376 | ) | |||||||
South Jersey Industries, Inc. | 7,300 | (140,671 | ) | |||||||
TransAlta Corp. | 1,300 | (7,995 | ) |
See Notes to Consolidated Financial Statements.
128
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Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2020 (Unaudited)
Security Description | Shares | Value | ||||||||||
Vistra Energy Corp. | 42,100 | $ | (794,006 | ) | ||||||||
|
| |||||||||||
(2,219,569 | ) | |||||||||||
|
| |||||||||||
Waste & Environmental Services & Equipment — (0.0)% |
| |||||||||||
Aqua Metals, Inc. | 7,800 | (7,106 | ) | |||||||||
Energy Recovery, Inc. | 3,700 | (30,340 | ) | |||||||||
Lightbridge Corp. | 290 | (1,209 | ) | |||||||||
LiqTech International, Inc. | 1,300 | (10,985 | ) | |||||||||
Stericycle, Inc. | 6,400 | (403,584 | ) | |||||||||
|
| |||||||||||
(453,224 | ) | |||||||||||
|
| |||||||||||
Total North America | (298,654,175 | ) | ||||||||||
|
| |||||||||||
Oceania — (0.0)% | ||||||||||||
Banking — (0.0)% | ||||||||||||
Westpac Banking Corp., ADR | 7,000 | (84,280 | ) | |||||||||
|
| |||||||||||
Total Oceania | (84,280 | ) | ||||||||||
|
| |||||||||||
South America — (0.2)% | ||||||||||||
Aerospace & Defense — (0.0)% | ||||||||||||
Embraer SA, ADR | 21,800 | (96,138 | ) | |||||||||
|
| |||||||||||
Asset Management — (0.0)% | ||||||||||||
XP, Inc., Class A | 14,400 | (600,336 | ) | |||||||||
|
| |||||||||||
Banking — (0.0)% | ||||||||||||
Banco BBVA Argentina SA, ADR | 2,800 | (7,056 | ) | |||||||||
Banco Bradesco SA, ADR | 5 | (17 | ) | |||||||||
Banco de Chile, ADR | 2,800 | (42,336 | ) | |||||||||
Banco Santander Brasil SA, ADR | 26,000 | (128,440 | ) | |||||||||
Banco Santander Chile, ADR | 7,600 | (105,336 | ) | |||||||||
Bancolombia SA, ADR | 1,100 | (28,105 | ) | |||||||||
Itau CorpBanca, ADR | 300 | (1,158 | ) | |||||||||
Itau Unibanco Holding SA, ADR | 16,400 | (65,272 | ) | |||||||||
|
| |||||||||||
(377,720 | ) | |||||||||||
|
| |||||||||||
Chemicals — (0.0)% | ||||||||||||
Braskem SA, ADR | 1,200 | (8,964 | ) | |||||||||
Sociedad Quimica y Minera de Chile SA, ADR | 1,000 | (32,420 | ) | |||||||||
|
| |||||||||||
(41,384 | ) | |||||||||||
|
| |||||||||||
Consumer Products — (0.0)% | ||||||||||||
Adecoagro SA | 1,800 | (8,406 | ) | |||||||||
Natura & Co. Holding SA, ADR | 1,300 | (23,673 | ) | |||||||||
|
| |||||||||||
(32,079 | ) | |||||||||||
|
|
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2020 (Unaudited)
Security Description | Shares | Value | ||||||||
Consumer Services — (0.0)% | ||||||||||
Afya Ltd., Class A | 3,400 | $ | (92,616 | ) | ||||||
|
| |||||||||
Engineering & Construction Services — (0.0)% | ||||||||||
Corporacion America Airports SA | 4,200 | (9,366 | ) | |||||||
|
| |||||||||
Forest & Paper Products — (0.0)% | ||||||||||
Suzano de Papel e Celulose, ADR | 3,200 | (26,144 | ) | |||||||
|
| |||||||||
Industrial Services — (0.0)% | ||||||||||
Azul SA, ADR | 900 | (11,844 | ) | |||||||
|
| |||||||||
Iron & Steel — (0.0)% | ||||||||||
Cia Siderurgica Nacional SA, ADR | 1,700 | (4,998 | ) | |||||||
Gerdau SA, ADR | 30,900 | (114,330 | ) | |||||||
Vale SA, ADR | 500 | (5,290 | ) | |||||||
|
| |||||||||
(124,618 | ) | |||||||||
|
| |||||||||
Media — (0.0)% | ||||||||||
Despegar.com Corp. | 1,500 | (9,540 | ) | |||||||
Liberty Latin America Ltd., Class C | 18,400 | (149,776 | ) | |||||||
|
| |||||||||
(159,316 | ) | |||||||||
|
| |||||||||
Metals & Mining — (0.0)% | ||||||||||
Nexa Resources SA | 1,200 | (6,348 | ) | |||||||
Southern Copper Corp. | 10,300 | (466,281 | ) | |||||||
|
| |||||||||
(472,629 | ) | |||||||||
|
| |||||||||
Oil, Gas & Coal — (0.0)% | ||||||||||
Transportadora de Gas del Sur SA, ADR | 2,500 | (10,400 | ) | |||||||
Ultrapar Participacoes SA, ADR | 1,700 | (5,814 | ) | |||||||
|
| |||||||||
(16,214 | ) | |||||||||
|
| |||||||||
Retail—Consumer Staples — (0.0)% | ||||||||||
Cia Brasileira de Distribuicao, ADR | 400 | (4,936 | ) | |||||||
IRSA Inversiones y Representaciones SA, ADR | 100 | (282 | ) | |||||||
|
| |||||||||
(5,218 | ) | |||||||||
|
| |||||||||
Retail—Discretionary — (0.1)% | ||||||||||
MercadoLibre, Inc. | 4,000 | (4,329,920 | ) | |||||||
|
| |||||||||
Specialty Finance — (0.1)% | ||||||||||
Pagseguro Digital Ltd., Class A | 36,900 | (1,391,499 | ) | |||||||
StoneCo Ltd., Class A | 35,500 | (1,877,595 | ) | |||||||
|
| |||||||||
(3,269,094 | ) | |||||||||
|
|
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2020 (Unaudited)
Security Description | Shares | Value | ||||||||||
Technology Services — (0.0)% | ||||||||||||
Globant SA | 3,200 | $ | (573,504 | ) | ||||||||
|
| |||||||||||
Telecommunications — (0.0)% | ||||||||||||
Telefonica Brasil SA, ADR | 4,400 | (33,748 | ) | |||||||||
TIM Participacoes SA, ADR | 1,300 | (14,989 | ) | |||||||||
|
| |||||||||||
(48,737 | ) | |||||||||||
|
| |||||||||||
Transportation & Logistics — (0.0)% | ||||||||||||
Gol Linhas Aereas Inteligentes SA, ADR | 1,200 | (7,320 | ) | |||||||||
|
| |||||||||||
Utilities — (0.0)% | ||||||||||||
Central Puerto SA, ADR | 3,500 | (7,840 | ) | |||||||||
Cia de Saneamento Basico do Estado de Sao Paulo, ADR | 22,500 | (186,750 | ) | |||||||||
Cia Energetica de Minas Gerais, ADR | 253 | (468 | ) | |||||||||
Cia Paranaense de Energia, ADR | 7,700 | (84,854 | ) | |||||||||
Enel Americas SA, ADR | 9,100 | (58,786 | ) | |||||||||
Pampa Energia SA, ADR | 8,200 | (84,706 | ) | |||||||||
|
| |||||||||||
(423,404 | ) | |||||||||||
|
| |||||||||||
Total South America | (10,717,601 | ) | ||||||||||
|
| |||||||||||
TOTAL COMMON STOCK | (364,958,390 | ) | ||||||||||
|
| |||||||||||
RIGHTS — (0.0)% | ||||||||||||
North America — (0.0)% | ||||||||||||
Biotechnology & Pharmaceuticals — (0.0)% | ||||||||||||
Flex Pharma, Inc. | 1,000 | 0 | ||||||||||
|
| |||||||||||
Media — (0.0)% | ||||||||||||
Social Reality | 200 | 0 | ||||||||||
|
| |||||||||||
0 | ||||||||||||
|
| |||||||||||
WARRANTS — (0.0)% | ||||||||||||
Galectin Therapeutics, Inc. | 1,340 | 0 | ||||||||||
Pulse Biosciences, Inc. | 19 | 0 | ||||||||||
|
| |||||||||||
TOTAL SECURITIES SOLD SHORT— (6.5)% | $ | (364,958,390 | ) | |||||||||
|
|
Footnote Legend:
(a) | Non-income producing. |
(b) | Security is held by a consolidated wholly-owned subsidiary of Blackstone Alternative Multi-Strategy Fund. |
(c) | Security (or a portion thereof) has been pledged to cover collateral requirements on open derivative contracts and/or securities sold short. |
See Notes to Consolidated Financial Statements.
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Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2020 (Unaudited)
(d) | Security is valued using significant unobservable inputs. |
(e) | Security is exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. Security may only be sold to qualified institutional buyers unless registered under the Securities Act of 1933, as amended, or otherwise exempt from registration. |
(f) | Variable/Floating interest rate security. Certain variable/floating interest rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities may not indicate a reference rate and spread in their description above. Rate presented is as of September 30, 2020. |
(g) | All or a portion of this security is pledged as collateral in connection with reverse repurchase agreements. |
(h) | Security is an Interest Only (IO) bond, which represents the “interest only” portion of payments on a pool of underlying mortgages or mortgage-backed securities. IO securities are subject to prepayment risk of the pool of underlying mortgages. |
(i) | Represents a step-up bond. Coupon rate increases in increments to maturity. Rate presented is as of September 30, 2020. Maturity date presented is the ultimate maturity. |
(j) | Non-interest bearing bond. |
(k) | Security is restricted per Rule 12-12.8 of Regulation S-X. First acquisition dates of EJF Debt Opportunities Offshore Fund, Ltd., Aeolus Property Catastrophe Keystone PF Fund LP and PIMCO ILS Fund SP II are 9/4/2018, 1/2/2019 and 12/30/2019. |
(l) | When issued or delayed delivery security included. |
(m) | Security is exempt from registration pursuant to Regulation S under the Securities Act of 1933, as amended. Security may only be offered or sold outside of the Unites States unless registered under the Securities Act of 1933, as amended, or otherwise exempt from registration. |
(n) | Security is currently in default due to bankruptcy or failure to make payment of principal or interest. |
(o) | Assets, other than investments in securities, less liabilities other than securities sold short. |
(p) | All or a portion of the security represents an unsettled loan commitment at September 30, 2020 where the rate will be determined at time of settlement. |
Options Written Contracts Outstanding at September 30, 2020
Strike | Expiration Date | Contracts | Notional Amount | Premium Received | Market Value | Unrealized Appreciation (Depreciation) | ||||||||||||||||||||||||||
Exchange-Traded Call Options Written |
| |||||||||||||||||||||||||||||||
BRENT CRUDE FUTURE DEC21 | 80.00 | USD | 10/26/21 | 600 | (27,330,000 | ) | $ | (246,512 | ) | $ | (174,000 | ) | $ | 72,512 | ||||||||||||||||||
NATURAL GAS FUTURE APR23 | 3.50 | USD | 03/28/23 | 63 | (1,462,860 | ) | (79,947 | ) | (46,683 | ) | 33,264 | |||||||||||||||||||||
NATURAL GAS FUTURE APR23 | 4.00 | USD | 03/28/23 | 50 | (1,161,000 | ) | (42,271 | ) | (24,000 | ) | 18,271 | |||||||||||||||||||||
NATURAL GAS FUTURE AUG23 | 3.50 | USD | 07/26/23 | 63 | (1,484,280 | ) | (79,947 | ) | (36,225 | ) | 43,722 | |||||||||||||||||||||
NATURAL GAS FUTURE AUG23 | 4.00 | USD | 07/26/23 | 50 | (1,178,000 | ) | (42,271 | ) | (19,450 | ) | 22,821 | |||||||||||||||||||||
NATURAL GAS FUTURE DEC20 | 3.75 | USD | 11/24/20 | 100 | (3,117,000 | ) | (137,002 | ) | (127,100 | ) | 9,902 | |||||||||||||||||||||
NATURAL GAS FUTURE DEC23 | 3.50 | USD | 11/27/23 | 63 | (1,675,800 | ) | (79,946 | ) | (91,413 | ) | (11,467 | ) | ||||||||||||||||||||
NATURAL GAS FUTURE DEC23 | 4.00 | USD | 11/27/23 | 50 | (1,330,000 | ) | (42,271 | ) | (43,150 | ) | (879 | ) |
See Notes to Consolidated Financial Statements.
132
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Consolidated Schedule of Investments (Continued)
September 30, 2020 (Unaudited)
Strike | Expiration Date | Contracts | Notional Amount | Premium Received | Market Value | Unrealized Appreciation (Depreciation) | ||||||||||||||||||||||||||
NATURAL GAS FUTURE FEB23 | 3.50 | USD | 01/26/23 | 63 | (1,768,410 | ) | $ | (79,946 | ) | $ | (231,084 | ) | $ | (151,138 | ) | |||||||||||||||||
NATURAL GAS FUTURE FEB23 | 4.00 | USD | 01/26/23 | 50 | (1,403,500 | ) | (42,271 | ) | (146,300 | ) | (104,029 | ) | ||||||||||||||||||||
NATURAL GAS FUTURE JAN23 | 3.50 | USD | 12/22/22 | 50 | (356,250 | ) | — | (3,763 | ) | (3,763 | ) | |||||||||||||||||||||
NATURAL GAS FUTURE JAN23 | 3.50 | USD | 12/27/22 | 63 | (1,795,500 | ) | (79,946 | ) | (214,263 | ) | (134,317 | ) | ||||||||||||||||||||
NATURAL GAS FUTURE JAN23 | 4.00 | USD | 12/27/22 | 50 | (1,425,000 | ) | (42,271 | ) | (133,300 | ) | (91,029 | ) | ||||||||||||||||||||
NATURAL GAS FUTURE JUL23 | 3.50 | USD | 06/27/23 | 63 | (1,479,240 | ) | (79,946 | ) | (35,468 | ) | 44,478 | |||||||||||||||||||||
NATURAL GAS FUTURE JUL23 | 4.00 | USD | 06/27/23 | 50 | (1,174,000 | ) | (42,271 | ) | (19,200 | ) | 23,071 | |||||||||||||||||||||
NATURAL GAS FUTURE JUN23 | 3.50 | USD | 05/25/23 | 63 | (1,458,450 | ) | (79,946 | ) | (33,579 | ) | 46,367 | |||||||||||||||||||||
NATURAL GAS FUTURE JUN23 | 4.00 | USD | 05/25/23 | 50 | (1,157,500 | ) | (42,271 | ) | (18,550 | ) | 23,721 | |||||||||||||||||||||
NATURAL GAS FUTURE MAR21 | 3.00 | USD | 02/23/21 | 300 | (9,297,000 | ) | (1,590,756 | ) | (1,574,400 | ) | 16,356 | |||||||||||||||||||||
NATURAL GAS FUTURE MAR21 | 3.50 | USD | 02/23/21 | 1,200 | (37,188,000 | ) | (4,584,024 | ) | (4,442,400 | ) | 141,624 | |||||||||||||||||||||
NATURAL GAS FUTURE MAR21 | 4.00 | USD | 02/23/21 | 300 | (9,297,000 | ) | (852,006 | ) | (828,000 | ) | 24,006 | |||||||||||||||||||||
NATURAL GAS FUTURE MAR23 | 3.50 | USD | 02/23/23 | 63 | (1,671,390 | ) | (79,946 | ) | (213,003 | ) | (133,057 | ) | ||||||||||||||||||||
NATURAL GAS FUTURE MAR23 | 4.00 | USD | 02/23/23 | 50 | (1,326,500 | ) | (42,271 | ) | (136,050 | ) | (93,779 | ) | ||||||||||||||||||||
NATURAL GAS FUTURE MAY23 | 3.50 | USD | 04/25/23 | 63 | (1,437,660 | ) | (79,946 | ) | (33,453 | ) | 46,493 | |||||||||||||||||||||
NATURAL GAS FUTURE MAY23 | 4.00 | USD | 04/25/23 | 50 | (1,141,000 | ) | (42,271 | ) | (18,600 | ) | 23,671 | |||||||||||||||||||||
NATURAL GAS FUTURE NOV20 | 2.75 | USD | 10/27/20 | 632 | (15,970,640 | ) | (1,094,710 | ) | (853,200 | ) | 241,510 | |||||||||||||||||||||
NATURAL GAS FUTURE NOV20 | 3.50 | USD | 10/27/20 | 301 | (7,606,270 | ) | (113,641 | ) | (67,123 | ) | 46,518 | |||||||||||||||||||||
NATURAL GAS FUTURE NOV23 | 3.50 | USD | 10/26/23 | 63 | (1,547,910 | ) | (79,946 | ) | (49,518 | ) | 30,428 | |||||||||||||||||||||
NATURAL GAS FUTURE NOV23 | 4.00 | USD | 10/26/23 | 50 | (1,228,500 | ) | (42,271 | ) | (23,650 | ) | 18,621 | |||||||||||||||||||||
NATURAL GAS FUTURE OCT23 | 3.50 | USD | 09/26/23 | 63 | (1,493,730 | ) | (79,946 | ) | (40,824 | ) | 39,122 | |||||||||||||||||||||
NATURAL GAS FUTURE OCT23 | 4.00 | USD | 09/26/23 | 50 | (1,185,500 | ) | (42,271 | ) | (21,300 | ) | 20,971 | |||||||||||||||||||||
NATURAL GAS FUTURE SEP23 | 3.50 | USD | 08/28/23 | 63 | (1,477,350 | ) | (79,946 | ) | (36,603 | ) | 43,343 | |||||||||||||||||||||
NATURAL GAS FUTURE SEP23 | 4.00 | USD | 08/28/23 | 50 | (1,172,500 | ) | (42,271 | ) | (19,700 | ) | 22,571 | |||||||||||||||||||||
WTI CRUDE FUTURE DEC21 | 60.00 | USD | 11/16/21 | 63 | (2,716,560 | ) | (95,856 | ) | (84,420 | ) | 11,436 |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2020 (Unaudited)
Strike | Expiration Date | Contracts | Notional Amount | Premium Received | Market Value | Unrealized Appreciation (Depreciation) | ||||||||||||||||||||||||||
ZAR vs USD | 18.15 | USD | 12/18/20 | 54,000,000 | (54,000,000 | ) | $ | (990,461 | ) | $ | (727,056 | ) | $ | 263,405 | ||||||||||||||||||
ZAR vs USD | 18.25 | USD | 12/18/20 | 54,000,000 | (54,000,000 | ) | (1,000,534 | ) | (676,134 | ) | 324,400 | |||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||||
$ | (12,172,108 | ) | $ | (11,242,962 | ) | $ | 929,146 | |||||||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||||
Exchange-Traded Put Options Written |
| |||||||||||||||||||||||||||||||
BRENT CRUDE FUTURE JAN21 | 30.00 | USD | 11/25/20 | 138 | (5,899,500 | ) | $ | (55,403 | ) | $ | (38,640 | ) | $ | 16,763 | ||||||||||||||||||
NATURAL GAS FUTURE APR23 | 2.00 | USD | 03/28/23 | 50 | (1,161,000 | ) | (55,416 | ) | (84,100 | ) | (28,684 | ) | ||||||||||||||||||||
NATURAL GAS FUTURE AUG23 | 2.00 | USD | 07/26/23 | 50 | (1,178,000 | ) | (55,416 | ) | (62,950 | ) | (7,534 | ) | ||||||||||||||||||||
NATURAL GAS FUTURE DEC20 | 2.00 | USD | 10/27/20 | 1,250 | (38,962,500 | ) | (490,025 | ) | (596,250 | ) | (106,225 | ) | ||||||||||||||||||||
NATURAL GAS FUTURE DEC20 | 2.00 | USD | 11/24/20 | 500 | (15,585,000 | ) | (71,260 | ) | (41,000 | ) | 30,260 | |||||||||||||||||||||
NATURAL GAS FUTURE DEC23 | 2.00 | USD | 11/27/23 | 50 | (1,330,000 | ) | (55,416 | ) | (53,850 | ) | 1,566 | |||||||||||||||||||||
NATURAL GAS FUTURE FEB23 | 2.00 | USD | 01/26/23 | 50 | (1,403,500 | ) | (55,416 | ) | (67,600 | ) | (12,184 | ) | ||||||||||||||||||||
NATURAL GAS FUTURE JAN23 | 2.00 | USD | 12/27/22 | 50 | (1,425,000 | ) | (55,416 | ) | (51,050 | ) | 4,366 | |||||||||||||||||||||
NATURAL GAS FUTURE JUL23 | 2.00 | USD | 06/27/23 | 50 | (1,174,000 | ) | (55,416 | ) | (63,900 | ) | (8,484 | ) | ||||||||||||||||||||
NATURAL GAS FUTURE JUN23 | 2.00 | USD | 05/25/23 | 50 | (1,157,500 | ) | (55,416 | ) | (68,800 | ) | (13,384 | ) | ||||||||||||||||||||
NATURAL GAS FUTURE MAR21 | 2.25 | USD | 02/23/21 | 625 | (19,368,750 | ) | (732,825 | ) | (640,625 | ) | 92,200 | |||||||||||||||||||||
NATURAL GAS FUTURE MAR21 | 2.50 | USD | 02/23/21 | 1,200 | (37,188,000 | ) | (2,196,024 | ) | (2,160,000 | ) | 36,024 | |||||||||||||||||||||
NATURAL GAS FUTURE MAR23 | 2.00 | USD | 02/23/23 | 50 | (1,326,500 | ) | (55,416 | ) | (90,900 | ) | (35,484 | ) | ||||||||||||||||||||
NATURAL GAS FUTURE MAY23 | 2.00 | USD | 04/25/23 | 50 | (1,141,000 | ) | (55,416 | ) | (76,600 | ) | (21,184 | ) | ||||||||||||||||||||
NATURAL GAS FUTURE NOV20 | 2.25 | USD | 10/27/20 | 742 | (18,750,340 | ) | (318,255 | ) | (801,360 | ) | (483,105 | ) | ||||||||||||||||||||
NATURAL GAS FUTURE NOV20 | 2.50 | USD | 10/27/20 | 226 | (5,711,020 | ) | (346,570 | ) | (475,505 | ) | (128,935 | ) | ||||||||||||||||||||
NATURAL GAS FUTURE NOV20 | 2.75 | USD | 10/27/20 | 216 | (5,458,320 | ) | (423,904 | ) | (773,280 | ) | (349,376 | ) | ||||||||||||||||||||
NATURAL GAS FUTURE NOV23 | 2.00 | USD | 10/26/23 | 50 | (1,228,500 | ) | (55,416 | ) | (62,200 | ) | (6,784 | ) | ||||||||||||||||||||
NATURAL GAS FUTURE OCT23 | 2.00 | USD | 09/26/23 | 50 | (1,185,500 | ) | (55,416 | ) | (65,150 | ) | (9,734 | ) | ||||||||||||||||||||
NATURAL GAS FUTURE SEP23 | 2.00 | USD | 08/28/23 | 50 | (1,172,500 | ) | (55,416 | ) | (65,650 | ) | (10,234 | ) | ||||||||||||||||||||
S&P 500 Index | 3,000.00 | USD | 11/02/20 | 175 | (58,852,500 | ) | (673,204 | ) | (325,500 | ) | 347,704 | |||||||||||||||||||||
S&P 500 Index | 2,990.00 | USD | 12/18/20 | 164 | (55,153,200 | ) | (1,590,302 | ) | (1,126,680 | ) | 463,622 | |||||||||||||||||||||
WTI CRUDE FUTURE DEC20 | 30.00 | USD | 11/17/20 | 83 | (3,359,010 | ) | (39,136 | ) | (32,370 | ) | 6,766 |
See Notes to Consolidated Financial Statements.
134
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Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2020 (Unaudited)
Strike | Expiration Date | Contracts | Notional Amount | Premium Received | Market Value | Unrealized Appreciation (Depreciation) | ||||||||||||||||||||||||||
WTI CRUDE FUTURE DEC20 | 31.50 | USD | 11/17/20 | 50 | (2,023,500 | ) | $ | (26,576 | ) | $ | (24,500 | ) | $ | 2,076 | ||||||||||||||||||
WTI CRUDE FUTURE JAN21 | 25.00 | USD | 12/16/20 | 142 | (5,792,180 | ) | (65,386 | ) | (48,280 | ) | 17,106 | |||||||||||||||||||||
WTI CRUDE FUTURE JAN21 | 30.00 | USD | 12/16/20 | 100 | (4,079,000 | ) | (76,152 | ) | (64,000 | ) | 12,152 | |||||||||||||||||||||
ZAR vs USD | 16.15 | USD | 12/18/20 | 54,000,000 | (54,000,000 | ) | (652,586 | ) | (791,478 | ) | (138,892 | ) | ||||||||||||||||||||
ZAR vs USD | 16.25 | USD | 12/18/20 | 54,000,000 | (54,000,000 | ) | (661,785 | ) | (900,018 | ) | (238,233 | ) | ||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||||
$ | (9,084,385 | ) | $ | (9,652,236 | ) | $ | (567,851 | ) | ||||||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||||
Total Options Written Outstanding |
| $ | (21,256,493 | ) | $ | (20,895,198 | ) | $ | 361,295 | |||||||||||||||||||||||
|
|
|
|
|
|
At September 30, 2020, the Fund had the following unfunded loan commitment(s) for the loan agreement(s) noted, which could be extended at the option of the borrower:
Borrower | Unfunded Loan Commitment | Value | Unrealized Appreciation (Depreciation) | |||||||
Pathway Vet Alliance LLC, 2020 Delayed Draw Term Loan, 2.00%, 03/31/27 | $ | 48,060 | $47,255 | $ | 355 |
Reverse Repurchase Agreements Outstanding at September 30, 2020
Counterparty | Interest Rate | Trade Date | Maturity Date | Face Value | Face Value Including Accrued Interest | |||||||||||
Barclays Bank plc | 0.50% | 09/09/20 | 02/04/22 | $ | 1,108,828 | $ | 1,109,182 | |||||||||
Barclays Bank plc | 0.50% | 09/09/20 | 02/04/22 | 925,575 | 925,871 | |||||||||||
Barclays Bank plc | 0.50% | 09/09/20 | 02/04/22 | 831,275 | 831,541 | |||||||||||
Barclays Bank plc | 0.50% | 08/06/20 | 01/03/22 | 8,513,418 | 8,520,158 | |||||||||||
Barclays Bank plc | 0.50% | 09/09/20 | 02/04/22 | 798,000 | 798,255 | |||||||||||
Barclays Bank plc | 0.60% | 08/06/20 | 01/03/22 | 6,943,608 | 6,950,204 | |||||||||||
Barclays Bank plc | 0.60% | 08/06/20 | 01/03/22 | 7,844,786 | 7,852,238 | |||||||||||
Barclays Bank plc | 0.60% | 08/06/20 | 01/03/22 | 7,946,058 | 7,953,607 | |||||||||||
Barclays Bank plc | 0.60% | 08/05/20 | 12/31/21 | 2,156,932 | 2,159,017 | |||||||||||
Barclays Bank plc | 0.75% | 07/21/20 | 12/16/21 | 1,488,304 | 1,490,567 | |||||||||||
Barclays Bank plc | 0.75% | 08/04/20 | 12/30/21 | 6,034,706 | 6,042,124 | |||||||||||
Barclays Bank plc | 0.75% | 06/19/20 | 11/16/21 | 4,223,438 | 4,232,500 | |||||||||||
Barclays Bank plc | 0.75% | 07/02/20 | 11/30/21 | 578,250 | 579,322 | |||||||||||
Barclays Bank plc | 0.75% | 08/04/20 | 12/30/21 | 11,221,555 | 11,235,348 | |||||||||||
Barclays Bank plc | 0.75% | 06/19/20 | 11/16/21 | 4,420,000 | 4,429,484 | |||||||||||
Barclays Bank plc | 0.75% | 06/19/20 | 11/16/21 | 2,033,200 | 2,037,563 | |||||||||||
Barclays Bank plc | 0.85% | 07/22/20 | 12/17/21 | 6,840,954 | 6,852,584 | |||||||||||
Barclays Bank plc | 0.90% | 06/19/20 | 11/16/21 | 1,069,900 | 1,072,655 | |||||||||||
Barclays Bank plc | 1.00% | 07/15/20 | 10/01/20 | 8,187,200 | 8,210,170 | |||||||||||
Barclays Bank plc | 1.00% | 06/01/20 | 10/01/20 | 2,345,072 | 2,352,954 | |||||||||||
BNP Paribas Securities Corp. | 2.00% | 09/04/20 | 10/06/20 | 6,192,000 | 6,202,000 | |||||||||||
BNP Paribas Securities Corp. | 2.00% | 09/04/20 | 10/06/20 | 6,084,000 | 6,093,825 |
See Notes to Consolidated Financial Statements.
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September 30, 2020 (Unaudited)
Counterparty | Interest Rate | Trade Date | Maturity Date | Face Value | Face Value Including Accrued Interest | |||||||||||
BNP Paribas Securities Corp. | 2.00% | 09/04/20 | 10/06/20 | $ | 9,825,000 | $ | 9,840,867 | |||||||||
BNP Paribas Securities Corp. | 2.00% | 09/04/20 | 10/06/20 | 1,903,000 | 1,906,073 | |||||||||||
BNP Paribas Securities Corp. | 2.00% | 09/04/20 | 10/06/20 | 168,000 | 168,271 | |||||||||||
BNP Paribas Securities Corp. | 2.00% | 09/04/20 | 10/06/20 | 3,992,000 | 3,998,447 | |||||||||||
BNP Paribas Securities Corp. | 2.00% | 09/04/20 | 10/06/20 | 6,122,000 | 6,131,887 | |||||||||||
BNP Paribas Securities Corp. | 2.00% | 09/04/20 | 10/06/20 | 722,000 | 723,166 | |||||||||||
BNP Paribas Securities Corp. | 2.00% | 09/04/20 | 10/06/20 | 280,000 | 280,452 | |||||||||||
BNP Paribas Securities Corp. | 2.00% | 09/04/20 | 10/06/20 | 7,135,000 | 7,146,522 | |||||||||||
Credit Suisse International | 0.40% | 09/29/20 | 02/24/22 | 2,794,536 | 2,794,629 | |||||||||||
Credit Suisse International | 0.75% | 06/01/20 | 10/27/21 | 1,244,880 | 1,248,070 | |||||||||||
Credit Suisse International | 0.75% | 05/29/20 | 10/27/21 | 2,399,359 | 2,405,507 | |||||||||||
Credit Suisse International | 0.95% | 06/09/20 | 11/04/21 | 1,672,560 | 1,677,636 | |||||||||||
Credit Suisse International | 0.95% | 06/09/20 | 11/04/21 | 7,727,200 | 7,750,650 | |||||||||||
Credit Suisse International | 0.95% | 06/09/20 | 11/04/21 | 2,044,200 | 2,050,403 | |||||||||||
Goldman Sachs Bank USA | 1.80% | 09/11/20 | 10/15/20 | 599,000 | 599,659 | |||||||||||
Goldman Sachs Bank USA | 1.85% | 09/11/20 | 10/15/20 | 1,654,000 | 1,655,870 | |||||||||||
Goldman Sachs Bank USA | 1.95% | 09/11/20 | 10/15/20 | 1,523,000 | 1,524,815 | |||||||||||
Goldman Sachs Bank USA | 1.95% | 09/11/20 | 10/15/20 | 15,643,000 | 15,661,644 | |||||||||||
Goldman Sachs Bank USA | 1.95% | 09/11/20 | 10/15/20 | 13,095,000 | 13,110,607 | |||||||||||
Goldman Sachs Bank USA | 1.95% | 09/11/20 | 10/15/20 | 5,499,000 | 5,505,554 | |||||||||||
Goldman Sachs Bank USA | 1.95% | 09/11/20 | 10/15/20 | 4,226,000 | 4,231,037 | |||||||||||
Goldman Sachs Bank USA | 1.95% | 09/11/20 | 10/15/20 | 3,565,000 | 3,569,249 | |||||||||||
Goldman Sachs Bank USA | 1.95% | 09/11/20 | 10/15/20 | 6,559,000 | 6,566,817 | |||||||||||
Goldman Sachs Bank USA | 1.95% | 09/11/20 | 10/15/20 | 9,753,000 | 9,764,624 | |||||||||||
Goldman Sachs Bank USA | 1.95% | 09/11/20 | 10/15/20 | 4,763,000 | 4,768,677 | |||||||||||
Goldman Sachs Bank USA | 1.95% | 09/11/20 | 10/15/20 | 897,000 | 898,069 | |||||||||||
Goldman Sachs Bank USA | 1.95% | 09/11/20 | 10/15/20 | 5,064,000 | 5,070,035 | |||||||||||
Goldman Sachs Bank USA | 1.95% | 09/11/20 | 10/15/20 | 898,000 | 899,070 | |||||||||||
Goldman Sachs Bank USA | 2.15% | 09/11/20 | 10/15/20 | 1,028,000 | 1,029,351 | |||||||||||
Goldman Sachs Bank USA | 2.15% | 09/11/20 | 10/15/20 | 771,000 | 772,013 | |||||||||||
Goldman Sachs Bank USA | 2.15% | 09/11/20 | 10/15/20 | 1,149,000 | 1,150,510 | |||||||||||
Goldman Sachs Bank USA | 2.15% | 09/11/20 | 10/15/20 | 596,000 | 596,783 | |||||||||||
Goldman Sachs Bank USA | 2.15% | 09/11/20 | 10/15/20 | 995,000 | 996,307 | |||||||||||
Goldman Sachs Bank USA | 2.15% | 09/11/20 | 10/15/20 | 732,000 | 732,962 | |||||||||||
HSBC Bank PLC | 2.07% | 08/19/20 | 05/18/23 | 5,928,571 | 5,943,895 | |||||||||||
HSBC Bank PLC | 2.07% | 08/19/20 | 05/19/22 | 5,928,571 | 5,943,895 | |||||||||||
HSBC Bank PLC | 2.07% | 08/19/20 | 11/21/22 | 5,928,571 | 5,943,895 | |||||||||||
HSBC Bank PLC | 2.07% | 08/19/20 | 11/19/21 | 5,928,571 | 5,943,895 | |||||||||||
HSBC Bank PLC | 2.07% | 08/19/20 | 05/19/21 | 5,928,571 | 5,943,895 | |||||||||||
HSBC Bank PLC | 2.07% | 08/19/20 | 11/19/20 | 5,928,571 | 5,943,895 | |||||||||||
JPMorgan Chase Bank, N.A. | 0.30% | 08/05/20 | 01/03/22 | 5,001,689 | 5,004,065 | |||||||||||
JPMorgan Chase Bank, N.A. | 0.30% | 08/04/20 | 12/30/21 | 13,392,700 | 13,399,285 | |||||||||||
JPMorgan Chase Bank, N.A. | 0.45% | 07/07/20 | 12/03/21 | 977,382 | 978,433 | |||||||||||
JPMorgan Chase Bank, N.A. | 0.45% | 07/07/20 | 12/03/21 | 2,947,573 | 2,950,742 |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2020 (Unaudited)
Counterparty | Interest Rate | Trade Date | Maturity Date | Face Value | Face Value Including Accrued Interest | |||||||||||
JPMorgan Chase Bank, N.A. | 0.45% | 07/07/20 | 12/03/21 | $ | 2,637,302 | $ | 2,640,137 | |||||||||
JPMorgan Chase Bank, N.A. | 0.50% | 07/21/20 | 12/16/21 | 4,755,066 | 4,759,887 | |||||||||||
JPMorgan Chase Bank, N.A. | 0.55% | 09/09/20 | 02/04/22 | 5,700,667 | 5,702,670 | |||||||||||
JPMorgan Chase Bank, N.A. | 0.60% | 07/07/20 | 12/03/21 | 769,854 | 770,957 | |||||||||||
JPMorgan Chase Bank, N.A. | 0.60% | 07/21/20 | 12/16/21 | 386,219 | 386,689 | |||||||||||
JPMorgan Chase Bank, N.A. | 0.65% | 09/10/20 | 02/08/22 | 15,780,997 | 15,786,411 | |||||||||||
JPMorgan Chase Bank, N.A. | 0.65% | 09/10/20 | 02/08/22 | 17,933,912 | 17,940,064 | |||||||||||
JPMorgan Chase Bank, N.A. | 0.65% | 09/10/20 | 02/08/22 | 17,467,383 | 17,473,375 | |||||||||||
JPMorgan Chase Bank, N.A. | 0.65% | 09/09/20 | 02/04/22 | 4,223,845 | 4,225,599 | |||||||||||
JPMorgan Chase Bank, N.A. | 0.65% | 09/09/20 | 02/04/22 | 1,060,715 | 1,061,155 | |||||||||||
JPMorgan Chase Bank, N.A. | 0.75% | 07/07/20 | 12/03/21 | 3,849,583 | 3,856,480 | |||||||||||
JPMorgan Chase Bank, N.A. | 0.75% | 07/07/20 | 12/03/21 | 1,154,875 | 1,156,944 | |||||||||||
Merrill Lynch, Pierce, Fenner & Smith, Inc. | 2.16% | 09/21/20 | 10/21/20 | 851,000 | 851,613 | |||||||||||
RBC (Barbados) Trading Bank Corporation | 2.28% | 08/17/20 | 11/16/20 | 7,768,000 | 7,791,124 | |||||||||||
RBC (Barbados) Trading Bank Corporation | 3.39% | 08/07/20 | 11/06/20 | 1,748,000 | 1,757,388 | |||||||||||
RBC (Barbados) Trading Bank Corporation | 3.39% | 08/07/20 | 11/06/20 | 1,073,000 | 1,078,763 | |||||||||||
RBC (Barbados) Trading Bank Corporation | 3.39% | 08/07/20 | 11/06/20 | 960,000 | 965,156 | |||||||||||
RBC (Barbados) Trading Bank Corporation | 3.39% | 08/07/20 | 11/06/20 | 379,000 | 381,035 | |||||||||||
RBC (Barbados) Trading Bank Corporation | 3.39% | 08/07/20 | 11/06/20 | 909,000 | 913,882 | |||||||||||
RBC (Barbados) Trading Bank Corporation | 3.39% | 08/07/20 | 11/06/20 | 253,000 | 254,359 | |||||||||||
RBC (Barbados) Trading Bank Corporation | 3.39% | 08/07/20 | 11/06/20 | 2,651,000 | 2,665,238 | |||||||||||
Royal Bank of Canada | 0.21% | 09/17/20 | 10/21/20 | 10,674,000 | 10,674,747 | |||||||||||
|
| |||||||||||||||
Total Reverse Repurchase Agreements Outstanding |
| $ | 385,702,982 | $ | 386,246,970 | |||||||||||
|
|
Futures Contracts Outstanding at September 30, 2020
Description | Contracts | Exchange | Notional Amount | Expiration Date | Value/ Unrealized Appreciaton (Depreciation) | |||||||||||||||
Long Futures | ||||||||||||||||||||
3 Month Eurodollar | 444 | ICE | 131,698,866 EUR | 09/13/21 | $ | 21,845 | ||||||||||||||
3 Month Eurodollar | 149 | ICE | 44,031,029 EUR | 03/14/22 | (2,918 | ) | ||||||||||||||
90 Day Eurodollar | 52 | CME | 12,973,805 USD | 03/15/21 | 845 | |||||||||||||||
90 Day Eurodollar | 1,106 | CME | 275,973,118 USD | 09/13/21 | 1,532 | |||||||||||||||
90 Day Eurodollar | 308 | CME | 76,826,806 USD | 12/13/21 | 11,494 | |||||||||||||||
90 Day Eurodollar | 7 | CME | 1,741,518 USD | 09/18/23 | 2,532 | |||||||||||||||
90 Day Sterling | 2 | ICE | 322,469 GBP | 03/17/21 | (11 | ) | ||||||||||||||
90 Day Sterling | 270 | ICE | 43,885,865 GBP | 09/15/21 | 2,051 | |||||||||||||||
90 Day Sterling | 43 | ICE | 6,894,141 GBP | 12/15/21 | (633 | ) | ||||||||||||||
90 Day Sterling | 521 | ICE | 84,325,448 GBP | 03/16/22 | (4,981 | ) | ||||||||||||||
Aluminum | 6 | LME | 269,745 USD | 12/16/20 | (5,108 | ) | ||||||||||||||
Amsterdam Index | 5 | Euronext | 659,977 EUR | 10/16/20 | (13,716 | ) |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2020 (Unaudited)
Description | Contracts | Exchange | Notional Amount | Expiration Date | Value/ Unrealized Appreciaton (Depreciation) | |||||||||||||||
Argus Eurobob Oxy FOB Rotterdam Barges | 16 | ICE | 51,574 USD | 01/29/21 | $ | (33,494 | ) | |||||||||||||
Argus Eurobob Oxy FOB Rotterdam Barges | 16 | ICE | 51,574 USD | 02/26/21 | (33,014 | ) | ||||||||||||||
Argus Eurobob Oxy FOB Rotterdam Barges | 16 | ICE | 51,574 USD | 03/31/21 | (34,774 | ) | ||||||||||||||
Argus Eurobob Oxy FOB Rotterdam Barges | 16 | ICE | 51,574 USD | 04/30/21 | (36,054 | ) | ||||||||||||||
Argus Eurobob Oxy FOB Rotterdam Barges | 16 | ICE | 51,574 USD | 05/31/21 | (36,374 | ) | ||||||||||||||
Argus Eurobob Oxy FOB Rotterdam Barges | 16 | ICE | 51,574 USD | 06/30/21 | (36,694 | ) | ||||||||||||||
Argus Eurobob Oxy FOB Rotterdam Barges | 16 | ICE | 51,574 USD | 07/30/21 | (38,294 | ) | ||||||||||||||
Argus Eurobob Oxy FOB Rotterdam Barges | 16 | ICE | 51,574 USD | 08/31/21 | (38,614 | ) | ||||||||||||||
Argus Eurobob Oxy FOB Rotterdam Barges | 16 | ICE | 51,574 USD | 09/30/21 | (38,774 | ) | ||||||||||||||
Argus Eurobob Oxy FOB Rotterdam Barges | 16 | ICE | 51,574 USD | 10/29/21 | (39,414 | ) | ||||||||||||||
Argus Eurobob Oxy FOB Rotterdam Barges | 16 | ICE | 51,574 USD | 11/30/21 | (40,054 | ) | ||||||||||||||
Argus Eurobob Oxy FOB Rotterdam Barges | 16 | ICE | 51,574 USD | 12/31/21 | (40,214 | ) | ||||||||||||||
Australian 10-Year Bond | 85 | SFE | 9,143,844 AUD | 12/15/20 | 99,579 | |||||||||||||||
Australian dollar Currency | 8 | CME | 580,117 USD | 12/14/20 | (7,077 | ) | ||||||||||||||
Brent 1st Line | 33 | ICE | 9 USD | 01/29/21 | 37,281 | |||||||||||||||
Brent 1st Line | 33 | ICE | 9 USD | 02/26/21 | 29,790 | |||||||||||||||
Brent 1st Line | 33 | ICE | 9 USD | 03/31/21 | 107,571 | |||||||||||||||
Brent 1st Line | 33 | ICE | 9 USD | 04/30/21 | 170,337 | |||||||||||||||
Brent 1st Line | 33 | ICE | 9 USD | 05/31/21 | 178,917 | |||||||||||||||
Brent 1st Line | 33 | ICE | 9 USD | 06/30/21 | 178,026 | |||||||||||||||
Brent 1st Line | 33 | ICE | 9 USD | 07/30/21 | 171,426 | |||||||||||||||
Brent 1st Line | 33 | ICE | 9 USD | 08/31/21 | 156,411 | |||||||||||||||
Brent 1st Line | 33 | ICE | 9 USD | 09/30/21 | 131,925 | |||||||||||||||
Brent 1st Line | 33 | ICE | 9 USD | 10/29/21 | 50,679 | |||||||||||||||
Brent 1st Line | 33 | ICE | 9 USD | 11/30/21 | 23,916 | |||||||||||||||
Brent 1st Line | 33 | ICE | 9 USD | 12/31/21 | 8,769 | |||||||||||||||
Brent Crude | 137 | ICE | 5,805,763 USD | 10/30/20 | (10,663 | ) | ||||||||||||||
Brent Crude | 8 | ICE | 361,609 USD | 11/30/20 | (19,609 | ) | ||||||||||||||
Brent Crude | 300 | NYMEX | 13,806,881 USD | 10/29/21 | (141,881 | ) | ||||||||||||||
British Pound Currency | 10 | CME | 813,838 USD | 12/14/20 | (7,338 | ) | ||||||||||||||
CA Carbon | 1,000 | ICE | 17,303,000 USD | 12/24/20 | (53,000 | ) | ||||||||||||||
CAC40 Index | 3 | Euronext | 179,543 EUR | 10/16/20 | (9,519 | ) |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2020 (Unaudited)
Description | Contracts | Exchange | Notional Amount | Expiration Date | Value/ Unrealized Appreciaton (Depreciation) | |||||||||||||||
California Carbon | 450 | ICE | 7,747,350 USD | 10/27/20 | $ | (34,350 | ) | |||||||||||||
California Carbon | 5,035 | ICE | 86,292,725 USD | 12/24/20 | 611,375 | |||||||||||||||
California Carbon | 1,000 | ICE | 17,153,000 USD | 12/24/20 | 87,000 | |||||||||||||||
Canadian 10-Year Bond | 39 | CDE | 4,489,856 CAD | 12/18/20 | 12,507 | |||||||||||||||
CBOE Volatility Index | 56 | CFE | 1,657,847 USD | 12/16/20 | 73,953 | |||||||||||||||
Cocoa | 60 | ICE | 1,537,216 USD | 03/16/21 | (21,016 | ) | ||||||||||||||
Coffee ‘C’ | 63 | ICE | 2,732,412 USD | 12/18/20 | (111,218 | ) | ||||||||||||||
Copper | 4 | COMEX | 297,610 USD | 12/29/20 | 5,640 | |||||||||||||||
Copper | 115 | COMEX | 8,788,507 USD | 03/29/21 | (51,382 | ) | ||||||||||||||
Corn | 37 | CBOT | 675,648 USD | 12/14/20 | 25,502 | |||||||||||||||
Cotton No.2 | 77 | ICE | 2,513,864 USD | 12/08/20 | 19,051 | |||||||||||||||
Crude Palm Oil | 12 | MYX | 216,850 MYR | 12/15/20 | (20,030 | ) | ||||||||||||||
DAX Index | 6 | Eurex | 2,340,503 EUR | 12/18/20 | (68,034 | ) | ||||||||||||||
DJIA mini E-CBOT | 14 | CBOT | 1,932,954 USD | 12/18/20 | 3,526 | |||||||||||||||
E-mini Russell 2000 | 40 | CME | 3,001,690 USD | 12/18/20 | 7,110 | |||||||||||||||
Euro BOBL | 223 | Eurex | 35,543,266 EUR | 12/08/20 | 1,462 | |||||||||||||||
Euro BTP | 40 | Eurex | 6,876,727 EUR | 12/08/20 | 101,037 | |||||||||||||||
Euro OAT | 43 | Eurex | 8,517,421 EUR | 12/08/20 | 39,482 | |||||||||||||||
Euro Stoxx 50 | 127 | Eurex | 4,912,470 EUR | 12/18/20 | (118,817 | ) | ||||||||||||||
Euro-Bund | 178 | Eurex | 36,593,638 EUR | 12/08/20 | 84,664 | |||||||||||||||
Euro-Schatz | 991 | Eurex | 131,383,596 EUR | 12/08/20 | (25,472 | ) | ||||||||||||||
FTSE 100 Index | 20 | ICE | 1,552,692 GBP | 12/18/20 | (45,310 | ) | ||||||||||||||
FTSE/MIB Index | 5 | IDEM | 583,843 EUR | 12/18/20 | (24,195 | ) | ||||||||||||||
Gasoline RBOB | 101 | NYMEX | 5,038,341 USD | 10/30/20 | (25,994 | ) | ||||||||||||||
Gasoline RBOB | 84 | NYMEX | 4,741,062 USD | 05/28/21 | (4,369 | ) | ||||||||||||||
Globex Natural Gas | 210 | NYMEX | 5,456,457 USD | 10/27/20 | (149,757 | ) | ||||||||||||||
Globex Natural Gas | 45 | NYMEX | 1,401,012 USD | 11/24/20 | 1,638 | |||||||||||||||
Gold 100 OZ | 11 | COMEX | 2,156,016 USD | 12/29/20 | (70,966 | ) | ||||||||||||||
Hang Seng China Enterprises Index | 7 | HKFE | 421,995 HKD | 10/29/20 | 1,615 | |||||||||||||||
Henry Hub | 132 | NYMEX | 690,636 USD | 09/25/20 | 15,234 | |||||||||||||||
Henry Hub | 279 | ICE | 3,037 USD | 09/30/20 | (3,037 | ) | ||||||||||||||
Henry Hub | 81 | NYMEX | 621,697 USD | 02/23/21 | 5,851 | |||||||||||||||
Henry Hub | 30 | ICE | 184,508 USD | 03/29/22 | 67 | |||||||||||||||
Henry Hub | 31 | ICE | 190,658 USD | 04/27/22 | (4,968 | ) | ||||||||||||||
Henry Hub | 30 | ICE | 184,508 USD | 05/26/22 | (3,008 | ) | ||||||||||||||
Henry Hub | 31 | ICE | 190,658 USD | 06/28/22 | (783 | ) | ||||||||||||||
Henry Hub | 31 | ICE | 190,658 USD | 07/27/22 | (163 | ) | ||||||||||||||
Henry Hub | 30 | ICE | 184,508 USD | 08/29/22 | (1,133 | ) | ||||||||||||||
Henry Hub | 31 | ICE | 190,658 USD | 09/28/22 | 457 | |||||||||||||||
Henry Hub | 62 | ICE | 386,974 USD | 12/28/22 | (249 | ) | ||||||||||||||
Henry Hub | 56 | ICE | 349,525 USD | 01/27/23 | (225 | ) | ||||||||||||||
Henry Hub | 62 | ICE | 386,974 USD | 02/24/23 | (249 | ) | ||||||||||||||
Henry Hub | 60 | ICE | 374,491 USD | 03/29/23 | (241 | ) |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2020 (Unaudited)
Description | Contracts | Exchange | Notional Amount | Expiration Date | Value/ Unrealized Appreciaton (Depreciation) | |||||||||||||||
Henry Hub | 62 | ICE | 386,974 USD | 04/26/23 | $ | (249 | ) | |||||||||||||
Henry Hub | 60 | ICE | 374,491 USD | 05/26/23 | (241 | ) | ||||||||||||||
Henry Hub | 62 | ICE | 386,974 USD | 06/28/23 | (249 | ) | ||||||||||||||
Henry Hub | 62 | ICE | 386,974 USD | 07/27/23 | (249 | ) | ||||||||||||||
Henry Hub | 60 | ICE | 374,491 USD | 08/29/23 | (241 | ) | ||||||||||||||
Henry Hub | 62 | ICE | 386,974 USD | 09/27/23 | (249 | ) | ||||||||||||||
Henry Hub | 60 | ICE | 374,491 USD | 10/27/23 | (241 | ) | ||||||||||||||
Henry Hub | 62 | ICE | 386,974 USD | 11/28/23 | (249 | ) | ||||||||||||||
Japanese Yen Currency | 7 | CME | 833,264 USD | 12/14/20 | (3,108 | ) | ||||||||||||||
KOSPI 200 Index | 7 | KRX FM | 465,790 KRW | 12/10/20 | (8,703 | ) | ||||||||||||||
Lean Hogs | 87 | CME | 2,411,025 USD | 02/12/21 | (44,625 | ) | ||||||||||||||
Live Cattle | 330 | CME | 14,683,014 USD | 12/31/20 | 147,186 | |||||||||||||||
Long Gilt | 18 | ICE | 3,218,370 GBP | 12/29/20 | 17,636 | |||||||||||||||
Low Sulphar Gasoil | 217 | ICE | 7,108,134 USD | 11/12/20 | 134,241 | |||||||||||||||
Low Sulphar Gasoil 1st Line | 16 | ICE | 84,603 USD | 01/29/21 | (40,443 | ) | ||||||||||||||
Low Sulphar Gasoil 1st Line | 16 | ICE | 84,603 USD | 02/26/21 | (36,923 | ) | ||||||||||||||
Low Sulphar Gasoil 1st Line | 16 | ICE | 84,603 USD | 03/31/21 | (32,443 | ) | ||||||||||||||
Low Sulphar Gasoil 1st Line | 16 | ICE | 84,603 USD | 04/30/21 | (28,443 | ) | ||||||||||||||
Low Sulphar Gasoil 1st Line | 16 | ICE | 84,603 USD | 05/31/21 | (25,083 | ) | ||||||||||||||
Low Sulphar Gasoil 1st Line | 16 | ICE | 84,603 USD | 06/30/21 | (19,323 | ) | ||||||||||||||
Low Sulphar Gasoil 1st Line | 16 | ICE | 84,603 USD | 07/30/21 | (13,563 | ) | ||||||||||||||
Low Sulphar Gasoil 1st Line | 16 | ICE | 84,603 USD | 08/31/21 | (8,763 | ) | ||||||||||||||
Low Sulphar Gasoil 1st Line | 16 | ICE | 84,603 USD | 09/30/21 | (1,723 | ) | ||||||||||||||
Low Sulphar Gasoil 1st Line | 16 | ICE | 84,603 USD | 10/29/21 | 677 | |||||||||||||||
Low Sulphar Gasoil 1st Line | 16 | ICE | 84,603 USD | 11/30/21 | (283 | ) | ||||||||||||||
Low Sulphar Gasoil 1st Line | 16 | ICE | 84,603 USD | 12/31/21 | (44,123 | ) | ||||||||||||||
MSCI Emerging Market | 33 | ICE | 1,815,552 USD | 12/18/20 | (19,527 | ) | ||||||||||||||
MSCI Singapore Index | 24 | SGX | 499,641 SGD | 10/29/20 | (5,129 | ) | ||||||||||||||
MSCI Taiwan Index | 14 | SGX | 684,747 USD | 10/29/20 | 5,453 | |||||||||||||||
NASDAQ 100 E-Mini | 18 | CME | 4,009,818 USD | 12/18/20 | 96,792 | |||||||||||||||
Natural Gas | 266 | NYMEX | 7,038,221 USD | 10/28/20 | (316,401 | ) | ||||||||||||||
Natural Gas | 40 | NYMEX | 1,302,871 USD | 12/29/20 | 3,929 | |||||||||||||||
Natural Gas | 100 | NYMEX | 3,134,107 USD | 02/23/21 | (1,107 | ) | ||||||||||||||
Natural Gas | 42 | NYMEX | 1,319,034 USD | 02/24/21 | (17,454 | ) | ||||||||||||||
Natural Gas | 8 | NYMEX | 226,604 USD | 03/29/21 | (3,084 | ) | ||||||||||||||
Natural Gas | 100 | NYMEX | 2,470,177 USD | 03/29/22 | (9,177 | ) | ||||||||||||||
Natural Gas | 100 | NYMEX | 2,500,177 USD | 09/28/22 | (34,177 | ) | ||||||||||||||
Natural Gas | 31 | NYMEX | 193,313 USD | 09/28/22 | (2,198 | ) | ||||||||||||||
Natural Gas | 30 | NYMEX | 187,077 USD | 10/27/22 | 3,798 | |||||||||||||||
Natural Gas | 31 | NYMEX | 193,313 USD | 11/28/22 | 18,185 | |||||||||||||||
Natural Gas | 31 | NYMEX | 193,313 USD | 12/28/22 | 27,562 | |||||||||||||||
Natural Gas | 28 | NYMEX | 174,605 USD | 01/27/23 | 21,885 | |||||||||||||||
Natural Gas | 31 | NYMEX | 193,313 USD | 02/24/23 | 12,295 | |||||||||||||||
Natural Gas | 30 | NYMEX | 187,077 USD | 03/29/23 | (12,927 | ) |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2020 (Unaudited)
Description | Contracts | Exchange | Notional Amount | Expiration Date | Value/ Unrealized Appreciaton (Depreciation) | |||||||||||||||
Natural Gas | 31 | NYMEX | 193,313 USD | 04/26/23 | $ | (16,458 | ) | |||||||||||||
Natural Gas | 30 | NYMEX | 187,077 USD | 05/26/23 | (13,452 | ) | ||||||||||||||
Natural Gas | 31 | NYMEX | 193,313 USD | 06/28/23 | (11,343 | ) | ||||||||||||||
Natural Gas | 31 | NYMEX | 193,313 USD | 07/27/23 | (10,723 | ) | ||||||||||||||
Natural Gas | 30 | NYMEX | 187,077 USD | 08/29/23 | (11,202 | ) | ||||||||||||||
New Zealand Dollar Currency | 12 | CME | 801,271 USD | 12/14/20 | (7,711 | ) | ||||||||||||||
Nickel | 3 | LME | 257,213 USD | 12/14/20 | 4,057 | |||||||||||||||
NY Harbor ULSD | 170 | NYMEX | 8,314,216 USD | 10/30/20 | (87,508 | ) | ||||||||||||||
OMXS30 Index | 24 | Nasdaq OMX | 499,861 SEK | 10/16/20 | (768 | ) | ||||||||||||||
S&P 500 E-mini | 14 | CME | 2,322,958 USD | 12/18/20 | 23,442 | |||||||||||||||
S&P/TSX 60 Index | 6 | CDE | 886,008 CAD | 12/17/20 | (10,937 | ) | ||||||||||||||
Silver | 3 | COMEX | 413,017 USD | 12/29/20 | (60,607 | ) | ||||||||||||||
Soyabean | 318 | CBOT | 16,342,542 USD | 01/14/21 | (9,267 | ) | ||||||||||||||
Soyabean Meal | 222 | CBOT | 7,531,602 USD | 01/14/21 | 63,018 | |||||||||||||||
Soyabean Oil | 943 | CBOT | 18,906,988 USD | 12/14/20 | (162,034 | ) | ||||||||||||||
SPI 200 | 5 | SFE | 536,997 AUD | 12/17/20 | (7,206 | ) | ||||||||||||||
Sugar 11 | 234 | ICE | 3,314,728 USD | 02/26/21 | 225,972 | |||||||||||||||
Swiss Franc Currency | 2 | CME | 276,023 USD | 12/14/20 | (4,098 | ) | ||||||||||||||
Swiss Market Index | 15 | Eurex | 1,732,771 CHF | 12/18/20 | (54,100 | ) | ||||||||||||||
Topix | 38 | OSE | 5,730,648 JPY | 12/10/20 | 93,575 | |||||||||||||||
U.S. Treasury 10-Year Note | 210 | CBOT | 29,280,895 USD | 12/21/20 | 20,667 | |||||||||||||||
U.S. Treasury 2-Year Note | 995 | CBOT | 219,778,925 USD | 12/31/20 | 77,208 | |||||||||||||||
U.S. Treasury 5-Year Note | 539 | CBOT | 67,892,295 USD | 12/31/20 | 38,549 | |||||||||||||||
U.S. Treasury Long Bond | 24 | CBOT | 4,206,544 USD | 12/21/20 | 24,206 | |||||||||||||||
U.S. Treasury Ultra Bond | 4 | CBOT | 879,153 USD | 12/21/20 | 8,097 | |||||||||||||||
Wheat | 8 | CBOT | 217,981 USD | 12/14/20 | 13,219 | |||||||||||||||
WTI Crude | 98 | NYMEX | 4,041,589 USD | 10/20/20 | (100,029 | ) | ||||||||||||||
WTI Crude | 50 | NYMEX | 1,862,093 USD | 11/20/20 | 161,407 | |||||||||||||||
WTI Crude | 241 | NYMEX | 10,040,541 USD | 11/19/21 | 351,379 | |||||||||||||||
WTI Crude | 327 | NYMEX | 14,524,649 USD | 11/21/22 | (136,649 | ) | ||||||||||||||
Zinc | 3 | LME | 179,815 USD | 12/14/20 | 354 | |||||||||||||||
|
| |||||||||||||||||||
$ | 1,134,908 | |||||||||||||||||||
|
| |||||||||||||||||||
Short Futures | ||||||||||||||||||||
3 Month Eurodollar | 15 | ICE | 4,416,334 EUR | 03/15/21 | $ | 384 | ||||||||||||||
3 Month Eurodollar | 108 | ICE | 32,151,606 EUR | 06/14/21 | (4,186 | ) | ||||||||||||||
3 Month Eurodollar | 44 | ICE | 13,069,431 EUR | 12/13/21 | 830 | |||||||||||||||
90 Day Eurodollar | 49 | CME | 12,208,778 USD | 12/14/20 | (11,210 | ) | ||||||||||||||
90 Day Eurodollar | 38 | CME | 9,476,213 USD | 03/15/21 | (5,262 | ) | ||||||||||||||
90 Day Eurodollar | 83 | CME | 20,702,839 USD | 06/14/21 | (7,736 | ) | ||||||||||||||
90 Day Eurodollar | 28 | CME | 6,981,452 USD | 09/13/21 | (5,248 | ) | ||||||||||||||
90 Day Eurodollar | 27 | CME | 6,730,292 USD | 12/13/21 | (5,533 | ) | ||||||||||||||
90 Day Eurodollar | 121 | CME | 30,185,413 USD | 03/14/22 | 1,963 |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2020 (Unaudited)
Description | Contracts | Exchange | Notional Amount | Expiration Date | Value/ Unrealized Appreciaton (Depreciation) | |||||||||||||||
90 Day Eurodollar | 22 | CME | 5,481,999 USD | 06/13/22 | $ | (5,351 | ) | |||||||||||||
90 Day Eurodollar | 25 | CME | 6,233,022 USD | 09/19/22 | (1,978 | ) | ||||||||||||||
90 Day Eurodollar | 19 | CME | 4,736,863 USD | 12/19/22 | (550 | ) | ||||||||||||||
90 Day Eurodollar | 16 | CME | 3,989,196 USD | 03/13/23 | 395 | |||||||||||||||
90 Day Eurodollar | 6 | CME | 1,495,559 USD | 06/19/23 | 209 | |||||||||||||||
90 Day Eurodollar | 4 | CME | 996,190 USD | 12/18/23 | 89 | |||||||||||||||
90 Day Eurodollar | 2 | CME | 497,920 USD | 03/18/24 | 45 | |||||||||||||||
90 Day Eurodollar | 9 | CME | 2,237,364 USD | 06/17/24 | (1,949 | ) | ||||||||||||||
90 Day Eurodollar | 6 | CME | 1,492,347 USD | 09/16/24 | 222 | |||||||||||||||
90 Day Eurodollar | 3 | CME | 745,717 USD | 12/16/24 | 105 | |||||||||||||||
90 Day Eurodollar | 6 | CME | 1,490,759 USD | 03/17/25 | 209 | |||||||||||||||
90 Day Eurodollar | 4 | CME | 993,240 USD | 06/16/25 | 89 | |||||||||||||||
90 Day Eurodollar | 2 | CME | 496,345 USD | 09/15/25 | 70 | |||||||||||||||
90 Day Sterling | 324 | ICE | 52,421,507 GBP | 06/16/21 | 9,503 | |||||||||||||||
Brent Crude | 132 | ICE | 5,671,822 USD | 11/30/20 | 28,822 | |||||||||||||||
Brent Crude | 13 | ICE | 581,080 USD | 12/30/20 | 20,520 | |||||||||||||||
Brent Crude | 24 | ICE | 1,044,511 USD | 01/29/21 | 1,471 | |||||||||||||||
Brent Crude | 300 | NYMEX | 14,477,579 USD | 10/31/22 | 278,579 | |||||||||||||||
British Pound Currency | 7 | CME | 557,342 USD | 12/14/20 | (7,208 | ) | ||||||||||||||
Canadian Dollar Currency | 18 | CME | 1,354,729 USD | 12/15/20 | 2,388 | |||||||||||||||
CBOE Volatility Index | 25 | CFE | 867,435 USD | 10/21/20 | 108,060 | |||||||||||||||
CBOE Volatility Index | 62 | CFE | 1,881,700 USD | 11/18/20 | (156,550 | ) | ||||||||||||||
Cocoa | 48 | ICE | 1,241,416 USD | 12/15/20 | 19,336 | |||||||||||||||
Coffee ‘C’ | 68 | ICE | 2,991,611 USD | 03/19/21 | 117,761 | |||||||||||||||
Copper | 108 | COMEX | 8,225,973 USD | 12/29/20 | 38,223 | |||||||||||||||
Corn | 39 | CBOT | 728,434 USD | 03/12/21 | (28,654 | ) | ||||||||||||||
Cotton No.2 | 82 | ICE | 2,715,141 USD | 03/09/21 | (12,999 | ) | ||||||||||||||
Dominion SP | 62 | ICE | 17 USD | 12/31/20 | 17 | |||||||||||||||
Dominion SP | 56 | ICE | 15 USD | 01/29/21 | 15 | |||||||||||||||
Dominion SP | 62 | ICE | 17 USD | 02/26/21 | 17 | |||||||||||||||
Euro Currency | 37 | CME | 5,476,742 USD | 12/14/20 | 49,074 | |||||||||||||||
Gasoline RBOB | 101 | NYMEX | 5,012,038 USD | 11/30/20 | 69,260 | |||||||||||||||
Globex Natural Gas | 33 | NYMEX | 742,491 USD | 09/25/20 | 36,621 | |||||||||||||||
Globex Natural Gas | 28 | NYMEX | 904,392 USD | 12/28/20 | (10,368 | ) | ||||||||||||||
Globex Natural Gas | 78 | NYMEX | 2,410,179 USD | 02/23/21 | (7,041 | ) | ||||||||||||||
Globex Natural Gas | 8 | NYMEX | 200,398 USD | 12/27/22 | (27,602 | ) | ||||||||||||||
Globex Natural Gas | 8 | NYMEX | 200,398 USD | 01/26/23 | (24,162 | ) | ||||||||||||||
Globex Natural Gas | 8 | NYMEX | 200,398 USD | 02/23/23 | (11,842 | ) | ||||||||||||||
Globex Natural Gas | 8 | NYMEX | 200,398 USD | 03/28/23 | 14,638 | |||||||||||||||
Globex Natural Gas | 8 | NYMEX | 200,398 USD | 04/25/23 | 17,838 | |||||||||||||||
Globex Natural Gas | 8 | NYMEX | 200,398 USD | 05/25/23 | 15,198 | |||||||||||||||
Globex Natural Gas | 8 | NYMEX | 200,398 USD | 06/27/23 | 12,558 | |||||||||||||||
Globex Natural Gas | 8 | NYMEX | 200,398 USD | 07/26/23 | 11,918 | |||||||||||||||
Globex Natural Gas | 8 | NYMEX | 200,398 USD | 08/28/23 | 12,798 |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2020 (Unaudited)
Description | Contracts | Exchange | Notional Amount | Expiration Date | Value/ Unrealized Appreciaton (Depreciation) | |||||||||||||||
Globex Natural Gas | 8 | NYMEX | 200,398 USD | 09/26/23 | $ | 10,718 | ||||||||||||||
Globex Natural Gas | 8 | NYMEX | 200,398 USD | 10/26/23 | 3,838 | |||||||||||||||
Globex Natural Gas | 8 | NYMEX | 200,398 USD | 11/27/23 | (12,402 | ) | ||||||||||||||
Henry Hub | 379 | NYMEX | 2,718,598 USD | 10/27/20 | 324,265 | |||||||||||||||
Henry Hub | 49 | NYMEX | 307,462 USD | 12/27/22 | (41,663 | ) | ||||||||||||||
Henry Hub | 49 | NYMEX | 307,462 USD | 01/26/23 | (36,396 | ) | ||||||||||||||
Henry Hub | 49 | NYMEX | 307,462 USD | 02/23/23 | (17,531 | ) | ||||||||||||||
Henry Hub | 49 | NYMEX | 307,462 USD | 03/28/23 | 23,017 | |||||||||||||||
Henry Hub | 49 | NYMEX | 307,462 USD | 04/25/23 | 27,917 | |||||||||||||||
Henry Hub | 49 | NYMEX | 307,462 USD | 05/25/23 | 23,874 | |||||||||||||||
Henry Hub | 49 | NYMEX | 307,462 USD | 06/27/23 | 19,832 | |||||||||||||||
Henry Hub | 49 | NYMEX | 307,462 USD | 07/26/23 | 18,852 | |||||||||||||||
Henry Hub | 49 | NYMEX | 307,462 USD | 08/28/23 | 20,199 | |||||||||||||||
Henry Hub | 49 | NYMEX | 307,462 USD | 09/26/23 | 17,014 | |||||||||||||||
Henry Hub | 49 | NYMEX | 307,462 USD | 10/26/23 | 6,479 | |||||||||||||||
Henry Hub | 49 | NYMEX | 307,462 USD | 11/27/23 | (18,388 | ) | ||||||||||||||
Japanese Yen Currency | 5 | CME | 590,397 USD | 12/14/20 | (2,572 | ) | ||||||||||||||
Lean Hogs | 77 | CME | 1,975,963 USD | 12/14/20 | 32,483 | |||||||||||||||
Live Cattle | 359 | CME | 16,567,269 USD | 02/26/21 | (72,381 | ) | ||||||||||||||
Low Sulphar Gasoil | 241 | ICE | 7,989,898 USD | 12/10/20 | (155,902 | ) | ||||||||||||||
Low Sulphar Gasoil | 13 | ICE | 481,785 USD | 01/12/21 | 36,534 | |||||||||||||||
Low Sulphar Gasoil | 24 | ICE | 821,988 USD | 02/11/21 | (10,212 | ) | ||||||||||||||
Natural Gas | 63 | NYMEX | 1,728,418 USD | 10/28/20 | 136,408 | |||||||||||||||
Natural Gas | 331 | NYMEX | 10,532,810 USD | 11/25/20 | 215,540 | |||||||||||||||
Natural Gas | 35 | NYMEX | 1,125,538 USD | 01/27/21 | (1,812 | ) | ||||||||||||||
Natural Gas | 200 | NYMEX | 4,889,646 USD | 05/26/22 | 49,646 | |||||||||||||||
NY Harbor ULSD | 200 | NYMEX | 9,894,874 USD | 11/30/20 | 104,674 | |||||||||||||||
S&P 500 E-mini | 459 | CME | 76,287,340 USD | 12/18/20 | (641,060 | ) | ||||||||||||||
Soyabean | 309 | CBOT | 15,806,771 USD | 11/13/20 | (6,304 | ) | ||||||||||||||
Soyabean Meal | 201 | CBOT | 6,803,864 USD | 12/14/20 | (86,416 | ) | ||||||||||||||
Soyabean Oil | 967 | CBOT | 19,425,687 USD | 01/14/21 | 168,849 | |||||||||||||||
Sugar 11 | 273 | ICE | 3,803,655 USD | 04/30/21 | (238,492 | ) | ||||||||||||||
Swiss Franc Currency | 4 | CME | 547,052 USD | 12/14/20 | 3,202 | |||||||||||||||
U.S. Treasury 10-Year Note | 133 | CBOT | 18,494,040 USD | 12/21/20 | (63,616 | ) | ||||||||||||||
Wheat | 6 | CBOT | 165,567 USD | 03/12/21 | (9,559 | ) | ||||||||||||||
WTI Crude | 110 | NYMEX | 4,579,278 USD | 11/20/20 | 127,578 | |||||||||||||||
WTI Crude | 14 | NYMEX | 580,154 USD | 12/21/20 | 9,094 | |||||||||||||||
WTI Crude | 15 | NYMEX | 632,032 USD | 01/20/21 | 15,082 | |||||||||||||||
WTI Crude | 72 | NYMEX | 3,076,265 USD | 05/20/21 | 32,105 | |||||||||||||||
WTI Crude | 208 | NYMEX | 9,545,422 USD | 11/20/23 | 245,779 | |||||||||||||||
|
| |||||||||||||||||||
$ | 792,069 | |||||||||||||||||||
|
| |||||||||||||||||||
Total Futures Contracts Outstanding |
| $ | 1,926,977 | |||||||||||||||||
|
|
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2020 (Unaudited)
Forward Foreign Currency Exchange Contracts Outstanding at September 30, 2020
Currency | Amount in | Currency | Amount in | Counterparty | Settlement | Unrealized | ||||||||||||||
AUD | 2,200,000 | USD | 1,603,294 | State Street Bank and Trust Company | 12/15/20 | $ | (27,268 | ) | ||||||||||||
BRL | 16,522,562 | USD | 3,120,703 | JPMorgan Chase Bank, N.A. | 10/02/20 | (178,599 | ) | |||||||||||||
BRL | 2,900,000 | USD | 545,862 | State Street Bank and Trust Company | 12/15/20 | (30,496 | ) | |||||||||||||
BRL | 16,522,562 | USD | 2,973,716 | Bank of America, N.A. | 11/04/20 | (33,905 | ) | |||||||||||||
BRL | 16,522,562 | USD | 2,929,169 | Bank of America, N.A. | 10/02/20 | 12,935 | ||||||||||||||
CHF | 6,200,000 | USD | 6,846,668 | State Street Bank and Trust Company | 12/15/20 | (100,097 | ) | |||||||||||||
CNH | 142,100,000 | USD | 20,300,000 | Citibank N.A. | 02/03/21 | 474,591 | ||||||||||||||
EUR | 22,974,708 | USD | 27,304,062 | State Street Bank and Trust Company | 12/15/20 | (323,426 | ) | |||||||||||||
EUR | 4,433,000 | USD | 5,240,342 | Citibank N.A. | 10/26/20 | (40,298 | ) | |||||||||||||
GBP | 9,240,000 | USD | 11,878,667 | State Street Bank and Trust Company | 12/15/20 | 49,415 | ||||||||||||||
GBP | 77,000 | USD | 99,138 | Citibank N.A. | 03/01/21 | 312 | ||||||||||||||
HKD | 22,250,000 | USD | 2,869,128 | State Street Bank and Trust Company | 12/15/20 | 1,171 | ||||||||||||||
IDR | 3,800,000,000 | USD | 252,341 | State Street Bank and Trust Company | 12/15/20 | 1,339 | ||||||||||||||
INR | 1,507,612,500 | USD | 20,250,000 | JPMorgan Chase Bank, N.A. | 01/04/21 | (7,360 | ) | |||||||||||||
INR | 1,686,598,200 | USD | 22,679,085 | JPMorgan Chase Bank, N.A. | 01/06/21 | (38,149 | ) | |||||||||||||
MXN | 1,644,445,605 | USD | 75,191,155 | Goldman Sachs International | 10/13/20 | (875,980 | ) | |||||||||||||
MXN | 11,600,000 | USD | 537,634 | State Street Bank and Trust Company | 12/15/20 | (17,321 | ) | |||||||||||||
NOK | 3,996,666 | USD | 432,664 | State Street Bank and Trust Company | 12/15/20 | (4,086 | ) | |||||||||||||
RUB | 229,429,235 | USD | 2,983,281 | Morgan Stanley Capital Services, Inc. | 12/16/20 | (50,800 | ) | |||||||||||||
RUB | 39,000,000 | USD | 514,750 | State Street Bank and Trust Company | 12/15/20 | (16,634 | ) | |||||||||||||
SEK | 15,728 | USD | 1,801 | State Street Bank and Trust Company | 12/15/20 | (44 | ) | |||||||||||||
SGD | 940,001 | USD | 687,653 | State Street Bank and Trust Company | 12/15/20 | 1,075 | ||||||||||||||
TRY | 1,068,000 | USD | 139,117 | State Street Bank and Trust Company | 12/15/20 | (3,716 | ) | |||||||||||||
ZAR | 56,627,700 | USD | 3,354,622 | Deutsche Bank AG | 12/17/20 | (3,699 | ) | |||||||||||||
ZAR | 55,046,821 | USD | 3,204,645 | JPMorgan Chase Bank, N.A. | 12/17/20 | 52,730 |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2020 (Unaudited)
Currency | Amount in | Currency | Amount in | Counterparty | Settlement | Unrealized | ||||||||||||||
USD | 1,530,417 | AUD | 2,100,000 | State Street Bank and Trust Company | 12/15/20 | $ | 26,029 | |||||||||||||
USD | 2,975,966 | BRL | 16,522,562 | Bank of America, N.A. | 10/02/20 | 33,862 | ||||||||||||||
USD | 2,929,169 | BRL | 16,522,562 | JPMorgan Chase Bank, N.A. | 10/02/20 | (12,935 | ) | |||||||||||||
USD | 1,584,672 | CHF | 1,435,000 | State Street Bank and Trust Company | 12/15/20 | 23,168 | ||||||||||||||
USD | 19,867,179 | CNH | 142,100,000 | Citibank N.A. | 02/03/21 | (907,411 | ) | |||||||||||||
USD | 36,904,280 | EUR | 31,052,708 | State Street Bank and Trust Company | 12/15/20 | 437,143 | ||||||||||||||
USD | 3,502,578 | EUR | 2,988,000 | Citibank N.A. | 12/23/20 | (7,348 | ) | |||||||||||||
USD | 7,889,527 | EUR | 6,816,000 | Citibank N.A. | 10/26/20 | (105,849 | ) | |||||||||||||
USD | 12,565,102 | GBP | 9,773,954 | State Street Bank and Trust Company | 12/15/20 | (52,270 | ) | |||||||||||||
USD | 7,460,982 | GBP | 5,805,000 | State Street Bank and Trust Company | 12/16/20 | (33,030 | ) | |||||||||||||
USD | 10,521,290 | GBP | 8,043,000 | Citibank N.A. | 11/20/20 | 140,501 | ||||||||||||||
USD | 211,204 | GBP | 160,000 | Citibank N.A. | 03/01/21 | 4,555 | ||||||||||||||
USD | 199,743 | HKD | 1,549,000 | State Street Bank and Trust Company | 12/15/20 | (82 | ) | |||||||||||||
USD | 10,291,266 | IDR | 153,607,440,199 | JPMorgan Chase Bank, N.A. | 12/16/20 | 40,996 | ||||||||||||||
USD | 22,680,000 | INR | 1,686,598,200 | JPMorgan Chase Bank, N.A. | 01/06/21 | 39,064 | ||||||||||||||
USD | 660,253 | KRW | 782,400,000 | State Street Bank and Trust Company | 12/15/20 | (9,369 | ) | |||||||||||||
USD | 119,746 | MYR | 500,000 | State Street Bank and Trust Company | 12/15/20 | (333 | ) | |||||||||||||
USD | 358,113 | NOK | 3,230,000 | State Street Bank and Trust Company | 12/15/20 | 11,747 | ||||||||||||||
USD | 4,472,561 | RUB | 343,935,489 | Bank of America, N.A. | 12/16/20 | 76,503 | ||||||||||||||
USD | 18,333,015 | RUB | 1,409,900,484 | Morgan Stanley Capital Services, Inc. | 12/16/20 | 312,181 | ||||||||||||||
USD | 11,263,566 | RUB | 865,830,342 | JPMorgan Chase Bank, N.A. | 12/16/20 | 196,839 | ||||||||||||||
USD | 464,166 | SGD | 634,501 | State Street Bank and Trust Company | 12/15/20 | (726 | ) | |||||||||||||
USD | 2,641,310 | ZAR | 45,000,000 | State Street Bank and Trust Company | 12/15/20 | (22,171 | ) | |||||||||||||
|
| |||||||||||||||||||
Total Forward Foreign Currency Exchange Contracts Outstanding | $ | (967,246 | ) | |||||||||||||||||
|
|
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2020 (Unaudited)
Centrally Cleared Credit Default Swaps on Single-Name Issuer (Buy Protection) — Outstanding at September 30, 2020
Reference | Financing Fee | Payment Frequency | Maturity | Counterparty | Notional Amount | Market Value | Upfront Premium Paid (Received) | Unrealized Appreciation (Depreciation) | ||||||||||||||||||||
Penerbangan Malaysia Bhd | (1.00)% | 3M | 12/21/2024 | Credit Suisse Securities (USA) LLC | 8,627,000 USD | $ | (204,443 | ) | $ | (228,570 | ) | $ | 24,127 | |||||||||||||||
Republic Of Korea | (1.00)% | 3M | 6/21/2024 | Credit Suisse Securities (USA) LLC | 10,272,167 USD | (310,882 | ) | (345,038 | ) | 34,156 | ||||||||||||||||||
Republic Of Korea | (1.00)% | 3M | 12/21/2024 | Credit Suisse Securities (USA) LLC | 9,486,000 USD | (317,445 | ) | (310,262 | ) | (7,183 | ) | |||||||||||||||||
Republic Of South Africa | (1.00)% | 3M | 12/21/2024 | Credit Suisse Securities (USA) LLC | 16,612,000 USD | 1,245,691 | 11,997 | 1,233,694 | ||||||||||||||||||||
Republic Of Turkey | (1.00)% | 3M | 12/21/2022 | Credit Suisse Securities (USA) LLC | 2,816,000 USD | 238,450 | 87,706 | 150,744 | ||||||||||||||||||||
Republic Of Turkey | (1.00)% | 3M | 6/21/2025 | Credit Suisse Securities (USA) LLC | 291,000 USD | 50,802 | 66,010 | (15,208 | ) | |||||||||||||||||||
United Mexican States | (1.00)% | 3M | 12/21/2023 | Credit Suisse Securities (USA) LLC | 14,521,000 USD | (9,692 | ) | 22,185 | (31,877 | ) | ||||||||||||||||||
United Mexican States | (1.00)% | 3M | 6/21/2023 | Credit Suisse Securities (USA) LLC | 8,000,000 USD | (27,744 | ) | 906 | (28,650 | ) | ||||||||||||||||||
|
| |||||||||||||||||||||||||||
Total Centrally Cleared Credit Default Swaps on Single-Name Issuer (Buy Protection) |
| $ | 664,737 | $ | (695,066 | ) | $ | 1,359,803 | ||||||||||||||||||||
|
|
Centrally Cleared Credit Default Swaps on Index (Buy Protection) — Outstanding at September 30, 2020
Reference | Financing Fee | Payment Frequency | Maturity | Counterparty | Notional Amount | Market Value | Upfront Premium Paid (Received) | Unrealized Appreciation (Depreciation) | ||||||||||||||||||||
CDX.EM.31 | (1.00)% | 3M | 6/21/2024 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 5,640,000 USD | $ | 137,155 | $ | 592,200 | $ | (455,045 | ) | ||||||||||||||||
CDX.NA.HY.33 | (5.00)% | 3M | 12/21/2024 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 20,025,000 USD | (1,024,107 | ) | 1,270,586 | (2,294,693 | ) | ||||||||||||||||||
iTraxx Europe Crossover series 32 | (5.00)% | 3M | 12/21/2024 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 33,093,560 EUR | (2,498,033 | ) | 2,501,163 | (4,999,196 | ) | ||||||||||||||||||
|
| |||||||||||||||||||||||||||
Total Centrally Cleared Credit Default Swaps on Index (Buy Protection) |
| $ | (3,384,985 | ) | $ | 4,363,949 | $ | (7,748,934 | ) | |||||||||||||||||||
|
|
See Notes to Consolidated Financial Statements.
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Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2020 (Unaudited)
Centrally Cleared Credit Default Swaps on Index (Sell Protection) — Outstanding at September 30, 2020
Reference | Financing Fee | Payment Frequency | Maturity | Counterparty | Rating(1) | Notional Amount(2) | Market Value | Upfront Premium Paid (Received) | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
CDX.NA.HY.34 | 5.00% | 3M | 06/21/25 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | NR | 1,610,000 USD | $ | 78,565 | $ | 37,880 | $ | 40,685 | ||||||||||||||||||
CDX.NA.HY.35 | 0.000% | 3M | 12/23/25 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | NR | 10,914,000 USD | 450,958 | 451,476 | (518 | ) | ||||||||||||||||||||
CDX.NA.HY.35 | (1.00%) | 3M | 12/23/25 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | NR | 16,500,000 USD | (1,049,696 | ) | (1,056,000 | ) | 6,304 | |||||||||||||||||||
CDX.NA.HY.38 | 0.000% | 3M | 06/21/22 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | NR | 28,710,000 USD | 1,086,231 | 2,099,428 | (1,013,197 | ) | ||||||||||||||||||||
iTraxx Europe Crossover Series 29 | 5.00% | 3M | 06/21/23 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | NR | 39,836,000 EUR | 1,196,844 | 4,239,696 | (3,042,852 | ) | ||||||||||||||||||||
iTraxx Europe Crossover Series 31 | 5.00% | 3M | 06/21/24 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | NR | 8,256,000 EUR | 473,773 | 1,019,198 | (545,425 | ) | ||||||||||||||||||||
|
| |||||||||||||||||||||||||||||
Total Centrally Cleared Credit Default Swaps on Index (Sell Protection) |
| $ | 2,236,675 | $ | 6,791,678 | $ | (4,555,003 | ) | ||||||||||||||||||||||
|
|
OTC Credit Default Swaps on Single-Name Issues (Buy Protection) — Outstanding at September 30, 2020
Reference | Financing Fee | Payment Frequency | Maturity | Counterparty | Notional Amount | Market Value | Upfront Premium Paid (Received) | Unrealized Appreciation (Depreciation) | ||||||||||||||||||||
Republic Of South Africa | (1.00)% | 3M | 6/21/2022 | Morgan Stanley Capital Services LLC | 9,000,000 USD | $ | 159,278 | $ | 520,876 | $ | (361,598 | ) | ||||||||||||||||
Republic Of South Africa | (1.00)% | 3M | 6/21/2022 | Morgan Stanley Capital Services LLC | 300,000 USD | 5,309 | 17,362 | (12,053 | ) | |||||||||||||||||||
|
| |||||||||||||||||||||||||||
Total OTC Credit Default Swaps on Single-Name Issuer (Buy Protection) |
| $ | 164,587 | $ | 538,238 | $ | (373,651 | ) | ||||||||||||||||||||
|
|
See Notes to Consolidated Financial Statements.
147
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Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2020 (Unaudited)
OTC Credit Default Swaps on Index (Buy Protection) — Outstanding at September 30, 2020
Reference | Financing Fee | Payment Frequency | Maturity | Counterparty | Notional Amount | Market Value | Upfront Premium Paid (Received) | Unrealized Appreciation (Depreciation) | ||||||||||||||||||||
CMBX.NA.BBB-.10 | (3.00)% | 1M | 11/18/2059 | JPMorgan Chase Bank, N.A. | 7,363,000 USD | $ | 1,806,075 | $ | 71,578 | $ | 1,734,497 | |||||||||||||||||
CMBX.NA.BBB-.10 | (3.00)% | 1M | 11/18/2059 | Morgan Stanley Capital Services LLC | 1,102,000 USD | 270,310 | 374,805 | (104,495 | ) | |||||||||||||||||||
CMBX.NA.BBB-.10 | (3.00)% | 1M | 11/18/2059 | Morgan Stanley Capital Services LLC | 5,645,000 USD | 1,384,666 | 453,501 | 931,165 | ||||||||||||||||||||
CMBX.NA.BBB-.8 | (3.00)% | 1M | 10/18/2057 | Morgan Stanley Capital Services LLC | 69,000 USD | 19,435 | 14,170 | 5,265 | ||||||||||||||||||||
CMBX.NA.BBB-.9 | (3.00)% | 1M | 9/18/2058 | Credit Suisse International | 10,000 USD | 2,632 | 593 | 2,039 | ||||||||||||||||||||
CMBX.NA.BBB-.9 | (3.00)% | 1M | 9/18/2058 | Goldman Sachs International | 177,000 USD | 46,592 | 5,121 | 41,471 | ||||||||||||||||||||
|
| |||||||||||||||||||||||||||
Total OTC Credit Default Swaps on Index (Buy Protection) |
| $ | 3,529,710 | $ | 919,768 | $ | 2,609,942 | |||||||||||||||||||||
|
|
OTC Credit Default Swaps on Index (Sell Protection) — Outstanding at September 30, 2020
Reference | Financing Fee | Payment Frequency | Maturity | Counter- party | Rating(1) | Notional Amount(2) | Market Value | Upfront Premium Paid (Received) | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
CMBX.NA.AAA.12 | 0.50% | 1M | 08/18/61 | Morgan Stanley Capital Services LLC | AAA | 2,313,000 USD | $ | (7,098 | ) | $ | 5,001 | $ | (12,099 | ) | ||||||||||||||||
CMBX.NA.AAA.23 | 0.50% | 1M | 12/17/72 | Barclays Bank PLC | AAA | 4,269,000 USD | (50,128 | ) | (26,448 | ) | (23,680 | ) | ||||||||||||||||||
CMBX.NA.AAA.23 | 0.50% | 1M | 12/17/72 | JPMorgan Chase Bank, N.A. | AAA | 6,687,000 USD | (78,521 | ) | (57,674 | ) | (20,847 | ) |
See Notes to Consolidated Financial Statements.
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Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2020 (Unaudited)
Reference | Financing Fee | Payment Frequency | Maturity | Counter- party | Rating(1) | Notional Amount(2) | Market Value | Upfront Premium Paid (Received) | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
CMBX.NA.AAA.23 | 0.50% | 1M | 12/17/72 | Morgan Stanley Capital Services LLC | AAA | 12,326,000 USD | $ | (144,736 | ) | $ | (86,788 | ) | $ | (57,948 | ) | |||||||||||||||
CMBX.NA.BBB-.10 | 3.00% | 1M | 11/18/59 | Citigroup Global Markets, Inc. | BBB- | 3,084,000 USD | (756,476 | ) | (126,351 | ) | (630,125 | ) | ||||||||||||||||||
CMBX.NA.BBB-.10 | 3.00% | 1M | 11/18/59 | Goldman Sachs Bank USA | BBB- | 1,096,000 USD | (268,839 | ) | (30,005 | ) | (238,834 | ) | ||||||||||||||||||
CMBX.NA.BBB-.10 | 3.00% | 1M | 11/18/59 | Goldman Sachs International | BBB- | 18,066,000 USD | (4,431,420 | ) | (682,643 | ) | (3,748,777 | ) | ||||||||||||||||||
CMBX.NA.BBB-.10 | 3.00% | 1M | 11/18/59 | Goldman Sachs International | BBB- | 1,069,000 USD | (262,216 | ) | (52,498 | ) | (209,718 | ) | ||||||||||||||||||
CMBX.NA.BBB-.10 | 3.00% | 1M | 11/18/59 | JPMorgan Chase Bank, N.A. | BBB- | 183,000 USD | (44,888 | ) | (7,051 | ) | (37,837 | ) | ||||||||||||||||||
CMBX.NA.BBB-.11 | 3.00% | 1M | 11/19/54 | J.P. Morgan Securities LLC | BBB- | 7,500,000 USD | (1,697,573 | ) | (620,026 | ) | (1,077,547 | ) | ||||||||||||||||||
CMBX.NA.BBB-.11 | 3.00% | 1M | 11/19/54 | Citigroup Global Markets, Inc. | BBB- | 187,000 USD | (42,326 | ) | (8,186 | ) | (34,140 | ) | ||||||||||||||||||
CMBX.NA.BBB-.11 | 3.00% | 1M | 11/19/54 | JPMorgan Chase Bank, N.A. | BBB- | 3,312,000 USD | (749,649 | ) | (214,763 | ) | (534,886 | ) | ||||||||||||||||||
CMBX.NA.BBB-.8 | 3.00% | 1M | 10/18/57 | Credit Suisse International | BBB- | 2,763,000 USD | (778,264 | ) | (346,476 | ) | (431,788 | ) | ||||||||||||||||||
CMBX.NA.BBB-.8 | 3.00% | 1M | 10/18/57 | Citigroup Global Markets, Inc. | BBB- | 1,022,000 USD | (287,870 | ) | (53,689 | ) | (234,181 | ) | ||||||||||||||||||
CMBX.NA.BBB-.8 | 3.00% | 1M | 10/18/57 | Credit Suisse International | BBB- | 286,000 USD | (80,559 | ) | (20,492 | ) | (60,067 | ) | ||||||||||||||||||
CMBX.NA.BBB-.8 | 3.00% | 1M | 10/18/57 | Goldman Sachs International | BBB- | 1,294,000 USD | (364,486 | ) | (72,380 | ) | (292,106 | ) | ||||||||||||||||||
CMBX.NA.BBB-.8 | 3.00% | 1M | 10/18/57 | Goldman Sachs International | BBB- | 232,000 USD | (65,348 | ) | (5,855 | ) | (59,493 | ) |
See Notes to Consolidated Financial Statements.
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Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2020 (Unaudited)
Reference | Financing Fee | Payment Frequency | Maturity | Counter- party | Rating(1) | Notional Amount(2) | Market Value | Upfront Premium Paid (Received) | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
CMBX.NA.BBB-.8 | 3.00% | 1M | 10/18/57 | JPMorgan Chase Bank, N.A. | BBB- | 2,160,000 USD | $ | (608,415 | ) | $ | (114,150 | ) | $ | (494,265 | ) | |||||||||||||||
CMBX.NA.BBB-.8 | 3.00% | 1M | 10/18/57 | JPMorgan Chase Bank, N.A. | BBB- | 1,025,000 USD | (288,715 | ) | (60,824 | ) | (227,891 | ) | ||||||||||||||||||
CMBX.NA.BBB-.9 | 3.00% | 1M | 09/18/58 | JPMorgan Chase Bank, N.A. | BBB- | 187,000 USD | (49,224 | ) | (962 | ) | (48,262 | ) | ||||||||||||||||||
|
| |||||||||||||||||||||||||||||
Total OTC Credit Default Swaps on Index (Sell Protection) |
| $ | (11,056,751 | ) | $ | (2,582,260 | ) | $ | (8,474,491 | ) | ||||||||||||||||||||
|
|
(1) | Using the higher of the S&P’s or Moody’s ratings. NR represents a security that is not rated. |
(2) | The maximum potential amount the Fund may pay should a negative credit event take place as defined under the terms of the agreement. |
OTC Total Return Swaps Outstanding at September 30, 2020
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | ||||||||||||||||
Buys | ||||||||||||||||||||||
Acacia | 03/04/22 | M | 0.44% | Morgan Stanley Capital Services LLC | 7,198,529 USD | $ | (42,469 | ) | ||||||||||||||
Acacia | 07/13/21 | M | 0.65% | JPMorgan Chase Bank, N.A. | 12,953,800 USD | (76,424 | ) | |||||||||||||||
Advanced Disposal Services, Inc. | 03/04/22 | M | 0.44% | Morgan Stanley Capital Services LLC | 6,034,875 USD | — | ||||||||||||||||
Advanced Disposal Services, Inc. | 04/19/21 | M | 0.40% | Goldman Sachs International | 10,271,156 USD | — | ||||||||||||||||
Aimmune Therapeutics, Inc. | 09/02/22 | M | 0.40% | Goldman Sachs International | 12,369,203 USD | 46,853 | ||||||||||||||||
American Express Co. | 03/21/22 | M | 0.40% | Goldman Sachs International | 11,781,087 USD | 249,615 | ||||||||||||||||
Bankia S.A | 09/21/22 | M | 0.02% | JPMorgan Chase Bank, N.A. | 435,564 EUR | (14,151 | ) | |||||||||||||||
BMC Stock Holdings, Inc. | 08/31/22 | M | 0.40% | Goldman Sachs International | 13,708,789 USD | 1,254,686 | ||||||||||||||||
Cineplex, Inc. | 03/07/22 | M | 1.03% | JPMorgan Chase Bank, N.A. | 444,336 CAD | (20,829 | ) | |||||||||||||||
Cineplex, Inc. | 12/20/21 | M | 0.73% | Goldman Sachs International | 1,704,673 CAD | (79,910 | ) | |||||||||||||||
Colony Capital, Inc. | 03/23/22 | M | 0.40% | Goldman Sachs International | 7,684,922 USD | 843,467 | ||||||||||||||||
Crown Castle International Corp. | 08/05/22 | M | 0.54% | Goldman Sachs International | 12,274,853 USD | 694,997 | ||||||||||||||||
CSI 500 NTR swap | 12/23/20 | M | 14.03% | Goldman Sachs International | 136,560 USD | (5,456,193 | ) |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2020 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | ||||||||||||||||
Delphi Technologies PLC | 03/04/22 | M | 0.44% | Morgan Stanley Capital Services LLC | 7,941,518 USD | $ | 336,883 | |||||||||||||||
E*Trade Financial Corp | 04/06/22 | M | 0.40% | Goldman Sachs International | 30,989,091 USD | 18,586 | ||||||||||||||||
Egypt Government Bond | 01/14/25 | 3M | 0.00% | Goldman Sachs International | 10,248,119 USD | 38,477 | ||||||||||||||||
Egypt Government Bond | 01/14/25 | 3M | 0.00% | Citigroup Global Markets Inc. | 1,534,176 USD | 59,137 | ||||||||||||||||
Egypt Treasury Bill | 10/15/20 | 3M | 0.00% | Goldman Sachs International | 27,771,886 USD | 1,091,515 | ||||||||||||||||
Fidelity National Information Services | 03/21/22 | M | 0.40% | Goldman Sachs International | 31,640,762 USD | 700,833 | ||||||||||||||||
First Midwest Bancorp, Inc. | 03/23/22 | M | 0.40% | Goldman Sachs International | 10,732,444 USD | (448,378 | ) | |||||||||||||||
Fitbit, Inc. | 03/04/22 | M | 0.44% | Morgan Stanley Capital Services LLC | 2,118,330 USD | 218,212 | ||||||||||||||||
Fitbit, Inc. | 11/03/21 | M | 0.40% | Goldman Sachs International | 10,096,347 USD | 1,040,036 | ||||||||||||||||
GCI Liberty, Inc. | 08/10/22 | M | 0.40% | Goldman Sachs International | 5,659,385 USD | 87,650 | ||||||||||||||||
Georgian Government Bonds | 09/22/21 | M | 0.00% | Credit Suisse Securities (USA) LLC | 25,449,512 USD | (62,333 | ) | |||||||||||||||
Grubhub, Inc. | 06/15/22 | M | 0.40% | Goldman Sachs International | 18,109,367 USD | 541,502 | ||||||||||||||||
Hastings Group Holdings PLC | 03/04/22 | M | 0.45% | Morgan Stanley Capital Services LLC | 4,564,482 GBP | (4,663 | ) | |||||||||||||||
Immunomedics, Inc. | 09/16/22 | M | 0.65% | JPMorgan Chase Bank, N.A. | 7,474,485 USD | (33,255 | ) | |||||||||||||||
Immunomedics, Inc. | 09/19/22 | M | 0.40% | Goldman Sachs International | 8,527,420 USD | (37,940 | ) | |||||||||||||||
Indonesian Government Bond | 05/18/21 | 3M | 0.00% | Bank of America, N.A. | 7,344,615 USD | 390,136 | ||||||||||||||||
Indonesian Government Bond | 05/21/21 | 3M | 0.00% | Bank of America, N.A. | 2,943,894 USD | 271,701 | ||||||||||||||||
Ingenico Group | 02/07/22 | M | 0.03% | JPMorgan Chase Bank, N.A. | 27,181,000 EUR | (1,752,760 | ) | |||||||||||||||
JP Morgan Chase & Co. | 03/21/22 | M | 0.40% | Goldman Sachs International | 6,667,506 USD | 67,158 | ||||||||||||||||
Livongo Health, Inc. | 08/09/22 | M | 0.65% | JPMorgan Chase Bank, N.A. | 27,599,211 USD | 2,017,443 | ||||||||||||||||
Mastercard, Inc. | 03/21/22 | M | 0.40% | Goldman Sachs International | 9,673,542 USD | 304,502 | ||||||||||||||||
Maxim Integrated Products | 07/15/22 | M | 0.40% | Goldman Sachs International | 29,136,513 USD | 1,100,166 | ||||||||||||||||
Momenta Pharmaceuticals, Inc. | 08/23/22 | M | 0.40% | Goldman Sachs International | 19,201,827 USD | 40,332 | ||||||||||||||||
MS Index Swap | 08/16/21 | M | 0.00% | Morgan Stanley Capital Services LLC | 1,700,000 USD | (2,707,694 | ) | |||||||||||||||
MS Index Swap | 08/16/21 | M | 0.00% | Morgan Stanley Capital Services LLC | 391,170 USD | 801,239 | ||||||||||||||||
Netent AB | 06/29/22 | M | 0.34% | Goldman Sachs International | 142,700,911 SEK | 763,950 | ||||||||||||||||
PNC Financial Services Group | 03/22/22 | M | 0.40% | Goldman Sachs International | 28,957,209 USD | 284,677 |
See Notes to Consolidated Financial Statements.
151
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Consolidated Schedule of Investments (Continued)
September 30, 2020 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | ||||||||||||||||
Repsol S.A | 05/25/22 | M | 0.17% | Morgan Stanley Capital Services LLC | 150,966 EUR | $ | (11,294 | ) | ||||||||||||||
SDL PLC | 09/01/22 | M | 0.60% | JPMorgan Chase Bank, N.A. | 568,329 GBP | (32,262 | ) | |||||||||||||||
Signature Bank | 03/23/22 | M | 0.40% | Goldman Sachs International | 16,155,810 USD | (383,893 | ) | |||||||||||||||
Sunrise Communications Group | 08/16/22 | M | 0.40% | Goldman Sachs International | 26,827,795 CHF | 53,543 | ||||||||||||||||
TD Ameritrade Holding Corp. | 11/30/21 | M | 0.40% | Goldman Sachs International | 24,275,157 USD | 642,840 | ||||||||||||||||
The Government of the Common Wealth of Bahamas | 08/20/21 | M | 0.00% | Credit Suisse Securities (USA) LLC | 23,588,600 USD | — | ||||||||||||||||
The Government of the Common Wealth of Bahamas | 08/20/21 | M | 0.00% | Credit Suisse Securities (USA) LLC | 28,420,000 USD | 1,452,969 | ||||||||||||||||
Tiffany & Co. | 11/30/21 | M | 0.40% | Goldman Sachs International | 15,111,865 USD | 83,948 | ||||||||||||||||
Umpqua Holdings Corp. | 03/23/22 | M | 0.40% | Goldman Sachs International | 10,802,699 USD | 10,182 | ||||||||||||||||
Unilever NV | 06/15/22 | M | 0.13% | Goldman Sachs International | 17,867,790 EUR | 697,742 | ||||||||||||||||
Valley National Bancorp | 03/23/22 | M | 0.40% | Goldman Sachs International | 5,851,174 USD | 51,704 | ||||||||||||||||
Varian Medical Systems, Inc. | 08/05/22 | M | 0.65% | JPMorgan Chase Bank, N.A. | 15,490,978 USD | (66,362 | ) | |||||||||||||||
Varian Medical Systems, Inc. | 08/08/22 | M | 0.40% | Goldman Sachs International | 15,580,112 USD | (66,744 | ) | |||||||||||||||
Veritex Holdings, Inc. | 03/23/22 | M | 0.40% | Goldman Sachs International | 10,608,063 USD | 804,149 | ||||||||||||||||
Visa, Inc. | 03/21/22 | M | 0.40% | Goldman Sachs International | 1,585,326 USD | 20,233 | ||||||||||||||||
Western Alliance Bancorp | 03/23/22 | M | 0.40% | Goldman Sachs International | 7,735,405 USD | (172,217 | ) | |||||||||||||||
Willis Towers Watson PLC | 03/04/22 | M | 0.44% | Morgan Stanley Capital Services LLC | 15,189,750 USD | 471,750 | ||||||||||||||||
Willis Towers Watson PLC | 03/11/22 | M | 0.65% | JPMorgan Chase Bank, N.A. | 15,363,926 USD | 477,159 | ||||||||||||||||
Wright Medical Group NV | 11/08/21 | M | 0.40% | Goldman Sachs International | 25,955,922 USD | (8,496 | ) | |||||||||||||||
WSFS Financial Corp. | 03/23/22 | M | 0.40% | Goldman Sachs International | 10,279,881 USD | 495,416 | ||||||||||||||||
|
| |||||||||||||||||||||
Total Buys | $ | 7,047,121 | ||||||||||||||||||||
|
| |||||||||||||||||||||
Sells | ||||||||||||||||||||||
American Equity Investment Life Holdings | 03/29/22 | M | 0.16% | Goldman Sachs International | 4,520,755 USD | $ | (398,166 | ) | ||||||||||||||
Analog Devices, Inc. | 07/15/22 | M | 0.31% | Goldman Sachs International | 30,592,939 USD | (754,552 | ) | |||||||||||||||
AON PLC | 03/04/22 | M | 0.16% | Morgan Stanley Capital Services LLC | 15,562,699 USD | (554,695 | ) | |||||||||||||||
AON PLC | 04/05/22 | M | 0.22% | JPMorgan Chase Bank, N.A. | 15,739,788 USD | (561,006 | ) | |||||||||||||||
BancorpSouth Bank | 07/23/21 | M | 0.31% | Morgan Stanley Capital Services LLC | 809,335 USD | (6,737 | ) |
See Notes to Consolidated Financial Statements.
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September 30, 2020 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | ||||||||||||||||
BancorpSouth Bank | 09/23/22 | M | 0.16% | Goldman Sachs International | 5,299,031 USD | $ | (44,113 | ) | ||||||||||||||
Bank Of Hawaii Corp. | 07/13/22 | M | 0.16% | Goldman Sachs International | 2,171,390 USD | (57,351 | ) | |||||||||||||||
Borgwarner, Inc. | 03/04/22 | M | 0.16% | Morgan Stanley Capital Services LLC | 7,770,506 USD | (276,257 | ) | |||||||||||||||
Builders Firstsource, Inc. | 08/31/22 | M | 0.31% | Goldman Sachs International | 13,742,782 USD | (1,162,993 | ) | |||||||||||||||
Caixabank S.A | 09/21/22 | M | 0.77% | JPMorgan Chase Bank, N.A. | 436,428 EUR | 18,162 | ||||||||||||||||
Capitol Federal Financial, Inc. | 09/23/22 | M | 0.16% | Goldman Sachs International | 4,981,260 USD | (158,091 | ) | |||||||||||||||
Cathay General Bancorp | 07/23/21 | M | 0.31% | Morgan Stanley Capital Services LLC | 10,693,231 USD | (94,542 | ) | |||||||||||||||
Charles Schwab Corp. | 11/30/21 | M | 0.31% | Goldman Sachs International | 23,493,345 USD | (660,000 | ) | |||||||||||||||
EVERTEC, Inc. | 06/30/21 | M | 0.16% | Goldman Sachs International | 6,376,634 USD | (169,742 | ) | |||||||||||||||
Evolution Gaming Group | 06/29/22 | M | 0.56% | Goldman Sachs International | 144,314,315 SEK | (648,166 | ) | |||||||||||||||
Financial Select Sector SPDR Fund | 07/23/21 | M | 0.31% | Morgan Stanley Capital Services LLC | 1,037,246 USD | (6,068 | ) | |||||||||||||||
Financial Select Sector SPDR Fund | 03/21/22 | M | 0.10% | Goldman Sachs International | 46,057,545 USD | (305,295 | ) | |||||||||||||||
First Commonwealth Financial Corp. | 07/23/21 | M | 0.31% | Morgan Stanley Capital Services LLC | 24,221 USD | (1,460 | ) | |||||||||||||||
First Commonwealth Financial Corp. | 10/14/20 | M | 0.16% | Goldman Sachs International | 1,641,361 USD | (98,931 | ) | |||||||||||||||
First Hawaiian, Inc. | 03/09/22 | M | 0.16% | Goldman Sachs International | 11,378,950 USD | 453,044 | ||||||||||||||||
First Interstate BancSystem, Inc. | 07/23/21 | M | 0.31% | Morgan Stanley Capital Services LLC | 890,454 USD | (28,864 | ) | |||||||||||||||
First Interstate BancSystem, Inc. | 09/23/22 | M | 0.16% | Goldman Sachs International | 1,826,505 USD | (59,206 | ) | |||||||||||||||
Genworth Financial, Inc. | 07/07/21 | M | 0.16% | Morgan Stanley Capital Services LLC | 116,576 USD | (6,232 | ) | |||||||||||||||
Huntington Bancshares, Inc. | 09/14/22 | M | 0.16% | Goldman Sachs International | 3,274,013 USD | (3,574 | ) | |||||||||||||||
Invesco Ltd. | 07/27/22 | M | 0.16% | Goldman Sachs International | 1,099,478 USD | (128,021 | ) | |||||||||||||||
Ishares China Large Cap ETF | 07/13/22 | M | 2.51% | Morgan Stanley Capital Services LLC | 2,023,434 USD | 20,034 | ||||||||||||||||
Janus Henderson Group PLC | 09/09/21 | M | 0.16% | Goldman Sachs International | 14,727,082 USD | (1,985,155 | ) | |||||||||||||||
Just Eat Takeaway | 06/15/22 | M | 0.97% | Goldman Sachs International | 15,581,444 EUR | (570,521 | ) | |||||||||||||||
Keycorp. | 06/15/22 | M | 0.16% | Goldman Sachs International | 12,581,453 USD | 125,293 | ||||||||||||||||
Lazard Ltd. | 06/28/21 | M | 0.16% | Goldman Sachs International | 8,575,060 USD | (115,702 | ) | |||||||||||||||
Liberty Broadband | 08/10/22 | M | 0.31% | Goldman Sachs International | 5,621,025 USD | (90,346 | ) | |||||||||||||||
Moelis & Co. | 07/18/22 | M | 0.16% | Goldman Sachs International | 8,673,706 USD | (627,290 | ) | |||||||||||||||
Morgan Stanley | 04/06/22 | M | 0.31% | Goldman Sachs International | 30,451,953 USD | 6,297 | ||||||||||||||||
National Bank Holding Corp. | 07/23/21 | M | 0.31% | Morgan Stanley Capital Services LLC | 4,372,876 USD | (142,781 | ) |
See Notes to Consolidated Financial Statements.
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September 30, 2020 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | ||||||||||||||||
NewStar Financial, Inc. | 07/07/21 | M | 0.09% | Morgan Stanley Capital Services LLC | — USD | $ | — | |||||||||||||||
Northwest Bancshares, Inc. | 07/23/21 | M | 0.31% | Morgan Stanley Capital Services LLC | 316,311 USD | 5,075 | ||||||||||||||||
Northwest Bancshares, Inc. | 12/16/20 | M | 0.16% | Goldman Sachs International | 1,116,783 USD | 17,916 | ||||||||||||||||
People’s United Financial, Inc. | 07/23/21 | M | 0.31% | Morgan Stanley Capital Services LLC | 5,964,929 USD | (64,328 | ) | |||||||||||||||
Piper Jaffray | 08/19/22 | M | 0.16% | Goldman Sachs International | 1,281,632 USD | (87,994 | ) | |||||||||||||||
Preferred Bank | 07/23/21 | M | 0.31% | Morgan Stanley Capital Services LLC | 7,135,437 USD | 41,960 | ||||||||||||||||
Prosperity Bancshares, Inc. | 03/16/22 | M | 0.16% | Goldman Sachs International | 10,977,855 USD | (304,759 | ) | |||||||||||||||
RWS Holdings PLC | 09/01/22 | M | 1.14% | JPMorgan Chase Bank, N.A. | 567,556 GBP | 30,294 | ||||||||||||||||
Sandy Spring Bancorp, Inc. | 07/23/21 | M | 0.31% | Morgan Stanley Capital Services LLC | 1,946,341 USD | (56,403 | ) | |||||||||||||||
Simmons First National Corp. | 01/20/21 | M | 0.16% | Goldman Sachs International | 6,485,228 USD | (206,818 | ) | |||||||||||||||
SPDR S&P 500 ETF Trust | 06/14/22 | M | 0.10% | Goldman Sachs International | 55,302,783 USD | (1,348,549 | ) | |||||||||||||||
SPDR S&P Regional Banking ETF | 07/23/21 | M | 1.16% | Morgan Stanley Capital Services LLC | 23,553,222 USD | (126,095 | ) | |||||||||||||||
SPDR S&P Regional Banking ETF | 02/08/21 | M | 0.54% | Goldman Sachs International | 3,768,222 USD | (20,174 | ) | |||||||||||||||
SVB Financial Group | 03/25/22 | M | 0.16% | Goldman Sachs International | 4,357,833 USD | (50,566 | ) | |||||||||||||||
Synchrony Financial | 06/03/21 | M | 0.16% | Goldman Sachs International | 8,111,673 USD | (84,562 | ) | |||||||||||||||
T Rowe Price Group, Inc. | 03/11/22 | M | 0.16% | Goldman Sachs International | 9,250,718 USD | (258,077 | ) | |||||||||||||||
Teladoc Health, Inc. | 08/09/22 | M | 0.22% | JPMorgan Chase Bank, N.A. | 24,944,609 USD | (2,040,766 | ) | |||||||||||||||
Unilever PLC | 06/15/22 | M | 0.45% | Goldman Sachs International | 16,390,105 GBP | (526,455 | ) | |||||||||||||||
US Bancorp. | 03/09/22 | M | 0.16% | Goldman Sachs International | 7,851,240 USD | 67,309 | ||||||||||||||||
Vornado Realty Trust | 04/29/22 | M | 0.16% | Goldman Sachs International | 8,492,851 USD | (96,828 | ) | |||||||||||||||
Waddell & Reed Financial, Class A | 07/23/21 | M | 0.31% | Morgan Stanley Capital Services LLC | 7,301,560 USD | (49,502 | ) | |||||||||||||||
Washington Federal, Inc. | 07/23/21 | M | 0.31% | Morgan Stanley Capital Services LLC | 7,458,482 USD | 7,144 | ||||||||||||||||
Worldline S.A | 02/07/22 | M | 0.77% | JPMorgan Chase Bank, N.A. | 22,817,130 EUR | 1,800,543 | ||||||||||||||||
Worldline S.A | 02/07/22 | M | 0.97% | Goldman Sachs International | 68,263 EUR | 5,387 | ||||||||||||||||
|
| |||||||||||||||||||||
Total Sells | $ | (12,439,275 | ) | |||||||||||||||||||
|
| |||||||||||||||||||||
Total OTC Total Return Swaps Outstanding | $ | (5,392,154 | ) | |||||||||||||||||||
|
|
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2020 (Unaudited)
Centrally Cleared Interest Rate Swaps Outstanding at September 30, 2020
The | Floating Rate Index | Fixed Rate | Pay/ | Maturity Date | Counterparty | Notional Amount | Market Value | Upfront Premium Paid (Received) | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Pays | 3-Month EUR LIBOR | 0.04 | % | 3M/6M | 05/6/2030 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 10,200,000 EUR | $ | 124,954 | $ | — | $ | 124,954 | |||||||||||||||||
Pays | 3-Month USD LIBOR | 0.23 | % | 3M/6M | 12/14/2022 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 4,700,000 USD | 1,531 | — | 1,531 | ||||||||||||||||||||
Pays | 3-Month USD LIBOR | 0.27 | % | 3M/6M | 08/3/2022 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 114,616,000 USD | 125,446 | — | 125,446 | ||||||||||||||||||||
Pays | 3-Month USD LIBOR | 0.31 | % | 3M/6M | 07/24/2022 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 33,588,605 USD | 61,051 | — | 61,051 | ||||||||||||||||||||
Pays | 3-Month USD LIBOR | 0.31 | % | 3M/6M | 07/29/2022 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 9,141,220 USD | 16,818 | — | 16,818 | ||||||||||||||||||||
Pays | 3-Month USD LIBOR | 0.33 | % | 3M/6M | 07/16/2022 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 82,371,000 USD | 176,296 | — | 176,296 | ||||||||||||||||||||
Pays | 3-Month USD LIBOR | 0.36 | % | 3M/6M | 06/30/2022 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 18,347,000 USD | 49,620 | — | 49,620 | ||||||||||||||||||||
Pays | 3-Month USD LIBOR | 0.37 | % | 3M/6M | 10/5/2025 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 1,600,000 USD | 1,558 | — | 1,558 | ||||||||||||||||||||
Pays | 3-Month USD LIBOR | 0.41 | % | 3M/6M | 06/29/2022 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 84,970,800 USD | 301,904 | — | 301,904 | ||||||||||||||||||||
Pays | 3-Month USD LIBOR | 0.44 | % | 3M/6M | 07/24/2025 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 6,032,440 USD | 30,832 | — | 30,832 | ||||||||||||||||||||
Pays | 3-Month USD LIBOR | 0.46 | % | 3M/6M | 07/29/2025 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 2,362,800 USD | 13,607 | — | 13,607 | ||||||||||||||||||||
Pays | 3-Month USD LIBOR | 0.50 | % | 3M/6M | 06/30/2025 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 1,932,800 USD | 15,148 | — | 15,148 | ||||||||||||||||||||
Pays | 3-Month USD LIBOR | 0.57 | % | 3M/6M | 06/29/2025 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 22,060,000 USD | 256,163 | — | 256,163 | ||||||||||||||||||||
Pays | 3-Month USD LIBOR | 0.69 | % | 3M/6M | 10/5/2030 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 6,300,000 USD | (13,495 | ) | — | (13,495 | ) | ||||||||||||||||||
Pays | 3-Month USD LIBOR | 0.78 | % | 3M/6M | 06/8/2025 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 35,000,000 USD | 746,166 | — | 746,166 |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2020 (Unaudited)
The | Floating Rate Index | Fixed Rate | Pay/ | Maturity Date | Counterparty | Notional Amount | Market Value | Upfront Premium Paid (Received) | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Pays | 3-Month USD LIBOR | 0.79 | % | 3M/6M | 05/6/2030 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 1,000,000 USD | $ | (11,102 | ) | $ | — | $ | (11,102 | ) | |||||||||||||||
Pays | 3-Month USD LIBOR | 0.80 | % | 3M/6M | 05/6/2030 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 1,000,000 USD | (10,907 | ) | — | (10,907 | ) | ||||||||||||||||||
Pays | 3-Month USD LIBOR | 0.82 | % | 3M/6M | 05/6/2030 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 1,000,000 USD | (9,833 | ) | — | (9,833 | ) | ||||||||||||||||||
Pays | 3-Month USD LIBOR | 0.84 | % | 3M/6M | 05/6/2030 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 1,000,000 USD | (8,906 | ) | — | (8,906 | ) | ||||||||||||||||||
Pays | 3-Month USD LIBOR | 0.88 | % | 3M/6M | 03/10/2035 | Morgan Stanley Capital Services LLC | 700,000 USD | (2,977 | ) | — | (2,977 | ) | ||||||||||||||||||
Pays | 3-Month USD LIBOR | 0.97 | % | 3M/6M | 05/6/2030 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 600,000 USD | (1,289 | ) | — | (1,289 | ) | ||||||||||||||||||
Pays | 3-Month USD LIBOR | 0.98 | % | 3M/6M | 03/25/2030 | Morgan Stanley Capital Services LLC | 3,000,000 USD | (3,617 | ) | — | (3,617 | ) | ||||||||||||||||||
Pays | 3-Month USD LIBOR | 0.99 | % | 3M/6M | 05/6/2030 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 1,000,000 USD | (1,563 | ) | — | (1,563 | ) | ||||||||||||||||||
Pays | 3-Month USD LIBOR | 0.99 | % | 3M/6M | 06/8/2033 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 500,000 USD | (1,531 | ) | — | (1,531 | ) | ||||||||||||||||||
Pays | 3-Month USD LIBOR | 0.99 | % | 3M/6M | 06/26/2033 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 500,000 USD | (1,787 | ) | — | (1,787 | ) | ||||||||||||||||||
Pays | 3-Month USD LIBOR | 0.99 | % | 3M/6M | 06/8/2030 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 25,000,000 USD | 720,631 | — | 720,631 | ||||||||||||||||||||
Pays | 3-Month USD LIBOR | 1.26 | % | 3M/6M | 09/25/2026 | Morgan Stanley Capital Services LLC | 2,235,000 USD | 111,679 | — | 111,679 | ||||||||||||||||||||
Pays | 3-Month USD LIBOR | 1.44 | % | 3M/6M | 09/25/2026 | Morgan Stanley Capital Services LLC | 2,408,000 USD | 146,173 | 583 | 145,590 | ||||||||||||||||||||
Pays | 3-Month USD LIBOR | 1.46 | % | 3M/6M | 05/11/2025 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 20,809,000 USD | 1,091,193 | — | 1,091,193 | ||||||||||||||||||||
Pays | 3-Month USD LIBOR | 1.64 | % | 3M/6M | 11/25/2026 | Morgan Stanley Capital Services LLC | 2,047,000 USD | 151,355 | — | 151,355 | ||||||||||||||||||||
Pays | 3-Month USD LIBOR | 1.66 | % | 3M/6M | 02/27/2030 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 3,221,000 USD | 297,752 | — | 297,752 |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2020 (Unaudited)
The | Floating Rate Index | Fixed Rate | Pay/ | Maturity Date | Counterparty | Notional Amount | Market Value | Upfront Premium Paid (Received) | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Pays | 3-Month USD LIBOR | 1.67 | % | 3M/6M | 02/25/2030 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 10,246,000 USD | $ | 954,564 | $ | — | $ | 954,564 | |||||||||||||||||
Pays | 3-Month USD LIBOR | 1.80 | % | 3M/6M | 07/25/2026 | Morgan Stanley Capital Services LLC | 3,312,000 USD | 267,544 | (13 | ) | 267,557 | |||||||||||||||||||
Pays | 3-Month USD LIBOR | 1.80 | % | 3M/6M | 06/25/2026 | Morgan Stanley Capital Services LLC | 3,479,000 USD | 278,553 | 2,244 | 276,309 | ||||||||||||||||||||
Pays | 3-Month USD LIBOR | 1.93 | % | 3M/6M | 07/15/2027 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 50,000,000 USD | 4,902,825 | — | 4,902,825 | ||||||||||||||||||||
Pays | 3-Month USD LIBOR | 1.99 | % | 3M/6M | 06/26/2024 | Morgan Stanley & Co. LLC | 2,320,000 USD | 148,382 | (11,818 | ) | 160,200 | |||||||||||||||||||
Pays | 3-Month USD LIBOR | 1.99 | % | 3M/6M | 05/25/2024 | Morgan Stanley & Co. LLC | 2,597,000 USD | 163,314 | (12,569 | ) | 175,883 | |||||||||||||||||||
Pays | 3-Month USD LIBOR | 2.02 | % | 3M/6M | 06/4/2027 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 15,000,000 USD | 1,545,782 | — | 1,545,782 | ||||||||||||||||||||
Pays | 3-Month USD LIBOR | 2.03 | % | 3M/6M | 05/25/2024 | Morgan Stanley Capital Services LLC | 2,089,000 USD | 134,326 | (7,422 | ) | 141,748 | |||||||||||||||||||
Pays | 3-Month USD LIBOR | 2.17 | % | 3M/6M | 05/20/2025 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 40,000,000 USD | 3,424,714 | — | 3,424,714 | ||||||||||||||||||||
Pays | 3-Month USD LIBOR | 2.20 | % | 3M/6M | 11/27/2024 | Morgan Stanley & Co. LLC | 2,257,000 USD | 177,854 | (11,404 | ) | 189,258 | |||||||||||||||||||
Pays | 3-Month USD LIBOR | 2.24 | % | 3M/6M | 11/27/2024 | Morgan Stanley & Co. LLC | 2,580,000 USD | 207,428 | 2,511 | 204,917 | ||||||||||||||||||||
Pays | 3-Month USD LIBOR | 2.28 | % | 3M/6M | 12/27/2024 | Morgan Stanley & Co. LLC | 3,310,000 USD | 277,632 | (1,411 | ) | 279,043 | |||||||||||||||||||
Pays | 3-Month USD LIBOR | 2.40 | % | 3M/6M | 05/27/2026 | Morgan Stanley Capital Services LLC | 2,366,000 USD | 267,097 | — | 267,097 | ||||||||||||||||||||
Pays | 3-Month USD LIBOR | 2.41 | % | 3M/6M | 04/25/2026 | Morgan Stanley Capital Services LLC | 3,899,000 USD | 437,490 | (26,506 | ) | 463,996 | |||||||||||||||||||
Pays | 3-Month USD LIBOR | 2.58 | % | 3M/6M | 02/25/2026 | Morgan Stanley & Co. LLC | 2,348,000 USD | 277,977 | — | 277,977 |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2020 (Unaudited)
The | Floating Rate Index | Fixed Rate | Pay/ | Maturity Date | Counterparty | Notional Amount | Market Value | Upfront Premium Paid (Received) | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Pays | 3-Month USD LIBOR | 2.62 | % | 3M/6M | 02/25/2026 | Morgan Stanley Capital Services LLC | 3,187,500 USD | $ | 385,394 | $ | (21,811 | ) | $ | 407,205 | ||||||||||||||||
Pays | 3-Month USD LIBOR | 2.66 | % | 3M/6M | 01/25/2026 | Morgan Stanley Capital Services LLC | 1,905,000 USD | 231,455 | 411 | 231,044 | ||||||||||||||||||||
Pays | 3-Month USD LIBOR | 2.83 | % | 3M/6M | 02/26/2025 | Morgan Stanley & Co. LLC | 1,528,000 USD | 168,881 | (1,314 | ) | 170,195 | |||||||||||||||||||
Pays | 3-Month USD LIBOR | 2.87 | % | 3M/6M | 04/25/2025 | Morgan Stanley & Co. LLC | 2,883,000 USD | 334,766 | — | 334,766 | ||||||||||||||||||||
Pays | 3-Month USD LIBOR | 2.92 | % | 3M/6M | 08/28/2025 | Morgan Stanley & Co. LLC | 3,185,000 USD | 401,736 | — | 401,736 | ||||||||||||||||||||
Pays | 3-Month USD LIBOR | 3.00 | % | 3M/6M | 06/25/2025 | Morgan Stanley & Co. LLC | 2,272,000 USD | 286,253 | — | 286,253 | ||||||||||||||||||||
Pays | 1T BRL CDI | 4.08 | % | 1T/1T | 01/2/2023 | Credit Suisse Securities (USA) LLC | 39,053,815 BRL | (41,171 | ) | — | (41,171 | ) | ||||||||||||||||||
Pays | 1T BRL CDI | 4.13 | % | 1T/1T | 01/2/2023 | Credit Suisse Securities (USA) LLC | 42,541,099 BRL | (19,452 | ) | — | (19,452 | ) | ||||||||||||||||||
Pays | 28-Days MXN TIIE | 4.48 | % | 28D/28D | 12/14/2022 | Credit Suisse Securities (USA) LLC | 160,822,038 MXN | (8,444 | ) | — | (8,444 | ) | ||||||||||||||||||
Pays | 1T BRL CDI | 4.54 | % | 1T/1T | 01/2/2023 | Credit Suisse Securities (USA) LLC | 32,961,712 BRL | 11,079 | — | 11,079 | ||||||||||||||||||||
Pays | 28-Days MXN TIIE | 5.07 | % | 28D/28D | 12/10/2025 | Credit Suisse Securities (USA) LLC | 143,672,947 MXN | (22,828 | ) | — | (22,828 | ) | ||||||||||||||||||
Pays | 28-Days MXN TIIE | 5.58 | % | 28D/28D | 07/22/2030 | Credit Suisse Securities (USA) LLC | 190,400,000 MXN | (183,006 | ) | — | (183,006 | ) | ||||||||||||||||||
Pays | 28-Days MXN TIIE | 5.58 | % | 28D/28D | 07/18/2030 | Credit Suisse Securities (USA) LLC | 38,304,000 MXN | (36,526 | ) | — | (36,526 | ) | ||||||||||||||||||
Pays | 28-Days MXN TIIE | 5.58 | % | 28D/28D | 07/25/2030 | Credit Suisse Securities (USA) LLC | 78,400,000 MXN | (75,146 | ) | — | (75,146 | ) | ||||||||||||||||||
Pays | 28-Days MXN TIIE | 5.58 | % | 28D/28D | 07/16/2030 | Credit Suisse Securities (USA) LLC | 187,680,000 MXN | (177,694 | ) | — | (177,694 | ) | ||||||||||||||||||
Pays | 28-Days MXN TIIE | 5.59 | % | 28D/28D | 07/29/2030 | Credit Suisse Securities (USA) LLC | 78,400,000 MXN | (74,257 | ) | — | (74,257 | ) |
See Notes to Consolidated Financial Statements.
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September 30, 2020 (Unaudited)
The | Floating Rate Index | Fixed Rate | Pay/ | Maturity Date | Counterparty | Notional Amount | Market Value | Upfront Premium Paid (Received) | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Pays | 28-Days MXN TIIE | 5.60 | % | 28D/28D | 07/23/2030 | Credit Suisse Securities (USA) LLC | 230,000,000 MXN | $ | (207,444 | ) | $ | — | $ | (207,444 | ) | |||||||||||||||
Pays | 28-Days MXN TIIE | 5.60 | % | 28D/28D | 07/30/2030 | Credit Suisse Securities (USA) LLC | 74,592,000 MXN | (68,113 | ) | — | (68,113 | ) | ||||||||||||||||||
Pays | 28-Days MXN TIIE | 5.61 | % | 28D/28D | 07/24/2030 | Credit Suisse Securities (USA) LLC | 233,700,000 MXN | (198,707 | ) | — | (198,707 | ) | ||||||||||||||||||
Pays | 28-Days MXN TIIE | 5.81 | % | 28D/28D | 12/4/2030 | Credit Suisse Securities (USA) LLC | 162,920,366 MXN | (66,467 | ) | — | (66,467 | ) | ||||||||||||||||||
Receives | 6-Month EUR LIBOR | 0.01 | % | 6M/6M | 05/6/2030 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 1,000,000 EUR | (6,006 | ) | — | (6,006 | ) | ||||||||||||||||||
Receives | 6-Month EUR LIBOR | 0.04 | % | 6M/6M | 05/6/2030 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 1,000 EUR | (8 | ) | — | (8 | ) | ||||||||||||||||||
Receives | 6-Month EUR LIBOR | 0.04 | % | 6M/6M | 05/6/2030 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 999,000 EUR | (7,951 | ) | — | (7,951 | ) | ||||||||||||||||||
Receives | 6-Month EUR LIBOR | 0.08 | % | 12M/6M | 05/6/2030 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 1,000,000 EUR | (10,178 | ) | — | (10,178 | ) | ||||||||||||||||||
Receives | 6-Month EUR LIBOR | 0.15 | % | 12M/6M | 05/6/2030 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 4,000,000 EUR | (58,850 | ) | — | (58,850 | ) | ||||||||||||||||||
Receives | 6-Month EUR LIBOR | 0.16 | % | 12M/6M | 05/6/2030 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 3,200,000 EUR | (49,058 | ) | — | (49,058 | ) | ||||||||||||||||||
Receives | 3-Month USD LIBOR | 0.22 | % | 6M/3M | 10/5/2022 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 31,600,000 USD | (6,296 | ) | — | (6,296 | ) | ||||||||||||||||||
Receives | 3-Month USD LIBOR | 0.37 | % | 6M/3M | 12/14/2025 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 5,300,000 USD | 450 | — | 450 | ||||||||||||||||||||
Receives | 3-Month USD LIBOR | 0.40 | % | 6M/3M | 08/3/2025 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 24,941,000 USD | (76,179 | ) | — | (76,179 | ) | ||||||||||||||||||
Receives | 3-Month USD LIBOR | 0.47 | % | 6M/3M | 09/11/2027 | Morgan Stanley Capital Services LLC | 1,000,000 USD | 1,456 | 136 | 1,320 | ||||||||||||||||||||
Receives | 3-Month USD LIBOR | 0.57 | % | 6M/3M | 07/27/2030 | Morgan Stanley Capital Services LLC | 4,000,000 USD | 47,733 | — | 47,733 | ||||||||||||||||||||
Receives | 3-Month USD LIBOR | 0.62 | % | 6M/3M | 08/3/2030 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 6,512,706 USD | 46,832 | — | 46,832 |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2020 (Unaudited)
The | Floating Rate Index | Fixed Rate | Pay/ | Maturity Date | Counterparty | Notional Amount | Market Value | Upfront Premium Paid (Received) | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Receives | 3-Month USD LIBOR | 0.65 | % | 6M/3M | 06/8/2022 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 14,000,000 USD | $ | (104,455 | ) | $ | — | $ | (104,455 | ) | |||||||||||||||
Receives | 3-Month USD LIBOR | 0.66 | % | 6M/3M | 03/11/2035 | Morgan Stanley Capital Services LLC | 1,500,000 USD | 52,971 | — | 52,971 | ||||||||||||||||||||
Receives | 3-Month USD LIBOR | 0.67 | % | 6M/3M | 07/24/2030 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 4,438,980 USD | 11,972 | — | 11,972 | ||||||||||||||||||||
Receives | 3-Month USD LIBOR | 0.68 | % | 6M/3M | 07/29/2030 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 713,880 USD | 1,206 | — | 1,206 | ||||||||||||||||||||
Receives | 3-Month USD LIBOR | 0.69 | % | 6M/3M | 08/19/2030 | Morgan Stanley Capital Services LLC | 1,200,000 USD | 1,113 | — | 1,113 | ||||||||||||||||||||
Receives | 3-Month USD LIBOR | 0.70 | % | 6M/3M | 06/30/2030 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 3,605,000 USD | (3,057 | ) | — | (3,057 | ) | ||||||||||||||||||
Receives | 3-Month USD LIBOR | 0.74 | % | 6M/3M | 03/19/2027 | Morgan Stanley Capital Services LLC | 19,099,000 USD | (351,975 | ) | — | (351,975 | ) | ||||||||||||||||||
Receives | 3-Month USD LIBOR | 0.77 | % | 6M/3M | 03/25/2027 | Morgan Stanley Capital Services LLC | 13,006,000 USD | (267,613 | ) | — | (267,613 | ) | ||||||||||||||||||
Receives | 3-Month USD LIBOR | 0.79 | % | 6M/3M | 06/29/2030 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 6,347,000 USD | (60,303 | ) | — | (60,303 | ) | ||||||||||||||||||
Receives | 3-Month USD LIBOR | 0.82 | % | 6M/3M | 07/16/2030 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 11,975,000 USD | (148,644 | ) | — | (148,644 | ) | ||||||||||||||||||
Receives | 3-Month USD LIBOR | 0.88 | % | 6M/3M | 05/6/2030 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 7,800,000 USD | 54,625 | — | 54,625 | ||||||||||||||||||||
Receives | 3-Month USD LIBOR | 0.94 | % | 6M/3M | 06/30/2052 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 200,000 USD | 11,952 | — | 11,952 | ||||||||||||||||||||
Receives | 3-Month USD LIBOR | 0.95 | % | 6M/3M | 06/6/2032 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 80,000 USD | (338 | ) | — | (338 | ) | ||||||||||||||||||
Receives | 3-Month USD LIBOR | 0.95 | % | 6M/3M | 06/26/2033 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 500,000 USD | 3,527 | — | 3,527 | ||||||||||||||||||||
Receives | 3-Month USD LIBOR | 1.03 | % | 6M/3M | 06/8/2032 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 240,000 USD | (3,011 | ) | — | (3,011 | ) | ||||||||||||||||||
Receives | 3-Month USD LIBOR | 1.04 | % | 6M/3M | 06/5/2033 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 360,000 USD | (821 | ) | — | (821 | ) |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2020 (Unaudited)
The | Floating Rate Index | Fixed Rate | Pay/ | Maturity Date | Counterparty | Notional Amount | Market Value | Upfront Premium Paid (Received) | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Receives | 3-Month USD LIBOR | 1.10 | % | 6M/3M | 03/25/2030 | Morgan Stanley Capital Services LLC | 1,500,000 USD | $ | (59,651 | ) | $ | — | $ | (59,651 | ) | |||||||||||||||
Receives | 3-Month USD LIBOR | 1.13 | % | 6M/3M | 06/8/2033 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 550,000 USD | (6,052 | ) | — | (6,052 | ) | ||||||||||||||||||
Receives | 3-Month USD LIBOR | 1.14 | % | 6M/3M | 06/8/2033 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 200,000 USD | (2,268 | ) | — | (2,268 | ) | ||||||||||||||||||
Receives | 3-Month USD LIBOR | 1.18 | % | 6M/3M | 06/9/2030 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 550,000 USD | (3,864 | ) | — | (3,864 | ) | ||||||||||||||||||
Receives | 3-Month USD LIBOR | 1.32 | % | 6M/3M | 02/28/2027 | Morgan Stanley Capital Services LLC | 5,000,000 USD | (276,399 | ) | — | (276,399 | ) | ||||||||||||||||||
Receives | 3-Month USD LIBOR | 1.46 | % | 6M/3M | 02/14/2024 | Morgan Stanley Capital Services LLC | 10,000,000 USD | (404,350 | ) | — | (404,350 | ) | ||||||||||||||||||
Receives | 3-Month USD LIBOR | 1.48 | % | 6M/3M | 01/2/2025 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 4,163,000 USD | (208,289 | ) | — | (208,289 | ) | ||||||||||||||||||
Receives | 3-Month USD LIBOR | 1.49 | % | 6M/3M | 08/27/2029 | Morgan Stanley Capital Services LLC | 3,140,000 USD | (236,674 | ) | — | (236,674 | ) | ||||||||||||||||||
Receives | 3-Month USD LIBOR | 1.51 | % | 6M/3M | 09/25/2029 | Morgan Stanley Capital Services LLC | 2,000,000 USD | (153,970 | ) | — | (153,970 | ) | ||||||||||||||||||
Receives | 3-Month USD LIBOR | 1.52 | % | 6M/3M | 02/5/2025 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 6,245,000 USD | (329,021 | ) | — | (329,021 | ) | ||||||||||||||||||
Receives | 3-Month USD LIBOR | 1.53 | % | 6M/3M | 02/25/2022 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 47,860,000 USD | (882,229 | ) | — | (882,229 | ) | ||||||||||||||||||
Receives | 3-Month USD LIBOR | 1.53 | % | 6M/3M | 02/5/2022 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 11,244,800 USD | (200,797 | ) | — | (200,797 | ) | ||||||||||||||||||
Receives | 3-Month USD LIBOR | 1.54 | % | 6M/3M | 01/2/2022 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 80,236,000 USD | (1,341,585 | ) | — | (1,341,585 | ) | ||||||||||||||||||
Receives | 3-Month USD LIBOR | 1.55 | % | 6M/3M | 01/28/2025 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 4,580,000 USD | (245,798 | ) | — | (245,798 | ) | ||||||||||||||||||
Receives | 3-Month USD LIBOR | 1.55 | % | 6M/3M | 02/5/2022 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 25,106,000 USD | (452,727 | ) | — | (452,727 | ) | ||||||||||||||||||
Receives | 3-Month USD LIBOR | 1.55 | % | 6M/3M | 02/27/2022 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 14,928,000 USD | (280,871 | ) | — | (280,871 | ) |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2020 (Unaudited)
The | Floating Rate Index | Fixed Rate | Pay/ | Maturity Date | Counterparty | Notional Amount | Market Value | Upfront Premium Paid (Received) | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Receives | 3-Month USD LIBOR | 1.55 | % | 6M/3M | 02/27/2022 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 5,033,000 USD | $ | (94,944 | ) | $ | — | $ | (94,944 | ) | |||||||||||||||
Receives | 3-Month USD LIBOR | 1.55 | % | 6M/3M | 01/28/2022 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 10,000,000 USD | (177,945 | ) | — | (177,945 | ) | ||||||||||||||||||
Receives | 3-Month USD LIBOR | 1.56 | % | 6M/3M | 09/26/2026 | Morgan Stanley & Co. LLC | 1,800,000 USD | (121,330 | ) | 6,115 | (127,445 | ) | ||||||||||||||||||
Receives | 3-Month USD LIBOR | 1.57 | % | 6M/3M | 02/18/2022 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 25,187,000 USD | (470,254 | ) | — | (470,254 | ) | ||||||||||||||||||
Receives | 3-Month USD LIBOR | 1.58 | % | 6M/3M | 05/21/2025 | Morgan Stanley Capital Services LLC | 10,000,000 USD | (583,096 | ) | — | (583,096 | ) | ||||||||||||||||||
Receives | 3-Month USD LIBOR | 1.58 | % | 6M/3M | 02/18/2025 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 6,253,000 USD | (348,896 | ) | — | (348,896 | ) | ||||||||||||||||||
Receives | 3-Month USD LIBOR | 1.59 | % | 6M/3M | 04/14/2022 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 15,118,000 USD | (320,572 | ) | — | (320,572 | ) | ||||||||||||||||||
Receives | 3-Month USD LIBOR | 1.60 | % | 6M/3M | 12/9/2024 | Morgan Stanley Capital Services LLC | 11,333,700 USD | (620,908 | ) | — | (620,908 | ) | ||||||||||||||||||
Receives | 3-Month USD LIBOR | 1.61 | % | 6M/3M | 03/23/2027 | Morgan Stanley Capital Services LLC | 7,000,000 USD | (523,164 | ) | — | (523,164 | ) | ||||||||||||||||||
Receives | 3-Month USD LIBOR | 1.62 | % | 6M/3M | 03/24/2027 | Morgan Stanley Capital Services LLC | 7,000,000 USD | (526,017 | ) | — | (526,017 | ) | ||||||||||||||||||
Receives | 3-Month USD LIBOR | 1.62 | % | 6M/3M | 07/25/2026 | Morgan Stanley & Co. LLC | 1,900,000 USD | (132,726 | ) | 4,658 | (137,384 | ) | ||||||||||||||||||
Receives | 3-Month USD LIBOR | 1.62 | % | 6M/3M | 04/14/2025 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 5,222,000 USD | (308,449 | ) | — | (308,449 | ) | ||||||||||||||||||
Receives | 3-Month USD LIBOR | 1.63 | % | 6M/3M | 11/6/2027 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 40,000,000 USD | (3,125,098 | ) | — | (3,125,098 | ) | ||||||||||||||||||
Receives | 3-Month USD LIBOR | 1.64 | % | 6M/3M | 07/22/2022 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 15,000,000 USD | (387,134 | ) | — | (387,134 | ) | ||||||||||||||||||
Receives | 3-Month USD LIBOR | 1.66 | % | 6M/3M | 06/17/2025 | Morgan Stanley Capital Services LLC | 10,000,000 USD | (626,807 | ) | — | (626,807 | ) | ||||||||||||||||||
Receives | 3-Month USD LIBOR | 1.69 | % | 6M/3M | 07/29/2022 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 25,000,000 USD | (675,833 | ) | — | (675,833 | ) |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2020 (Unaudited)
The | Floating Rate Index | Fixed Rate | Pay/ | Maturity Date | Counterparty | Notional Amount | Market Value | Upfront Premium Paid (Received) | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Receives | 3-Month USD LIBOR | 1.72 | % | 6M/3M | 02/18/2030 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 1,945,000 USD | $ | (189,969 | ) | $ | — | $ | (189,969 | ) | |||||||||||||||
Receives | 3-Month USD LIBOR | 1.73 | % | 6M/3M | 12/16/2026 | Morgan Stanley Capital Services LLC | 3,500,000 USD | (279,642 | ) | — | (279,642 | ) | ||||||||||||||||||
Receives | 3-Month USD LIBOR | 1.73 | % | 6M/3M | 07/15/2023 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 100,000,000 USD | (4,180,308 | ) | — | (4,180,308 | ) | ||||||||||||||||||
Receives | 3-Month USD LIBOR | 1.77 | % | 6M/3M | 11/25/2029 | Morgan Stanley Capital Services LLC | 1,000,000 USD | (100,990 | ) | 43 | (101,033 | ) | ||||||||||||||||||
Receives | 3-Month USD LIBOR | 1.77 | % | 6M/3M | 10/24/2021 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 18,500,000 USD | (307,540 | ) | — | (307,540 | ) | ||||||||||||||||||
Receives | 3-Month USD LIBOR | 1.81 | % | 6M/3M | 02/1/2024 | Morgan Stanley Capital Services LLC | 2,500,000 USD | (129,069 | ) | — | (129,069 | ) | ||||||||||||||||||
Receives | 3-Month USD LIBOR | 1.84 | % | 6M/3M | 01/22/2025 | Morgan Stanley Capital Services LLC | 5,000,000 USD | (329,922 | ) | — | (329,922 | ) | ||||||||||||||||||
Receives | 3-Month USD LIBOR | 1.86 | % | 6M/3M | 12/21/2023 | Morgan Stanley Capital Services LLC | 8,000,000 USD | (413,637 | ) | — | (413,637 | ) | ||||||||||||||||||
Receives | 3-Month USD LIBOR | 1.86 | % | 6M/3M | 12/11/2020 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 15,000,000 USD | (47,560 | ) | — | (47,560 | ) | ||||||||||||||||||
Receives | 3-Month USD LIBOR | 1.86 | % | 6M/3M | 05/25/2022 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 8,200,000 USD | (223,611 | ) | — | (223,611 | ) | ||||||||||||||||||
Receives | 3-Month USD LIBOR | 1.88 | % | 6M/3M | 01/24/2027 | Morgan Stanley Capital Services LLC | 1,500,000 USD | (135,738 | ) | — | (135,738 | ) | ||||||||||||||||||
Receives | 3-Month USD LIBOR | 1.90 | % | 6M/3M | 08/27/2029 | Morgan Stanley Capital Services LLC | 1,650,000 USD | (183,821 | ) | — | (183,821 | ) | ||||||||||||||||||
Receives | 3-Month USD LIBOR | 1.98 | % | 6M/3M | 07/25/2029 | Morgan Stanley Capital Services LLC | 4,000,000 USD | (472,358 | ) | — | (472,358 | ) | ||||||||||||||||||
Receives | 3-Month USD LIBOR | 2.05 | % | 6M/3M | 11/30/2024 | Morgan Stanley Capital Services LLC | 5,000,000 USD | (363,958 | ) | — | (363,958 | ) | ||||||||||||||||||
Receives | 3-Month USD LIBOR | 2.18 | % | 6M/3M | 06/26/2027 | Morgan Stanley & Co. LLC | 2,100,000 USD | (238,041 | ) | 11,201 | (249,242 | ) | ||||||||||||||||||
Receives | 3-Month USD LIBOR | 2.22 | % | 6M/3M | 09/29/2024 | Morgan Stanley Capital Services LLC | 2,000,000 USD | (154,549 | ) | — | (154,549 | ) |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2020 (Unaudited)
The | Floating Rate Index | Fixed Rate | Pay/ | Maturity Date | Counterparty | Notional Amount | Market Value | Upfront Premium Paid (Received) | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Receives | 3-Month USD LIBOR | 2.27 | % | 6M/3M | 01/25/2026 | Morgan Stanley & Co. LLC | 2,000,000 USD | $ | (200,563 | ) | $ | — | $ | (200,563 | ) | |||||||||||||||
Receives | 3-Month USD LIBOR | 2.30 | % | 6M/3M | 01/26/2025 | Morgan Stanley & Co. LLC | 900,000 USD | (77,546 | ) | 4,800 | (82,346 | ) | ||||||||||||||||||
Receives | 3-Month USD LIBOR | 2.33 | % | 6M/3M | 08/25/2025 | Morgan Stanley Capital Services LLC | 5,250,000 USD | (509,630 | ) | 31,222 | (540,852 | ) | ||||||||||||||||||
Receives | 3-Month USD LIBOR | 2.34 | % | 6M/3M | 01/25/2027 | Morgan Stanley & Co. LLC | 1,000,000 USD | (118,293 | ) | — | (118,293 | ) | ||||||||||||||||||
Receives | 3-Month USD LIBOR | 2.35 | % | 6M/3M | 11/8/2024 | Morgan Stanley Capital Services LLC | 4,000,000 USD | (338,017 | ) | — | (338,017 | ) | ||||||||||||||||||
Receives | 3-Month USD LIBOR | 2.37 | % | 6M/3M | 11/1/2024 | Morgan Stanley Capital Services LLC | 2,000,000 USD | (169,674 | ) | — | (169,674 | ) | ||||||||||||||||||
Receives | 3-Month USD LIBOR | 2.38 | % | 6M/3M | 10/5/2023 | Morgan Stanley Capital Services LLC | 3,000,000 USD | (192,374 | ) | — | (192,374 | ) | ||||||||||||||||||
Receives | 3-Month USD LIBOR | 2.39 | % | 6M/3M | 11/16/2028 | Morgan Stanley Capital Services LLC | 4,000,000 USD | (583,498 | ) | — | (583,498 | ) | ||||||||||||||||||
Receives | 3-Month USD LIBOR | 2.40 | % | 6M/3M | 01/25/2027 | Morgan Stanley & Co. LLC | 2,900,000 USD | (353,809 | ) | 24,110 | (377,919 | ) | ||||||||||||||||||
Receives | 3-Month USD LIBOR | 2.41 | % | 6M/3M | 02/27/2027 | Morgan Stanley & Co. LLC | 2,300,000 USD | (285,179 | ) | — | (285,179 | ) | ||||||||||||||||||
Receives | 3-Month USD LIBOR | 2.41 | % | 6M/3M | 12/22/2022 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 50,000,000 USD | (2,448,216 | ) | — | (2,448,216 | ) | ||||||||||||||||||
Receives | 3-Month USD LIBOR | 2.42 | % | 6M/3M | 09/22/2024 | Morgan Stanley Capital Services LLC | 2,000,000 USD | (169,659 | ) | — | (169,659 | ) | ||||||||||||||||||
Receives | 3-Month USD LIBOR | 2.42 | % | 6M/3M | 10/24/2024 | Morgan Stanley Capital Services LLC | 2,000,000 USD | (173,439 | ) | — | (173,439 | ) | ||||||||||||||||||
Receives | 3-Month USD LIBOR | 2.43 | % | 6M/3M | 10/11/2026 | Morgan Stanley Capital Services LLC | 3,000,000 USD | (362,888 | ) | — | (362,888 | ) | ||||||||||||||||||
Receives | 3-Month USD LIBOR | 2.45 | % | 6M/3M | 10/18/2024 | Morgan Stanley Capital Services LLC | 4,000,000 USD | (349,657 | ) | — | (349,657 | ) | ||||||||||||||||||
Receives | 3-Month USD LIBOR | 2.53 | % | 6M/3M | 09/25/2024 | Morgan Stanley & Co. LLC | 2,130,000 USD | (190,491 | ) | — | (190,491 | ) |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2020 (Unaudited)
The | Floating Rate Index | Fixed Rate | Pay/ | Maturity Date | Counterparty | Notional Amount | Market Value | Upfront Premium Paid (Received) | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Receives | 3-Month USD LIBOR | 2.58 | % | 6M/3M | 08/5/2025 | Morgan Stanley Capital Services LLC | 7,000,000 USD | $ | (758,103 | ) | $ | — | $ | (758,103 | ) | |||||||||||||||
Receives | 3-Month USD LIBOR | 2.58 | % | 6M/3M | 03/27/2027 | Morgan Stanley & Co. LLC | 300,000 USD | (40,884 | ) | — | (40,884 | ) | ||||||||||||||||||
Receives | 3-Month USD LIBOR | 2.67 | % | 6M/3M | 09/13/2028 | Morgan Stanley Capital Services LLC | 2,500,000 USD | (415,614 | ) | — | (415,614 | ) | ||||||||||||||||||
Receives | 3-Month USD LIBOR | 2.72 | % | 6M/3M | 09/8/2028 | Morgan Stanley Capital Services LLC | 1,000,000 USD | (169,351 | ) | — | (169,351 | ) | ||||||||||||||||||
Receives | 3-Month USD LIBOR | 2.72 | % | 6M/3M | 08/8/2028 | Morgan Stanley Capital Services LLC | 3,000,000 USD | (505,160 | ) | — | (505,160 | ) | ||||||||||||||||||
Receives | 3-Month USD LIBOR | 2.83 | % | 6M/3M | 02/26/2025 | Morgan Stanley Capital Services LLC | 1,496,000 USD | (165,696 | ) | (171,226 | ) | 5,530 | ||||||||||||||||||
Receives | 3-Month USD LIBOR | 2.83 | % | 6M/3M | 07/29/2029 | Morgan Stanley Capital Services LLC | 3,000,000 USD | (578,104 | ) | — | (578,104 | ) | ||||||||||||||||||
Receives | 3-Month USD LIBOR | 2.90 | % | 6M/3M | 03/27/2026 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 20,000,000 USD | (2,760,034 | ) | — | (2,760,034 | ) | ||||||||||||||||||
Receives | 3-Month USD LIBOR | 3.02 | % | 6M/3M | 09/25/2025 | Morgan Stanley & Co. LLC | 2,000,000 USD | (265,594 | ) | — | (265,594 | ) | ||||||||||||||||||
Receives | 3-Month USD LIBOR | 3.08 | % | 6M/3M | 04/30/2027 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 20,000,000 USD | (3,429,677 | ) | — | (3,429,677 | ) | ||||||||||||||||||
Receives | 3-Month USD LIBOR | 3.15 | % | 6M/3M | 05/21/2022 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 20,000,000 USD | (966,462 | ) | — | (966,462 | ) | ||||||||||||||||||
Receives | 3-Month USD LIBOR | 3.21 | % | 6M/3M | 05/25/2033 | Morgan Stanley & Co. LLC | 2,000,000 USD | (420,537 | ) | (1,053 | ) | (419,484 | ) | |||||||||||||||||
|
| |||||||||||||||||||||||||||||
Total Centrally Cleared Interest Rate Swaps Outstanding | $ | (21,318,825 | ) | $ | (178,513 | ) | $ | (21,140,312 | ) | |||||||||||||||||||||
|
|
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2020 (Unaudited)
OTC Interest Rate Swaps Outstanding at September 30, 2020
The | Reference Obligation | Financing Fee | Payment | Maturity Date | Counterparty | Notional Amount | Market Value | Upfront Premium Paid (Received) | Unrealized Appreciation (Depreciation) | |||||||||||||||||||
Pays | 3-Month CNY- CNREPOFIX | 2.78% | 3M/3M | 12/16/2025 | Credit Suisse Securities (USA) LLC | 66,454,440 CNY | $ | 48,605 | $ | — | $ | 48,605 | ||||||||||||||||
Pays | 3-Month CNY- CNREPOFIX | 2.68% | 3M/3M | 12/16/2025 | Goldman Sachs International | 146,000,000 CNY | 8,987 | — | 8,987 | |||||||||||||||||||
Pays | 3-Month CNY- CNREPOFIX | 2.70% | 3M/3M | 12/16/2025 | Morgan Stanley Capital Services LLC | 146,000,000 CNY | 27,948 | — | 27,948 | |||||||||||||||||||
Pays | 3-Month CNY- CNREPOFIX | 2.63% | 3M/3M | 12/16/2025 | Morgan Stanley Capital Services LLC | 102,500,000 CNY | (32,925 | ) | — | (32,925 | ) | |||||||||||||||||
Pays | 3-Month CNY- CNREPOFIX | 2.62% | 3M/3M | 12/16/2025 | Goldman Sachs International | 146,000,000 CNY | (48,894 | ) | — | (48,894 | ) | |||||||||||||||||
Pays | 3-Month CNY- CNREPOFIX | 2.79% | 3M/3M | 12/16/2025 | Goldman Sachs International | 146,000,000 CNY | 118,761 | — | 118,761 | |||||||||||||||||||
Pays | 3-Month CNY- CNREPOFIX | 2.77% | 3M/3M | 12/16/2025 | Goldman Sachs International | 146,000,000 CNY | 95,808 | — | 95,808 | |||||||||||||||||||
|
| |||||||||||||||||||||||||||
Total OTC Interest Rate Swaps Outstanding | $ | 218,290 | $ | — | $ | 218,290 | ||||||||||||||||||||||
|
|
Abbreviation Legend: | ||||
M | Monthly | |||
1Y | Yearly | |||
28D | 28 Days | |||
3M | Quarterly | |||
6M | Semi-Annually | |||
ADR | American Depository Receipt | |||
BADLARPP | BADLAR Private Banks | |||
CBOT | Chicago Board of Trade | |||
CDE | Montreal Exchange | |||
CFE | CBOE Futures Exchange | |||
CME | Chicago Mercantile Exchange | |||
COMEX | Commodities Exchange Center | |||
Eurex | Eurex Exchange | |||
EURIBOR | Euro Interbank Offered Rate | |||
Euronext | Euronext Paris | |||
HKFE | Hong Kong Futures Exchange Ltd. | |||
ICE | Ice Futures Europe | |||
IDEM | Italian Derivatives Exchange Market | |||
ISE | Istanbul Stock Exchange |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2020 (Unaudited)
KRX FM | Korea Exchange (Futures Market) | |||
LIBOR | London Interbank Offered Rate | |||
LME | London Metal Exchange | |||
MTN | Medium Term Note | |||
MYX | Bursa Malaysia | |||
Nasdaq-OMX | NASDAQ OMX Stockholm | |||
NYMEX | New York Mercantile Exchange | |||
OSE | Osaka Exchange | |||
OTC | Over the Counter | |||
PIK | Payment in Kind | |||
REG S | Regulation-S | |||
REIT | Real Estate Investment Trust | |||
SFE | ASX Trade24 | |||
SGX | Singapore Exchange | |||
T | At Maturity | |||
TFEX | Thailand Futures Exchange | |||
Currency Legend: | ||||
AUD | Australian Dollar | |||
BRL | Brazilian Real | |||
CAD | Canadian Dollar | |||
CHF | Swiss Franc | |||
CNH | Chinese Renminbi | |||
CNY | Chinese Yuan | |||
EGP | Egyptian Pound | |||
EUR | Euro | |||
GBP | British Pound | |||
HKD | Hong Kong Dollar | |||
INR | Indian Rupee | |||
JPY | Japanese Yen | |||
KRW | South Korean Won | |||
MXN | Mexican Peso | |||
MYR | Malaysian Ringgit | |||
RUB | Russian Ruble | |||
SEK | Swedish Krona | |||
SGD | Singapore Dollar | |||
USD | United States Dollar |
See Notes to Consolidated Financial Statements.
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Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Statement of Assets and Liabilities
As of September 30, 2020 (Unaudited)
Assets: | ||||
Investments in securities, at fair value (cost $4,275,087,958) | $ | 4,108,544,211 | ||
Cash | 1,554,560,446 | |||
Cash denominated in foreign currencies (cost of $530,587) | 13,454 | |||
Segregated cash balance with broker for securities sold short | 378,815,129 | |||
Segregated cash balance with custodian for derivative financial instruments | 314,107,851 | |||
Segregated cash balance with counterparties for futures contracts | 30,292,277 | |||
Segregated cash balance with counterparties for centrally cleared derivatives | 44,406,422 | |||
Segregated cash balance with counterparties for OTC derivatives | 6,648,450 | |||
Segregated cash balance with counterparties for reverse repurchase agreements | 6,610,318 | |||
Unrealized appreciation on forward foreign currency exchange contracts | 1,936,156 | |||
Unrealized appreciation on unfunded loan commitments | 355 | |||
Income receivable | 28,508,406 | |||
Receivable for investments sold | 106,719,817 | |||
Receivable for Fund shares sold | 3,782,502 | |||
Receivable for periodic payments from swap contracts | 5,613,238 | |||
Variation margin receivable on futures | 42,408,791 | |||
Variation margin receivable on centrally cleared swaps | 40,259 | |||
Swap contracts, at fair value (net premiums paid $1,458,006) | 25,118,252 | |||
Prepaid expenses and other assets | 602,886 | |||
|
| |||
Total assets | 6,658,729,220 | |||
|
| |||
Liabilities: | ||||
Securities sold short, at fair value (proceeds of $339,249,481) | 364,958,390 | |||
Cash received as collateral from custodian for derivative financial instruments | 17,317 | |||
Cash received as collateral from counterparty for centrally cleared derivatives | 26,014,131 | |||
Cash received as collateral for swaps and reverse repurchase agreements | 1,732,000 | |||
Cash received as collateral from counterparty for OTC derivatives | 96 | |||
Options written, at fair value (premiums received $21,256,493) | 20,895,198 | |||
Unrealized depreciation on forward foreign currency exchange contracts | 2,903,402 | |||
Payable for reverse repurchase agreements | 386,246,970 | |||
Payable for investments purchased | 120,258,727 | |||
Payable for Fund shares redeemed | 19,461,402 | |||
Payable for periodic payments from swap contracts | 5,373,824 | |||
Variation margin payable on futures | 1,949,561 | |||
Variation margin payable on centrally cleared swaps | 42,714,949 | |||
Swap contracts, at fair value (net premiums received $2,582,260) | 37,654,570 | |||
Dividend and interest income payable on securities sold short | 449,900 | |||
Management fee payable | 26,947,238 | |||
Accrued expenses and other liabilities | 10,267,239 | |||
|
| |||
Total liabilities | 1,067,844,914 | |||
|
| |||
Net assets | $ | 5,590,884,306 | ||
|
| |||
Net Assets Consist of: |
| |||
Paid-in capital | $ | 6,253,543,451 | ||
Total distributable earnings | (662,659,145 | ) | ||
|
| |||
Net assets | $ | 5,590,884,306 | ||
|
|
See Notes to Consolidated Financial Statements.
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Consolidated Statement of Assets and Liabilities (Continued)
As of September 30, 2020 (Unaudited)
Net Asset Value: |
| |||
Class I Shares |
| |||
Net Assets | $ | 4,106,152,157 | ||
Class I Shares outstanding, no par value, unlimited shares authorized | 409,633,183 | |||
|
| |||
Net asset value per share | $ | 10.02 | ||
|
| |||
Class D Shares |
| |||
Net Assets | $ | 31,317,374 | ||
Class D Shares outstanding, no par value, unlimited shares authorized | 3,122,451 | |||
|
| |||
Net asset value per share | $ | 10.03 | ||
|
| |||
Class Y Shares |
| |||
Net Assets | $ | 1,453,414,775 | ||
Class Y Shares outstanding, no par value, unlimited shares authorized | 146,015,382 | |||
|
| |||
Net asset value per share | $ | 9.95 | ||
|
|
See Notes to Consolidated Financial Statements.
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Consolidated Statement of Operations
For the Six-Months Ended September 30, 2020 (Unaudited)
Investment Income: | ||||
Interest (including net foreign taxes withheld of $0) | $ | 105,122,803 | ||
Dividends (including net foreign taxes withheld of $2,240) | 5,197,858 | |||
|
| |||
Total income | 110,320,661 | |||
|
| |||
Expenses: | ||||
Management fees | $ | 55,309,624 | ||
Administration fees | 2,102,649 | |||
Custodian fees | 868,100 | |||
Trustees’ and officer fees | 649,890 | |||
Distribution fees — Class D | 45,409 | |||
Shareholder service fees | 1,796,767 | |||
Registration fees | 94,053 | |||
Printing and postage fees | 266,919 | |||
Professional fees | 3,757,874 | |||
Dividends and interest on securities sold short | 6,194,227 | |||
Financing fees on securities sold short | 1,057,730 | |||
Line of credit fee | 477,101 | |||
Interest fees | 5,509,603 | |||
Other | 164,995 | |||
|
| |||
Total expenses | 78,294,941 | |||
|
| |||
Net investment income | 32,025,720 | |||
|
| |||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized loss on investments in securities | (7,437,183 | ) | ||
Net realized loss on securities sold short | (23,785,581 | ) | ||
Net realized gain on forward foreign currency exchange contracts | 3,548,782 | |||
Net realized gain on foreign currency transactions | 484,415 | |||
Net realized loss on futures contracts | (38,654,231 | ) | ||
Net realized gain on options written | 27,349,303 | |||
Net realized gain on swap contracts | 27,265,075 | |||
Net change in unrealized appreciation on investments in securities | 684,037,682 | |||
Net change in unrealized depreciation on securities sold short | (103,902,637 | ) | ||
Net change in unrealized depreciation on forward foreign currency exchange contracts | (13,566,950 | ) | ||
Net change in unrealized depreciation on foreign currency translations | (5,477,022 | ) | ||
Net change in unrealized appreciation on futures contracts | 12,212,501 | |||
Net change in unrealized depreciation on options written | (2,921,984 | ) | ||
Net change in unrealized depreciation on swap contracts | (1,699,977 | ) | ||
Net change in unrealized appreciation on unfunded loan commitments | 355 | |||
|
| |||
Net realized and unrealized gain | 557,452,548 | |||
|
| |||
Net increase in net assets resulting from operations | $ | 589,478,268 | ||
|
|
See Notes to Consolidated Financial Statements.
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Consolidated Statement of Changes in Net Assets
Six-Months Ended 9/30/2020 (unaudited) | Year Ended 3/31/2020 | |||||||
Increase (Decrease) in Net Assets | ||||||||
Operations: | ||||||||
Net investment income | $ | 32,025,720 | $ | 114,638,097 | ||||
Net realized loss | (11,229,420 | ) | (135,247,628 | ) | ||||
Net change in unrealized appreciation (depreciation) | 568,681,968 | (968,108,839 | ) | |||||
|
|
|
| |||||
Net increase (decrease) in net assets resulting from operations | 589,478,268 | (988,718,370 | ) | |||||
|
|
|
| |||||
Distributions: |
| |||||||
Distributions from earnings | ||||||||
Class I Shares | — | (213,950,691 | ) | |||||
Class D Shares | — | (1,248,825 | ) | |||||
Class Y Shares | — | (78,417,862 | ) | |||||
|
|
|
| |||||
Total distributions to shareholders | — | (293,617,378 | ) | |||||
|
|
|
| |||||
Capital Transactions: | ||||||||
Shareholder subscriptions: | ||||||||
Proceeds from sale of Class I Shares | 572,412,235 | 2,159,651,178 | ||||||
Proceeds from sale of Class D Shares | 8,278,430 | 24,881,951 | ||||||
Proceeds from sale of Class Y Shares | 42,830,273 | 1,157,789,108 | ||||||
Shareholder reinvestments: | ||||||||
Net asset value of Class I Shares issued to shareholders in payment of distributions declared | — | 147,096,547 | ||||||
Net asset value of Class D Shares issued to shareholders in payment of distributions declared | — | 1,173,636 | ||||||
Net asset value of Class Y Shares issued to shareholders in payment of distributions declared | — | 78,217,640 | ||||||
Shareholder redemptions: | ||||||||
Cost of Class I Shares redeemed | (1,625,719,479 | ) | (1,919,545,972 | ) | ||||
Cost of Class D Shares redeemed | (21,696,197 | ) | (276,004,337 | ) | ||||
Cost of Class Y Shares redeemed | (502,970,776 | ) | (772,106,834 | ) | ||||
|
|
|
| |||||
Net increase (decrease) in net assets resulting from capital transactions | (1,526,865,514 | ) | 601,152,917 | |||||
|
|
|
| |||||
Net decrease in net assets | (937,387,246 | ) | (681,182,831 | ) | ||||
|
|
|
| |||||
Net Assets: | ||||||||
Beginning of period | 6,528,271,552 | 7,209,454,383 | ||||||
|
|
|
| |||||
End of period | $ | 5,590,884,306 | $ | 6,528,271,552 | ||||
|
|
|
|
See Notes to Consolidated Financial Statements.
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Consolidated Statement of Changes in Net Assets (Continued)
Six-Months Ended 9/30/2020 (unaudited) | Year Ended 3/31/2020 | |||||||
Share Transactions: | ||||||||
Class I Shares | ||||||||
Beginning of period | 521,138,289 | 491,804,552 | ||||||
Shares issued | 59,300,252 | 200,846,060 | ||||||
Reinvestment in Shares | — | 13,798,925 | ||||||
Shares redeemed | (170,805,358 | ) | (185,311,248 | ) | ||||
|
|
|
| |||||
Net change in shares resulting from share transactions | (111,505,106 | ) | 29,333,737 | |||||
|
|
|
| |||||
End of period | 409,633,183 | 521,138,289 | ||||||
|
|
|
| |||||
Class D Shares | ||||||||
Beginning of period | 4,504,458 | 27,686,086 | ||||||
Shares issued | 852,947 | 2,332,799 | ||||||
Reinvestment in Shares | — | 109,891 | ||||||
Shares redeemed | (2,234,954 | ) | (25,624,318 | ) | ||||
|
|
|
| |||||
Net change in shares resulting from share transactions | (1,382,007 | ) | (23,181,628 | ) | ||||
|
|
|
| |||||
End of period | 3,122,451 | 4,504,458 | ||||||
|
|
|
| |||||
Class Y Shares | ||||||||
Beginning of period | 194,437,258 | 151,628,621 | ||||||
Shares issued | 4,579,563 | 108,074,404 | ||||||
Reinvestment in Shares | — | 7,399,966 | ||||||
Shares redeemed | (53,001,439 | ) | (72,665,733 | ) | ||||
|
|
|
| |||||
Net change in shares resulting from share transactions | (48,421,876 | ) | 42,808,637 | |||||
|
|
|
| |||||
End of period | 146,015,382 | 194,437,258 | ||||||
|
|
|
|
See Notes to Consolidated Financial Statements.
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Consolidated Statement of Cash Flows
For the Six-Months Ended September 30, 2020 (Unaudited)
Cash Flows from Operating Activities: | ||||
Net increase in net assets resulting from operations | $ | 589,478,268 | ||
Adjustments to reconcile net increase (decrease) in net assets resulting from operations to net cash provided by operating activities: | ||||
Purchases of investments in securities | (2,880,599,115 | ) | ||
Proceeds from disposition of investments in securities | 4,248,140,508 | |||
Proceeds from securities sold short | 700,674,027 | |||
Payments to cover securities sold short | (748,899,529 | ) | ||
Short-term investments, net | 331,374,420 | |||
Premiums paid on closing options written | (8,675,340 | ) | ||
Proceeds from premiums received from options written | 41,815,907 | |||
Net realized loss on investments in securities | 7,437,183 | |||
Net realized loss on securities sold short | 23,785,581 | |||
Net realized gain on options written | (27,349,303 | ) | ||
Net realized gain on reverse repurchase agreements | (309,784 | ) | ||
Net change in accretion of bond discount and amortization of bond and swap premium | (7,162,223 | ) | ||
Net change in unrealized appreciation on investments in securities | (684,037,682 | ) | ||
Net change in unrealized depreciation on securities sold short | 103,902,637 | |||
Net change in unrealized depreciation on options written | 2,921,984 | |||
Net change in unrealized depreciation on reverse repurchase agreements | 4,072,238 | |||
Changes in assets and liabilities: |
| |||
(Increase) decrease in assets: |
| |||
Unrealized appreciation on forward foreign currency exchange contracts | 22,661,903 | |||
Income receivable | 7,282,821 | |||
Receivable for periodic payments from swap contracts | (1,247,024 | ) | ||
Variation margin receivable on futures | 24,100,013 | |||
Variation margin receivable on centrally cleared swaps | 6,297,716 | |||
Change in unrealized on unfunded loan | (355 | ) | ||
Swap contracts, at fair value | 95,685,551 | |||
Prepaid expenses and other assets | (455,163 | ) | ||
Increase (decrease) in liabilities: |
| |||
Cash received as collateral for swaps and reverse repurchase agreements | 11,497 | |||
Cash received as collateral from custodian for derivative financial instruments | (9,032,683 | ) | ||
Cash received as collateral from counterparty for OTC derivatives | (9,034,904 | ) | ||
Cash received as collateral from counterparty for centrally cleared derivatives | 7,139,286 | |||
Unrealized depreciation on forward foreign currency exchange contracts | (9,094,953 | ) | ||
Swap contracts, at fair value | (81,226,468 | ) | ||
Variation margin payable on futures | (9,455,254 | ) | ||
Variation margin payable on centrally cleared swaps | 5,385,407 | |||
Payable for periodic payments from swap contracts | (27,564,371 | ) | ||
Dividend and interest income payable on securities sold short | (1,004,455 | ) | ||
Interest payable on reverse repurchase agreements | (899,741 | ) | ||
Management fee payable | (9,506,053 | ) | ||
Accrued expenses and other liabilities | (2,561,819 | ) | ||
|
| |||
Net cash provided by operating activities | $ | 1,704,050,728 | ||
|
|
See Notes to Consolidated Financial Statements.
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Consolidated Statement of Cash Flows (Continued)
For the Six-Months Ended September 30, 2020 (Unaudited)
Cash Flows from Financing Activities | ||||
Proceeds from shares sold | 626,219,707 | |||
Cost of shares repurchased | (2,169,274,106 | ) | ||
Proceeds from reverse repurchase agreements | 2,580,513,555 | |||
Repayment of reverse repurchase agreements | (3,362,614,705 | ) | ||
Distributions paid (net of reinvestment) | — | |||
|
| |||
Net cash used in financing activities | (2,325,155,549 | ) | ||
|
| |||
Net increase (decrease) in unrestricted and restricted cash and foreign currency | (621,104,821 | ) | ||
Unrestricted and restricted cash and foreign currency, beginning of period | 2,956,559,168 | |||
|
| |||
Unrestricted and restricted cash and foreign currency, end of period | $ | 2,335,454,347 | ||
|
| |||
Supplemental disclosure of cash flow information: |
| |||
Cash paid during the period for interest | $ | 6,409,344 | ||
|
| |||
Non-Cash Financing Activities |
| |||
Capital shares issued in reinvestment of distribution | $ | — | ||
|
|
Reconciliation of unrestricted and restricted cash to the statements of assets and liabilities
Year Ended September 30, 2020 | Year Ended March 31, 2020 | |||||||
Cash | $ | 1,554,560,446 | $ | 2,190,708,712 | ||||
Foreign currency at value | 13,454 | 107,676,816 | ||||||
Cash Pledged | ||||||||
Securities sold short | 378,815,129 | 266,496,311 | ||||||
Derivative financial instruments | 314,107,851 | 80,535,000 | ||||||
Futures contracts | 30,292,277 | 42,682,963 | ||||||
Centrally cleared derivatives | 44,406,422 | 32,176,492 | ||||||
OTC derivatives | 6,648,450 | 47,125,548 | ||||||
TBAs | — | 1,770,000 | ||||||
Reverse repurchase agreements | 6,610,318 | 187,387,326 | ||||||
|
|
|
| |||||
$ | 2,335,454,347 | $ | 2,956,559,168 | |||||
|
|
|
|
See Notes to Consolidated Financial Statements.
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Consolidated Financial Highlights
(For Shares Outstanding Throughout the Period)
Class I | ||||||||||||||||||||||||
Six-Months | Year Ended | Year | Year | Year | Year | |||||||||||||||||||
Net Asset Value, Beginning of Period | $ | 9.08 | $ | 10.76 | $ | 10.67 | $ | 10.56 | $ | 9.82 | $ | 10.38 | ||||||||||||
Income From Investment Operations: | ||||||||||||||||||||||||
Net investment income (loss)1 | 0.05 | 0.15 | 0.10 | 0.01 | 0.07 | (0.05 | ) | |||||||||||||||||
Net realized and unrealized gain (loss) | 0.89 | (1.44 | ) | 0.19 | 0.31 | 0.72 | (0.26 | ) | ||||||||||||||||
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Total From Investment Operations | 0.94 | (1.29 | ) | 0.29 | 0.32 | 0.79 | (0.31 | ) | ||||||||||||||||
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Less Distributions to Shareholders: | ||||||||||||||||||||||||
From net investment income | — | (0.21 | ) | (0.13 | ) | (0.08 | ) | (0.05 | ) | (0.01 | ) | |||||||||||||
From net realized capital gains | — | (0.18 | ) | (0.07 | ) | (0.13 | ) | — | (0.24 | ) | ||||||||||||||
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Total Distributions | — | (0.39 | ) | (0.20 | ) | (0.21 | ) | (0.05 | ) | (0.25 | ) | |||||||||||||
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Net Asset Value, End of Period | $ | 10.02 | $ | 9.08 | $ | 10.76 | $ | 10.67 | $ | 10.56 | $ | 9.82 | ||||||||||||
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Total Return | 10.22 | %2 | (12.32 | )% | 2.76 | % | 3.06 | % | 8.03 | % | (3.01 | )% | ||||||||||||
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Ratios to Average Net Assets:3 |
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Total expenses before recoupment (reimbursement) from Investment Adviser | 0.80 | %4 | 0.94 | % | 1.33 | % | 0.89 | % | 1.15 | % | 1.30 | % | ||||||||||||
Management Fees | 1.86 | %4 | 1.85 | % | 1.86 | % | 1.88 | % | 1.88 | % | 1.92 | % | ||||||||||||
Recoupment (reimbursement) from Investment Adviser | — | — | — | — | — | 0.05 | % | |||||||||||||||||
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Net expenses after recoupment (reimbursement) from Investment Adviser | 2.66 | %4 | 2.79 | % | 3.19 | % | 2.77 | % | 3.03 | % | 3.27 | % | ||||||||||||
Excluded expenses5 | (0.45 | )%4 | (0.65 | )% | (1.00 | )% | (0.57 | )% | (0.81 | )% | (0.93 | )% | ||||||||||||
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Expenses, net of impact of excluded expenses | 2.21 | %4 | 2.14 | % | 2.19 | % | 2.20 | % | 2.22 | % | 2.34 | % | ||||||||||||
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Net investment income (loss) | 1.06 | %4 | 1.43 | % | 0.94 | % | 0.13 | % | 0.71 | % | (0.45 | )% | ||||||||||||
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Supplemental Data: |
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Net assets, end of period (in thousands) | $ | 4,106,152 | $ | 4,734,372 | $ | 5,292,572 | $ | 5,088,031 | $ | 3,597,704 | $ | 3,921,027 | ||||||||||||
Portfolio turnover | 61 | %2 | 193 | % | 203 | % | 300 | % | 237 | % | 172 | % |
1 | Calculated using average shares outstanding during the period. |
2 | Percentage represents the results for the period presented and are not annualized. |
3 | The ratios do not reflect the Fund’s share of the income and expenses of the underlying Investee Funds. |
4 | Financial ratios have been annualized except for non-recurring costs. |
5 | Represents expenses excluded from reimbursement by the Investment Adviser, as defined in the Expense Limitation and Reimbursement Agreement. See Note 7. |
See Notes to Consolidated Financial Statements.
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Consolidated Financial Highlights
(For Shares Outstanding Throughout the Period)
Class D | ||||||||||||||||||||||||
Six-Months | Year | Year | Year | Year | Year | |||||||||||||||||||
Net Asset Value, Beginning of Period | $ | 9.10 | $ | 10.73 | $ | 10.64 | $ | 10.53 | $ | 9.81 | $ | 10.38 | ||||||||||||
Income From Investment Operations: | ||||||||||||||||||||||||
Net investment income (loss)1 | 0.04 | 0.13 | 0.06 | (0.03 | ) | 0.05 | (0.07 | ) | ||||||||||||||||
Net realized and unrealized gain (loss) | 0.89 | (1.46 | ) | 0.20 | 0.30 | 0.70 | (0.26 | ) | ||||||||||||||||
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Total From Investment Operations | 0.93 | (1.33 | ) | 0.26 | 0.27 | 0.75 | (0.33 | ) | ||||||||||||||||
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Less Distributions to Shareholders: | ||||||||||||||||||||||||
From net investment income | — | (0.12 | ) | (0.10 | ) | (0.03 | ) | (0.03 | ) | — | ||||||||||||||
From net realized capital gains | — | (0.18 | ) | (0.07 | ) | (0.13 | ) | — | (0.24 | ) | ||||||||||||||
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Total Distributions | — | (0.30 | ) | (0.17 | ) | (0.16 | ) | (0.03 | ) | (0.24 | ) | |||||||||||||
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Net Asset Value, End of Period | $ | 10.03 | $ | 9.10 | $ | 10.73 | $ | 10.64 | $ | 10.53 | $ | 9.81 | ||||||||||||
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Total Return | 9.98 | %2 | (12.60 | )% | 2.50 | % | 2.60 | % | 7.70 | % | (3.22 | )% | ||||||||||||
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Ratios to Average Net Assets:3 |
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Total expenses before recoupment (reimbursement) from Investment Adviser | 1.06 | %4 | 1.18 | % | 1.71 | % | 1.27 | % | 1.40 | % | 1.55 | % | ||||||||||||
Management Fees | 1.86 | %4 | 1.85 | % | 1.86 | % | 1.88 | % | 1.88 | % | 1.92 | % | ||||||||||||
Recoupment (reimbursement) from Investment Adviser | — | — | — | — | — | 0.02 | % | |||||||||||||||||
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Net expenses after recoupment (reimbursement) from Investment Adviser | 2.92 | %4 | 3.03 | % | 3.57 | % | 3.15 | % | 3.28 | % | 3.49 | % | ||||||||||||
Excluded expenses5 | (0.71 | )%4 | (0.90 | )% | (1.29 | )% | (0.81 | )% | (1.06 | )% | (1.18 | )% | ||||||||||||
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Expenses, net of impact of excluded expenses | 2.21 | %4 | 2.13 | % | 2.28 | % | 2.34 | % | 2.22 | % | 2.31 | % | ||||||||||||
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Net investment income (loss) | 0.79 | %4 | 1.19 | % | 0.57 | % | �� | (0.26 | )% | 0.48 | % | (0.66 | )% | |||||||||||
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Supplemental Data: |
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Net assets, end of period (in thousands) | $ | 31,317 | $ | 40,987 | $ | 297,086 | $ | 229,593 | $ | 316,243 | $ | 22,811 | ||||||||||||
Portfolio turnover | 61 | %2 | 193 | % | 203 | % | 300 | % | 237 | % | 172 | % |
1 | Calculated using average shares outstanding during the period. |
2 | Percentage represents the results for the period presented and are not annualized. |
3 | The ratios do not reflect the Fund’s share of the income and expenses of the underlying Investee Funds. |
4 | Financial ratios have been annualized except for non-recurring costs. |
5 | Represents expenses excluded from reimbursement by the Investment Adviser, as defined in the Expense Limitation and Reimbursement Agreement. See Note 7. |
See Notes to Consolidated Financial Statements.
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Consolidated Financial Highlights
(For Shares Outstanding Throughout the Period)
Class Y | ||||||||||||||||||||||||
Six-Months Ended 9/30/2020 (unaudited) | Year Ended 3/31/2020 | Year Ended 3/31/2019 | Year Ended 3/31/2018 | Year Ended 3/31/2017 | Year Ended 3/31/2016 | |||||||||||||||||||
Net Asset Value, Beginning of Period | $ | 9.02 | $ | 10.68 | $ | 10.59 | $ | 10.48 | $ | 9.75 | $ | 10.29 | ||||||||||||
Income From Investment Operations: | ||||||||||||||||||||||||
Net investment income (loss)1 | 0.05 | 0.16 | 0.09 | 0.02 | 0.08 | (0.03 | ) | |||||||||||||||||
Net realized and unrealized gain (loss) | 0.88 | (1.42 | ) | 0.21 | 0.31 | 0.71 | (0.25 | ) | ||||||||||||||||
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Total From Investment Operations | 0.93 | (1.26 | ) | 0.30 | 0.33 | 0.79 | (0.28 | ) | ||||||||||||||||
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Less Distributions to Shareholders: | ||||||||||||||||||||||||
From net investment income | — | (0.22 | ) | (0.14 | ) | (0.09 | ) | (0.06 | ) | (0.02 | ) | |||||||||||||
From net realized capital gains | — | (0.18 | ) | (0.07 | ) | (0.13 | ) | — | (0.24 | ) | ||||||||||||||
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Total Distributions | — | (0.40 | ) | (0.21 | ) | (0.22 | ) | (0.06 | ) | (0.26 | ) | |||||||||||||
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Net Asset Value, End of Period | $ | 9.95 | $ | 9.02 | $ | 10.68 | $ | 10.59 | $ | 10.48 | $ | 9.75 | ||||||||||||
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Total Return | 10.30 | %2 | (12.25 | )% | 2.85 | % | 3.17 | % | 8.10 | % | (2.90 | )% | ||||||||||||
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Ratios to Average Net Assets:3 |
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Total expenses before recoupment (reimbursement) from Investment Adviser | 0.72 | %4 | 0.83 | % | 1.39 | % | 0.79 | % | 1.05 | % | 1.20 | % | ||||||||||||
Management Fees | 1.86 | %4 | 1.85 | % | 1.86 | % | 1.88 | % | 1.88 | % | 1.92 | % | ||||||||||||
Recoupment (reimbursement) from Investment Adviser | — | — | — | — | — | 0.00 | %5 | |||||||||||||||||
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Net expenses after recoupment (reimbursement) from Investment Adviser | 2.58 | %4 | 2.68 | % | 3.25 | % | 2.67 | % | 2.93 | % | 3.12 | % | ||||||||||||
Excluded expenses6 | (0.46 | )%4 | (0.62 | )% | (1.13 | )% | (0.57 | )% | (0.81 | )% | (0.92 | )% | ||||||||||||
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Expenses, net of impact of excluded expenses | 2.12 | %4 | 2.06 | % | 2.12 | % | 2.10 | % | 2.12 | % | 2.20 | % | ||||||||||||
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Net investment income (loss) | 1.13 | %4 | 1.54 | % | 0.89 | % | 0.23 | % | 0.78 | % | (0.34 | )% | ||||||||||||
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Supplemental Data: |
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Net assets, end of period (in thousands) | $ | 1,453,415 | $ | 1,752,913 | $ | 1,619,797 | $ | 686,390 | $ | 432,327 | $ | 339,613 | ||||||||||||
Portfolio turnover | 61 | %2 | 193 | % | 203 | % | 300 | % | 237 | % | 172 | % |
1 | Calculated using average shares outstanding during the period. |
2 | Percentage represents the results for the period presented and are not annualized. |
3 | The ratios do not reflect the Fund’s share of the income and expenses of the underlying Investee Funds. |
4 | Financial ratios have been annualized except for non-recurring costs. |
5 | Represents less than 0.01%. |
6 | Represents expenses excluded from reimbursement by the Investment Adviser, as defined in the Expense Limitation and Reimbursement Agreement. See Note 7. |
See Notes to Consolidated Financial Statements.
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Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Notes to Consolidated Financial Statements
For the Six-Months Ended September 30, 2020 (Unaudited)
1. Organization
Blackstone Alternative Investment Funds (the “Trust”) is a Massachusetts business trust authorized to issue an unlimited number of shares of beneficial interest, which may be divided into different series and classes. The Trust is registered as an open-end management investment company under the Investment Company Act of 1940, as amended (the “1940 Act”). During the six-months ended September 30, 2020, the Trust consisted of a single series, Blackstone Alternative Multi-Strategy Fund (the “Fund”). The Fund commenced operations offering Class I Shares on June 16, 2014. The Fund also offers Class D Shares, Class Y Shares and Class R Shares. Class D Shares and Class Y Shares commenced operations on November 17, 2014 and January 28, 2015, respectively. As of September 30, 2020, the Fund had not issued any Class R Shares. The Fund operates as a diversified open-end investment company as defined in the 1940 Act.
The investment adviser of the Fund is Blackstone Alternative Investment Advisors LLC (“BAIA” or the “Investment Adviser”), a registered investment adviser under the Investment Advisers Act of 1940, as amended. The Board of Trustees (the “Board” and each member a “Trustee”) of the Trust supervises the conduct of the Fund’s affairs and has engaged BAIA to manage the Fund’s day-to-day investment activities pursuant to an investment management agreement. The Fund’s investment objective is to seek capital appreciation. In pursuing the Fund’s investment objective, the Investment Adviser seeks to maintain an investment portfolio with, on average, lower volatility relative to the broader equity markets. The Investment Adviser seeks to achieve the Fund’s objectives by allocating the Fund’s assets among a variety of non-traditional, or “alternative,” investment strategies. The Investment Adviser determines the allocations of the Fund’s assets and allocates a majority of the Fund’s assets among the sub-advisers (the “Sub-Advisers”) with experience managing alternative investment strategies and among investment funds. The Investment Adviser also manages a portion of the Fund��s assets directly and, from time to time, may instruct Sub-Advisers with respect to particular investments. The Investment Adviser may allocate the Fund’s assets among discretionary and non-discretionary Sub-Advisers. Each discretionary Sub-Adviser is responsible for the day-to-day management of the portion of the Fund’s assets that the Investment Adviser allocates to it. Each non-discretionary Sub-Adviser is responsible for providing the Investment Adviser with a model portfolio for the assets allocated to it to be implemented by the Investment Adviser in its discretion. The Investment Adviser has the ultimate responsibility to oversee each Sub-Adviser (subject to the oversight of the Board). The Adviser also is responsible for recommending the hiring, termination, and replacement of Sub-Advisers.
The Fund’s assets may be invested in three wholly-owned and controlled subsidiaries of the Fund (collectively, the “Subsidiaries”), each of which has the same investment objective as the Fund. One of the Fund’s Subsidiaries, Blackstone Alternative Multi-Strategy Sub Fund II Ltd. (the “Cayman Subsidiary”), is a Cayman Islands exempted company. Both of the other Subsidiaries, Blackstone Alternative Multi-Strategy Sub Fund III L.L.C. (the “Domestic Subsidiary III”) and Blackstone Alternative Multi-Strategy Sub Fund IV L.L.C. (the “Domestic Subsidiary IV”), are Delaware limited liability companies. The Cayman Subsidiary invests, directly or indirectly through the use of derivatives, in securities and commodity interests. The Domestic Subsidiary III and the Domestic Subsidiary IV invest, directly or indirectly through the use of derivatives, almost entirely in securities (with only de minimis exposure to commodity interests). The consolidated financial statements include the financial statements of the Fund and the three Subsidiaries. Except where context otherwise requires, the term “Fund” refers to the Fund together with the applicable Subsidiaries.
The Fund and the Cayman Subsidiary are each a commodity pool subject to regulation by the Commodity Futures Trading Commission (“CFTC”). BAIA, the commodity pool operator of the Fund and the Cayman Subsidiary, is registered as such with the CFTC, but has claimed relief under Rules 4.12(c)(3) and 4.7 under the Commodity Exchange Act (“CEA”), respectively, from certain disclosure, reporting, and recordkeeping
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Notes to Consolidated Financial Statements (Continued)
For the Six-Months Ended September 30, 2020 (Unaudited)
requirements otherwise applicable to commodity pools. Neither the Domestic Subsidiary III nor the Domestic Subsidiary IV intends to invest more than a de minimis level of its net assets in “commodity interests” (as defined under the CEA). Accordingly, BAIA is relying on CFTC No-Action Letter 12-38 with respect to the Domestic Subsidiary III and has claimed an exemption under Rule 4.13(a)(3) from registration as a commodity pool operator with respect to the Domestic Subsidiary IV.
Capitalized terms used, but not defined herein, shall have the meaning assigned to them in the Prospectus of the Fund.
2. Basis of Presentation
The Fund’s consolidated financial statements are prepared in accordance with accounting principles generally accepted in the United States of America (“U.S. GAAP”) and are stated in U.S. dollars, except as otherwise noted. The preparation of consolidated financial statements in accordance with U.S. GAAP requires management to make certain estimates and assumptions that affect the reported amount of assets and liabilities, the disclosure of contingent assets and liabilities, and the reported amounts of income and expenses during the period. Actual results could differ from these estimates and these differences could be material.
The Fund is an investment company in accordance with Accounting Standards Codification 946, Financial Services—Investment Companies (“ASC 946”), which defines investment companies and prescribes specialized accounting and reporting requirements for investment companies.
Consolidation
The Fund consolidates its investment in the Subsidiaries. Accordingly, the consolidated financial statements include the assets and liabilities and the results of operations of the Subsidiaries. All material intercompany balances and transactions have been eliminated.
3. Significant Accounting Policies
Valuation Policy
The net asset value (“NAV”) of the Fund’s shares is calculated as of the close of regular trading on the New York Stock Exchange (“NYSE”) (generally 4:00 pm Eastern Time) on each day that the NYSE is open for business (a “Business Day”).
For purposes of calculating the NAV for each class of shares, the Fund values its investments in securities, securities sold short, derivative financial instruments and other investments at fair value. The Board has established procedures for determining the fair value of securities, including securities sold short, derivative financial instruments and other investments (together, the “investments”) (the “Valuation Procedures”). The Board has delegated to the Investment Adviser day-to-day responsibility for implementing the Valuation Procedures. The Investment Adviser’s management has formed the Fair Value Committee (the “FVC”), to which the Board has delegated responsibility for providing oversight of the valuation and pricing function of the Fund for all investments. Pursuant to the Valuation Procedures, if market quotations are not readily available (or are otherwise not reliable for a particular investment), the fair value will be determined by the FVC in good faith, and such determinations will be reported to the Board. Due to the inherent uncertainty, estimates of fair value may differ from the values that would have been used had a ready market for these investments existed and the differences could be material.
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Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Notes to Consolidated Financial Statements (Continued)
For the Six-Months Ended September 30, 2020 (Unaudited)
Market quotes are considered not readily available in circumstances where there is an absence of current or reliable market-based data (e.g., trade information, bid/ask information, or broker-dealer quotations), including where events occur after the close of the relevant market, but prior to the close of the NYSE, that materially affect the value of the Fund’s investments. In addition, market quotes are considered not readily available when, due to extraordinary circumstances, the exchanges or markets on which securities trade do not open for trading for the entire day and no other market prices are available. The Board has delegated to the FVC and the Investment Adviser the responsibility for monitoring significant events that may materially affect the values of the Fund’s investments and for determining whether the value of the applicable investments should be re-evaluated in light of such significant events. There were no instances of such determination made during the six-months ended September 30, 2020.
COVID-19 and Global Economic and Market Conditions
The ongoing novel coronavirus (“COVID-19”) pandemic and restrictions on non-essential businesses have caused disruption in the U.S. and global economies. Despite significant market rebounds across many asset classes, the continued rapid development of this situation and uncertainty regarding potential economic recovery precludes any prediction as to the ultimate adverse impact of COVID-19 on financial market and economic conditions. The estimates and assumptions underlying these consolidated financial statements and this filing are based on the information available as of September 30, 2020, including judgments about the financial market and economic conditions which may change over time.
Fair Value Measurements
Fair value guidance defines fair value, establishes a framework for measuring fair value, and expands disclosures about fair value measurements. U.S. GAAP defines fair value as the price that the Fund would receive to sell an asset or pay to transfer a liability (i.e., the exit price) in an orderly transaction between market participants at the measurement date.
The availability of observable inputs can vary from security to security and is affected by a wide variety of factors, including, for example, the type of security, whether the security is new and not yet established in the marketplace, the liquidity of markets, and other characteristics particular to the security. To the extent that valuation is based on models or inputs that are less observable or unobservable in the market, the determination of fair value requires more judgment. Accordingly, the degree of judgment exercised in determining fair value is greatest for investments categorized in Level 3. The inputs or methodology used for valuing an investment are not necessarily an indication of the risk associated with investing in those securities.
Investments measured and reported at fair value are classified and disclosed in one of the following levels within the fair value hierarchy based on the lowest level of input that is significant to the fair value measurement:
Level 1 – quoted prices are available in active markets for identical investments as of the measurement date. The Fund does not adjust the quoted price for these investments.
The types of investments categorized within Level 1 generally include actively traded domestic and certain foreign equity securities, short-term investments and derivative financial instruments actively traded on recognized exchanges.
Level 2 – quoted prices are available in markets that are not active or model inputs are based on inputs that are either directly or indirectly observable as of the measurement date.
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Notes to Consolidated Financial Statements (Continued)
For the Six-Months Ended September 30, 2020 (Unaudited)
The types of investments categorized within Level 2 generally include certain foreign equities; fixed income securities including corporate and convertible bonds, loans, trade claims, sovereign debt obligations, U.S. Treasury obligations, and asset-backed and mortgage-backed securities; over-the-counter (“OTC”) derivative financial instruments such as total return swaps, interest rate swaps, credit default swaps, OTC options; and forward foreign currency exchange contracts (“Forwards”).
Level 3 – pricing inputs are unobservable and include instances where there is little, if any, market activity for the investment. Inputs reflect the best estimate of what market participants would use in determining fair value of investments as of the measurement date.
Changes in valuation techniques may result in transfers in or out of an investment’s assigned level within the fair value hierarchy.
Level 3 investments are valued by broker quotes, fair value models, or pricing services that may employ valuation techniques with unobservable inputs. At September 30, 2020, the total fair value of Level 3 investments was $80,816,872. The appropriateness of fair values for these securities are monitored on an ongoing basis, including through backtesting, pricing due diligence, unchanged price review, use of specialists, and consideration of macro security specific events.
Where appropriate, the accounting for Blackstone’s investments incorporates the changes in fair value of those investments as determined under U.S. GAAP. The decrease in Fund investments for the six-months ended September 30, 2020 was primarily from the unrealized depreciation in the fair value of underlying investments driven by the impact of COVID-19. The significant inputs and assumptions required to determine the change in fair value of the investments of the Fund are discussed in more detail below.
A description of the valuation techniques applied to the Fund’s major categories of investments measured at fair value on a recurring basis are as follows:
Exchange-Traded Securities
Equity securities, including common stock, listed preferred stock, exchange-traded funds, special purpose acquisition companies, and derivative financial instruments, such as futures contracts and option contracts, that are traded on a recognized securities exchange or on the NASDAQ Global Market System (“NASDAQ”) are valued at the last reported sales price (or the official closing price of certain foreign exchanges) or the NASDAQ official closing price, as applicable. For securities traded on more than one exchange, the last reported sales price on the exchange where the security is primarily traded is used. To the extent these securities and derivative financial instruments are actively traded and adjustments are not applied, they are categorized as Level 1 within the fair value hierarchy.
The Fund may use a third-party fair valuation service provider to value foreign equity securities that are primarily traded outside of North America and South America. The third-party fair valuation service provider calculates a factor (“Fair Value Factor”) that is applied to adjust the last price of each such security in the event that there is movement in excess of a specified trigger (“Fair Value Trigger”), as measured by the movement between the prior close and the current close of the U.S. market. Foreign equities for which the last price has been adjusted by such factor will generally be categorized as Level 2 within the fair value hierarchy. As of September 30, 2020, certain foreign equity securities were classified as Level 2 since a Fair Value Factor was applied to the prices of these securities.
Short-Term Investments
The Fund considers short-term, highly liquid investments with original maturities of 90 days or less when acquired to be short-term investments. At September 30, 2020, the Fund did not have any investment in Short-Term Investments.
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Derivative Financial Instruments
OTC derivative financial instruments, such as Forwards, OTC options contracts, or swap agreements, derive their value from underlying referenced instruments or obligations, indices, reference rates, and other inputs or a combination thereof. These contracts are normally valued by pricing service providers or based on broker-dealer quotations. Depending on the nature of the instruments and the terms of the transaction, the value of OTC derivative financial instruments can be estimated by a pricing service provider using a series of techniques, including industry standard pricing models. The pricing models use inputs that are observed from actively quoted markets such as issuer details, indices, spreads, yield curves, dividends and exchange rates. Derivative financial instruments that use similar valuation techniques and inputs as described above are categorized as Level 2 within the fair value hierarchy.
Centrally cleared swaps listed or traded on a multilateral or trade facility platform, such as a registered exchange, are valued at the daily settlement price determined by the clearing exchange. For centrally cleared credit default swaps, the clearing facility requires its members to provide actionable levels across complete term structures. These levels along with external third-party prices are used to produce daily settlement prices. Centrally cleared interest rate swaps are valued using a pricing model that references the underlying rates to produce the daily settlement price. These securities are categorized as Level 2 within the fair value hierarchy.
Fixed Income Securities
Fixed income securities, including corporate and convertible bonds, U.S. government sponsored agency securities, municipal bonds, U.S. Treasury obligations, foreign debt obligations, and bank debt are normally valued by pricing service providers on the basis of last available bid price or ask price for securities sold short. In determining the value of a particular investment, pricing service providers may use broker-dealer quotations, reported trades, or valuation estimates from their internal pricing models to determine the reported price that consider observable inputs. The pricing service providers’ internal models use observable inputs such as issuer details, interest rates, yield curves, prepayment speeds, credit risks/spreads, default rates and quoted prices for similar assets. Securities that use similar valuation techniques and inputs as described above are categorized as Level 2 within the fair value hierarchy.
Mortgage-related securities (“MBS”) and asset-backed securities (“ABS”) are usually issued as separate tranches, or classes, of securities within each deal. These securities are also generally valued by pricing service providers that use broker-dealer quotations or valuation estimates from their internal pricing models. The pricing models for these securities usually consider tranche-level attributes, current market data, estimated cash flows and market-based yield spreads for each tranche, and incorporate deal collateral performance, as available. MBS and ABS that use similar valuation techniques and inputs as described above are categorized as Level 2 within the fair value hierarchy.
Investments in Investee Funds
The fair value of investments in unaffiliated hedge funds (collectively, the “Investee Funds”) is generally determined using the reported net asset value per share of the Investee Fund, or its equivalent, as a practical expedient for fair value, unless the investment in the Investee Fund is traded on a recognized securities exchange and a quoted price is available as of the measurement date. If the Investee Fund is not traded on an exchange, the Fund may, as a practical expedient, estimate the fair value of an Investee Fund based on the reported net asset value per share or its equivalent if the reported net asset value per share or its equivalent of the Investee Fund is calculated in a manner consistent with the measurement principles applied to investment companies, in accordance with ASC 946.
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Securities and Other Investments
Bank Debt
The Fund may invest in bank debt including, for example, corporate loans, trade claims, loan participations, direct debt, revolvers, bank loans, and bridge loans. The Fund invests in loans through novations, assignments, and participation interests. In a novation, the Fund typically assumes all of the rights of a lending institution, including the right to receive payments of principal and interest and other amounts directly from the borrower and to enforce its rights as a lender directly against the borrower. When the Fund takes an assignment of a loan, the Fund acquires some or all of the interest of another lender (or assignee) in the loan. In such cases, the Fund may be required generally to rely upon the assignor to demand payment and enforce rights under the loan. If the Fund acquires a participation in the loan, the Fund purchases an indirect interest in a loan held by a third-party and the Fund typically will have a contractual relationship only with the third-party loan investor, not with the borrower. As a result, the Fund may have the right to receive payments of principal, interest, and any fees to which it is entitled only from the loan investor selling the participation and only upon receipt by such loan investor of such payments from the borrower. In such cases, the Fund assumes the credit risk of both the borrower and the loan investor selling the participation, and the Fund may be unable to realize some or all of the value of its interest in the loan in the event of the insolvency of the third-party. Changes in the financial condition of the borrower or economic conditions or other circumstances may reduce the capacity of the borrower to make principal and interest payments on such instruments and may lead to defaults. Certain types of bank debt may have an associated partially funded or unfunded commitment. The unfunded commitments may or may not be funded by the Fund. At September 30, 2020, the Fund had an outstanding commitment of $48,060 related to held bank debt.
Mortgage-Related and Other Asset-Backed Securities
The Fund may invest in MBS (residential and commercial) and other ABS. These securities include mortgage pass-through securities, collateralized mortgage obligations, commercial mortgage-backed securities, residential mortgage-backed securities, collateralized debt obligations, collateralized loan obligations, and other securities that directly or indirectly represent a participation in, or are secured by and payable from, mortgage loans on real property. MBS and other ABS represent interests in pools of mortgages, loans or other assets. MBS are created from pools of residential or commercial mortgage loans, including loans made by savings and loans institutions, mortgage bankers, commercial banks and others. These securities typically provide a monthly payment that consists of principal and/or interest payments. Interest payments may be determined by fixed or adjustable rates. MBS and ABS are subject to credit, interest rate, valuation liquidity, prepayment and extension risks.
Securities Sold Short
The Fund may sell securities short (a “Short Sale”). A Short Sale is a transaction whereby the Fund sells securities it does not own in anticipation of a decline in the market price of those securities, whereby the Fund’s broker will execute a borrow transaction to deliver the securities resulting from the Fund’s Short Sale. The Fund is obligated to repurchase the securities at the market price at the time of replacement. The Fund’s obligations to replace the securities in connection with a Short Sale are secured by collateral.
Upon entering into a Short Sale, the Fund establishes a liability which is recorded as securities sold short in the Consolidated Statement of Assets and Liabilities to represent securities due under the Short Sale agreement. The Fund is liable to pay any dividends declared and/or interest income earned during the period the Short Sale is open. These dividends and interest are recorded as dividend and interest expense on securities sold short in the Consolidated Statement of Operations.
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Investment Transactions and Related Investment Income
Investment transactions are recorded as of the trade date. Dividend income is recorded on the ex-dividend date or, for certain foreign securities, as of the date notified. Interest income, which includes amortization of premiums and accretion of discounts on non-defaulted fixed income securities, is recorded on an accrual basis and is accrued daily. Realized gains and losses on investments are determined on the identified cost basis, which is the same basis used for federal income tax purposes. Foreign income and foreign capital gains on some foreign securities may be subject to foreign taxes, which are accrued as applicable.
Allocation of Income and Expenses
The Fund uses the adjusted prior day net assets for each class of shares, adjusted for capital activity, to allocate Fund-level income and expenses and unrealized capital gains and losses pro-rata to each class of shares. Class-specific income and expenses are allocated directly to the applicable class.
Cash
At September 30, 2020, the Fund had $1,554,560,446 in domestic cash and $13,454 in foreign cash held at State Street Bank and Trust Company.
Foreign Currency
The functional currency of the Fund is the U.S. dollar. Assets and liabilities denominated in foreign currencies are translated into U.S. dollars at the closing prices of such currencies on each Business Day. Purchases and sales of investments and income and expenses are translated on the respective dates of such transactions or when accrued. The Fund does not isolate the portion of realized or unrealized gains or losses resulting from changes in the foreign exchange rate on investments from fluctuations arising from changes in the fair value of the investments. Such gains and losses are included with net realized and unrealized gain or loss on investments. Net realized gains and losses on foreign currency transactions represent net realized exchange gains or losses on disposition of foreign currencies and currency gains and losses realized between trade and settlement dates on investment transactions. Net unrealized appreciation and depreciation of assets and liabilities, other than investments, attributable to foreign currency fluctuations are recorded as net unrealized appreciation or depreciation on foreign currency translations in the Consolidated Statement of Operations.
Contingencies
Under the Trust’s Amended and Restated Agreement and Declaration of Trust (the “Declaration of Trust”), the Fund’s officers and Trustees are indemnified against certain liabilities that may arise out of the performance of their duties to the Fund. Additionally, in the normal course of business, the Fund may enter into contracts that contain a variety of representations and indemnifications. To date, the Fund has not had claims or losses pursuant to these contracts, although there is no assurance that it will not incur losses in connection with these indemnifications in the future.
Income Taxes
The Fund’s policy is to comply with the provisions of the Internal Revenue Code of 1986, as amended (the “Code”), applicable to regulated investment companies and to distribute all of its investment company taxable income and net long-term capital gains to its shareholders. Therefore, no federal income tax provision is expected to be required. The Fund plans to file U.S. federal and various state and local tax returns.
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For the Six-Months Ended September 30, 2020 (Unaudited)
For the current open tax years ending on October 31, 2016, October 31, 2017, October 31, 2018 and October 31, 2019, with respect to all major jurisdictions, management of the Fund has concluded that there are no significant uncertain tax positions that would require recognition in the consolidated financial statements. As a result, no income tax liability or expense, including interest and penalties, has been recorded within these consolidated financial statements.
Dividends and Distributions to Shareholders
Dividends from net investment income and distributions of net realized capital gains of the Fund, if any, are generally declared and paid in December; however, the Fund may make additional distributions at other times consistent with Rule 19b-1 under the 1940 Act. Dividends and capital gain distributions paid by the Fund will be reinvested in additional Shares (see Note 6) of the Fund or, if elected by the Shareholder, paid in cash.
Segregation and Collateralization
In cases in which the 1940 Act and the interpretive positions of the Securities and Exchange Commission (“SEC”) and its staff require that the Fund either delivers collateral or segregates assets in connection with certain investments (e.g., futures contracts, forwards, swaps and options written), or transactions considered to reflect borrowings (e.g., reverse repurchase agreements), the Fund will, consistent with SEC rules and/or other guidance issued by the SEC, segregate collateral or designate on its books and records cash or liquid securities having a market value at least equal to the amount that would otherwise be required to be physically segregated. Furthermore, based on requirements and agreements with certain exchanges and third party broker-dealers, the Fund engaging in such transactions may have requirements to deliver/deposit securities to/with an exchange or broker-dealer as collateral for certain investments to the extent consistent with the 1940 Act and interpretive positions of the SEC and its staff. The Fund may mitigate counterparty risk by procuring collateral and through netting provisions included within an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA Master Agreement”) entered into between the Fund and each of its respective counterparties. An ISDA Master Agreement may contain certain provisions regarding, among other things, the parties’ general obligations, representations, agreements, collateral requirements, events of default and early termination. Certain ISDA Master Agreements, or similar agreements, may allow the Fund to offset certain derivative financial instruments with collateral. At September 30, 2020, the Fund used the gross method of presentation in its consolidated financial statements and did not elect to offset amounts eligible for offset under enforceable master netting arrangements or similar agreements (“MNA”). The segregated cash balance with counterparties for OTC derivatives disclosed on the Consolidated Statement of Assets and Liabilities includes amounts for various derivative types which are comingled per the Fund’s ISDA Master Agreements. These amounts are shown gross. The amount of collateral moved to/from applicable counterparties is generally based upon minimum transfer amounts of up to $250,000. Collateral pledged by the Fund is segregated by the Fund’s custodian and identified as such in the Fund’s portfolio. Collateral can be in the form of cash or securities as agreed to by the Fund and the applicable counterparty. Typically, the Fund and counterparties are not permitted to sell, repledge or use the collateral they receive unless explicitly permitted by each respective governing agreement.
The Fund manages counterparty risk by entering into agreements only with counterparties that the Investment Adviser believes to have the financial resources to honor its obligations and by monitoring the financial stability of those counterparties. The agreements entered into by the Fund may contain credit risk related contingent features that may be triggered in certain circumstances to protect either party from a deterioration in creditworthiness of the other. Such circumstances may include a decrease in credit rating or, in the case of the Fund, a decrease in net asset value. If triggered, the Fund or counterparty may be entitled to additional cash margin and/or to terminate the contract. See Note 9 for a further discussion of the risks of the Fund, including credit and counterparty risk.
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Reverse Repurchase Agreements
The Fund may enter into reverse repurchase agreements. In a reverse repurchase agreement, the Fund sells a security in exchange for cash to a financial institution, the counterparty, with a simultaneous agreement to repurchase the same or substantially the same security at an agreed upon price and date, under the terms of a Master Repurchase Agreement (“MRA”). The Fund is entitled to receive principal and interest payments, if any, made on the security delivered to the counterparty during the term of the agreement. Cash received in exchange for securities delivered plus accrued interest payments to be made by the Fund to counterparties is reflected as a liability. Reverse repurchase agreements involve the risk that the market value of the securities purchased with the proceeds from the sale of securities received by the Fund may decline below the price of the securities the Fund is obligated to repurchase. Reverse repurchase agreements also involve credit risk with the counterparty to the extent that the value of securities subject to repurchase exceed the Fund’s liability under the reverse repurchase agreement. Securities subject to repurchase under reverse repurchase agreements, if any, are designated as such in the Consolidated Schedule of Investments. Due to the short term nature of the reverse repurchase agreements, face value approximates fair value. As of September 30, 2020, the face value of open reverse repurchase agreements for the Fund was $385,702,982. The weighted average daily balances of reverse repurchase agreements outstanding for the Fund during the six-months ended September 30, 2020 was approximately $615,383,437, at a weighted average weekly interest rate of 1.83%.
An MRA contains provisions for, among other things, initiation, income payments, events of default and maintenance of securities for repurchase agreements. An MRA also permits offsetting with collateral to create one single net payment in the event of default or similar events, including the bankruptcy or insolvency of a counterparty. The Fund may not use reverse repurchase agreements and related collateral governed by an MRA to offset derivatives contracts and related collateral governed by an ISDA (see Note 4) or securities lending agreements and related collateral governed by a securities lending agreement (“SLA”) (see below).
The following tables present the reverse repurchase agreements, which are subject to enforceable MRAs, as well as the collateral delivered related to those reverse repurchase agreements by class of collateral and summarized by the remaining contractual maturity of the transactions.
Counterparty | Reverse Repurchase Agreements | Fair Value of Non-Cash Collateral(1) | Cash Collateral Pledged(1) | Net Amount(2) | ||||||||||||||||
Barclays Bank plc | $ | (85,635,344 | ) | $ | 85,635,344 | $ | — | $ | — | |||||||||||
BNP Paribas Securities Corp. | (42,491,510 | ) | 42,491,510 | — | — | |||||||||||||||
Credit Suisse Securities (USA) LLC | (17,926,895 | ) | 17,926,895 | — | — | |||||||||||||||
Goldman Sachs Bank USA | (79,103,653 | ) | 79,103,653 | — | — | |||||||||||||||
HSBC Bank plc | (35,663,370 | ) | 35,663,370 | — | — | |||||||||||||||
JPMorgan Chase Bank, N.A. | (98,092,893 | ) | 98,092,893 | — | — | |||||||||||||||
Merrill Lynch, Pierce, Fenner & Smith, Inc. | (851,613 | ) | 851,613 | — | — | |||||||||||||||
RBC (Barbados) Trading Bank Corporation | (15,806,945 | ) | 15,806,945 | — | — | |||||||||||||||
Royal Bank of Canada | (10,674,747 | ) | 10,674,747 | — | — | |||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total | $ | (386,246,970 | ) | $ | 386,246,970 | $ | — | $ | — | |||||||||||
|
|
|
|
|
|
|
|
(1) | Additional required collateral pledged is not shown for financial reporting purposes. The total fair value of non-cash and cash collateral pledged at September 30, 2020 was $495,365,012 and $4,878,318, respectively. |
(2) | Net amount represents the net receivable (payable) that would be due from/to the counterparty in the event of default. |
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Remaining Contractual Maturity of the Agreements As of September 30, 2020 | |||||||||||||||||||||||||
Overnight | <30 days | Between 30 & 90 | >90 days | Total | |||||||||||||||||||||
Reverse Repurchase Agreements |
| ||||||||||||||||||||||||
Corporate Bonds & Notes | $ | — | $ | — | $ | — | $ | 827,497 | $ | 827,497 | |||||||||||||||
Mortgage-Backed Securities | — | 142,900,937 | 18,547,763 | — | 161,448,700 | ||||||||||||||||||||
Sovereign Debt | — | — | 5,564,221 | 211,172,787 | 216,737,008 | ||||||||||||||||||||
Asset-Backed Securities | — | 7,233,765 | — | — | 7,233,765 | ||||||||||||||||||||
Collateral Cash | — | — | — | — | — | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Total | $ | — | $ | 150,134,702 | $ | 24,111,984 | $ | 212,000,284 | $ | 386,246,970 | |||||||||||||||
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|
|
|
|
|
|
|
|
| ||||||||||||||||
Gross amount of recognized liabilities for reverse repurchase agreements |
| $ | 386,246,970 | ||||||||||||||||||||||
|
|
Securities Lending
The Fund may lend securities, through its agent, to certain qualified financial institutions. The loans are collateralized by cash in an amount at least equal to the market value of the securities loaned. The market value of securities loaned is determined daily and any additional required collateral is allocated to the Fund on the next Business Day. The initial collateral received by the Fund should have a value of at least 102% of the current value of loaned securities for U.S. securities and at least 105% for all other securities. The risk of borrower default will be borne by the Fund’s agent; the Fund will bear the risk of loss with respect to the investment of the cash collateral. The advantage of such loans is that the Fund continues to receive income on loaned securities while earning returns on the cash amounts which may be reinvested for the purchase of investments in securities. As of September 30, 2020, there were no securities on loan.
The SLA entered into by the Fund provides the right, in the event of default, for the non-defaulting party to liquidate the collateral and calculate a net exposure to the defaulting party or request additional collateral. Under the agreement, the Fund can reinvest cash collateral.
When-Issued and Delayed-Delivery Transactions
The Fund may engage in when-issued or delayed-delivery transactions. The Fund records when-issued or delayed-delivery securities on the trade date and maintains security positions such that sufficient liquid assets will be available to make payment for the securities purchased. Securities purchased on a when-issued or delayed-delivery basis are marked-to-market daily and begin earning interest on the settlement date. Losses may occur on these transactions due to changes in market conditions or the failure of counterparties to perform under the contract.
The Fund may transact in To Be Announced Securities (“TBAs”). As with other delayed-delivery transactions, a seller agrees to issue TBAs at a future date. However, the seller does not specify the particular securities to be delivered. Instead, the Fund agrees to accept any security that meets specified terms such as issuer, interest rate and terms of underlying mortgages. The Fund records TBAs on the trade date utilizing information associated with the specified terms of the transaction as opposed to the specific mortgages. TBAs are marked-to-market daily and begin earning interest on the settlement date. Losses may occur due to the fact that the actual underlying mortgages received may be less favorable than those anticipated by the Fund.
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Restricted Securities
The Fund may purchase securities which are considered restricted. Restricted securities are securities that cannot be offered for public sale without first being registered under the Securities Act of 1933, as amended, or are subject to contractual restrictions on public sales. Many such restricted securities may be resold in the secondary market in transactions exempt from registration. The Fund will not incur any registration costs upon such resales. The Fund cannot demand registration of restricted securities. The Fund’s restricted securities, like other securities, are priced in accordance with the Valuation Procedures. Restricted securities are identified in the Consolidated Schedule of Investments.
4. Derivative Financial Instruments
In the normal course of business, the Fund enters into derivative financial instrument contracts for trading and/or economic hedging purposes to increase the returns of the Fund or to protect against exposure to certain risks such as credit risk, equity risk, interest rate risk, foreign currency exchange risk or other risk (e.g., inflation risk). These contracts may be transacted on a recognized exchange or OTC. The following disclosures contain information on how the Fund uses derivative financial instruments. The derivative financial instruments outstanding as of period end are disclosed in the Consolidated Schedule of Investments.
Forward Foreign Currency Exchange Contracts
The Fund may enter into Forwards to obtain investment exposure, seek to enhance return or hedge or protect its portfolio holdings against the risk of future movements in certain foreign currency exchange rates. Forwards are agreements between two parties to receive or deliver a fixed quantity of foreign currency for an agreed-upon price on an agreed upon future date. The market value of a Forward fluctuates with the changes in foreign currency exchange rates. These contracts are valued daily and the change in market value is recorded as an unrealized gain or loss on forward foreign currency exchange contracts. When a contract is closed, the Fund recognizes a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed.
The use of forward foreign currency exchange contracts does not eliminate fluctuations in the underlying prices of the securities of the Fund, but it does establish a rate of exchange that can be achieved in the future. Although forward foreign currency exchange contracts may limit the risk of loss due to a decline in the value of the currency holdings, they also limit any potential gain that might result should the value of the currency increase. In addition, the Fund could be exposed to losses if the counterparties to the contracts are unable to meet the terms of the contracts. The Fund’s maximum potential loss from such contracts is the aggregate face value in U.S. dollars at the time the contract was opened. These contracts involve market and/or credit risk in excess of the amount recognized in the Consolidated Statement of Assets and Liabilities.
Futures Contracts
The Fund may enter into futures contracts to maintain investment exposure to a target asset class or to seek to enhance return. The Fund may be subject to fluctuations in equity prices, interest rates, commodity prices and foreign currency exchange rates in the normal course of pursuing its investment objective. Futures contracts are standardized agreements to buy or sell a security or deliver a final cash settlement price in connection with an index, interest rate, currency, or other asset. The Fund must deposit an amount (“initial margin”) equal to a certain percentage of the face value of the futures contract. The initial margin may be in the form of cash or securities which is returned when the Fund’s obligations under the contract have been satisfied. If cash is deposited as the initial margin, it is shown as segregated cash balance with broker for futures contracts in the Consolidated Statement of Assets and Liabilities. Futures contracts are marked-to-market daily and subsequent payments (“variation margin”) are made or received by the Fund depending on whether
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unrealized gains or losses are incurred. When the contract is closed or expires, the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. The potential risk to the Fund is that the change in value of futures contracts may not correspond to the change in the value of the hedge investments. In addition, losses may arise from changes in the value of the underlying instrument, if interest or exchange rates move unexpectedly or if the counterparty is unable to perform. With futures, there is minimal counterparty credit risk to the Fund since futures are exchange traded and the exchanges’ clearinghouse, as counterparty to all exchange traded futures, guarantees the futures against default.
Options Contracts
The Fund may purchase and write call and put options. An option contract purchased by the Fund gives the Fund the right, but not the obligation, to buy (call) or sell (put) an underlying instrument at a fixed exercise price during a specified period. Call options written by the Fund give the holder the right to buy the underlying instrument from the Fund at a fixed exercise price; put options written by the Fund give the holder the right to sell the underlying instrument to the Fund at a fixed exercise price. The Fund may use options to hedge against changes in values of securities or currencies it owns or expects to own, to gain or to maintain exposure to interest rates, currencies or broad equity markets, to generate additional income or to enhance returns.
Options trading involve certain additional risks. Specific market movements of the option and the instruments underlying the option cannot be predicted. No assurance can be given that a liquid secondary market will exist for any particular option or at any particular time. The Fund might not be able to enter into a closing transaction for the option as a result of an illiquid market for the option. To realize any profit in the case of an option, therefore, the option holder would need to exercise the option and comply with margin requirements for the underlying instrument. A writer could not terminate the obligation until the option expired or the writer was assigned an exercise notice. The purchaser of an option is subject to the risk of losing the entire purchase price of the option. The writer of an option is subject to the risk of loss resulting from the difference between the premium received for the option and the price of the futures contract underlying the option that the writer must purchase or deliver upon exercise of the option. The writer of a naked option may have to purchase the underlying contract in the market for substantially more than the exercise price of the option in order to satisfy his delivery obligations. This could result in a large net loss.
Equity, foreign currency or index options that may be purchased or sold by the Fund may include options not traded on a securities exchange. The risk of nonperformance by the counterparty on such option may be greater and the ability of the Fund to enter into a closing transaction with respect to such option may be less than in the case of an exchange traded option.
The Fund may purchase or write interest rate swaption agreements, which are options to enter into a predefined swap agreement by some specific date in the future. The writer of the swaption becomes the counterparty to the swap if the buyer exercises. The interest rate swaption agreement will specify whether the buyer of the swaption will be a fixed-rate receiver or a fixed-rate payer upon exercise.
Purchases of put and call options are recorded as investments, the value of which are marked-to-market daily. When a purchased option expires without being exercised, the Fund will realize a loss equal to the premium paid. When the Fund enters into a closing sale transaction, the Fund will realize a gain or loss depending on whether the sales proceeds from the closing sale transaction are greater or less than the premium initially paid for the option. When the Fund exercises a put option, it will realize a gain or loss from the sale of the underlying instrument and the proceeds from such sale will be decreased by the premium originally paid for the put option. When the Fund exercises a call option, the cost of the security which the Fund purchases upon
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exercise will be increased by the premium originally paid for the call option. Realized gains and losses on purchased options are included in realized gains and losses on investments.
The premium received for a written option is recorded as an asset and an equivalent liability. The liability is marked-to-market daily in accordance with the option’s valuation policy. When a written option expires without being exercised or the Fund enters into a closing purchase transaction, the Fund realizes a gain (or loss if the cost of the closing purchase transaction exceeds the premium received when the option was sold) without regard to any unrealized gain or loss on the underlying instrument and the liability related to such option is eliminated. When a written call option is exercised, the Fund realizes a gain or loss, as adjusted for the premium received, from the sale of the underlying instrument. When a written put option is exercised, the premium received is offset against the amount paid for the purchase of the underlying instrument.
Swap Agreements
The Fund may enter into total return, interest rate, and credit default swap agreements (“Swaps”). Swaps are bilaterally negotiated agreements between the Fund and a counterparty in which the Fund and counterparty agree to make either periodic net payments on a specified notional amount or a net payment upon termination. Swap agreements are privately negotiated in the OTC market or may be executed in a multilateral or other trade facility platform, such as a registered exchange or swap execution facility (“centrally cleared swaps”). The Fund may enter into swap agreements for the purposes of managing exposure to interest rate, credit or market risk, or for other purposes. In connection with these agreements, securities or cash (“segregated cash” or “collateral”) may be paid or received, as applicable, by the Fund as collateral or margin in accordance with the terms of the respective swap agreements to provide assets of value and recourse in the event of default or bankruptcy/insolvency. Securities posted by the Fund as collateral for swaps are identified in the Consolidated Schedule of Investments and segregated cash, if any, is reflected in the Consolidated Statement of Assets and Liabilities.
Swap transactions involve, to varying degrees, elements of interest rate, credit and market risk in excess of the amounts recognized in the Consolidated Statement of Assets and Liabilities. Such risks involve the possibility that there will be no liquid market for these agreements, that the counterparty to the agreements may default on its obligation to perform, or that there may be unfavorable changes in market conditions or interest rates. In addition, entering into swap agreements involves documentation risk resulting from the possibility that the parties to a swap agreement may disagree as to the meaning of contractual terms in the agreement. The Fund’s maximum risk of loss from counterparty credit risk is the discounted value of the net cash flows to be received from the counterparty over the contract’s remaining life, to the extent that amount is positive, or the fair value of the contract. The risk may be mitigated by having an MNA between the Fund and the counterparty and by the posting of collateral by the counterparty to cover the Fund’s exposure to the counterparty.
Interest Rate Swaps: The Fund may enter into OTC and/or centrally cleared interest rate swap contracts to hedge interest rate risk, to gain exposure on interest rates and to hedge prepayment risk. The Fund is subject to interest rate risk exposure in the normal course of pursuing their investment objectives. The Fund may hold fixed rate bonds, and the value of these bonds may decrease if interest rates rise. Interest rate swaps are agreements in which one party pays a stream of interest payments, either fixed or floating rate, for another party’s stream of interest payments, either fixed or floating, on the same notional amount for a specified period of time. The Fund’s maximum risk of loss from counterparty credit risk, as opposed to investment and other types of risk, in respect of interest rate swaps is typically the discounted net value of the cash flows to be received from the counterparty over the contracts remaining life, to the extent that amount is positive.
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Interest rate swaps can be purchased or sold with an upfront premium. An upfront payment received by the Fund is recorded as a liability on the Fund’s Consolidated Statement of Assets and Liabilities and an upfront payment made by the Fund is recorded as an asset in the Consolidated Statement of Assets and Liabilities. Interest rate swaps are marked-to-market daily and any change is recorded as an unrealized gain or loss on swaps. Daily fluctuations in the value of centrally cleared interest rate swaps are recorded as a receivable or payable for variation margin on the Fund’s Consolidated Statement of Assets and Liabilities. Payments, including upfront premiums, received or made are recorded as realized gains or losses at the closing of the contract.
Total Return Swaps: The Fund may enter into total return swap agreements to obtain exposure to a security, index, market or other basket of securities without owning such security or investing directly in that security, index, market or other basket of securities or to transfer the risk/return of one market (e.g., fixed income) to another market (e.g., equity) (equity risk and/or interest rate risk). Total return swaps are agreements in which one party agrees to make periodic payments to another party based on the change in market value of the underlying instrument, which may include a specified security, index, basket of securities or securities indices during the specific period, in return for periodic payments based on a fixed or floating rate or the total return from other underlying assets. To the extent the total return of the instrument underlying the transaction exceeds or falls short of the offsetting interest rate obligation, the Fund will receive a payment from or make a payment to the counterparty. Total return swaps can also be structured without an interest payment, so that one party pays the other party if the value of the underlying instrument increases and receives payment from the other party if the value of the underlying asset decreases.
The Fund may utilize total return swaps on baskets of securities (“Basket Swaps”) to a significant extent in order to obtain synthetic exposure to investment strategies. For a Basket Swap, the Fund or a Subsidiary makes payments to a counterparty (at either a fixed or variable rate) in exchange for receiving from the counterparty payments that reflect the return of a “basket” of securities, derivatives, and/or commodity interests identified by the Sub-Adviser (or the Adviser). The Fund may also utilize structured notes (“Basket Notes”) in which the Fund or a Subsidiary purchases a note from an issuer in exchange for receiving from the issuer payments that reflect the return of an account through which the Sub-Adviser (or the Adviser) manages a portfolio reflecting a basket of securities, derivatives, and/or commodity interests. The Sub-Adviser (or the Adviser) will select and manage the securities, derivatives, and/or commodity interests underlying the Basket Swap or the Basket Note in a manner consistent with the Fund’s strategies. The Fund’s investment returns on Basket Swaps or Basket Notes generally will correspond to the Fund’s returns had the Sub-Adviser managed the notional equivalent of the Fund’s assets directly (although returns on Basket Swaps or Basket Notes will be reduced by financing charges and trading costs incurred by the Basket Swap counterparty or Basket Note issuer). The Fund expects to obtain a significant portion of its investment exposure through Basket Swaps and/or Basket Notes.
Credit Default Swaps: The Fund may enter into OTC and/or centrally cleared credit default swap contracts to hedge credit risk, to hedge market risk, or to gain exposure on single-name issuers and/or baskets of securities.
In a credit default swap contract, the protection buyer typically makes an upfront payment and a periodic stream of payments to a counterparty, the protection seller, in exchange for the right to receive a contingent payment upon the occurrence of a credit event on the reference obligation or all other equally ranked obligations of the reference entity. Credit events are contract specific but may include bankruptcy, failure to pay, restructurings and obligation acceleration. An upfront payment received by the Fund or made by the Fund is recorded as a liability or asset, respectively, in the Consolidated Statement of Assets and Liabilities. Periodic payments received or paid by the Fund are recorded as realized gains or losses. Credit default swap contracts are marked-to-market daily and the change is recorded as an unrealized gain or loss on swaps. Upon
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the occurrence of a credit event, the difference between the par value and the market value of the reference obligation, net of any proportional amount of upfront payment, is recorded as a realized gain or loss on swaps.
Interest rate swaps, total return swaps and credit default swaps outstanding at period end are listed at the end of the Fund’s Consolidated Schedule of Investments.
At September 30, 2020, the Fund had the following derivative financial instruments, presented on a gross basis and categorized by risk exposure:
Asset Derivatives | Liability Derivatives | |||||||||||
Consolidated Statement | Fair Value | Consolidated Statement | Fair Value | |||||||||
Interest Rate | Centrally cleared swaps, at fair value (c) | $ | 19,958,760 | Centrally cleared swaps, at fair value (c) | $ | (41,277,585 | ) | |||||
Swap contracts, at fair value (b) | 1,059,560 | Swap contracts, at fair value (b) | (144,152 | ) | ||||||||
Unrealized appreciation on futures contracts (c) | 579,506 | Unrealized depreciation on futures contracts (c) | (146,634 | ) | ||||||||
Equity | Swap contracts, at fair value (b) | 20,364,395 | Swap contracts, at fair value (b) | (26,453,667 | ) | |||||||
Unrealized appreciation on futures contracts (c) | 410,000 | Unrealized depreciation on futures contracts (c) | (1,183,571 | ) | ||||||||
Purchased options, at fair value (d) | 1,203,580 | Options written, at value | (1,452,180 | ) | ||||||||
Commodity | Unrealized appreciation on futures contracts (c) | 5,574,920 | Unrealized depreciation on futures contracts (c) | (3,322,796 | ) | |||||||
Purchased options, at fair value (d) | 18,112,758 | Options written, at value | (16,348,332 | ) | ||||||||
Credit | Centrally cleared swaps, at fair value (c) | 4,958,469 | Centrally cleared swaps, at fair value (c) | (5,442,042 | ) | |||||||
Swap contracts, at fair value (b) | 3,694,297 | Swap contracts, at fair value (b) | (11,056,751 | ) | ||||||||
Foreign Exchange | Unrealized appreciation on forward foreign currency exchange contracts | 1,936,156 | Unrealized depreciation on forward foreign currency exchange contracts | (2,903,402 | ) | |||||||
Unrealized appreciation on futures contracts (c) | 54,664 | Unrealized depreciation on futures contracts (c) | (39,112 | ) | ||||||||
Purchased options, at fair value (d) | 3,951,873 | Options written, at value | (3,094,686 | ) | ||||||||
|
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| |||||||||
Total | $ | 81,858,938 | $ | (112,864,910 | ) | |||||||
|
|
|
| |||||||||
Amounts not subject to MNA(1) | 54,804,530 | (72,306,938 | ) | |||||||||
|
|
|
| |||||||||
Total gross amounts subject to MNA | $ | 27,054,408 | $ | (40,557,972 | ) | |||||||
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|
|
|
(1) | See below for disclosure of financial instruments assets and liabilities subject to offset under enforceable MNA. |
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For the Six-Months Ended September 30, 2020 (Unaudited)
The following tables present information about the amount of net realized gain (loss) and net unrealized appreciation (depreciation) on derivative financial instruments for the six-months ended September 30, 2020:
Primary Underlying Risk | Average | Average | Net | Net Change in Appreciation | ||||||||||||||||
Interest Rate | ||||||||||||||||||||
Swap contracts | — | $ | 1,731,659,060 | $ | 15,039,202 | $ | 3,647,836 | |||||||||||||
Future contracts | — | 815,275,338 | 1,524,023 | (359,123 | ) | |||||||||||||||
Purchased options (d) | — | — | 349,884 | — | ||||||||||||||||
Options written | — | — | — | — | ||||||||||||||||
Equity | ||||||||||||||||||||
Swap contracts | — | 1,405,673,272 | 70,466,618 | (51,083,446 | ) | |||||||||||||||
Future contracts | — | 136,956,335 | (32,763,437 | ) | 5,020,547 | |||||||||||||||
Purchased options (d) | 4,023 | (1,120,417 | ) | (10,011,971 | ) | (568,683 | ) | |||||||||||||
Options written | (1,084 | ) | 5,394,353 | 26,831,935 | (2,471,953 | ) | ||||||||||||||
Commodity | ||||||||||||||||||||
Future contracts | — | 238,687,494 | (7,957,822 | ) | 8,228,036 | |||||||||||||||
Purchased options (d) | — | (388,673 | ) | (444,136 | ) | 1,934,927 | ||||||||||||||
Options written | — | (94,543 | ) | 517,368 | (660,711 | ) | ||||||||||||||
Credit | ||||||||||||||||||||
Swap contracts | — | 591,593,295 | (58,240,745 | ) | 45,735,633 | |||||||||||||||
Foreign Exchange | ||||||||||||||||||||
Forward foreign currency exchange Contracts | — | 2,202,491,312 | 3,548,782 | (13,566,950 | ) | |||||||||||||||
Future contracts | — | 23,251,309 | 543,005 | (676,959 | ) | |||||||||||||||
Purchased options | — | 113,785,714 | (5,886,923 | ) | 1,125,942 | |||||||||||||||
Options written | — | (30,857,143 | ) | — | 210,680 | |||||||||||||||
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|
|
| |||||||||||||||||
Total | $ | 3,515,783 | $ | (3,484,224 | ) | |||||||||||||||
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(a) | Averages are based on monthly activity levels during the six-months ended September 30, 2020. |
(b) | Includes swap contract premiums paid/received and unrealized appreciation/depreciation on swap contracts. |
(c) | Includes unrealized appreciation/depreciation of futures contracts and centrally cleared swaps as reported in the Notes to Consolidated Schedule of Investments. Only the current day’s variation margin is reported in the Consolidated Statement of Assets and Liabilities. |
(d) | Includes purchased options that are part of investments in securities as shown in the Consolidated Statement of Assets and Liabilities and net realized gain on investments in securities and net unrealized appreciation on investments in securities as shown in the Consolidated Statement of Operations. |
Netting Arrangements
The Fund enters into ISDA Master Agreements that contain MNAs that provide for payment netting and, in the case of default or similar event with respect to the counterparty to the MNA, can provide for netting across transactions. Generally, upon counterparty default, the Fund can terminate all transactions under the MNA and set-off amounts it owes across all transactions under a particular MNA and against collateral under such MNA. The Fund may not use derivatives contracts and related collateral governed by an ISDA to offset
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For the Six-Months Ended September 30, 2020 (Unaudited)
reverse repurchase agreements and related collateral governed by an MRA or securities lending agreements and related collateral governed by an SLA (see Note 3).
The Fund uses master netting arrangements, which allows certain derivative financial instruments and collateral with the same counterparty to be offset to minimize counterparty credit exposure. The following table presents information related to derivative financial instruments and collateral related to securities loaned that are subject to an enforceable MNA and are not offset, as shown in the Consolidated Statement of Assets and Liabilities as of September 30, 2020.
The following table represents the Fund’s derivative financial instrument assets and liabilities by counterparty net of amounts available for offset under an MNA and net of related collateral received/pledged by the Fund as of September 30, 2020:
Gross Amounts Not Offset in the Consolidated Statement of Assets and Liabilities | |||||||||||||||||||||||||
Gross Amount of Assets Presented in Consolidated Statement of Assets and Liabilities | Derivative Financial Instruments Available to Offset | Cash Collateral Received(4) | Non-Cash Collateral | Net Amount(2) | |||||||||||||||||||||
By Counterparty(1) | |||||||||||||||||||||||||
Bank of America, N.A. | $ | 785,137 | $ | (33,905 | ) | $ | (751,232 | ) | $ | — | $ | — | |||||||||||||
Citibank N.A. | 474,591 | (474,591 | ) | — | — | — | |||||||||||||||||||
Citigroup Global Markets Inc. | 59,137 | — | (59,137 | ) | — | — | |||||||||||||||||||
Credit Suisse Securities (USA) LLC | 1,501,574 | (62,333 | ) | (1,439,241 | ) | — | — | ||||||||||||||||||
Goldman Sachs International | 1,353,548 | (1,353,548 | ) | — | — | — | |||||||||||||||||||
JPMorgan Chase Bank, N.A. | 329,629 | (237,043 | ) | (92,586 | ) | — | — | ||||||||||||||||||
Morgan Stanley Capital Services LLC | 829,187 | (32,925 | ) | (796,262 | ) | — | — | ||||||||||||||||||
Morgan Stanley Capital Services, Inc. | 312,181 | (50,800 | ) | (261,381 | ) | — | — | ||||||||||||||||||
Cayman Subsidiary | |||||||||||||||||||||||||
Citibank N.A. | 140,501 | (140,501 | ) | — | — | — | |||||||||||||||||||
Morgan Stanley Capital Services LLC | 184,621 | (17,526 | ) | (167,095 | ) | — | — | ||||||||||||||||||
State Street Bank and Trust Company | 551,087 | (551,087 | ) | — | — | — | |||||||||||||||||||
Domestic Subsidiary IV | |||||||||||||||||||||||||
Citibank N.A. | 4,867 | — | — | — | 4,867 | ||||||||||||||||||||
Credit Suisse International | 2,632 | (2,632 | ) | — | — | — | |||||||||||||||||||
Goldman Sachs International | 11,620,605 | (11,620,605 | ) | — | — | — | |||||||||||||||||||
JPMorgan Chase Bank, N.A. | 6,149,676 | (5,255,454 | ) | — | — | 894,222 | |||||||||||||||||||
Morgan Stanley Capital Services LLC | 2,755,435 | (2,755,435 | ) | — | — | — | |||||||||||||||||||
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| ||||||||||||||||
$ | 27,054,408 | $ | (22,588,385 | ) | $ | (3,566,934 | ) | $ | — | $ | 899,089 | ||||||||||||||
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For the Six-Months Ended September 30, 2020 (Unaudited)
Gross Amounts Not Offset in the Consolidated Statement of Assets and Liabilities | |||||||||||||||||||||||||
Gross Amount of Liability Presented in Consolidated Statement of Assets and Liabilities | Derivative Financial Instruments Available to Offset | Cash Collateral Pledged(5) | Non-Cash Collateral | Net Amount(3) | |||||||||||||||||||||
By Counterparty (1) | |||||||||||||||||||||||||
Bank of America, N.A. | $ | (33,905 | ) | $ | 33,905 | $ | — | $ | — | $ | — | ||||||||||||||
Citibank N.A. | (907,411 | ) | 474,591 | 432,820 | — | — | |||||||||||||||||||
Credit Suisse Securities (USA) LLC | (62,333 | ) | 62,333 | — | — | — | |||||||||||||||||||
Deutsche Bank AG | (3,699 | ) | — | — | — | (3,699 | ) | ||||||||||||||||||
Goldman Sachs International | (6,381,067 | ) | 1,353,548 | 24,667 | — | (5,002,852 | ) | ||||||||||||||||||
JPMorgan Chase Bank, N.A. | (237,043 | ) | 237,043 | — | — | — | |||||||||||||||||||
Morgan Stanley Capital Services LLC | (32,925 | ) | 32,925 | — | — | — | |||||||||||||||||||
Morgan Stanley Capital Services, Inc. | (50,800 | ) | 50,800 | — | — | — | |||||||||||||||||||
Cayman Subsidiary | |||||||||||||||||||||||||
Citibank N.A. | (153,495 | ) | 140,501 | 12,994 | — | — | |||||||||||||||||||
Morgan Stanley Capital Services LLC | (17,526 | ) | 17,526 | — | — | — | |||||||||||||||||||
State Street Bank and Trust Company | (608,039 | ) | 551,087 | 56,952 | — | — | |||||||||||||||||||
Domestic Subsidiary III | |||||||||||||||||||||||||
Barclays Bank PLC | (50,128 | ) | — | 50,128 | — | — | |||||||||||||||||||
Citigroup Global Markets, Inc. | (1,086,672 | ) | — | — | — | (1,086,672 | ) | ||||||||||||||||||
Credit Suisse International | (778,264 | ) | — | — | — | (778,264 | ) | ||||||||||||||||||
Goldman Sachs International | (262,216 | ) | — | 121,141 | — | (141,075 | ) | ||||||||||||||||||
J.P. Morgan Securities LLC | (1,697,573 | ) | — | — | — | (1,697,573 | ) | ||||||||||||||||||
JPMorgan Chase Bank, N.A. | (1,161,773 | ) | — | — | — | (1,161,773 | ) | ||||||||||||||||||
Morgan Stanley Capital Services LLC | (151,834 | ) | — | 151,834 | — | — | |||||||||||||||||||
Domestic Subsidiary IV | |||||||||||||||||||||||||
Credit Suisse International | (80,559 | ) | 2,632 | — | — | (77,927 | ) | ||||||||||||||||||
Goldman Sachs Bank USA | (268,839 | ) | — | 268,839 | — | — | |||||||||||||||||||
Goldman Sachs International | (17,080,829 | ) | 11,620,605 | 5,460,224 | — | — | |||||||||||||||||||
JPMorgan Chase Bank, N.A. | (5,255,454 | ) | 5,255,454 | — | — | — | |||||||||||||||||||
Morgan Stanley Capital Services LLC | (4,162,558 | ) | 2,755,435 | 1,407,123 | — | — | |||||||||||||||||||
State Street Bank and Trust Company | (33,030 | ) | — | — | — | (33,030 | ) | ||||||||||||||||||
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| ||||||||||||||||
$ | (40,557,972 | ) | $ | 22,588,385 | $ | 7,986,722 | $ | — | $ | (9,982,865 | ) | ||||||||||||||
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For the Six-Months Ended September 30, 2020 (Unaudited)
(1) | The Fund and each Subsidiary are subject to separate MNA with each individual counterparty. |
(2) | Net amount represents the net amount receivable from the counterparty in the event of default. |
(3) | Net amount represents the net amount payable to the individual counterparty in the event of default. |
(4) | Additional required collateral received from the individual counterparty is not shown for financial reporting purposes. |
(5) | Additional required collateral pledged to the individual counterparty is not shown for financial reporting purposes. |
5. Fair Value Measurements
The following table presents information about the classification of the Fund’s investments measured at fair value within the fair value hierarchy as of September 30, 2020:
Assets: | Level 1 | Level 2 | Level 3 | Total | ||||||||||||||||
Investments in Securities: | ||||||||||||||||||||
Common Stock | $ | 905,739,052 | $ | 1,881,316 | $ | 1,476,316 | $ | 909,096,684 | ||||||||||||
Asset-Backed Securities | — | 366,327,891 | — | 366,327,891 | ||||||||||||||||
Convertible Bonds | — | 2,982,205 | — | 2,982,205 | ||||||||||||||||
Bank Debt | — | 256,211,493 | 33,562,639 | 289,774,132 | ||||||||||||||||
Corporate Bonds & Notes | — | 405,581,974 | 1,570,317 | 407,152,291 | ||||||||||||||||
Sovereign Debt | — | 712,483,688 | 42,816,964 | 755,300,652 | ||||||||||||||||
Mortgage-Backed Securities | — | 1,025,983,197 | — | 1,025,983,197 | ||||||||||||||||
U.S. Government Sponsored Agency Securities | — | 14,910,144 | — | 14,910,144 | ||||||||||||||||
Municipals | — | 26,730,507 | — | 26,730,507 | ||||||||||||||||
Exchange-Traded Funds | 6,234,218 | — | — | 6,234,218 | ||||||||||||||||
Warrants | 11,146,771 | — | — | 11,146,771 | ||||||||||||||||
Rights | 165,000 | — | — | 165,000 | ||||||||||||||||
Purchased Options | 23,268,211 | ��� | — | 23,268,211 | ||||||||||||||||
Subtotal | $ | 946,553,252 | $ | 2,813,092,415 | $ | 79,426,236 | $ | 3,839,071,903 | ||||||||||||
Investments Valued at NAV | 269,472,309 | |||||||||||||||||||
Total Investments in Securities | $ | 946,553,252 | $ | 2,813,092,415 | $ | 79,426,236 | $ | 4,108,544,212 | ||||||||||||
Futures Contracts | 6,619,090 | — | — | 6,619,090 | ||||||||||||||||
Forward Foreign Currency Exchange Contracts | — | 1,936,156 | — | 1,936,156 | ||||||||||||||||
Centrally Cleared Credit Default Swaps | — | 4,958,469 | — | 4,958,469 | ||||||||||||||||
OTC Credit Default Swaps | — | 3,694,297 | — | 3,694,297 | ||||||||||||||||
OTC Total Return Swaps | — | 19,670,877 | 1,452,969 | 21,123,846 | ||||||||||||||||
Centrally Cleared Interest Rate Swaps | — | 19,958,760 | — | 19,958,760 | ||||||||||||||||
OTC Interest Rate Swaps | — | 300,109 | — | 300,109 | ||||||||||||||||
Total Assets | $ | 953,172,342 | $ | 2,863,611,083 | $ | 80,879,205 | $ | 4,167,134,939 | ||||||||||||
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For the Six-Months Ended September 30, 2020 (Unaudited)
Liabilities: | Level 1 | Level 2 | Level 3 | Total | ||||||||||||||||
Securities Sold Short: Common Stock | $ | 364,958,390 | $ | — | $ | — | $ | 364,958,390 | ||||||||||||
Total Securities Sold Short | 364,958,390 | — | — | 364,958,390 | ||||||||||||||||
Unfunded Loan Commitment(a) | — | 355 | — | 355 | ||||||||||||||||
Options Written | 20,895,198 | — | — | 20,895,198 | ||||||||||||||||
Reverse Repurchase Agreements | — | 386,246,970 | — | 386,246,970 | ||||||||||||||||
Futures Contracts | 4,692,113 | — | — | 4,692,113 | ||||||||||||||||
Forward Foreign Currency Exchange Contracts | — | 2,903,402 | — | 2,903,402 | ||||||||||||||||
Centrally Cleared Credit Default Swaps | — | 5,442,042 | — | 5,442,042 | ||||||||||||||||
OTC Credit Default Swaps | — | 11,056,751 | — | 11,056,751 | ||||||||||||||||
OTC Total Return Swaps | — | 26,453,667 | 62,333 | 26,516,000 | ||||||||||||||||
Centrally Cleared Interest Rate Swaps | — | 41,277,585 | — | 41,277,585 | ||||||||||||||||
OTC Interest Rate Swaps | — | 81,819 | — | 81,819 | ||||||||||||||||
Total Liabilities | $ | 390,545,701 | $ | 473,462,591 | $ | 62,333 | $ | 864,070,625 | ||||||||||||
(a) | Represents unrealized appreciation (depreciation). |
Investments in Investee Funds that are measured at fair value using NAV as a practical expedient have not been classified in the fair value hierarchy. The fair value amounts presented in this table are intended to permit reconciliation of the fair value hierarchy to the amounts presented in the consolidated financial statements.
Investments in Investee Funds that are non-redeemable or subject to other restrictions such as a lockup at the measurement date or have the ability to limit the individual amount of investor redemptions shall be classified as having a redemption restriction.
The following table summarizes investments in Investee Funds, by investment strategy, the unfunded commitment of each strategy (if applicable), and the amount of the investment in Investee Fund that cannot be redeemed because of redemption restrictions put in place by the Investee Fund.
Investments in Investee Funds by Strategy | Unfunded $ | Non-Redeemable Investments (A) | Other Restricted Investments (B) | Investments Subject to No Restrictions | Total $ | |||||||||
Amount $ | Redemption Commencement | Amount $ | Redemption Restriction Term | Amount $ | ||||||||||
Credit- Driven(1)(2) | N/A | — | N/A | 148,977,578 | 12 months | — | 148,977,578 | |||||||
Event - Driven(3)(4) | 20,820,649 | — | N/A | 9,616,416 | 12 months | 110,878,315 | 120,494,731 |
(1) | The Credit-Driven strategy generally includes Investee Funds with a focus on fundamental hedged products or otherwise low net exposure, positional concentration and opportunistic directional exposures, mortgages and non-mortgage asset-backed securities. |
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(2) | Investments are redeemable quarterly upon 30 - 60 days written notice. |
(3) | The Event-Driven strategy generally includes Investee Funds that seek returns by investing in strategies including catalyst events, share class arbitrage, share buybacks, post re-organization equity, recapitalizations, spin-offs and stub trades. |
(4) | Investments are redeemable semi-annually upon 60 - 90 days written notice. |
(A) Investments in Investee Funds cannot currently be redeemed and the remaining redemption restriction period is not known. The date the redemption restriction commenced is disclosed.
(B) Investments subject to other restrictions include investments in Investee Funds that are subject to a lockup at the measurement date and/or have the ability to limit the individual amount of investor redemptions. The redemption restriction term is based on the restriction period (or range of restriction periods) for Investee Funds as defined in each respective Investee Fund’s governing legal agreement without consideration of the length of time elapsed from the date of investments in Investee Funds. The Fund’s investment in a particular Investee Fund classified within the strategies above may be comprised of investments with differing liquidity terms or investments that were made at differing points in time.
The Fund recognizes transfers within the fair value hierarchy as of the beginning of the period. Transfers into and out of Level 3 were primarily related to the availability of broker quotations in accordance with valuation methodology.
The changes in investments measured at fair value for which the Fund used Level 3 inputs to determine fair value are as follows:
Assets: Investments | Common Stock | Bank Debt | Corporate Bonds & Notes | Sovereign Debt | OTC Total Return | Total | ||||||||||||||||||||||||
Balance as of March 31, 2020 | $ | — | $ | 164,166,827 | $ | 135,160 | $ | 91,747,567 | $ | 22,581 | $ | 256,072,135 | ||||||||||||||||||
Transfers In | — | 202,925 | — | — | — | 202,925 | ||||||||||||||||||||||||
Transfers Out | — | (96,473,745 | ) | — | — | — | (96,473,745 | ) | ||||||||||||||||||||||
Purchases | 920,795 | 6,670,846 | 1,412,000 | — | — | 9,003,641 | ||||||||||||||||||||||||
Sales | — | (49,745,224 | ) | — | (50,593,479 | ) | — | (100,338,703 | ) | |||||||||||||||||||||
Amortization | — | 1,344,271 | — | 253,530 | — | 1,597,801 | ||||||||||||||||||||||||
Net realized gain (loss) | — | (1,443,646 | ) | — | 18,584 | — | (1,425,062 | ) | ||||||||||||||||||||||
Net change in unrealized appreciation (depreciation) | 555,521 | 8,840,385 | 23,157 | 1,390,762 | 1,368,055 | 12,177,880 | ||||||||||||||||||||||||
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Balance as of September 30, 2020 | $ | 1,476,316 | $ | 33,562,639 | $ | 1,570,317 | $ | 42,816,964 | $ | 1,390,636 | $ | 80,816,872 | ||||||||||||||||||
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Net change in unrealized appreciation (depreciation) related to investments still held as of September 30, 2020 | $ | 544,691 | $ | 3,743,118 | $ | 23,157 | $ | 608,321 | $ | 1,368,055 | $ | 6,287,342 | ||||||||||||||||||
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For the Six-Months Ended September 30, 2020 (Unaudited)
The following table summarizes the quantitative inputs and assumptions used for investments classified within Level 3 of the fair value hierarchy as of September 30, 2020.
Assets | Fair Value at | Valuation Technique | Unobservable Inputs | Range of inputs (Weighted | ||||||||||||||||
Investments in Securities: | ||||||||||||||||||||
Common Stock | $ | 1,476,316 | | Broker-dealer Quotations | | Indicative Bid | N/A | |||||||||||||
Bank Debt | 33,562,639 | | Broker-dealer Quotations | | Indicative Bid | N/A | ||||||||||||||
Corporate Bonds & Notes | 1,570,317 | | Broker-dealer Quotations | | Indicative Bid | N/A | ||||||||||||||
Sovereign Debt | 42,816,964 | | Broker-dealer Quotations | | Indicative Bid | N/A | ||||||||||||||
OTC Total Return Swaps | 1,390,636 | | Broker-dealer Quotations | | Indicative Bid | N/A | ||||||||||||||
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Total Investments in Securities | $ | 80,816,872 | ||||||||||||||||||
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6. Purchase and Sale of Fund Shares
The Fund currently offers Class D Shares, Class I Shares, Class R Shares and Class Y Shares. During the six-months ended September 30, 2020, only Class D Shares, Class I Shares and Class Y Shares were outstanding.
The Fund’s Class D Shares are offered primarily through broker-dealers and other financial intermediaries with whom the Distributor has an agreement for the use of the Fund in investment products, programs, or accounts such as mutual fund supermarkets or other no transaction fee platforms. The Fund’s Class I Shares are offered to institutional investors and individual investors who are clients of financial intermediaries, broker-dealers, financial institutions or registered investment advisors that have entered into an arrangement approved by the Distributor to provide certain administrative services to investors in the Fund’s Class I Shares. Shareholders of Class I Shares may be subject to additional advisory, administrative, servicing, account-level or other fees in addition to those described in the Fund’s Prospectus, which are paid to financial intermediaries to support the additional services they may provide. The Fund’s Class Y Shares are offered for institutional investors and individuals (including through individual retirement accounts) who purchase directly from the Fund. Class Y Shares may also be offered to employees, officers and directors/ trustees of the Investment Adviser, the Fund or their respective affiliates. In addition, Class Y Shares are offered for institutional investors and individuals who are clients of financial intermediaries, broker-dealers, financial institutions, or registered investment advisors that have entered into an arrangement approved by the Distributor and do not charge a fee to the Fund. The minimum investment in Class D Shares by an investor is $25,000, and the minimum subsequent investment in Class D Shares by an investor is $5,000. The minimum investment in Class I Shares by an investor is $1,000,000, and the minimum subsequent investment in Class I Shares by an investor is $200,000. Class Y Shares have no investment minimum requirements. The Fund’s Class R Shares have no minimum investment requirement and are generally available only to special benefit plans.
Shares of the Fund may be purchased or redeemed at NAV each Business Day.
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Notes to Consolidated Financial Statements (Continued)
For the Six-Months Ended September 30, 2020 (Unaudited)
7. Investment Adviser Fees and Other Transactions with Affiliates
Pursuant to the investment management agreement between the Investment Adviser and the Trust, on behalf of the Fund, the Fund pays the Investment Adviser a management fee (the “Fund Management Fee”) at an annual rate based on the Fund’s average daily net assets, excluding the net assets of the applicable Subsidiaries. The Fund Management Fee accrues daily in arrears and is paid quarterly. The Investment Adviser receives additional compensation at an annual rate based on each Subsidiary’s average daily net assets for providing management services to the Subsidiaries. For collective net assets of the Fund and the respective Subsidiaries up to $2.5 billion, the Fund Management Fee is calculated at a rate of 1.95% (annualized), and for collective net assets greater than or equal to $2.5 billion, the Fund Management Fee is calculated at a rate of 1.80% (annualized). During the six-months ended September 30, 2020, the Fund paid the Investment Adviser $55,309,624 in management fees. From this amount, the Investment Adviser paid $18,278,140 in sub-advisory fees to non-affiliated Sub-Advisers with respect to the Fund, which amounted to 0.62% (annualized) of the Fund’s average daily net assets. The Investment Advisor paid $932,369 and $468,803 in sub-advisory fees with respect to the Fund to Blackstone Real Estate Special Situations Advisors L.L.C. and GSO / Blackstone Debt Funds Management LLC, respectively, both indirect wholly-owned subsidiaries of Blackstone and affiliates of the Investment Adviser, which amounted to 0.02% of the Fund’s average daily net assets.
Sub-Advisory Fees
Pursuant to the sub-advisory agreements between the Investment Adviser and the Sub-Advisers, the Sub-Advisers are compensated for the services they provide to the Fund by the Investment Adviser from the Management Fee received by the Investment Adviser.
Distribution and Service Fees
Pursuant to the amended and restated Distribution and Service Plan, the Fund’s Class D Shares bear distribution and service fees at an annual rate of 0.25% of the average daily net assets of the Fund attributable to Class D Shares. Payments of the distribution and service fee may be made without regard to expenses actually incurred. The Distributor may pay all or a portion of the distribution and/or service fee to brokers, dealers, selling agents, other financial institutions, or other industry professionals (collectively, “intermediaries”) for distribution services, sales support services, personal services, and/or the maintenance of shareholder account services provided and related expenses incurred by such intermediaries. The Fund’s Class I Shares, Class Y Shares and Class R Shares are not subject to distribution and service fees.
Expense Limitation and Reimbursement
The Investment Adviser has entered into an Expense Limitation and Reimbursement Agreement with the Fund to limit the amount of Specified Expenses (as defined below) of the Fund to 2.40% per annum of the Fund’s net assets for Class D Shares, Class I Shares and Class Y Shares and 2.55% per annum of the Fund’s net assets for Class R Shares (collectively, the “Total Expense Cap”) (computed and applied on a monthly basis). Specified Expenses include all expenses incurred by the Fund with the exception of (i) distribution or servicing fees, (ii) acquired fund fees and expenses, (iii) brokerage and trading costs, (iv) interest payments (including any interest expenses, commitment fees, or other expenses related to any line of credit of the Fund), (v) taxes, (vi) dividends and interest on short positions, and (vii) extraordinary expenses (in each case as determined in the sole discretion of BAIA) (together, the “Excluded Expenses”).
To the extent the estimated annualized Specified Expenses for any month exceed the Total Expense Cap, the Investment Adviser will waive its fees and/or reimburse the Fund for expenses to the extent necessary to
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Notes to Consolidated Financial Statements (Continued)
For the Six-Months Ended September 30, 2020 (Unaudited)
eliminate such excess. The Investment Adviser may discontinue its obligations under the Expense Limitation and Reimbursement Agreement at any time in its sole discretion after August 31, 2022 upon written notice to the Fund. The Fund has agreed to repay the amounts borne by the Investment Adviser under the Expense Limitation and Reimbursement Agreement within the thirty-six month period after the Investment Adviser bears the expense, to the extent the estimated annualized Specified Expenses for a given month are less than the lower of the Total Expense Cap or any expense limitation agreement then in effect with respect to the Fund. The repayment may not raise the level of estimated annualized Specified Expenses in the month of repayment to exceed the Total Expense Cap or any other expense limitation agreement then in effect. During the six-months ended September 30, 2020, there were no repayments or potential repayments to the Investment Adviser.
Related Party Transactions
Blackstone Holdings Finance Co. L.L.C. (“FINCO”), an affiliate of the Fund, pays certain expenses on behalf of the Fund. The Fund reimburses FINCO for such expenses paid on behalf of the Fund. FINCO does not charge any fees for providing such administrative services. At six-months ended September 30, 2020, the Fund does not have an amount payable to FINCO.
The Adviser utilizes technology offered by Arcesium LLC (“Arcesium”) to provide certain middle- and back-office services to the Fund, and the Fund bears the costs for such services. The parent company of a Sub-Adviser owns a controlling, majority interest in Arcesium and the Investment Adviser owns a non-controlling, minority interest in Arcesium.
8. Other Agreements
State Street Bank and Trust Company serves as the administrator, custodian and transfer agent to the Fund. Blackstone Securities Partners L.P., an affiliate of the Investment Adviser, serves as the Fund’s distributor.
9. Financial Instruments and Off-Balance Sheet Risk
Market Risk: In the normal course of business, the Fund invests in securities and enters into transactions where risks exist due to fluctuations in the market (market risk) or failure of the other party to a transaction to perform (credit and counterparty risk). The value of securities held by the Fund may decline in response to certain events, including those directly involving the companies whose securities are owned by the Fund; conditions affecting the general economy; overall market changes; local, regional or global political, social or economic instability; and currency and interest rate and price fluctuations.
Credit and Counterparty Risk: The Fund may be exposed to counterparty risk, or the risk that an entity with which the Fund has unsettled or open transactions may default. The potential loss could exceed the value of the financial assets and liabilities recorded in the consolidated financial statements. Financial assets that potentially expose the Fund to credit and counterparty risk consist principally of cash due from counterparties and investments. The Fund manages counterparty risk by entering into agreements only with counterparties that it believes has the financial resources to honor its obligations and by monitoring the financial stability of those counterparties. The Fund’s Investment Adviser attempts to mitigate counterparty risk by (i) periodically assessing the creditworthiness of its trading partners, (ii) monitoring and/or limiting the amount of its net exposure to each individual counterparty based on its assessment and (iii) requiring collateral from the counterparty for certain transactions. In order to preserve certain safeguards for non-standard settlement trades, the Fund restricts exposure to credit and counterparty losses by entering into MNAs with counterparties (approved brokers) with whom it undertakes a significant volume of transactions. Collateral requirements may differ by type of derivative or investment, as applicable. Collateral or margin requirements
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Notes to Consolidated Financial Statements (Continued)
For the Six-Months Ended September 30, 2020 (Unaudited)
are set by the broker or exchange clearing house for exchange traded derivatives (e.g., futures contracts and exchange traded options) while collateral terms are contract specific for OTC traded derivatives (e.g., forward foreign currency exchange contracts, swap agreements and OTC options). For derivatives traded under an ISDA Master Agreement or similar master agreement, the collateral requirements may be netted across all transactions traded under such agreement and certain counterparties may allow one amount to be posted from one party to the other to collateralize such obligations. The ISDA Master Agreement gives each party to the agreement the right to terminate all transactions traded under such agreement if there is a certain deterioration in the credit quality of the other party. The ISDA Master Agreement gives the Fund the right, upon an event of default by the applicable counterparty or a termination of the agreement, to close out all transactions traded under such agreement and may permit net amounts owed under each transaction to be netted to derive one net amount payable by one party to the other. This right to close out and net payments across all transactions traded under the ISDA Master Agreement could result in a reduction of the Fund’s credit risk to such counterparty equal to any amounts payable by the Fund under the applicable transactions, if any. The enforceability of the right to offset may vary by jurisdiction. Cash collateral that has been pledged to cover obligations of the Fund under derivative financial instrument contracts, if any, will be reported separately in the Consolidated Statement of Assets and Liabilities. Securities pledged as collateral, if any, for the same purpose are noted in the Consolidated Schedule of Investments.
At September 30, 2020, the Fund had counterparty concentration of credit risk primarily with State Street Bank and Trust Company, Morgan Stanley & Co. LLC, Morgan Stanley Capital Services LLC, Morgan Stanley & Co. International plc, Credit Suisse Securities (USA) LLC, Credit Suisse Securities (Europe) Limited and Credit Suisse International.
Foreign Investment Risk: The investments by the Fund in foreign securities may involve risks not present in domestic investments. Since securities may be denominated in, require settlement in and pay interest or dividends in foreign currencies, changes in the relationship of these foreign currencies to the U.S. dollar can significantly affect the value of the investments and earnings of the Fund. Foreign investments may also subject the Fund to foreign government exchange restrictions, expropriation, taxation or other political, social or economic developments, all of which could affect the market and/or credit risk of the investments. In addition to the risks described above, risks may arise from forward foreign currency exchange contracts with respect to the potential inability of counterparties to meet the terms of their contracts.
Liquidity Risk: Some securities held by the Fund, including, but not limited to, restricted, distressed, non-exchange traded, and/or privately placed securities, may be difficult to sell, or illiquid, particularly during times of market turmoil. Investments in Investment Funds are generally illiquid and some Investment Funds may not permit withdrawals or may make in-kind distributions of illiquid securities when the Fund desires to divest. Illiquid securities may be difficult to value. If the Fund is forced to sell an illiquid asset to meet redemption requests or other cash needs, the Fund may be forced to sell at a loss.
Money Market Funds Risk: The investments in money market funds are not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. In addition, money market funds are exposed to market risk, credit risk and liquidity risk.
Additional risks associated with each type of investment are described within the respective security type notes. The Fund’s Prospectus includes a discussion of the principal risks of investing in the Fund.
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Notes to Consolidated Financial Statements (Continued)
For the Six-Months Ended September 30, 2020 (Unaudited)
10. Investment Transactions
The aggregate cost of purchases and proceeds of sales of investments in securities (excluding U.S. Treasury Obligations, U.S. Government Sponsored Agency Securities and other short-term debt securities with maturities at the time of acquisition of one year or less (if applicable)), for the six-months ended September 30, 2020 were as follows:
Purchases | Sales | |||||
Long-Term | U.S Government | Long-Term | U.S Government | |||
$1,740,243,473 | $864,592,169 | $1,885,185,468 | $2,752,323,447 |
11. Income Tax Information
The Fund intends to qualify each tax year as a regulated investment company under Subchapter M of the Code. The Fund has adopted a tax year-end of October 31, therefore the consolidated financial statements, unless otherwise indicated, reflect tax adjusted balances as of October 31, 2019. The Fund intends to distribute substantially all of its net investment income and all of its net realized short-term and long-term capital gain, if any, after giving effect to any available capital loss carryforwards for U.S. federal income tax purposes. Therefore, the Fund makes no provision for U.S. federal income or excise taxes.
The Fund’s policy is to declare and pay distributions from net investment income and from net realized short-term and long-term capital gain, if any, at least annually. All distributions are reinvested in additional shares of the Fund, at net asset value, unless the shareholder elects to receive cash distributions. Distributions to shareholders are recorded by the Fund on the ex-dividend date.
The Fund is subject to authoritative guidance related to the accounting and disclosure of uncertain tax positions under U.S. GAAP. This guidance sets forth a minimum threshold for the financial statement recognition of tax positions taken based on the technical merits of such positions. United States and non-U.S. tax rules (including the interpretation and application of tax laws) are subject to change. The Fund files tax returns and/or adopts certain tax positions in various jurisdictions. Non-U.S. taxes are provided for based on the Fund’s understanding of the prevailing tax rules of the non-U.S. markets in which they invest. Recently enacted tax rules, including interpretations of tax laws (e.g., regulations pertaining to the U.S. Foreign Account Tax Compliance Act) and proposed legislation currently under consideration in various jurisdictions, including the U.S., might affect the way the Fund and its investors are taxed prospectively and/or retroactively. Prior to the expiration of the relevant statutes of limitations, if any, the Fund is subject to examination by U.S. federal, state, local and non-U.S. jurisdictions with respect to the tax returns they have filed and the tax positions they have adopted. The Fund’s U.S. federal income tax returns are generally subject to examination by the Internal Revenue Service for a period of three years after they were filed. State, local and/or non-U.S. tax returns and/or other filings may be subject to examination for different periods, depending upon the tax rules of each applicable jurisdiction.
As of September 30, 2020, the approximate cost for U.S. federal income tax purposes and gross and net unrealized appreciation (depreciation) in value of investments, securities sold short, and derivatives were as follows:
Aggregate Cost | Gross Unrealized Appreciation | Gross Unrealized (Depreciation) | Net Unrealized Appreciation (Depreciation) | |||
$4,066,825,559 | $207,267,654 | $(588,768,430) | $(381,500,776) |
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Notes to Consolidated Financial Statements (Continued)
For the Six-Months Ended September 30, 2020 (Unaudited)
12. Borrowings Under Credit Facility
The Fund has a secured revolving borrowing facility (the “Facility”) with State Street Bank and Trust Company (the “Bank”) in an aggregate principal amount of up to $500,000,000, subject to a maximum loan value of not more than 25% of the Fund’s NAV (the “Aggregate Commitment Amount”). Borrowings under the Facility are used primarily for bridge financing purposes and are secured by the assets of the Fund. Under the terms of the agreement, the Aggregate Commitment Amount may be terminated or reduced from time to time upon written notice from the Fund to the Bank. Outstanding borrowings bear interest at a rate equal to 1.25% plus the One-Month USD LIBOR Rate per annum (1.40% at September 30, 2020). A commitment fee is charged in the amount of 0.25% per annum as well as an upfront underwriting fee equal to 0.10% of the Commitment Amount per annum. Commitment fees accrued through the end of each calendar quarter are due no later than the 15th day of the immediately succeeding calendar month during the term of the Facility. Accrued interest is due no later than April 8, 2021, the termination date of the Facility at which time the Fund and the Bank can agree to extend the existing agreement. For the six-months ended September 30, 2020, the Fund made no borrowings under the Facility.
13. Subsequent Events
The Investment Adviser has evaluated the impact of subsequent events through the date of financial statement issuance and determined there were no subsequent events outside the normal course of business requiring adjustment to or disclosure in the consolidated financial statements.
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Blackstone Alternative Multi-Strategy Fund and Subsidiaries Shareholder Fee Example (Unaudited)
As a shareholder of the Fund, you incur ongoing costs, including management fees and to the extent applicable, distribution (12b-1) fees and/or shareholder services fees and other Fund expenses. This Example is intended to help you to understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
Actual Expenses
The actual expense example is based on an investment of $1,000 invested at the beginning of a six month period and held through the six-months ended September 30, 2020. The first line in the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The hypothetical expense example is based on an investment of $1,000 invested at the beginning of a six month period. The second line of the table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the actual return of the Fund. The hypothetical amount account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads) or redemption/exchange fees. You may pay brokerage commissions on your purchases and sales of Class I or Class Y Shares of the Fund, which are not reflected in this example. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
Beginning Account Value 4/1/2020 | Ending Account Value 9/30/2020 | Expenses Paid During Period1 | Annualized Expense Ratio | |||||||||||||||||
Class I | ||||||||||||||||||||
Actual | $1,000.00 | $1,102.20 | $13.98 | 2.66% | ||||||||||||||||
Hypothetical (assuming a 5% return before expenses) | $1,000.00 | $1,011.70 | $13.38 | 2.66% | ||||||||||||||||
Class D | ||||||||||||||||||||
Actual | $1,000.00 | $1,099.80 | $15.33 | 2.92% | ||||||||||||||||
Hypothetical (assuming a 5% return before expenses) | $1,000.00 | $1,010.40 | $14.68 | 2.92% | ||||||||||||||||
Class Y | ||||||||||||||||||||
Actual | $1,000.00 | $1,103.00 | $13.56 | 2.58% | ||||||||||||||||
Hypothetical (assuming a 5% return before expenses) | $1,000.00 | $1,012.10 | $12.94 | 2.58% |
1 | Expenses are calculated using the annualized expense ratio, multiplied by the average account value over the period, multiplied by 183/365 (to reflect the one-half-year period). |
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Blackstone Alternative Investment Funds and Subsidiaries Supplemental Information
September 30, 2020
Management of the Fund
The Fund’s operations are managed by the Investment Adviser and the Sub-Advisers (defined below), under the direction and oversight of the Board. A majority of the Trustees are not “interested persons” (as defined in the 1940 Act) of the Fund or the Investment Adviser (the “Independent Trustees”). The Trustees and the Fund’s officers are subject to removal or replacement in accordance with Massachusetts law and the Trust’s Amended and Restated Agreement and Declaration of Trust. All Trustees were elected by the initial shareholder of the Trust, except for Mr. Gilbert who was appointed to serve as Trustee by the Board.
Sub-Advisers
During the period covered by this report, the Investment Adviser engaged the following entities as sub-advisers (each, a “Sub-Adviser”, and together, the “Sub-Advisers”) to provide investment management services to the Fund or to one or more Subsidiaries.
Discretionary Sub-Advisers:
• | Bayforest Capital Limited / G10 Capital Limited (effective June 10, 2020) |
• | Bayview Asset Management, LLC |
• | Blackstone Real Estate Special Situations Advisors L.L.C. |
• | Caspian Capital LP |
• | Cerberus Sub-Advisory I, LLC |
• | D.E. Shaw Investment Management, L.L.C. |
• | Emso Asset Management Limited |
• | Endeavour Capital Advisors Inc. |
• | Good Hill Partners LP |
• | GSO / Blackstone Debt Funds Management LLC |
• | H2O AM LLP (Until May 31, 2020) |
• | HealthCor Management, L.P. |
• | IPM Informed Portfolio Management AB |
• | Luminus Management, LLC (effective April 20, 2020) |
• | Magnetar Asset Management LLC |
• | Nephila Capital, Ltd. |
• | NWI Management, L.P. |
• | Sage Rock Capital Management LP |
• | Shelter Growth Capital Partners LLC |
• | TrailStone Commodity Trading US, LLC (effective August 24, 2020) |
• | Two Sigma Advisers, LP |
• | Waterfall Asset Management, LLC |
Compensation for Trustees
Each of the Independent Trustees is paid by the Fund Complex (as defined below) at a rate of $150,000 per fiscal year in the aggregate for his or her services to the Fund Complex (including the Subsidiaries). Mr. Coates (a Trustee being treated as an “interested person” (as defined in the 1940 Act) of the Fund due to his employment by Envestnet, Inc., which conducts business with certain Investee Funds and may conduct business with the Investment Adviser and its affiliates in the future) is paid by the Fund Complex at a rate of $129,000 per fiscal year in the aggregate for his services to the Fund Complex (excluding the Subsidiaries). The Chairpersons of the Board and the Audit Committee are paid by the Fund Complex an additional $35,000 and $15,000, respectively, per fiscal year. These payments are allocated to the Fund and the other funds in the Fund Complex on the basis of assets under management. The Fund Complex pays for the
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Supplemental Information (Continued)
September 30, 2020
Trustees’ travel expenses related to Board meetings. The Trustees do not receive any pension or retirement benefits from the Fund Complex. In addition, the Fund also pays for a portion of the compensation for the Fund’s Chief Compliance Officer, James Hannigan. No other officers of the Fund received compensation from the Fund during the semi-annual period ended September 30, 2020. The following tables set forth information covering the total compensation payable by the Fund during the semi-annual period ended September 30, 2020 to the persons who served as Trustees and Officers of the Fund during such period.
Independent Trustees:
Name of Independent Trustee | Aggregate Compensation From the Fund | Total Compensation From the Fund Complex1 | ||||||||
John M. Brown | $ | 92,500 | $ | 92,500 | ||||||
Peter M. Gilbert | $75,000 | $75,000 | ||||||||
Paul J. Lawler | $75,000 | $75,000 | ||||||||
Kristen M. Leopold | $82,500 | $82,500 |
Interested Trustees:
Name of Interested Trustee | Aggregate Compensation From the Fund | Total Compensation From Fund Complex1 | ||||||||
Frank J. Coates | $ | 64,500 | $ | 64,500 | ||||||
Peter Koffler | None | None | ||||||||
Name of Compensated Officer | Aggregate Compensation From the Fund | Total Compensation From the Fund Complex1 | ||||||||
James Hannigan | $ | 200,000 | $ | 200,000 |
1 | These amounts represent aggregate compensation for the services of each Trustee to each fund in the Fund Complex for which each Trustee serves as trustee and for which Mr. Hannigan serves as the Chief Compliance Officer. In addition to the Fund and its Subsidiaries, until liquidated on May 28, 2020 the “Fund Complex” included Blackstone Alternative Alpha Fund, Blackstone Alternative Alpha Fund II, and Blackstone Alternative Alpha Master Fund. After May 28, 2020 and through the end of the September 30, 2020 semi-annual period, the “Fund Complex” consisted only of the Fund and its Subsidiaries. |
Form N-PORT Filings
The Fund files a complete schedule of the Fund’s portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-PORT. The Fund’s Form N-PORT is available on the SEC’s website at http://www.sec.gov within 60 days after the Fund’s first and third fiscal quarters. Holdings and allocations shown on any Form N-PORT are as of the date indicated in the filing and may not be representative of future investments. Holdings and allocations should not be considered research or investment advice and should not be relied upon in making investment decisions.
Proxy Voting Policies
A description of the policies and procedures used to vote proxies related to the Fund’s portfolio securities and information regarding how the Fund voted proxies relating to its portfolio securities during the 12-month period ended June 30, 2020 will be available (1) without charge, upon request, by calling toll free, 1-855-890-7725 and (2) on the SEC’s website at http://www.sec.gov.
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Supplemental Information (Continued)
September 30, 2020
Board Approval of the Sub-Advisory Agreements
At meetings of the Board held virtually on May 19, 2020, June 5, 2020, August 11-12, 2020, and September 30, 2020, the Board, including a majority of the Independent Trustees, considered and approved for the Fund (i) the continuation of certain investment sub-advisory agreements (“Continued Sub-Advisory Agreements”), (ii) certain amended and restated investment sub-advisory agreements or amendments to investment sub-advisory agreements (“Amended and Restated Sub-Advisory Agreements”), and (iii) certain new investment sub-advisory agreements (“New Sub-Advisory Agreements” and together with the Amended and Restated Sub-Advisory Agreements and Continued Sub-Advisory Agreements, the “Sub-Advisory Agreements”) between BAIA and each of the following sub-advisers (the “Sub-Advisers”):
Continued Sub-Advisory Agreements (approved at May meeting)
• | Caspian Capital LP (“Caspian”) |
• | Good Hill Partners LP (“Good Hill”) |
• | Magnetar Asset Management LLC (“Magnetar”) |
• | Two Sigma Advisors, LP (“Two Sigma”) |
Amended and Restated Sub-Advisory Agreements (approved at May meeting)
• | D.E. Shaw Investment Management, L.L.C. (“D.E. Shaw”) |
• | Endeavour Capital Advisors Inc. (“Endeavour”) |
• | Luminus Management, LLC (“Luminus”) |
New Sub-Advisory Agreements (approved at June meeting)
• | Bayforest Capital Limited and G10 Capital Limited (“Bayforest/G10”) |
Continued Sub-Advisory Agreements (approved at August meeting)
• | Bayview Asset Management, LLC |
• | D.E. Shaw |
• | Emso Asset Management Limited (“Emso”) |
• | IPM Informed Portfolio Management AB |
Amended and Restated Sub-Advisory Agreements (approved at August meeting)
• | Endeavour |
• | HealthCor Management, L.P. (“HealthCor”) |
• | NWI Management, L.P. (“NWI”) |
New Sub-Advisory Agreements (approved at August meeting)
• | Jasper Capital Hong Kong Limited1 (“Jasper”) |
• | Seiga Asset Management Limited1 (“Seiga”) |
• | TrailStone Commodity Trading US, LLC (“TrailStone”) |
Amended and Restated Sub-Advisory Agreements (approved at September meeting)
• | Endeavour |
• | Emso (amendment) |
1 | The sub-advisory agreements with Jasper and Seiga have not been executed as of the date of this Report. |
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September 30, 2020
The Board held its May, June, August, and September 2020 meetings virtually by video conference due to the on-going COVID-19 pandemic and in reliance on the exemptive order from the SEC issued on March 13, 2020 (subsequently modified and extended on March 25, 2020 and June 19, 2020) providing temporary relief from the in person vote requirements of Section 15(c) of the 1940 Act and in compliance with the conditions therein. The Board noted that BAIA and the Fund additionally relied on an exemptive order from the SEC that permitted the Fund to hire, and make material amendments to sub-advisory agreements with, discretionary or non-discretionary sub-advisers without a shareholder vote, provided that the Board, including a majority of Independent Trustees, approve the new sub-advisers and material amendments, and certain other conditions are met. The Independent Trustees were assisted in their review of the applicable sub-advisory arrangements by their independent legal counsel, and before the meetings, the Board received materials prepared by the Independent Trustees’ independent legal counsel regarding the relevant factors to consider in connection with the approval of the Sub-Advisory Agreements between BAIA and each of the Sub-Advisers. The Board requested and evaluated all the information it deemed reasonably necessary under the circumstances in connection with the approval of the Sub-Advisory Agreements. Prior to the meetings, the Board had requested and received materials prepared by BAIA relating to each Sub-Adviser.
The information the Board received in connection with the consideration of each Continued Sub-Advisory Agreement for each of the relevant Sub-Advisers generally included, among other things:
(1) | a Manager Investment Review, which covered, among other things, summary information regarding each Sub-Adviser’s investment thesis, strategy, investment process, and portfolio construction; a risk evaluation; an assessment of business infrastructure, valuation, liquidity monitoring, and compliance; and a summary of the key terms of each Continued Sub-Advisory Agreement; |
(2) | a sub-adviser “tear sheet,” which covered in greater detail the performance, returns, and investment exposure of each Sub-Adviser that had, presently or in the past, been allocated Fund assets; and |
(3) | a completed sub-adviser 15(c) questionnaire, which provided each Sub-Adviser’s responses to the Independent Trustees’ request for information and addressed, among other things, general financial information; any material business dealings with Blackstone and the Fund’s service providers; the Sub-Adviser’s business plan for the Fund for the coming year; costs, fees, other benefits, and profitability (where provided); and risk management and regulatory compliance matters. |
The information the Board received in connection with the consideration of each proposed New Sub-Advisory Agreement for each of the newly proposed Sub-Advisers generally include, among other things:
(1) | a Manager Investment Review, which covered, among other things, summary information regarding each Sub-Adviser’s investment thesis, strategy, investment process, and portfolio construction; a risk evaluation; an assessment of business infrastructure, valuation, liquidity monitoring, and compliance; and a summary of the key terms of the proposed New Sub-Advisory Agreement; |
(2) | a completed sub-adviser 15(c) questionnaire, which provided each Sub-Adviser’s responses to the to the Independent Trustees’ requests for information and addressed, among other things, general financial information; any material business dealings with Blackstone and the Fund’s service providers; the Sub-Adviser’s business plan for the Fund for the coming year; costs, fees, other benefits, and profitability (where provided); and risk management and regulatory compliance matters; and |
(3) | a copy of the Sub-Adviser’s compliance policies and procedures and code of ethics. |
With respect to the Amended and Restated Sub-Advisory Agreements approved in May 2020 for D.E. Shaw, Endeavour, and Luminus, August 2020 for Endeavour, HealthCor, and NWI, and September 2020 for Emso and Endeavour, the Board reviewed the proposed amendments to each sub-advisory agreement and considered the amendments in light of the information provided in connection with the Board’s most recent
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approval of the sub-advisory agreements, which occurred at the Board’s August 13-14, 2019 meeting for D.E. Shaw, and its February 20-21, 2020 meeting for Emso, Endeavour, HealthCor, Luminus, and NWI.
At the meetings, the Board and BAIA discussed the materials that had been provided to the Board, the terms of the Sub-Advisory Agreements, and other relevant considerations. Additionally, the Board (and separately, the Independent Trustees) conferred with the Independent Trustees’ independent legal counsel to consider the information provided. In evaluating the Sub-Advisory Agreements, the Board took into account the fact that the compensation paid to the Sub-Advisers would be paid by BAIA from the Fund Management Fee it receives from the Fund and would not increase the fees or expenses otherwise incurred by the Fund or its shareholders.
Following this discussion, the Board, including a majority of the Independent Trustees, determined to approve the Continued Sub-Advisory Agreements, the New Sub-Advisory Agreements, and the Amended and Restated Sub-Advisory Agreements on the basis of the following factors, among others, for each Sub-Adviser:
Nature, Extent, and Quality of the Services
The Board discussed and considered with respect to each Sub-Adviser:
(1) | the Sub-Adviser’s personnel, operations, and, where available, financial condition; |
(2) | the Sub-Adviser’s investment expertise and strengths; |
(3) | the percentage of Fund assets that are or potentially would be allocated to the Sub-Adviser; |
(4) | where applicable, the investment return on other assets that are managed by the Sub-Adviser and related investment risks or the potential investment return and related investment risks and the extent to which these matters might be relevant to the Sub-Adviser’s management of assets of the Fund; |
(5) | the Sub-Adviser’s experience and performance managing hedge funds or other products and the extent to which the Sub-Adviser’s strategy for the Fund would overlap with its strategy for hedge funds or other products; |
(6) | where applicable, the Sub-Adviser’s experience and performance as a Sub-Adviser to the Fund since its inception or otherwise; and |
(7) | the experience and depth of the Sub-Adviser’s portfolio management team in managing hedge funds or other products and its ability to manage risk. |
The Board concluded that the nature, extent, and quality of the sub-advisory services to be provided by each Sub-Adviser were appropriate and thus supported a decision to approve or continue the Sub-Advisory Agreements.
Investment Performance of the Sub-Advisers
The Board considered the investment performance of the existing Sub-Advisers. With respect to each Sub-Adviser that previously had been allocated a portion of the Fund’s assets, the Board considered information about the performance record of the Fund’s assets managed by the Sub-Adviser (net of trading expenses but gross of investment management fees and Fund operating expenses over various periods, including in many cases the year-to-date period, recent calendar month and year periods, and the inception-to-date period), all as compared to the investment returns of (i) a custom index defined by BAIA and (ii) in the case of certain Sub-Advisers, the Sub-Adviser’s hedge fund strategy. In addition, for the existing Sub-Advisers, the Board considered information about performance risk measurements of the assets that are managed by the Sub-Adviser, the custom index, and, if applicable, the Sub-Adviser’s hedge fund
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September 30, 2020
strategy, such as annualized return, standard deviation (which is a common measure of volatility), Sharpe ratio, and alpha and beta statistics (where available). On the basis of the Board’s assessment, while recognizing that there can be no assurance of any particular investment outcome, the Board concluded that the investment performance generated by the existing Sub-Advisers was generally satisfactory and that the Sub-Advisers were capable of providing reasonable investment performance to the Fund. It was noted that, because the new Sub-Advisers had not yet been appointed as sub-advisers to the Fund, there was no prior performance to consider with respect to the Fund.
Costs of Services and Profitability
In analyzing the cost of services and profitability of each Sub-Adviser, the Board discussed (i) each Sub-Adviser’s sub-advisory fee (and proposed sub-advisory fee in the case of Bayforest/G10, TrailStone, Jasper and Seiga) for managing the allocated Fund assets, including any fee breakpoints; (ii) each Sub-Adviser’s resources devoted or expected to be devoted to the Fund; and (iii) any information provided in response to inquiries regarding the profitability to each Sub-Adviser from providing sub-advisory services to the Fund. The Board considered the specific resources that each Sub-Adviser devoted or expected to devote to the Fund for investment analysis, risk management, compliance, and order execution, and the extent to which each Sub-Adviser’s investment process is or would be scalable.
The Board noted that the compensation paid to each Sub-Adviser was paid by BAIA, not the Fund, and, accordingly, that the retention of each Sub-Adviser did not increase the fees or expenses otherwise incurred by shareholders of the Fund. It also noted that the terms of each Sub-Adviser’s Sub-Advisory Agreement were the result of separate arm’s-length negotiations between BAIA and the Sub-Adviser. The Board considered information comparing the sub-advisory fees to the fees that each Sub-Adviser charges for providing investment advisory services to certain other clients. The Board also considered information regarding the impact that retaining the Sub-Advisers as sub-advisers to the Fund has or would have on BAIA’s profitability, as well as information about the blended average of all sub-advisory fees that BAIA pays the Sub-Advisers based on allocations of Fund assets among the Sub-Advisers.
The Board concluded that the level of investment sub-advisory fees was appropriate in light of the services to be provided.
Economies of Scale
The Board discussed various financial and economic considerations relating to the arrangement with each Sub-Adviser, including economies of scale and the current and proposed breakpoints in the sub-advisory fees for certain Sub-Advisers. The Board further noted that it would have the opportunity to periodically re-examine whether the Fund had achieved economies of scale, as well as the appropriateness of sub-advisory fees payable to each Sub-Adviser, with respect to different asset sizes of the portfolio, in the future. The Board also noted that although not directly related to the sub-advisory fees payable to the Sub-Advisers, certain Fund expenses were subject to an expense cap, an undertaking by BAIA intended to limit the Fund’s overall expenses at smaller asset levels, although the Fund’s expenses were sufficiently limited at the time of the meetings such that the expense cap did not currently apply.
Other Benefits
The Board discussed other potential benefits that each Sub-Adviser may receive from the Fund, including soft dollar arrangements, receipt of brokerage and research services, and the opportunity to offer additional products and services to the Fund’s shareholders or BAIA. The Board noted that each Sub-Adviser benefited from its relationship with BAIA. The Board concluded that other ancillary or “fall out” benefits derived by
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September 30, 2020
each Sub-Adviser from its relationship with BAIA or the Fund, to the extent such benefits were identifiable or determinable, were reasonable and fair, resulted from the provision of appropriate services to the Fund and its shareholders, and were consistent with industry practice and the best interests of the Fund and its shareholders.
Other Considerations
The Board reviewed and considered certain terms and conditions of each Sub-Adviser’s Sub-Advisory Agreement. After discussion, the Board concluded that the terms of each Sub-Adviser’s Sub-Advisory Agreement were reasonable and fair. It was noted that the Board would have the opportunity to periodically re-examine the terms of each Sub-Adviser’s Sub-Advisory Agreement in the future.
Conclusion
The Board, including a majority of the Independent Trustees, concluded that the fees payable under each of the Sub-Advisory Agreements were fair and reasonable with respect to the services that each Sub-Adviser provides (or is proposed to provide in the case of Bayforest/G10, TrailStone, Jasper, and Seiga) to the Fund and in light of the other factors described above that the Board deemed relevant. The Board noted that both BAIA and the Board had previously determined, or determined at the meetings, that each Sub-Adviser’s compliance program was reasonably designed to prevent the violation of federal securities laws within the meaning of Rule 38a-1 under the 1940 Act and that each Sub-Adviser’s code of ethics was reasonably designed to prevent “access persons” (as defined in Rule 17j-1 under the 1940 Act) from engaging in any act, practice, or course of business prohibited by Rule 17j-1 under the 1940 Act. The Board based its approval or continuation of each Sub-Adviser’s Sub-Advisory Agreement on a comprehensive consideration of all relevant information presented to the Board at its meetings throughout the year, as applicable, and not as a result of any single controlling factor. The Board was assisted by the advice of independent legal counsel in approving each Sub-Adviser’s Sub-Advisory Agreement.
Additional Information
The Fund’s Statement of Additional Information includes additional information about the Trustees. The Statement of Additional Information is available upon request, without charge, by calling toll free 1-855-890-7725.
Copies of this annual shareholder report are available upon request to prior shareholders of the Fund, without charge, by calling toll free 1-855-890-7725.
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Rev January 2020
FACTS | WHAT DO BLACKSTONE REGISTERED FUNDS DO WITH YOUR PERSONAL INFORMATION? |
Why? | Financial companies choose how they share your personal information. Federal law gives consumers the right to limit some but not all sharing. Federal law also requires us to tell you how we collect, share, and protect your personal information. Please read this notice carefully to understand what we do. |
What? | The types of personal information we collect and share depend on the product or service you have with us. This information can include:
∎ Social Security number and income
∎ Assets and investment experience
∎ Risk tolerance and transaction history |
How? | All financial companies need to share customers’ personal information to run their everyday business. In the section below, we list the reasons financial companies can share their customers’ personal information; the reasons Blackstone Registered Funds (as defined below) choose to share; and whether you can limit this sharing. |
Reasons we can share your personal information | Do Blackstone Registered Funds share? | Can you limit this sharing? | ||
For our everyday business purposes— such as to process your transactions, maintain your account(s), respond to court orders and legal investigations, or report to credit bureaus | Yes | No | ||
For our marketing purposes— to offer our products and services to you | Yes | No | ||
For joint marketing with other financial companies | No | We don’t share | ||
For our affiliates’ everyday business purposes— information about your transactions and experiences | No | We don’t share | ||
For our affiliates’ everyday business purposes— information about your creditworthiness | No | We don’t share | ||
For our affiliates to market to you | No | We don’t share | ||
For nonaffiliates to market to you | No | We don’t share |
Questions? | Email us at GLB.privacy@blackstone.com |
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Who we are | ||
Who is providing this notice? | Blackstone Registered Funds include Blackstone Alternative Alpha Fund, Blackstone Alternative Alpha Fund II, Blackstone Real Estate Income Fund, Blackstone Real Estate Income Fund II, Blackstone Real Estate Income Trust, Inc., Blackstone Alternative Investment Funds, on behalf of its series Blackstone Alternative Multi-Strategy Fund, Blackstone Diversified Multi- Strategy Fund, a sub-fund of Blackstone Alternative Investment Funds plc, and the GSO Funds, consisting of Blackstone / GSO Senior Floating Rate Term Fund, Blackstone / GSO Long-Short Credit Income Fund, Blackstone / GSO Strategic Credit Fund, Blackstone / GSO Floating Rate Enhanced Income Fund and Blackstone / GSO Secured Lending Fund and Blackstone / GSO Floating Rate Enhanced Income Fund | |
What we do | ||
How do Blackstone Registered Funds protect my personal information? | To protect your personal information from unauthorized access and use, we use security measures that comply with federal law. These measures include computer safeguards and secured files and buildings. | |
How do Blackstone Registered Funds collect my personal information? | We collect your personal information, for example, when you:
∎ open an account or give us your income information
∎ provide employment information or give us your contact information
∎ tell us about your investment or retirement portfolio
We also collect your personal information from others, such as credit bureaus, affiliates, or other companies. | |
Why can’t I limit all sharing? | Federal law gives you the right to limit only:
∎ sharing for affiliates’ everyday business purposes—information about your creditworthiness
∎ affiliates from using your information to market to you sharing for nonaffiliates to market to you
State laws and individual companies may give you additional rights to limit sharing. See below for more on your rights under state law. | |
What happens when I limit sharing for an account I hold jointly with someone else? | Your choices will apply to everyone on your account—unless you tell us otherwise. | |
Definitions | ||
Affiliates | Companies related by common ownership or control. They can be financial and nonfinancial companies.
∎ Our affiliates include companies with a Blackstone name and financial companies such as GSO Capital Partners LP and Strategic Partners Fund Solutions. | |
Nonaffiliates | Companies not related by common ownership or control. They can be financial and nonfinancial companies.
∎ Blackstone Registered Funds do not share with nonaffiliates so they can market to you. | |
Joint marketing | A formal agreement between nonaffiliated financial companies that together market financial products or services to you.
∎ Our joint marketing partners include financial services companies. |
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Other important information | ||
California Residents—In accordance with California law, we will not share information we collect about California residents with nonaffiliates except as permitted by law, such as with the consent of the customer or to service the customer’s accounts. We will also limit the sharing of information about you with our affiliates to the extent required by applicable California law. Vermont Residents—In accordance with Vermont law, we will not share information we collect about Vermont residents with nonaffiliates except as permitted by law, such as with the consent of the customer or to service the customer’s accounts. We will not share creditworthiness information about Vermont residents among Blackstone Registered Funds’ affiliates except with the authorization or consent of the Vermont resident. | ||
Contact Us | ||
If you have any questions or comments about this Privacy Notice, or if you would like us to update information we have about you or your preferences, please email us at PrivacyQueries@Blackstone.com or access our web form www.blackstone.com/privacy.
You also may write to:
The Blackstone Group Inc. Attn: Legal & Compliance 345 Park Avenue New York, NY 10154 |
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GDPR PRIVACY STATEMENT
DATA PRIVACY NOTICE FOR INVESTORS
Why are you seeing this notice?
• | You may need to provide Personal Data to us as part of your investment into a fund or other investment vehicle (as applicable, the Fund) managed or advised by investment advisers that are subsidiaries of The Blackstone Group Inc. or its affiliates (and, where applicable, the general partner of the relevant Fund) (collectively, Blackstone). |
• | We want you to understand how and why we use, store and otherwise process your Personal Data when you deal with us or our relevant affiliates (including under applicable data protection laws). If this notice (the Data Privacy Notice) has been made available to you, you may have certain rights with respect to your Personal Data under applicable data protection laws (including as described in this Data Privacy Notice). |
• | “Personal Data” has the meaning given to it under data protection laws that apply to our processing of your personal information, and includes any information that relates to, describes, identifies or can be used, directly or indirectly, to identify an individual (such as name, address, date of birth, personal identification numbers, sensitive personal information, and economic information). |
• | We ask that investors promptly provide the information contained in this Data Privacy Notice to any individuals whose Personal Data they provide to the Fund or its affiliates in connection with ‘know your client’/anti-money laundering requests or otherwise. |
Please read the information below carefully. It explains how and why Personal Data is processed by us.
Who is providing this notice?
Blackstone is committed to protecting and respecting your privacy. Blackstone is a global financial services firm with offices, operations and entities globally, including as described at this link: https://www.blackstone.com/privacy#appendixA.
• | For transparency, the Blackstone entities on whose behalf this privacy statement is made are: (i) the Fund; and (ii) where applicable, the Blackstone general partner and/or investment adviser of the relevant Fund, in each case, with which you contract, transact or otherwise share Personal Data (together, the Fund Parties). |
• | Where we use the terms “we”, “us” and “our” in this Data Privacy Notice, we are referring to the Fund and the Fund Parties. |
• | Please consult your subscription documents, private placement memorandum or other offering documentation provided to you by or on behalf of the Fund Parties which will further specify the entities and contact details of the Fund Parties relevant to our relationship with you. |
• | We welcome investors and their representatives to contact us if they have any queries with respect to the Fund Parties (in particular, which Fund Parties are relevant to their relationship with Blackstone). If you have any queries, our contact details are below. |
When you provide us with your Personal Data, each Fund Party that decides how and why Personal Data is processed acts as a “data controller”. In simple terms, this means that the Fund Party makes certain decisions on how to use and protect your Personal Data – but only to the extent that we have informed you about the use or are otherwise permitted by law.
Where your Personal Data is processed by an entity controlled by, or under common control with, the Blackstone entity/ies managing a Fund for its own purposes, this entity will also be a data controller.
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What Personal Data do we collect about you?
The types of Personal Data that we collect and share depends on the product or service you have with us and the nature of your investment.
The Personal Data collected about you will help us to provide you with a better service and facilitate our business relationship.
We may combine Personal Data that you provide to us with Personal Data that we collect from you, or about you from other sources, in some circumstances. This will include Personal Data collected in an online or offline context.
As a result of our relationship with you as an investor, in the past 12 months we may have collected Personal Data concerning you in the following categories:
a) | Identifiers (e.g., real name, alias, postal address, email address, social security or driver’s licence number, government ID, signature, telephone number, education, employment, employment history, financial information, including tax-related information/codes and bank account details, information used for monitoring and background checks to comply with laws and regulations, including ‘know your client’, anti-money laundering, and sanctions checks, and other contact information); |
b) | Sensitive/protected characteristic information (e.g., age/date of birth, nationality, citizenship, country of residence, gender, and other information used to comply with laws and regulations); |
c) | Commercial information (e.g., assets, income, transaction and investment history, accounts at other institutions, information concerning source of funds and any applicable restrictions on your investment such as political exposure or sanctions); |
d) | Internet or other network activity (e.g., browsing or search history, information regarding interaction with an internet website, application, or advertisement, online identifiers such as cookies); |
e) | Sensory and surveillance data (e.g., recordings of telephone calls where permitted or required by law, video surveillance recordings, and other records of your interactions with us or our service providers, including electronic communications); |
f) | Professional or employment-related information (e.g., current or past job history); and |
g) | Inferences drawn from other personal information (e.g., profiles reflecting preferences and trends, based on information such as assets, investment experience, risk tolerance, investment activity, and transaction history). |
Where do we obtain your Personal Data?
We collect, and have collected, Personal Data about you from a number of sources, including from you directly:
WHAT | HOW | |
1 Personal Data that you give us | • from the forms and any associated documentation that you complete when subscribing for an investment, shares and/or opening an account with us. This can include information about your name, address, date of birth, passport details or other national identifier, driving licence, your national insurance or social security number and income, employment information and details about your investment or retirement portfolio(s) • when you provide it to us in correspondence and conversations, including electronic communications such as email and telephone calls • when you make transactions with respect to the Fund • when you interact with our online platforms and websites (such as bxaccess.com) • when you purchase securities from us and/or tell us where to send money • from cookies, web beacons, and similar interactions when you or your devices access our sites |
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WHAT | HOW | |
2 Personal Data we obtain from others | We obtain Personal Data from: • publicly available and accessible directories and sources • bankruptcy registers • tax authorities, including those that are based outside the territory in which you are located or domiciled, including the Cayman Islands, the United Kingdom (UK) and the European Economic Area (EEA), if you are subject to tax in another jurisdiction • governmental and competent regulatory authorities to whom we have regulatory obligations • credit agencies • fraud prevention and detection agencies/organisations • transaction counterparties |
Why do we process your Personal Data?
We may process or disclose your Personal Data for the following reasons:
WHY | HOW | |
1 Contract | It is necessary to perform our contract with you to: • administer, manage and set up your investor account(s) to allow you to purchase your holding (of shares) in our funds • meet the resulting contractual obligations we have to you • facilitate the continuation or termination of the contractual relationship between you and the Fund • facilitate the transfer of funds, and administering and facilitating any other transaction, between you and the Fund | |
2 Compliance with law | It is necessary for compliance with an applicable legal or regulatory obligation to which we are subject, in order to: • undertake our client and investor due diligence, and on-boarding checks • carry out verification, ‘know your client’, terrorist financing, sanctions, and anti-money laundering checks • verify the identity and addresses of our investors (and, if applicable, their beneficial owners) • comply with requests from regulatory, governmental, tax and law enforcement authorities • carry out surveillance and investigations • carry out audit checks • maintain statutory registers • prevent and detect fraud • comply with sanctions requirements | |
3 Legitimate interests | For our legitimate interests or those of a third party (such as a transaction counterparty or lender) to: • manage and administer your holding in any Funds in which you are invested, and any related accounts on an ongoing basis • assess and process any applications or requests made by you • open, maintain or close accounts in connection with your investment in, or withdrawal from, the Fund scheme • send updates, information and notices or otherwise correspond with you in connection with your investment in the Fund scheme • address or investigate any complaints, claims, proceedings or disputes • provide you with, and inform you about, our investment products and services • monitor and improve our relationships with investors • comply with applicable regulatory obligations, including anti-money laundering, sanctions and ‘know your client’ checks |
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WHY | HOW | |
• assist our transaction counterparties to comply with their regulatory and legal obligations (including anti-money laundering, ‘know your client’ and sanctions checks) • manage our risk and operations • comply with our accounting and tax reporting requirements • comply with our audit requirements • assist with internal compliance with our policies and processes • ensure appropriate group management and governance • keep our internal records • prepare reports on incidents/accidents • protect our business against fraud, breach of confidence, theft of proprietary materials, and other financial or business crimes (to the extent that this is not required of us by law) • analyse and manage commercial risks • seek professional advice, including legal advice • enable any actual or proposed assignee or transferee, participant or sub-participant of the partnership’s or Fund vehicles’ rights or obligations to evaluate proposed transactions • facilitate business asset transactions involving the Fund partnership or Fund-related vehicles • monitor communications to/from us using our systems • protect the security and integrity of our information technology systems • manage our financing arrangements with our financiers and financing transaction counterparties, including payment providers, intermediaries, and correspondent/agent banks
We only rely on these interests where we have considered that, on balance, the legitimate interests are not overridden by your interests, fundamental rights or freedoms. |
Monitoring as described at (3) above
We monitor communications where the law requires us to do so. We will also monitor where we are required to do so to comply with our regulatory rules and practices and, where we are permitted to do so, to protect our business and the security of our systems.
Who we share your Personal Data with
Your Personal Data will be shared with:
WHO | WHY | |
Fund associates | We share your Personal Data with our associates, related parties and members of our group. This is: • to manage our relationship with you • for the legitimate interests of a third party in carrying out anti-money laundering and compliance checks required of them under applicable laws and regulations • for the purposes set out in this Data Privacy Notice | |
Fund Managers, Depositories, Administrators, Custodians, Investment Advisers | • delivering the services you require • managing your investment • supporting and administering investment-related activities • complying with applicable investment, anti-money laundering and other laws and regulations
|
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WHO | WHY | |
Tax Authorities | • to comply with applicable laws and regulations • where required or requested by tax authorities in the territory in which you are located or domiciled (in particular, Cayman Island or UK/EEA tax authorities) who, in turn, may share your Personal Data with foreign tax authorities • where required or requested by foreign tax authorities, including outside of the territory in which you are located or domiciled (including outside the Cayman Islands or UK/EEA) | |
Service Providers | • delivering and facilitating the services needed to support our business relationship with you • supporting and administering investment-related activities • where disclosure to the service provider is considered necessary to support Blackstone with the purposes described in section 5 of this Data Privacy Notice | |
Financing Counterparties, Lenders, Correspondent and Agent Banks | • assisting these transaction counterparties with regulatory checks, such as ‘know your client’, and anti-money laundering procedures • sourcing credit for Fund-related entities in the course of our transactions and fund life cycles | |
Our lawyers, auditors and other professional Advisors | • providing you with investment-related services • to comply with applicable legal and regulatory requirements |
In exceptional circumstances, we will share your Personal Data with:
• | competent regulatory, prosecuting and other governmental agencies or litigation counterparties, in any country or territory; and |
• | other organisations and agencies – where we are required to do so by law. |
For California residents, in the preceding 12 months, we may have disclosed Personal Data listed in any of the categories in section 3 above for a business purpose (in particular, as described in this section).
We have not sold Personal Data in the 12 months preceding the date of this Data Privacy Notice.
Do you have to provide us with this Personal Data?
Where we collect Personal Data from you, we will indicate if:
• | provision of the Personal Data is necessary for our compliance with a legal obligation; or |
• | it is purely voluntary and there are no implications for you if you do not wish to provide us with it. |
Unless otherwise indicated, you should assume that we require the Personal Data for business and/or compliance purposes. Some of the Personal Data that we request is necessary for us to perform our contract with you and if you do not wish to provide us with this Personal Data, it will affect our ability to provide our services to you and manage your investment.
Sending your Personal Data internationally
We will transfer your Personal Data between different countries to our affiliates and group members, members of the Fund’s partnership, transaction counterparties, and third party service providers. These countries may not have similarly strict data protection and privacy laws, and will include those countries in which our affiliates and service providers operate (and may include, for example, transfers from the UK/EEA or Cayman Islands to a jurisdiction outside of such territory).
Where we transfer Personal Data to other members of our group, our service providers or another third party recipient from one country to another, we will ensure that our arrangements with them are governed by
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data transfer agreements or appropriate safeguards, designed to ensure that your Personal Data is protected as required under applicable data protection law (including, where appropriate, under an agreement on terms approved for this purpose by the European Commission or by obtaining your consent).
Please contact us if you would like to know more about these agreements or receive a copy of them. Please see below for our contact details.
Consent – and your right to withdraw it
We do not generally rely on obtaining your consent to process your Personal Data. If we do, you have the right to withdraw this consent at any time. Please contact us or send us an email at PrivacyQueries@Blackstone.com at any time if you wish to do so.
Retention and deletion of your Personal Data
We keep your Personal Data for as long as it is required by us for our legitimate business purposes, to perform our contractual obligations or, where longer, such longer period as is required or permitted by law or regulatory obligations which apply to us. We will generally:
• | retain Personal Data about you throughout the life cycle of any investment you are involved in; and |
• | retain some Personal Data after your relationship with us ends. |
As a general principle, we do not retain your Personal Data for longer than we need it.
We will usually delete your Personal Data (at the latest) after you cease to be an investor in any fund and there is no longer any legal/regulatory requirement, or business purpose, for retaining your Personal Data.
Your rights
You may, subject to certain limitations, have data protection rights depending on the data protection laws that apply to our processing of your Personal Data, including the right to:
• | access your Personal Data, and some related information, including the purpose for processing the Personal Data, the categories of recipients of that Personal Data to the extent that it has been transferred internationally, and, where the Personal Data has not been collected directly from you, the source (the category information) |
• | restrict the use of your Personal Data in certain circumstances |
• | have incomplete or inaccurate Personal Data corrected |
• | ask us to stop processing your Personal Data |
• | require us to delete your Personal Data in some limited circumstances |
You also have the right in some circumstances to request us to “port” your Personal Data in a portable, re-usable format to other organisations (where this is possible).
California residents may also request certain information about our disclosure of Personal Data during the prior year, including category information (as defined above).
We review and verify requests to protect your Personal Data, and will action data protection requests fairly and in accordance with applicable data protection laws and principles.
If you wish to exercise any of these rights, please contact us (details below).
From 25 May 2018, you also have the right in some circumstances to request for us to “port” your Personal Data in a portable, re-usable format to other organisations (where this is possible).
Concerns or queries
We take your concerns very seriously. We encourage you to bring it to our attention if you have any concerns about our processing of your Personal Data. This Data Privacy Notice was drafted with simplicity and clarity
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in mind. We are, of course, happy to provide any further information or explanation needed. Our contact details are below.
Please also contact us via any of the below contact methods if you have a disability and require an alternative format of this Data Privacy Notice.
If you want to make a complaint, you can also contact the body regulating data protection in your country, where you live or work, or the location where the data protection issue arose. In particular:
Country | Supervisory Authority | |
Cayman Islands | Cayman Islands Ombudsman (available at: https://ombudsman.ky) | |
European Union | A list of the EU data protection authorities and contact details is available by clicking this link: http://ec.europa.eu/newsroom/article29/item-detail.cfm?item_id=612080 | |
United Kingdom | Information Commissioner’s Office (available at: https://ico.org.uk/global/ contact-us/) |
Contact us
Please contact us if you have any questions about this Data Privacy Notice or the Personal Data we hold about you.
Contact us by email or access our web form at PrivacyQueries@Blackstone.com.
Contact us in writing using this address:
Address | For EU/UK related queries: 40 Berkeley Square, London, W1J 5AL, United Kingdom
All other queries: The Blackstone Group Inc. Attn: Legal & Compliance 345 Park Avenue, New York, NY 10154 |
Changes to this Data Privacy Notice
We keep this Data Privacy Notice under regular review. Please check regularly for any updates at our investor portal (www.bxaccess.com).
This Data Privacy Notice was last updated in January 2020.
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Blackstone Alternative Multi-Strategy Fund
a series of Blackstone Alternative Investment Funds
Trustees
John M. Brown, Chairman
Frank J. Coates
Paul J. Lawler
Kristen M. Leopold
Peter Koffler
Peter M. Gilbert
Investment Adviser
Blackstone Alternative Investment Advisors LLC
345 Park Avenue
New York, New York 10154
Administrator and Custodian
State Street Bank and Trust Company
One Lincoln Street
Boston, MA 02111
Transfer Agent
State Street Bank and Trust Company
One Lincoln Street
Boston, MA 02111
Officers
Brian F. Gavin, President and Principal Executive Officer
Arthur Liao, Treasurer and Principal Financial and Accounting Officer
James Hannigan, Chief Legal Officer and Chief Compliance Officer
Natasha Kulkarni, Secretary
Charmagne Kukulka, Interim Secretary
Sherilene Sibadan, Anti-Money
Laundering Officer
Independent Registered Public Accounting Firm
Deloitte & Touche LLP
30 Rockefeller Plaza
New York, New York 10112
Legal Counsel
Ropes & Gray LLP
Prudential Tower
800 Boylston Street
Boston, Massachusetts 02199-3600
This report, including the financial information herein, is transmitted to the shareholders of Blackstone Alternative Multi-Strategy Fund for their information. It is not a prospectus or representation intended for use in the purchase of shares of the Fund or any securities mentioned in this report.
You can find the Fund’s prospectus and other information about the Fund, including the Fund’s statement of additional information, on the Fund’s website at www.bxmix.com. You can also get this information at no cost by calling the Fund at 1-855-890-7725.
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Item 2. | Code of Ethics. |
Not applicable to this semi-annual report.
Item 3. | Audit Committee Financial Expert. |
Not applicable to this semi-annual report.
Item 4. | Principal Accountant Fees and Services. |
Not applicable to this semi-annual report.
Item 5. | Audit Committee of Listed Registrants. |
Not applicable.
Item 6. | Investments. |
(a) | The Registrant’s Consolidated Schedule of Investments as of the close of the reporting period is included in the Report to Shareholders filed under Item 1 of this form. |
(b) | Not applicable. |
Item 7. | Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies. |
Not applicable.
Item 8. | Portfolio Managers of Closed-End Management Investment Companies. |
Not applicable.
Item 9. | Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers. |
Not applicable.
Item 10. | Submission of Matters to a Vote of Security Holders. |
There have been no material changes to the procedures by which the shareholders may recommend nominees to the Registrant’s Board of Trustees.
Item 11. | Controls and Procedures. |
(a) | The Registrant’s principal executive officer and principal financial officers, or persons performing similar functions, have concluded that the Registrant’s disclosure controls and procedures as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”), are effective as of the date within 90 days of the filing date of this report based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as amended. |
(b) | There were no changes in the Registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the period covered by this report that have materially affected or are reasonably likely to materially affect, the Registrant’s internal control over financial reporting. |
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Item 12. | Disclosure of Securities Lending Activities for Closed-End Management Investment Companies. |
(a) | Not applicable. |
(b) | Not applicable. |
Item 13. | Exhibits. |
(a) (1) | Not applicable to this semi-annual report. |
(2) | Certifications pursuant to Rule 30a-2(a) are attached hereto. | |
(3) | Not applicable. | |
(4) | Not applicable. |
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SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the Registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
(Registrant) | Blackstone Alternative Investment Funds |
By (Signature and Title) | /s/ Brian F. Gavin | |
Brian F. Gavin, President (Principal Executive Officer) |
Date | November 30, 2020 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the Registrant and in the capacities and on the dates indicated.
By (Signature and Title) | /s/ Brian F. Gavin | |
Brian F. Gavin, President (Principal Executive Officer) |
Date | November 30, 2020 |
By (Signature and Title) | /s/ Arthur Liao | |
Arthur Liao, Treasurer (Principal Financial and Accounting Officer) |
Date | November 30, 2020 |